scholarly journals Sectors stock indices aggregate correlations and expectations: Evidence from the Greek stock market

2021 ◽  
Vol 11 (2) ◽  
pp. 71-81
Author(s):  
Athanasios Noulas ◽  
Ioannis Papanastasiou ◽  
Simeon Papadopoulos
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Dynamic Behavior ◽  
Multivariate Garch ◽  
Time Dependent ◽  
Empirical Results ◽  
Market Participants ◽  
Stock Indices ◽  
Multivariate Garch Model ◽  
Low Uncertainty

Based on the cyclical movements of the Athens Stock Market, the paper empirically examines the behavior of seven sectors (markets) namely: industry-services, emporium, construction, petroleum, telecommunications, food-beverages, and banks. Specifically using daily observations from January 2006 to August 2017, we estimate a dynamic equicorrelation multivariate GARCH model (DECO-MGARCH) developed by Engle and Kelly (2012), to analyze the dynamic behavior of these sectors. Furthermore, using time-dependent entropic measures we examine empirically the uncertainty (expectations) regarding the correlation behavior of these seven sectors. The empirical results are in line with previous findings (Tsai & Chen, 2010; Garnaut, 1998) and provide evidence supporting the view of high correlations during periods of crises. In addition, the dynamic entropy shows that the expectations of market participants were more concentrated (less spread out) during these periods of crises. Therefore, the empirical evidence of the paper supports the view that market participants share the same opinions (entropy exhibits low uncertainty) during crises and therefore are acting in a similar fashion (exhibiting high correlation).

scholarly journals Islamic equities and COVID-19 pandemic: measuring Islamic stock indices correlation and volatility in period of crisis

2021 ◽  
Vol 29 (1) ◽  
pp. 50-66
Author(s):  
Shafiu Ibrahim Abdullahi
Keyword(s):  
Stock Market ◽  
Generalized Method Of Moments ◽  
Multivariate Garch ◽  
Content Type ◽  
Volatility Transmission ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Stock Indices ◽  
Cointegration Tests ◽  
Normal Correlation

PurposeThe purpose of the study is to measure cross-country stock market correlation and volatility transmission during the global coronavirus disease 2019 (COVID-19) pandemic. The paper traces trajectory of Islamic equity investments in order to get insights on the behavior of the markets during the crisis.Design/methodology/approachThe paper uses generalized method of moments (GMM), autoregressive distributed lag (ARDL) and multivariate GARCH (MGARCH) models for analysis of dynamic causality, stock market cointegration, correlation and volatility transmission between Islamic stock indices.FindingsThe result of normal correlation analysis on the share indices show the markets move together. The result of ARDL cointegration test shows the markets returns are cointegrated as a group. To further make sense of the data; the indices were grouped into four different categories, then cointegration tests were conducted. The results of the analysis show that the subgroups are cointegrated except the low COVID-19 subgroup. Based on MGARCH findings, the possibility of volatility transmission between markets during the crisis is high. The market returns indices show the usual herd mentality common during the period of crisis.Originality/valueUnlike other works in this area, this paper attempt to trace the trajectory of Islamic equity investment in order to get relevant insights and arrives at appropriate ways of responding to the crisis.

TESTING TRADE-OFF THEORY BETWEEN NETWORKING CAPITAL AND FIRM VALUE: EMPIRICAL EVIDENCE FROM VIETNAM

2020 ◽  
pp. 2050013
Author(s):  
DUONG DANG KHOA ◽  
PHAM THI TRAM ANH ◽  
LE THI MY DUYEN
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Firm Value ◽  
Optimal Level ◽  
Working Capital ◽  
Trade Off ◽  
Empirical Results ◽  
Right Hand ◽  
The Right

This study investigates empirically how net-working-capital (NWC) affects firm value, using a sample of the Vietnamese stock market. Our empirical results indicate an optimal NWC level that maximizes firm value. Our research also shows empirical evidence that deviations from actual and estimated NWC levels (above and below optimal level) can reduce firm value. We show that more than 40% of NWC observations in our sample on the right-hand side of the breakpoint reduce firm value. Managers tend to build up excessive working capital to prevent hiking funding costs after the 2008 crisis. Therefore, our findings help managers determine an optimal level of NWC, which enhances firm value. Our findings are consistent with the trade-off theory.

Neuroscience and Ethics

2017 ◽  
Vol 64 (2) ◽  
pp. 82-92 ◽  
Author(s):  
S. Matthew Liao
Keyword(s):  
Empirical Evidence ◽  
Moral Judgments ◽  
Empirical Results ◽  
Joshua Greene

Abstract. A number of people believe that results from neuroscience have the potential to settle seemingly intractable debates concerning the nature, practice, and reliability of moral judgments. In particular, Joshua Greene has argued that evidence from neuroscience can be used to advance the long-standing debate between consequentialism and deontology. This paper first argues that charitably interpreted, Greene’s neuroscientific evidence can contribute to substantive ethical discussions by being part of an epistemic debunking argument. It then argues that taken as an epistemic debunking argument, Greene’s argument falls short in undermining deontological judgments. Lastly, it proposes that accepting Greene’s methodology at face value, neuroimaging results may in fact call into question the reliability of consequentialist judgments. The upshot is that Greene’s empirical results do not undermine deontology and that Greene’s project points toward a way by which empirical evidence such as neuroscientific evidence can play a role in normative debates.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

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