scholarly journals Empirical Examination on the Drivers of the U.S. Equity Returns in the During the COVID-19 Crisis

2021 ◽  
Vol 9 ◽  
Author(s):  
Qing Wang ◽  
Mo Bai ◽  
Mai Huang
Keyword(s):  
The United States ◽  
Equity Market ◽  
Ordinary Least Squares ◽  
Equity Returns ◽  
Market Returns ◽  
Empirical Examination ◽  
Stock Market Returns ◽  
United States Dollar ◽  
Least Angle Regression ◽  
The U.S

This study investigates the drivers of the Standard & Poor's (S&P) 500 equity returns during the COVID-19 crisis era. The paper considers various determinants of the equity returns from December 31, 2019, to February 19, 2021. It is observed that the United States Dollar (USD) and the volatility indices (VIX) negatively affect the S&P 500 equity returns. However, the newspaper-based infectious disease “equity market volatility tracker” is positively associated with the stock market returns. These results are robust to consider both the ordinary least squares (OLS) and the least angle regression (LARS) estimators.

scholarly journals Rule Britannia! British Stock Market Returns, 1825-1870

2009 ◽  
Vol 69 (4) ◽  
pp. 1107-1137 ◽  
Author(s):  
Graeme G. Acheson ◽  
Charles R. Hickson ◽  
John D. Turner ◽  
Qing Ye
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Equity Returns ◽  
British History ◽  
Market Returns ◽  
Stock Market Returns ◽  
Survivorship Bias ◽  
Real Returns ◽  
Modern Era

This article presents a new series of monthly equity returns for the British stock market for the period 1825-1870. In addition to calculating capital appreciation and dividend yields, the article also estimates the effect of survivorship bias on returns. Three notable findings emerge from this study. First, stock market returns in the 1825-1870 period are broadly similar for Britain and the United States, although the British market is less risky. Second, real returns in the 1825-1870 period are higher than in subsequent epochs of British history. Third, unlike the modern era, dividends are the most important component of returns.

scholarly journals The Early Impact of Government Financial Intervention Policies and Cultural Secrecy on Stock Market Returns During the COVID-19 Pandemic: Evidence From Developing Countries

2021 ◽  
Vol 12 (2) ◽  
pp. 401
Author(s):  
Fouad Jamaani ◽  
Manal Alidarous ◽  
Abdullah Al-Awadh
Keyword(s):  
Developing Countries ◽  
Stock Market ◽  
Stock Markets ◽  
Equity Markets ◽  
Equity Market ◽  
Equity Returns ◽  
Market Returns ◽  
Daily Growth ◽  
Role Of Government ◽  
Stock Market Returns

This paper examines the role of government financial intervention policies and cultural secrecy on equity market returns during the start of the COVID-19 pandemic in developing countries’ stock markets. We employ global data including 939 observations across 32 developing countries (23 emerging and 9 frontier stock markets) from December 1 to April 28, 2020. Our results show that the above-mentioned policies that set out to curb the COVID-19 pandemic succeed in increasing equity returns. It reflects investors’ improved perceptions of governments’ commitment to stabilizing the economy during the pandemic in developing, emerging, and frontier equity markets. Results show that investors in all equity markets discount differences in cultural secrecy in processing market information when investing in stock markets. We find that equity market investors in developing and emerging countries truly react negatively to the rise in the number of confirmed COVID-19 cases reported. Yet, we find that COVID-19 wields no influence on equity market returns in frontier equity markets. This presents frontier equity markets as a safe-haven investment destination during a global health outbreak. Our work helps investors during such events to identify the best and worst investment destinations in developing, emerging, and frontier stock markets. At the same time, it is important to understand the critical roles of: firstly, the introduced government financial intervention policies; and secondly, the daily growth in reported COVID-19 cases on stock market returns.

