scholarly journals On the Bound of Cumulative Return in Trading Series

2020 ◽  
Author(s):  
Yang Can ◽  
Junjie Zhai ◽  
Helong Li
Keyword(s):  
Emerging Markets ◽  
Financial Markets ◽  
Upper Bound ◽  
Stock Markets ◽  
Trading Strategies ◽  
Trading Rules ◽  
Empirical Results ◽  
Developed Markets ◽  
International Stock Markets ◽  
Bootstrap Methodology

Abstract There is no doubt that cumulative return is one of fundamental concerns in financial markets. In this paper, we first reveal the upper bound of cumulative return, and then propose a method to evaluate the performance of trading strategies by using proposed upper bound. Furthermore, with the help of bootstrap methodology, we conduct numerous experiments on distinct international stock markets, including developed markets and emerging markets, to verify the validity of the proposed upper bound. And both the theoretical and empirical results show that the effectiveness of the proposed upper bound and reveal its significant potentials on evaluating performance of trading rules.

scholarly journals Linkage between Stock Market Prices and Exchange Rate: A Causality Analysis for Pakistan

2004 ◽  
Vol 43 (4II) ◽  
pp. 639-649 ◽  
Author(s):  
Mohammad Farooq ◽  
Wong Wing Keung
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Financial Markets ◽  
Emerging Economies ◽  
Stock Markets ◽  
Developing Economies ◽  
Causality Analysis ◽  
Market Prices ◽  
Financial Architecture ◽  
Developed Markets

Globalisation and financial sector reforms in developing economies have ushered in a sea change in the financial architecture of the economies. In the contemporary scenario, the activities in the financial markets and their relationships with the real sector have assumed significant importance. Correspondingly, researches are also being conducted to understand the current working of the economic and the financial system in the new scenario. Interesting results are emerging particularly for the developing countries where the markets are experiencing new relationships which are not perceived earlier. The analysis on stock markets has come to the fore since this is the most sensitive segment of the economy. The stock markets of emerging economies have been of vital importance to the global investment community. Since emerging markets are more volatile than the well developed stock market, therefore the emerging markets tend to be unrelated to one another and with the developed markets. Numerous investors worldwide select to diversify their funds across the emerging markets.

Emerging Markets Have Emerged

2016 ◽  
Author(s):  
Marko Dimitrijević ◽  
Timothy Mistele
Keyword(s):  
Corporate Governance ◽  
Emerging Markets ◽  
Financial Markets ◽  
Government Policies ◽  
Developed Markets ◽  
The One

Argues that emerging markets have emerged; the traditional distinctions between emerging and developed markets—the size of their economies, the size of their financial markets, corporate governance, government policies, even growth—have blurred or disappeared; the one surviving distinction between them is the price you pay for growth.

scholarly journals Confucius and Herding Behaviour in the Stock Markets in China and Taiwan

2018 ◽  
Vol 10 (12) ◽  
pp. 4413 ◽  
Author(s):  
Batmunkh Munkh-Ulzii ◽  
Michael McAleer ◽  
Massoud Moslehpour ◽  
Wing-Keung Wong
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Trading Volume ◽  
Dispersion Model ◽  
Empirical Support ◽  
Sample Period ◽  
Empirical Results ◽  
Thomson Reuters ◽  
Behavioural Patterns ◽  
Bull And Bear Markets

It has been argued in the literature that financial markets with a Confucian background tend to exhibit herding behaviour, or correlated behavioural patterns in individuals. This paper applies the return dispersion model to investigate financial herding behaviour by examining index returns from the stock markets in China and Taiwan. The sample period is from 1 January 1999 to 31 December 2014, and the data were obtained from Thomson Reuters Datastream. Although the sample period finishes in 2014, the data are more than sufficient to test the three hypotheses relating to the stock markets in China and Taiwan, both of which have Confucian cultures. The empirical results demonstrate significant herding behaviour under both general and specified markets conditions, including bull and bear markets, and high-low trading volume states. This paper contributes to the herding literature by examining three different hypotheses regarding the stock markets in China and Taiwan, and showing that there is empirical support for these hypotheses.

scholarly journals Lead-Lag Relationships in International Stock Markets Revisited: Are They Exploitable?

2017 ◽  
Vol 9 (1) ◽  
pp. 8
Author(s):  
Andreas Gruener ◽  
Christian Finke
Keyword(s):  
Transaction Costs ◽  
Stock Markets ◽  
Abnormal Returns ◽  
Institutional Ownership ◽  
Return Predictability ◽  
Trading Strategy ◽  
Analyst Coverage ◽  
Developed Markets ◽  
Stock Portfolios ◽  
International Stock Markets

This paper re-examines empirical lead-lag relationships in stock portfolios sorted by size, analyst coverage and institutional ownership across seven major developed markets. We find that lead-lag relationships continue to exist in a majority of countries. A simple trading strategy that exploits the return predictability based on lead-lag relationships yields significant abnormal returns in several markets. However, the abnormal returns quickly decline when transaction costs are introduced and become insignificant for one-way transaction costs of more than 40 basis points. Thus, lead-lag relationships are probably not exploitable in practice and will continue to exist in the future.

