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 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 Effect of Exchange Value on the Stock Index Listed in Indonesia Stock Exchange during Covid-19 Pandemic

2021 ◽  
Vol 2 (1) ◽  
pp. 6-14
Author(s):  
Zahra Zhafira ◽  
Einde Evana ◽  
Ratna Septiyanti
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Linear Regression ◽  
Exchange Rates ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Stock Index ◽  
Simple Linear Regression ◽  
Simple Linear Regression Analysis ◽  
Stock Indices

This study aims to examine the effect of exchange rates on the stock index during the Covid-19 pandemic. This research was conducted using secondary data. The population in this study were all stock indices listed on the Indonesia Stock Exchange with a sample size of 89 and a total stock index of 34. The study period was 4 months, 17 January 2020 to 20 May 2020. The sample data collection of this study used the purposive method. Sampling with world economic conditions and Indonesia which are weakening due to the Covid-19 pandemic and based on the phenomenon that the exchange rate is experiencing a continuous movement even every year the exchange rate depreciates IDR against the US Dollar. One of the causes of the high fluctuation of the rupiah exchange rate against the dollar came from economic factors such as inflation, the interest rate on Bank Indonesia certificates during the Covid-19 pandemic. This study uses a simple linear regression analysis method using SPSS V.26. The results of simple linear regression analysis show that exchange rates have a negative and significant effect on all stock indices listed on the Indonesia Stock Exchange, these results have similarities or differences with the results of research in other emerging market countries.

Estimating Long-Term Volatility on National Stock Exchange of India

2019 ◽  
pp. 229-237
Keyword(s):  
Stock Exchange ◽  
Stock Index ◽  
Garch Models ◽  
Conditional Heteroskedasticity ◽  
Large Sample ◽  
Market Capitalization ◽  
Stock Indices ◽  
Autoregressive Conditional Heteroskedasticity

The main objective of this chapter is to provide an elaborate framework on the long-term volatility of the National Stock Exchange of India based on Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The CNX-100 index is one of the most diversified Indian stock indices which includes over 38 sectors of the economy. This stock index represents about 81.57% of the free-floating market capitalization of stocks listed on the National Stock Exchange (NSE) of India from March 2014. Moreover, this book chapter empirically tested volatility clusters of CNX100 index using a large sample database from October 2007 to July 2014.

scholarly journals A challenge to triumphant optimists? A blue chips index for the Paris stock exchange, 1854–2007

2010 ◽  
Vol 17 (2) ◽  
pp. 141-183 ◽  
Author(s):  
David Le Bris ◽  
Pierre-Cyrille Hautcœur
Keyword(s):  
Economic History ◽  
Stock Exchange ◽  
Equity Premium ◽  
Stock Index ◽  
Financial Asset ◽  
Positive Real ◽  
Stock Indices ◽  
Long Run ◽  
The Us ◽  
Real Performance

We have reconstructed a new blue chips (large caps) stock index for France from 1854 to 1998, based on a modern methodology. Our index differs profoundly from earlier indices, and is more consistent with French financial and economic history. We suggest this result casts some doubt on many historical stock indices, such as those used in Dimson, Marsh and Staunton's Triumph of the Optimists. Investment in French stocks provided a positive real return during the nineteenth century, but a negative one – because of inflation and wars – in the twentieth. Despite this secular negative real performance, stocks proved the best financial asset in the very long run, although with an equity premium lower than in the US.

scholarly journals Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach

2020 ◽  
pp. 3-3
Author(s):  
Le Nghi ◽  
Nguyen Kieu
Keyword(s):  
United States ◽  
Stock Market ◽  
Frequency Domain ◽  
Stock Markets ◽  
The United States ◽  
Frequency Domain Analysis ◽  
Volatility Spillover ◽  
Causality Test ◽  
Daily Data ◽  
Frequency Domain Approach

Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is used to estimate volatilities in these stock markets; the Granger Causality Test is used to examine volatility spillover; and the test for causality in the frequency domain by Jorg Breitung and Bertrand Candelon (2006) is used to examine the volatility spillover at different frequencies. The empirical results provide two main contributions: (i) there is a significant volatility spillover from the United States to the Vietnamese stock markets, but the evidence of volatility spillover from the Japanese to the Vietnamese stock market is not found; and (ii) the volatility spillover may vary across frequency spectrum bands. To our best understanding, volatility spillover analysis using frequency domain approach was not previously reported in literature.