When an Industry Peer Is Accused of Financial Misconduct: Stigma versus Competition Effects on Non-accused Firms

2021 ◽  
pp. 000183922110206
Author(s):  
Ivana Naumovska ◽  
Dovev Lavie
Keyword(s):  
Competitive Dynamics ◽  
Negative Consequences ◽  
Competition Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Fine Grained ◽  
Competition Effects ◽  
Financial Misconduct ◽  
Industry Peers ◽  
The U.S

Research on misconduct suggests that accusations against industry peers generate negative consequences for non-accused firms (a “stigma effect”). Yet, building on research on competitive dynamics, we infer that such accusations can benefit non-accused firms that compete with these peers (a “competition effect”). To reconcile these opposing perspectives, we posit that the negative stigma effect will increase with greater product market overlap between the non-accused firm and its accused peer, up to a point, beyond which the positive competition effect will counterbalance it. We further conjecture that the competition effect will be relatively more pronounced when the market classification used by investors for assessing the market overlap is more fine-grained. Accordingly, we suggest that more sophisticated investors, who rely on more fine-grained market classifications, increase their shareholdings in non-accused firms to a greater extent than less sophisticated investors as the market overlap between the non-accused firm and the accused peer increases. Using elaborate data on products and investments, we analyze investors’ shareholdings and stock market returns of non-accused firms in the U.S. software industry following accusations of financial misconduct by their industry peers, and we find support for our predictions. Our study elucidates the interplay between stigma and competition following misconduct by industry peers.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

An Economic Ranking of the US Presidents, 1789–2009: A Data-Based Approach

2012 ◽  
Vol 45 (04) ◽  
pp. 596-604 ◽  
Author(s):  
Mark Zachary Taylor
Keyword(s):  
Interest Rates ◽  
Grade Point Average ◽  
The United States ◽  
Balance Of Payments ◽  
Market Returns ◽  
Grade Point ◽  
Stock Market Returns ◽  
Partisan Bias ◽  
The Us ◽  
Presidential Performance

AbstractHow relatively good or bad were the economic performances of our past presidents? The answers to this question remain unclear. Most evaluations of presidential performance cloud the issue with partisan bias and subjective judgments or mix economics together with other policy areas. To address these shortcomings, this article uses new data from the Measuring Worth Project to calculate the relative economic rankings of the United States presidents who served from 1789 until 2009. It analyzes up to 220 years of data on economic growth, unemployment, inflation, government debt, balance of payments, income inequality, currency strength, interest rates, and stock market returns to estimate an economic grade point average for each president. Then, these estimates are used to test for correlations with other variables to generate hypotheses regarding the conditions for superior and inferior economic performance.

scholarly journals Apple Price and Production Forecasts for Maine and the United States

1984 ◽  
Vol 13 (2) ◽  
pp. 268-276 ◽  
Author(s):  
Russell A. Hayward ◽  
George K. Criner ◽  
Steven P. Skinner
Keyword(s):  
Goodness Of Fit ◽  
Equation System ◽  
The United States ◽  
Ordinary Least Squares ◽  
Solution Technique ◽  
Inflation Rates ◽  
Rate Of Increase ◽  
Apple Production ◽  
Year 2000 ◽  
The U.S

An econometric model of U.S. and Maine apple production and prices was estimated with ordinary least squares multiple regression. A Gauss-Seidel solution technique was used to examine the equation system goodness of fit and to forecast endogenous variable values. Results indicate that supply expansion in the U.S. and Maine will continue, but Maine's slower rate of increase will erode its market share. Apple prices for the U.S. and Maine are predicted to decline in real terms by the year 2000 if inflation rates exceed 3 percent annually during the period 1982 to 2000.

Stock Market Returns and Suicide Rates: Evidence From the United States

2016 ◽  
Vol 44 (1) ◽  
pp. 89-102
Author(s):  
Sujung Choi
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Market Returns ◽  
Stock Market Returns ◽  
Financial Decisions ◽  
Market Participants ◽  
Emotional Factors ◽  
Suicide Rates ◽  
Male Suicide

I investigated whether or not social mood is associated with the financial decisions of market participants in the United States, using the monthly suicide rate to represent the degree of negative social mood in a society. From monthly suicide data collected over the period from January 1981 through to December 2012, I found that suicide rates are associated with stock market returns, in aggregate. Specifically, suicide rates predicted future stock market returns, showing contemporaneous and lagged relationships with U.S. stock market returns. Furthermore, small-cap stocks were found to be more likely to be affected by suicide rates than were large-cap stocks. Female suicide rates had a stronger effect on market returns than male suicide rates did, suggesting that this suicide effect is not induced by economic reasons but, rather, is related to emotional factors (e.g., investor mood).

