scholarly journals Generalized Hyperbolic Distribution and Portfolio Efficiency in Energy and Stock Markets of BRIC Countries

2020 ◽  
Vol 8 (4) ◽  
pp. 66
Author(s):  
José Antonio Núñez-Mora ◽  
Eduardo Sánchez-Ruenes
Keyword(s):  
Empirical Distribution ◽  
Generalized Hyperbolic Distribution ◽  
Bric Countries ◽  
Portfolio Efficiency ◽  
Investment Opportunities ◽  
Efficient Portfolios ◽  
Relationship Of ◽  
Normal Inverse Gaussian ◽  
The Relationship ◽  
India And China

Oil, also called black gold, is considered as the commodity which has the greatest impact on the world’s economy, and it has been studied in terms of its relationship and effects on macroeconomic variables such as Gross Domestic Product (GDP), inflation, trade balance, exchange rate and some others. Likewise, the relationship of oil with the financial market has been deepened and is very interesting in the case of emergent economies such as Brazil, Russia, India and China (BRIC) countries. There are many studies and approaches to this topic, but few of them focus on seeking investment opportunities through the diversification of these variables and therefore creating efficient portfolios using other distribution from the norm. This research proposes the construction of diversified portfolios with the returns of the indexes and oil mixes of the BRIC countries modeled under a Normal Inverse Gaussian (NIG) distribution, which is a notable member of the Generalized Hyperbolic (GH) family, and analyzing the effect on investment, by the inclusion of each variable into the portfolio. An important property of the GH family is that the correlations matrix of the returns is obtained from estimation of the parameters of empirical distribution through maximum likelihood. The results show in an optimal configuration, that each instrument of India, China and Brazil, contributes to the portfolio efficiency, in contrast to the index and oil mix of Russia, that do not contribute significantly.

Does business cycle heterogeneously impact on banks’ capital buffers, risk and financial stability in BRIC economies?

2020 ◽  
Vol 07 (04) ◽  
pp. 2050032
Author(s):  
Syed Moudud-Ul-Huq ◽  
Md. Nazmul Islam ◽  
Abdul Gaffar Khan ◽  
Md. Rostam Ali ◽  
Tanmay Biswas ◽  
...  
Keyword(s):  
Business Cycle ◽  
Financial Stability ◽  
Bric Countries ◽  
China And India ◽  
Adjustment Speed ◽  
The Business Cycle ◽  
Indian Banks ◽  
The Impact ◽  
The Relationship ◽  
India And China

This paper revisited the relationship between capital buffers and risk adjustments by showing the impact of the business cycle. Empirically, we used an unbalanced panel dataset from 426 banks of the BRIC countries (i.e., Brazil, Russia, India, and China) for the period 2007–2016. By using the two-step system GMM (2GMM), this study shows the results as: (i) capital buffers of Russia, India, and China behave counter-cyclically while it is pro-cyclical for Brazilian banks over the business cycle; (ii) in BRIC’s economy, credit risk, and bank financial stability is related to business cycle in counter and pro-cyclical fashion, respectively; (iii) capital buffers adjustment speed is the premier in China and India, shining banks accessibility to capital refill is much easier to Brazil and Russia. The adjustment speed is heterogeneous across countries; and (iv) financial stability in apex for the Chinese, Russian, and Indian banks apart from the Brazilian banks.

Impact of non-normal return and market capitalization on estimation of VaR

2015 ◽  
Vol 7 (3) ◽  
pp. 222-242
Author(s):  
Pankaj Sinha ◽  
Shalini Agnihotri
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Empirical Distribution ◽  
Parametric Method ◽  
Market Risk ◽  
Content Type ◽  
Market Capitalization ◽  
Stock Indices ◽  
Relationship Of ◽  
The Relationship

Purpose – This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR estimation. It is a well-documented fact that returns of stocks and stock indices are not normally distributed, as Indian financial markets are more prone to shocks caused by regulatory changes, exchange rate fluctuations, financial instability, political uncertainty and inadequate economic reforms. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. Design/methodology/approach – In this paper, VaR is estimated by fitting empirical distribution of returns, parametric method and by using GARCH(1,1) with Student’s t innovation method. Findings – It is observed that both the stocks, stock indices and their residuals exhibit non-normality; therefore, conventional methods of VaR calculation are not accurate in real word situation. It is observed that parametric method of VaR calculation is underestimating VaR and CVaR but, VaR estimated by fitting empirical distribution of return and finding out 1-a percentile is giving better results as non-normality in returns is considered. The distributions fitted by the return series are following Logistic, Weibull and Laplace. It is also observed that VaR violations are increasing with decreasing market capitalization. Therefore, we can say that market capitalization also affects accurate VaR calculation. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. It is observed that the decrease in liquidity increases the value at risk of the firms. Research limitations/implications – This methodology can further be extended to other assets’ VaR calculation like foreign exchange rates, commodities and bank loan portfolios, etc. Practical implications – This finding can help risk managers and mutual fund managers (as they have portfolios of different assets size) in estimating VaR of portfolios with non-normal returns and different market capitalization with precision. VaR is used as tool in setting trading limits at trading desks. Therefore, if VaR is calculated which takes into account non-normality of underlying distribution of return then trading limits can be set with precision. Hence, both risk management and risk measurement through VaR can be enhanced if VaR is calculated with accuracy. Originality/value – This paper is considering the joint issue of non-normality in returns and effect of market capitalization in VaR estimation.

