scholarly journals International portfolio diversification during the Covid-19 onset: A study of correlations among CEE post-transition and developed countries

2021 ◽  
pp. 75-89
Author(s):  
Paweł Śliwiński
Keyword(s):  
Stock Exchange ◽  
Negative Relationship ◽  
International Diversification ◽  
Developed Countries ◽  
International Markets ◽  
Stock Exchanges ◽  
Global Risk ◽  
Emerging Stock Markets ◽  
Stock Indices ◽  
Positive Correlations

Purpose: The chapter examines the hypothesis that during the Covid-19 onset, the higher positive correlations between stock exchange indices persist, preventing the use of international diversification to reduce the volatility of global portfolio. Design/methodology/approach: The study focuses on CEE post-transition countries and their main stock exchange indices’ correlations with developed markets stock exchange indices. The data cover the period starting from January 8, 2004, until the end of October, 2020. The bivariate relationship between stock indices and VIX was measured by the Pearson coefficient of correlation. Findings: The findings of correlations estimation in three periods (long-term, Covid-19 on-set, and recovery) indicate that except for a period of large volatility measured by the VIX index lower relationships between developed and emerging stock markets persist. However, the results of the study concerning the shaping of correlation between the stock indices and the global risk shows a significant negative relationship between them, approaching very high levels close to 1 during the Covid-19 onset. All the CEE stock exchanges – even those low correlated in the longer term – behaved very similarly during the stock exchange crunch with its epicenter in March 2020. Practical implications: The answer to the research questions concerning the shaping of correlations on international markets is important for the portfolio theory itself in its international aspect, but also from the viewpoint of its applicability in practice. Huge market synchronization in terms of comovements in stock indices is troubling. It significantly reduces or even eliminates the benefits of international diversification during market crashes.

scholarly journals Diversification opportunities in European stock markets and their impact on textile industry development based on a financial education approach

2021 ◽  
Vol 72 (05) ◽  
pp. 528-537
Author(s):  
CRISTI SPULBĂR ◽  
RAMONA BIRĂU ◽  
VICTOR OLUWI ◽  
ABDULLAH EJAZ ◽  
TIBERIU HORAȚIU GORUN ◽  
...  
Keyword(s):  
Stock Market ◽  
Textile Industry ◽  
Stock Exchange ◽  
Financial Education ◽  
Sustainable Growth ◽  
Stock Exchanges ◽  
Portfolio Risk ◽  
Stock Indices ◽  
High Investment ◽  
European Stock Markets

This research study explores the diversification opportunity among 18 European stock market indices for the sample period from January 2001 to December 2019. However, financial education plays an important role in the development of the textile industry, considering the dynamics of the companies listed on the European stock exchanges. The correlation matrix, pairwise cointegration and Johansen cointegration reveal that selected 18 European stock market indices do not reduces the portfolio risk because exhibit higher positive correlation among them, and their movement pulsed in tandem. Potential investors are attracted by high investment opportunities in order to maximize their return based on portfolio diversification. Financial education can effectively contribute to the sustainable growth of the textile industry in Europe. This empirical research provides an integrated perspective on the long-term evolution of certain major European stock exchange indices. The findings have significant implications for investors interested in selecting these European stock indices in order to diversify their portfolio risk. Our study also imply that selected stock indices have been strongly affected by similar political and financial belies across Europe thus, eliminating the possibility of portfolio risk diversification.

scholarly journals The Paradigm Shift in the Pakistan Stock Exchange’s Financial Integration Post-FTA and CPEC

2018 ◽  
Vol 23 (1) ◽  
pp. 21-50 ◽  
Author(s):  
Abdul Wahid
Keyword(s):  
Paradigm Shift ◽  
Free Trade Agreement ◽  
Financial Integration ◽  
Stock Exchange ◽  
Trade Agreement ◽  
International Markets ◽  
Global Markets ◽  
Stock Exchanges ◽  
Volatility Spillovers ◽  
Regional Markets