scholarly journals The Effects of COVID-19 Pandemic on Stock Market Performance in Africa

2021 ◽  
Author(s):  
Isiaka Akande Raifu
Keyword(s):  
Stock Market ◽  
Least Squares ◽  
Ordinary Least Squares ◽  
Estimation Methods ◽  
Negative Effects ◽  
Market Returns ◽  
African Countries ◽  
Daily Growth ◽  
Stock Market Returns ◽  
Stock Market Performance

Abstract This study is conducted to investigate the response of stock market returns to daily growth in COVID-19 confirmed cases and deaths in 14 African countries using both time series and panel approaches. The study employs three estimation methods, Ordinary Least Squares/Robust Ordinary Least Squares (OLS/ORLS), Pooled Ordinary Least Squares (POLS) and Panel Vector Autoregressive (PVAR). While the OLS and POLS are used to examine a conditional mean effect of COVID-19 confirmed cases and deaths on stock market returns PVAR is used to estimate and trace the response of stock market return to shocks from daily growth in COVID-19 confirmed cases and deaths. OLS results show that stock market returns react negatively and significantly to daily growth in COVID-19 confirmed cases in countries like Botswana, Kenya, Tanzania, Tunisia and Uganda while the negative effects of daily growth in COVID-19 confirmed deaths on stock market returns are negligible. Evidence from POLS reveals that the impacts of an increase in COVID-19 confirmed cases and deaths are insignificant. This is corroborated by the results of FEVD. IRF results show that stock market returns react positively to COVID-19 confirmed cases and deaths shocks before declining and returning towards normal returns in the long-run. Our findings underscore the importance of analysing individual country’s socioeconomic reaction to COVID-19 pandemic instead of pooling countries together.JEL Classification: I12, G1

scholarly journals Stock market returns and exchange rate movements in a multiple currency economy: the case of Zimbabwe

2015 ◽  
Vol 8 (3) ◽  
Author(s):  
Mabutho Sibanda
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Currency ◽  
The United States ◽  
Stock Market Returns ◽  
Vector Autoregressive ◽  
United States Dollar ◽  
International Portfolio Diversification ◽  
Exchange Rate Movements ◽  
New Evidence

This study seeks to provide new evidence on the stock market and exchange rate relationship in Zimbabwe, a country that does not have its own sovereign currency. The bivariate vector autoregressive approach is used to establish the relationship between the stock market and exchange rates. The results show that no relationship exists between the stock market and the proxy exchange rate. The findings contradict the expectation that exchange rate movements would influence domestic stock market prices. This finding is especially interesting given the fact that Zimbabwe uses a basket of currencies for transacting purposes, albeit with the United States dollar as a major currency for reporting and stock market pricing purposes. The findings provide new evidence of a disconnect between the stock market and exchange rate movements. This has implications for international portfolio diversification and the use of foreign currency as an asset class in an economy using a multiple currency system.

The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance

2019 ◽  
Vol 10 (2) ◽  
Author(s):  
Abdullah Alqahtani ◽  
Michael Taillard
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
The United States ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gcc Countries ◽  
Stock Market Performance ◽  
Oil Markets ◽  
The Impact

Abstract This study examines the impact of the United States’ Economy Policy Uncertainty (US EPU) shocks on the Gulf Cooperation Council (GCC) countries’ stock market returns which are heavily related through global oil markets. Using monthly data spanning from 31/01/2010 to 31/08/2018, we employ a Non-Structural Vector Autoregression (VAR) and Vector Granger Causality Tests (VGCT) in order to ascertain the magnitude of transmitted shocks and to primarily evaluate if US EPU affects stock market returns in any of the GCC countries. Our OLS and VAR results suggest that US EPU has little impact on the GCC markets with the exception of Bahrain. The Vector Granger Causality Test confirms that changes in US EPU influence returns on Qatar’s stock market. These results will help GCC nations to stabilize global energy markets and prevent economic ripples to policy shocks.

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