Investment and Cash Flow Sensitivity under Investment Opportunities: Evidence from Pakistani Manufacturing Firms

2017 ◽  
Vol 1 (1) ◽  
pp. 13
Author(s):  
Muhammad Kashif Khurshid ◽  
Imtiaz Zahid ◽  
Akmal Khan
Keyword(s):  
Cash Flow ◽  
Stock Exchange ◽  
Control Variable ◽  
Manufacturing Firms ◽  
Tobin’S Q ◽  
Tobin's Q ◽  
Investment Opportunities ◽  
Cash Flow Sensitivity ◽  
Relationship Of ◽  
The Relationship

This paper examines the relationship between cash flow and investment under high and low investment opportunities of 167 Pakistani non-financial manufacturing firms listed in the Pakistan Stock Exchange during the period 2004-2013. Tobin’s Q is employed to capture the investment opportunities and sales are taken as control variable. A panel regression model is used to investigate the relationship of cash flow, Tobin’s Q and sales on investment. In case of high investment opportunities firms, the relationship of investment and cash flow is positive and significant while under low investment opportunities firms, this relationship is also positive but insignificant. These results indicate that the high opportunities firms rely mostly on internally generated cash flow whereas the low investment opportunities firms prefer to distribute its earnings as a dividend.

scholarly journals KARAKTERISTIK-KARAKTERISTIK DASAR PEMBAYAR DIVIDEN

2014 ◽  
Vol 9 (2) ◽  
Author(s):  
Winston Pontoh
Keyword(s):  
Logistic Regression ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Multinomial Logistic Regression ◽  
Financial Factors ◽  
Fixed Assets ◽  
Investment Opportunities ◽  
Relationship Of ◽  
Retained Earnings ◽  
The Relationship

Financial factors is still the basic consideration for most companies to decide their dividend policy. Generally, dividend policy is a reflection of successful financial performance by companies in terms to perform profitability, investment opportunities, and size, related to basic financial factors which are assets, liabilities, and equities. The objective of this study is to give the empirical evidence about the relationship of basic financial factors with dividend policy. The study taking 373 listed companies in Indonesia Stock Exchange in period of 2010 till 2012, and using multinomial logistic regression for hypothesis testing. This study is find that, expect fixed assets, total assets, total liabilities, retained earnings, revenue and net earnings have significant effect to dividend policy, while fixed assets has not significant effect to dividend policy.

scholarly journals The Effect of Health Expenditure per Capita over Health Indicators: Comparative Analysis of MINT and BRIC Countries

2014 ◽  
Author(s):  
Volkan Öngel ◽  
Erkut Altındağ ◽  
Gökten Öngel
Keyword(s):  
Health Expenditure ◽  
Health Indicators ◽  
Bric Countries ◽  
Life Expectancy At Birth ◽  
Per Capita ◽  
The Impact ◽  
The Relationship ◽  
Positive Effect ◽  
India And China ◽  
Birth Time

Major positive effect on health indicators of a country is seen to arise from the increase in their income within historical perspective. But according to many studies in the literature the impact of such changes vary depending on the country's overall level of development. In terms of the positive changes over the health indicators of a country can be said to affect the developmental processes in the same way especially in developing countries. In this context, our study highlights the recent and emerging economies of two groups of countries; BRIC (Brazil, Russia, India, and China) and MINT (Mexico, Indonesia, Nigeria, Turkey). The relationship between health expenditure per capita and life expectancy at birth time and mortality rates of children under age 1 are analyzed retrospectively.

scholarly journals Relationship Between Investment and Cash Flow Under High and Low Investment Opportunities: Evidence from Pakistani Manufacturing Firms

2017 ◽  
Vol 12 (1) ◽  
pp. 3057-3066
Author(s):  
Dr Mohammad Salih Memon ◽  
Imtiaz Zahid ◽  
Maria Shaikh ◽  
Aisha Bashir Shah ◽  
Akmal Khan ◽  
...  
Keyword(s):  
Regression Model ◽  
Cash Flow ◽  
Stock Exchange ◽  
Control Variable ◽  
Manufacturing Firms ◽  
Panel Regression ◽  
Investment Opportunities ◽  
High Investment ◽  
Relationship Of ◽  
The Relationship

This paper examines the relationship between cash flow and investment under high and low investment opportunities of 167 Pakistani non-financial manufacturing firms listed in the Karachi Stock Exchange during the period 2004-2013. Tobin’s Q is employed to capture the investment opportunities and sales are taken as control variable.  A panel regression model is used to investigate the relationship of cash flow, Tobin’s Q and sales on investment.  In case of high investment opportunities firms, the relationship of investment and cash flow is positive and significant while under low investment opportunities firms, this relationship is also positive but insignificant.  These results indicate that the high opportunities firms rely mostly on internally generated cash flow whereas the low investment opportunities firms prefer to distribute its earnings as dividend.