This paper examines whether regional connectivity causes return and volatility spillovers and the co-movement of stock exchanges to shift from international to regional markets. Using the China-Pakistan free trade agreement (FTA) of 2006 and the China-Pakistan Economic Corridor (CPEC) agreement to represent events of regional connectivity, we test this proposition based on data for two regional stock exchanges (the Pakistan Stock Exchange and Shenzhen Stock Exchange) and two global markets (the FTSE 100 and Nasdaq). We divide the convergence and co-integration of the stock markets into three phases: overall sample (2001–17), pre-FTA and post-FTA, and pre-CPEC and post-CPEC. Applying a GARCH (1, 1) model, co-integration, Granger causality and seasonality, we find that regional connectivity causes return and volatility spillovers and co-movements in the Pakistan Stock Exchange to shift from international markets to regional markets.

scholarly journals The relationship between stock markets of major developed countries and Asian emerging markets

2004 ◽  
Vol 8 (4) ◽  
pp. 201-218 ◽  
Author(s):  
Wing-Keung Wong ◽  
Jack Penm ◽  
Richard Deane Terrell ◽  
Karen Yann Ching Lim
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
International Diversification ◽  
Developed Countries ◽  
Stock Market Crash ◽  
Emerging Stock Markets ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Asian Emerging Markets ◽  
The Relationship

With the emergence of new capital markets and liberalization of stock markets in recent years, there has been an increase in investors' interest in international diversification. This is so because international diversification allows investors to have a larger basket of foreign securities to choose from as part of their portfolio assets, so as to enhance the reward-to-volatility ratio. This benefit would be limited if national equity markets tend to move together in the long run. This paper thus studies the issue of co-movement between stock markets in major developed countries and those in Asian emerging markets using the concept of cointegration. We find that there is co-movement between some of the developed and emerging markets, but some emerging markets do differ from the developed markets with which they share a long-run equilibrium relationship. Furthermore, it has been observed that there has been increasing interdependence between most of the developed and emerging markets since the 1987 Stock Market Crash. This interdependence intensified after the 1997 Asian Financial Crisis. With this phenomenon of increasing co-movement between developed and emerging stock markets, the benefits of international diversification become limited.

scholarly journals Keterkaitan Antar Bursa Efek Dunia (Studi Kasus pada Bursa Efek Negara Maju dan Negara Berkembang)

2019 ◽  
Vol 12 (1) ◽  
pp. 85
Author(s):  
Muhammad Madyan ◽  
Haka Adila ◽  
Novian Abdi Firdausi
Keyword(s):  
Stock Exchange ◽  
Developed Countries ◽  
The United States ◽  
Stock Exchanges ◽  
Subprime Mortgage ◽  
Vector Error Correction ◽  
Long Run ◽  
Short Run ◽  
Stock Indexes ◽  
Second Period

This research analyzes the correlation between stock markets worldwide. Developing countries stock exchanges are represented by China and Indonesia, whereas developed countries stock exchanges are represented by Germany, Japan, Australia, Singapore, and the United States. Using stock’s daily close prices as data, then assessed with Vector Error Correction Model and Granger Causality. Analyzed indexes are Shanghai Stock Exchange Composite (SHCOMP), Indeks Harga Saham Gabungan (IHSG), Dow Jones Industrial Average (DJIA), Nikkei225 (NKY), Deutscher Aktien Index (DAX), All Ordinaries Index (AOI), and Strait Times Index (STI). Stock data grouped into two periods, the first period is the Asian Financial Crisis in 1 January 1998-31 December 2003, while second period is the Subprime Mortgage crisis in 1 January 2008-31 December 2013. Research results show correlations between analyzed stock indexes in both long run and short run relationship in the firstperiod as well asthe second period, however the correlation between Singapore’s and Indonesia’s stock exchange in second period is unproven.

Stock exchange industry in UAE

2015 ◽  
Vol 10 (3) ◽  
pp. 362-382 ◽  
Author(s):  
Andrea Paltrinieri
Keyword(s):  
Network Effects ◽  
Economies Of Scale ◽  
Stock Exchange ◽  
Developed Countries ◽  
Abu Dhabi ◽  
Economies Of Scope ◽  
Stock Exchanges ◽  
Fixed Costs ◽  
Content Type ◽  
Positive Effects