Frequency Domain Analysis of a Deepwater Monobuoy and Its Mooring

2003 ◽  
Author(s):  
Antonio C. Fernandes ◽  
Andre´ L. S. Lima ◽  
Carlos A. F. Oliveira
Keyword(s):  
Computer Program ◽  
Frequency Domain ◽  
Ad Hoc ◽  
Diffraction Theory ◽  
Frequency Domain Analysis ◽  
Mooring Line ◽  
Mooring Lines ◽  
Restoring Force ◽  
First Order ◽  
Frequency Domain Approach

The paper addresses a CALM (catenary anchor leg mooring) monobuoy arrangement. There are several monobuoys installed in deeper waters from 400 m to 1000 m or more. This increases the mooring line effects on the first order monobuoy behavior, and unlike the much larger drilling and production platforms they cannot be neglected. As shown, in a frequency domain approach, it is possible to devise restoring force effects, damping effects and even inertial ones. Hence, the full understanding of the behavior is only reached if the mooring lines are properly considered. Model tests, an ad hoc linear diffraction theory computer program (ProMono) and a fully nonlinear time domain computer program are used in the analysis.

scholarly journals THE IMPACT OF THE EURO ADOPTION ON NASDAQ OM X BALTIC STOCK EXCHANGE. ANALYSIS BY STRUCTURAL BREAK TESTS

Ekonomika ◽  
2011 ◽  
Vol 90 (3) ◽  
pp. 73-92
Author(s):  
Eglė Jakučionytė
Keyword(s):  
Stock Exchange ◽  
Structural Break ◽  
Stock Exchanges ◽  
Data Set ◽  
Euro Adoption ◽  
Trend Breaks ◽  
Structural Break Tests ◽  
The Baltic ◽  
The Impact ◽  
Nasdaq Omx

Although the euro adoption in Estonia in 2011 and changing the trading and clearing currency at the NASDAQ OMX Vilnius for euro on 22 November 2010 were foreseen as a possibility to attract more foreign investors, last year the Baltic stock exchange underwent some extreme fluctuations, both positive and negative.In this paper, shown are statistically significant euro adoption-caused trend breaks underlying the data set of NASDAQ OMX stock exchanges in Tallinn and Vilnius. Also, the possible factors that may have been driving them are discussed. The assessment is carried out using three different structural break tests.

On the Frequency Domain Analysis of Tire Relaxation Effects on Transient On-Center Vehicle Handling Performance

2009 ◽  
Author(s):  
Justin Sill ◽  
Beshah Ayalew
Keyword(s):  
Frequency Domain ◽  
Transfer Functions ◽  
Coupled System ◽  
Frequency Domain Analysis ◽  
Lateral Acceleration ◽  
Lateral Dynamics ◽  
Relaxation Effects ◽  
Lateral Vehicle Dynamics ◽  
Frequency Domain Approach ◽  
Two Degree Of Freedom

This paper presents an elegant frequency domain approach that can be used to analyze lateral vehicle dynamics for transient understeer and oversteer performance. Commonly used steady-state understeer analysis techniques are not able to expose some effects, such as tire relaxation, in on-center transient maneuvers. The approach presented here addresses such transient issues using a simple two degree of freedom handling model coupled to a model for tire lateral dynamics. In addition to the usual yaw rate and lateral acceleration transfer functions, this paper proposes using an understeer angle transfer function as an easy-to-interpret metric to evaluate transient on-center handling. Using the approach, it is shown that at low vehicle velocities, the inclusion of tire relaxation introduces dramatically different system dynamics by introducing highly undamped poles into the coupled system for both an understeering and an oversteering vehicle.