scholarly journals Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases

2022 ◽  
Vol 15 (1) ◽  
pp. 18
Author(s):  
Sisa Shiba ◽  
Juncal Cunado ◽  
Rangan Gupta
Keyword(s):  
The Netherlands ◽  
Infectious Diseases ◽  
Financial Markets ◽  
Stock Markets ◽  
Recursive Estimation ◽  
International Stock Markets ◽  
Long Run ◽  
Out Of Sample ◽  
Portfolio Managers ◽  
Realised Volatility

In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models. A recursive estimation approach in the short-, medium- and long-run out-of-sample predictability is considered and the main findings show that the EMVID index plays a significant role in forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets to EMVID are those in Singapore, Portugal and The Netherlands. The implications of these results for investors and portfolio managers amid high levels of uncertainty resulting from infectious diseases are discussed.

scholarly journals STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS

2018 ◽  
Vol 24 (3) ◽  
pp. 1149-1177 ◽  
Author(s):  
Rizwan Raheem AHMED ◽  
Jolita VVEINHARDT ◽  
Dalia ŠTREIMIKIENĖ ◽  
Saghir Pervaiz GHAURI
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Markets ◽  
Mean Reversion ◽  
Conditional Variance ◽  
Trade Off ◽  
Risk Return ◽  
Developed Markets ◽  
The Mean ◽  
Developed Stock Markets

The objective of this research is to measure and examine volatilities between important emerging and developed stock markets and to ascertain a relationship between volatilities and stock returns. This research paper also analyses the Mean reversion phenomenon in emerging and developed stock markets. For this purpose, seven emerging markets and five developed markets were considered. Descriptive statistics showed that the emerging markets have higher returns with the higher risk-return trade-off. In contrast, developed markets have low annual returns with a low risk-return trade-off. Correlation analysis indicated the significant positive correlation among the developed markets, but emerging and developed markets have shown relatively insignificant correlation. Results of ARCH and GARCH revealed that the value of likelihood statistics ratio is large, that entails the GARCH (1,1) model is a lucrative depiction of daily return pattern, that effectively and efficiently capturing the orderly reliance of volatility. The findings of the study showed that the estimate ‘β’ coefficients given in conditional variance equation are significantly higher than the ‘α’, this state of affair entails that bigger market surprises tempt comparatively small revision in future volatility. Lastly, the diligence of the conditional variance estimated by α + β is significant and proximate to integrated GARCH (1,1) model, thus, this indicates, the existing evidence is also pertinent in order to forecast the future volatility. The results signified that the sum of GARCH (1,1) coefficients for all the equity returns’ is less than 1 that is an important condition for mean reversion, as the sum gets closer to 1, hence the Mean reversion process gets slower for all the emerging and developed stock markets.

Impacts of the US macroeconomic news on Asian stock markets

2014 ◽  
Vol 15 (2) ◽  
pp. 149-179 ◽  
Author(s):  
Tho Nguyen ◽  
Chau Ngo
Keyword(s):  
Labor Market ◽  
Emerging Markets ◽  
Stock Markets ◽  
Price Index ◽  
Market Returns ◽  
Macroeconomic News ◽  
Stock Market Returns ◽  
Content Type ◽  
Developed Markets ◽  
The Us

Purpose – This paper aims to investigate the spillover effect of 14 US key macroeconomic news on the first two moments of 12 Asian stock market returns. Design/methodology/approach – The authors collect market expectation and actual scheduled announcements data for 14 key US's macroeconomic announcements from January 2002 to April 2012 from Bloomberg. The dataset consists of six groups: monetary policy and general macroeconomic indicators: the Federal Reserve's target interest rates (FOMC), gross domestic product (GDP), and leading indicator (LI); price indicators: consumer price index (CPI) and producer price index (PPI); business indicator: housing starts (HS) and industrial production (IP); consumption indicators: retail sales (RS) and consumer confidence level (CONSUM); labor market indicators: non-farm payroll (NFP), unemployment level (UE), and jobless claim (JOB); and external sector indicators: current account (CA) and trade balance (TB). The authors also collect daily opening and closing data of 12 Asian stock markets. Following Dow Jones classification, the authors divide them into two groups: five developed markets (Japan, Hong Kong, Republic of Korea, Singapore and Taiwan), and seven emerging markets (China, India, Indonesia, Malaysia, Pakistan, Sri Lanka, and Thailand). The MA-EGARCH (1,1) model is used for the empirical test. Findings – First, the authors find that stronger than expected news from the USA is associated with higher conditional mean and lower conditional variance of the Asian stock market returns, in general. Second, the Asian stock markets tend to put more weight on information relating to the US labor market than the other news as this indicator reveals much information about the underlying health of the US economy since full employment is the most important mandate for the US administration and policy makers. Third, in responding to the US news, the Asian emerging markets seem to respond stronger to the US news than the Asian developed markets both in terms of the number of responses and the magnitude of the reaction. This suggests that this could be seen as evidence that emerging markets are more dependent on the information content of the US news than the developed markets. Fourth, the US news is absorbed gradually leading to persisting volatility responses in the Asian stock markets. Originality/value – The authors fill a gap in the extant literature in investigating the speeds of the news absorption across the Asia region by examining the spillover effects across three time horizons, namely daily, overnight and intraday.