Purpose – The purpose of this paper is to give an overview of UAE Stock Exchange industry. In particular this paper aims to assess a potential merger between Dubai Financial Markets-Nasdaq-Dubai and Abu Dhabi Securities Exchange, evaluating risks, rewards, policy and business implications. Design/methodology/approach – The paper presents a theoretical framework and a literature review of M & As in financial sector. It then carries out a case study on a potential merger between the UAE Stock Exchanges and a discussion on the implications for the actors involved. Findings – The contraction both in market capitalization and in trading value in the three UAE Stock Exchanges caused by subprime financial crisis and market fragmentation could be a key factors in implementing a merger between them. Because of high-fixed costs and trading platform, a single consolidated stock exchange may benefit from significant economies of scale, particularly network effects, and economies of scope. Practical implications – This paper could be useful to Security and Commodity Authority, in order to support a merger between Dubai and Abu Dhabi Stock Exchange. Given that UAE capital market regulator has tried to improve efficiency in UAE stock market over the last years, a merger between UAE Stock Exchanges could have positive effects on overall efficiency. Originality/value – It is the first paper that analyze UAE Stock Exchange industry. It is the first study that focusses on a potential merger between emerging markets’ stock exchanges. It is one of the first contributions that relates stock exchanges belonging to emerging and developed countries.

scholarly journals Causality between regional stock markets: A frequency domain approach

2013 ◽  
Vol 60 (5) ◽  
pp. 633-647 ◽  
Author(s):  
Nikola Gradojevic ◽  
Eldin Dobardzic
Keyword(s):  
Frequency Domain ◽  
Stock Exchange ◽  
Frequency Domain Analysis ◽  
Stock Index ◽  
Stock Exchanges ◽  
Dominant Effect ◽  
Data Set ◽  
Stock Indices ◽  
Cycle Lengths ◽  
Frequency Domain Approach

Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany), this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBITOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect.

scholarly journals Survival analysis in assessment of influence of the SARS-CoV-2 pandemic on probability and intensity of decline in the value of stock indices

2020 ◽  
Author(s):  
Beata Bieszk-Stolorz ◽  
Krzysztof Dmytrów
Keyword(s):  
Survival Analysis ◽  
Stock Exchange ◽  
Economic Situation ◽  
Stock Exchanges ◽  
Proportional Hazard ◽  
Proportional Hazard Model ◽  
Cox Proportional Hazard ◽  
A Value ◽  
Stock Indices ◽  
The Impact

Abstract The aim of the study is to assess the strength of the world stock exchanges reaction to the SARS-CoV-2 coronavirus pandemic at the turn of 2019-2020. The risk and intensity of the decline in the values of the basic stock indices were analysed. The spreading pandemic within a few months covered all continents and had a significant impact on the socio-economic situation of all countries. The study used methods of duration analysis. The time of the 20% drop in stock market indices was studied. This is a value that is taken as a sign of crisis. Kaplan-Meier's estimator was used to assess the probability of indices' value decrease. The risk of decline was determined by means of a logit model and the intensity of the decline was determined by means of an empirical hazard estimator and a Cox proportional hazard model. The intensity and risk of decline of stock indices varied from continent to continent. The intensity was highest in the fourth and eighth week after the peak and was highest on European exchanges and then American and Asian exchanges (including Australia). The risk of falling stock indices was highest in America, followed by Europe, Asia and Australia, and lowest in Africa. Half of the analysed indices recorded a 20-percent drop in value after 52 days (median duration). The study is a prelude to further analyses related to the crisis and the normalisation of the situation on world stock exchanges. It allows to learn about the impact of the pandemic on the economic situation and to detect differences between the continents. The methods from the survival analysis are used in the study to assess the impact of the pandemic on the intensity and risk of decline in stock exchange indices.

Corporate Social Responsibility: Institutional Behavior Differences in Extractive Industry

2017 ◽  
Vol 33 ◽  
pp. 194-215
Author(s):  
Emmanuel Opoku Marfo ◽  
Kwame Oduro Amoako ◽  
Henry Asanti Antwi ◽  
Benjamin Ghansah ◽  
Gausu Mohammed Baba
Keyword(s):  
Stock Exchange ◽  
Negative Relationship ◽  
Developed Countries ◽  
Developed Economies ◽  
Investment Promotion ◽  
Sub Saharan ◽  
The Developed Countries ◽  
Return On Sales ◽  
Corporate Social ◽  
Ghana Stock Exchange