A Frequency Domain Approach for the Random Fatigue Analysis of SCR Considering Bimodal/Bidirectional Characteristic of Campos Basin Sea States

2005 ◽  
Author(s):  
Claudio Marcio Silva Dantas ◽  
Marcos Queija de Siqueira ◽  
Ana Lu´cia Fernandes Lima Torres ◽  
Gilberto Bruno Ellwanger ◽  
Marcio Martins Mourelle
Keyword(s):  
Frequency Domain ◽  
Time Domain ◽  
Time Domain Analysis ◽  
Domain Analysis ◽  
Frequency Domain Analysis ◽  
Environmental Data ◽  
Loading Conditions ◽  
Campos Basin ◽  
Frequency Domain Approach ◽  
Linearization Techniques

Fatigue verification is an important issue in steel risers design, demanding a good representation of the loading conditions that will occur during the riser entire lifetime. PETROBRAS has carried out a series of measurement and acquisition programs over the past decade, including the Campos Basin simultaneous acquisition of waves, current and wind data. The campaigns are called the PROCAP1 in Marlim Field and PROCAP2 in Barracuda Field. Those programs provided simultaneous environmental data (wave, wind and current) containing multimodal / multidirectional sea-states that occur in Campos Basin, with two main peaks dominating the total energy content [20,21]. As fatigue damage calculation depends on the stresses variations during the lifetime of the structure, the set of loads used in the analysis should be complete enough to represent all possible situations. The high number of loading conditions used in riser fatigue verification associated with the random time-domain analysis that demands a high computer time for processing the analysis, impact the design schedule. The frequency domain approach, based on linearization techniques, is an alternative tool for riser analysis and has been studied mainly for structural fatigue verification applications. For this particular application, due to the low intensity of loadings, the geometric nonlinearity is considered by means of a previous nonlinear static analysis, followed by a dynamic frequency domain analysis on the deformed model. The nonlinearity of the drag part of Morison’s formula has to be conveniently treated by linearization techniques. This work presents a comparative study where the results using a frequency domain analysis are compared to the results of a time domain analysis. Both approaches were used in the analysis of a steel lazy-wave riser (SLWR) model connected to a spread-moored FPSO, submitted to fatigue environmental loadings considering the bimodal/bidirectional characteristic of Campos Basin sea-states. The analyses were performed using the PETROBRAS’s in-house computer codes ANFLEX, ALFREQ and POSFAL developed and implemented as part of projects from CENPES/PETROBRAS with “COPPE/UFRJ - The Engineering Post-Graduating Coordination of the Federal University of Rio de Janeiro”.

scholarly journals Analysis of monthly rates of return in April on the example of selected world stock exchange indices

Equilibrium ◽  
2016 ◽  
Vol 11 (2) ◽  
pp. 307
Author(s):  
Krzysztof Borowski
Keyword(s):  
Stock Exchange ◽  
Correlation Coefficients ◽  
Stock Index ◽  
Rates Of Return ◽  
Stock Indices ◽  
Market Inefficiency

The article presents a study of the effectiveness of 22 selected stock indices with the use of the rates of return in the month of April. The portfolio replicating the stock index was bought at the closing prices on the last session in March, and sold at the closing prices on the last session in April. The presence of market inefficiency is demonstrated in cases of the following indices: All-Ord, AMEX, BUX, CAC40, DAX, DJIA, DJTA, DJUA, EOE, FTSE100, SMI, SP500, but for the following indices:  B-Share, Bovespa, Buenos, Hang-Seng, MEX-IPC, Nasdaq, Nikkei, Russel, TSE and WIG, the obtained monthly rates of return were statistically equal to zero. In the last part of the article, the correlation coefficients of rates of return for analyzed indices in month of April were surveyed.

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