MEASURING VOLATILITY SPILLOVERS BETWEEN DEVELOPED AND SOUTHEAST ASIAN EMERGING STOCK MARKETS: A MULTIVARIATE GARCH APPROACH

2018 ◽  
Author(s):  
Anh Nguyễn Thị Hoàng ◽  
Huyền Trần Thị Thanh ◽  
Minh Huỳnh Ngọc Kim ◽  
Trân Nguyễn Thị Ngọc
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Spillover Effects ◽  
The United States ◽  
Southeast Asian ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Sample Analysis ◽  
Volatility Spillovers ◽  
Developed Markets

In this paper, we measure volatility spillovers among eleven stock markets, including five developed markets (the United States, Japan, Germany, the United Kingdom, Hong Kong) and six Southeast Asian developing markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) over the 25-year period from January 1, 1993 to December 31, 2017. Employing the GARCH-DCC model and non-parametric sign tests on the correlations between developed markets and emerging markets, we find that correlations between developed markets and the Southeast Asian markets have risen sharply during periods of crisis, indicating the existence of volatility spillover effects from the developed markets to emerging ones. Full sample analysis suggests that volatility spillover from Japanese and the UK markets to the Southeast Asian emerging markets is stronger and more apparent than those transmitted from the US and Germany markets. Sub-sample analysis is able to identify the markets transmitting shocks to others. Results also suggest that Vietnam market is not fully integrated to the regional and global markets.

Forecasting the value effect of Seasoned Equity Offering announcements: Evidence from BRICS and comparative analysis to USA and European Markets

2017 ◽  
Vol 10 (2) ◽  
pp. 22-46
Author(s):  
Zhuqing Huang ◽  
Kostantinos Nikolopoulos
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Market Reactions ◽  
Developed Markets ◽  
Long Run ◽  
The Us ◽  
Value Effect ◽  
European Markets

Purpose –The purpose of this paper is to forecast the value effect of the SEO announcements based on the BRICS stock markets, and to make comparisons with the US and European markets.Design/methodology/approach –China and Russia are picked as representations of the BRICS based on the analysis of the economic growth of the five countries. Historical data from Shanghai Stock Exchange (SSE) and Moscow Stock Exchange (MSE) between 2010 and 2014 were involved. The authors use the abnormal return to quantify the value effect of SEOs and different models were built with the chosen factors. Modelling tools include EViews and SAS, and comparisons were made among the models.Findings –Positive market reactions were observed within two and three days after the SEOs in SSE and MSE respectively, negative market reactions exist in a long-run period after the announcements. The best model for the prediction is the auto-neural model.Research limitations/implications – The sample size could be larger in order to raise the precision of the prediction.Originality/value – Many empirical studies of the SEOs are based on developed markets. However the emerging markets may react differently. This research focuses on the stock markets in BRICS, which could be seen as representations of the emerging markets, thus could provide ideas and clues for relevant stakeholders in emerging markets before the SEO announcements.Keywords SEO, BRICS, Value effect, Neural Networks, SSE, MSEPaper type Research paper

scholarly journals Institutional Environment and IPO Strategy: A Study of ChiNext in China

2017 ◽  
Vol 13 (2) ◽  
pp. 399-430 ◽  
Author(s):  
Jing Zhang ◽  
Wei Zhang ◽  
Andreas Schwab ◽  
Sipei Zhang
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Institutional Environment ◽  
Developed Countries ◽  
Investment Timing ◽  
Risk Return ◽  
Developed Markets ◽  
Investment Returns ◽  
Using Data ◽  
Public Offering

ABSTRACTTaking an institution-based view, we investigate how entrepreneurs respond to immature regulatory environments in order to be listed on stock markets in countries with an emerging economy. Unlike stock markets in developed countries, in emerging markets, gaining government approval for listing is a critical and more unpredictable process for entrepreneurs. Hence, entrepreneurs who are preparing for a public offering might give substantially discounted shares to venture capital (VC) investors. This will lead to higher investment returns in pre-IPO deals than those at earlier stages, which distorts the risk-return tradeoff found in developed markets. In particular, the VC investors affiliated with powerful organizations that can promise entrepreneurs preferential access to stock market gatekeepers will gain even higher pre-IPO investment returns. The associated additional institutional rents earned by VC investors, however, are expected to decrease over time, as the stock markets mature. Related hypotheses with regard to the investment timing, VC firm affiliations with government agencies, securities traders, and universities are tested using data from ChiNext in China (2009–2013). This study highlights that institutional factors impact the behavior of participants in emerging markets. It extends current theories derived almost exclusively from developed markets.

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