The developed countries’ institutional research undertaken on corporate social responsibilities (CSR) have shown a positive relationship between accessibility of financial related assets and CSR. Contentions that we classified as the Institutional Difference Hypothesis (IDH) drawn from the institutional writing, on the other hand, propose that institutional contrasts amid of developing and the developed economies are prone to result in diverse CSR propositions. Incorporating the rationale of IDH with understanding of knowledge from slack resource theory, we contend that there exists a negative relationship between fiscal resources accessibility and CSR investments for mining companies in Ghana, a sub-Saharan African developing economy. We utilize a well-protected data from the Ghana Investment Promotion Center (GIPC), Ghana Stock Exchange (GSE) and Ghana Chamber of mines (GCM) and find that Return on Ordinary Share, Return on Sales, and Net Profit were reliably connected with lower CSR disbursements. We highlight the ramifications of our discoveries for academics’ examination and corporate practitioners.

scholarly journals Short Term Stress of COVID-19 on World Major Stock Indices

2020 ◽  
Author(s):  
Muhammad Rehan ◽  
Jahanzaib Alvi ◽  
KARACA
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Secondary Data ◽  
Short Term ◽  
Stock Indices ◽  
First Case ◽  
Significant Negative Relationship ◽  
Pacific Asia ◽  
Clustering Effect

Abstract The main objective of this study is to check short term stress of COVID-19 on the American, European, Asian, and Pacific stock market indices, furthermore, the correlation between all the stock markets during the pandemic. Secondary data of 41 stock exchange from 32 countries have been collected from investing.com website from 1st July 2019 to 14th May 2020 for the stock market and the COVID-19 data has been collected according to the first cases reported in the country, stocks market are classified either developed or emerging economy, further divided according to the subcontinent i.e. America, Europe, and Pacific/Asia, the main focus in the data is the report of first COVID-19 cases. The study reveals that there is volatility in the all the 41 stock market (American, Europe, Asia, and Pacific) after reporting of the first case and volatility increase with the increase of COVID-19 cases, moreover, there is a significant negative relationship between the number of COVID-19 cases and 41 major stock indices of American, Europe, Asia and Pacific, European subcontinent market found more effected from the COVID-19 than another subcontinent, there is Clustering effect of COVID-19 on all the stock market except American's stock market due to smart capital investing.

The Influence of Growth, Asset Tangibility, Cost of Debt, Profitability and Business Risk On Debt Capital

2019 ◽  
Vol 4 (4) ◽  
pp. 120-127
Author(s):  
Erika Jimena Arilyn ◽  
Beny Beny
Keyword(s):  
Firm Growth ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Developed Countries ◽  
Jel Classification ◽  
Cost Of Debt ◽  
Market Condition ◽  
Business Risk ◽  
Debt Capital

Objective –The aims to identify the significant factors that influence a company’s decision to use debt capital. Methodology/Technique – This study uses 5 independent variables namely; firm growth (growth rate in total gross assets), asset tangibility (ratio of net fixed assets to total assets), cost of debt (interest before tax / long term debt), profitability (Earnings Before Interest and Taxes (EBIT) / Total Asset), and business risk (standard deviation of EBIT to total assets). The dependent variable in this study, debt capital, is measured by the ratio of long-term debt to total assets. A purposive sampling method is used to select 11 out of 18 textile and garment companies listed on the Indonesian Stock Exchange between 2014 and 2018 that report their annual financial positions. A quantitative method, panel data analysis technique and SPSS tools were also used in this study. Findings – The results show that debt capital is influenced by profitability, while the remaining factors do not influence debt capital. Novelty – This study adds to the existing literature on internal factors, market condition as an external factors, and debt capital in developed countries. The benefit of this study is to explore the potential capabilities of the industry in using its profit to minimize the use of debt as a source of capital to decrease business risk. Type of Paper: Empirical Keywords: Profitability; Growth; Cost of Debt; Business Risk; Tangibility; Capital Structure. Reference to this paper should be made as follows: Ariyln, E., J; Beny; 2019. The Influence of Growth, Asset Tangibility, Cost Of Debt, Profitability and Business Risk On Debt Capital, Acc. Fin. Review 4 (4): 120 – 127 https://doi.org/10.35609/afr.2019.4.4(4) JEL Classification: G23, G32.

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