The relationship of the scleractinian corals to the rugose corals

Paleobiology ◽  
1980 ◽  
Vol 6 (02) ◽  
pp. 146-160 ◽  
Author(s):  
William A. Oliver
Keyword(s):  
Critical Points ◽  
Scleractinian Corals ◽  
Convincing Evidence ◽  
Early Triassic ◽  
Rugose Corals ◽  
History Of ◽  
The Subject ◽  
Relationship Of ◽  
The Relationship ◽  
Biologic Factors

The Mesozoic-Cenozoic coral Order Scleractinia has been suggested to have originated or evolved (1) by direct descent from the Paleozoic Order Rugosa or (2) by the development of a skeleton in members of one of the anemone groups that probably have existed throughout Phanerozoic time. In spite of much work on the subject, advocates of the direct descent hypothesis have failed to find convincing evidence of this relationship. Critical points are:(1) Rugosan septal insertion is serial; Scleractinian insertion is cyclic; no intermediate stages have been demonstrated. Apparent intermediates are Scleractinia having bilateral cyclic insertion or teratological Rugosa.(2) There is convincing evidence that the skeletons of many Rugosa were calcitic and none are known to be or to have been aragonitic. In contrast, the skeletons of all living Scleractinia are aragonitic and there is evidence that fossil Scleractinia were aragonitic also. The mineralogic difference is almost certainly due to intrinsic biologic factors.(3) No early Triassic corals of either group are known. This fact is not compelling (by itself) but is important in connection with points 1 and 2, because, given direct descent, both changes took place during this only stage in the history of the two groups in which there are no known corals.

Skeletal elements of crinoid echinoderms: High-resolution structural and microanalytical results

1983 ◽  
Vol 41 ◽  
pp. 194-195
Author(s):  
D. F. Blake ◽  
L. F. Allard ◽  
D. R. Peacor
Keyword(s):  
High Resolution ◽  
Marine Invertebrates ◽  
Sea Urchins ◽  
Structural Features ◽  
Sea Stars ◽  
High Resolution Tem ◽  
Relationship Of ◽  
The Relationship ◽  
Insight Into

Echinodermata is a phylum of marine invertebrates which has been extant since Cambrian time (c.a. 500 m.y. before the present). Modern examples of echinoderms include sea urchins, sea stars, and sea lilies (crinoids). The endoskeletons of echinoderms are composed of plates or ossicles (Fig. 1) which are with few exceptions, porous, single crystals of high-magnesian calcite. Despite their single crystal nature, fracture surfaces do not exhibit the near-perfect {10.4} cleavage characteristic of inorganic calcite. This paradoxical mix of biogenic and inorganic features has prompted much recent work on echinoderm skeletal crystallography. Furthermore, fossil echinoderm hard parts comprise a volumetrically significant portion of some marine limestones sequences. The ultrastructural and microchemical characterization of modern skeletal material should lend insight into: 1). The nature of the biogenic processes involved, for example, the relationship of Mg heterogeneity to morphological and structural features in modern echinoderm material, and 2). The nature of the diagenetic changes undergone by their ancient, fossilized counterparts. In this study, high resolution TEM (HRTEM), high voltage TEM (HVTEM), and STEM microanalysis are used to characterize tha ultrastructural and microchemical composition of skeletal elements of the modern crinoid Neocrinus blakei.

Studies on Leukemogenic and Sarcomagenic Viruses

1970 ◽  
Vol 28 ◽  
pp. 156-157
Author(s):  
Leon Dmochowski
Keyword(s):  
Electron Microscopy ◽  
Electron Microscope ◽  
Morphological Properties ◽  
Mode Of Development ◽  
Relationship Of ◽  
The Relationship

Electron microscopy has proved to be an invaluable discipline in studies on the relationship of viruses to the origin of leukemia, sarcoma, and other types of tumors in animals and man. The successful cell-free transmission of leukemia and sarcoma in mice, rats, hamsters, and cats, interpreted as due to a virus or viruses, was proved to be due to a virus on the basis of electron microscope studies. These studies demonstrated that all the types of neoplasia in animals of the species examined are produced by a virus of certain characteristic morphological properties similar, if not identical, in the mode of development in all types of neoplasia in animals, as shown in Fig. 1.

The relationship of IGE receptor topography to signaling activity in RBL-2H3 mast cells

1991 ◽  
Vol 49 ◽  
pp. 236-237
Author(s):  
J.R. Pfeiffer ◽  
J.C. Seagrave ◽  
C. Wofsy ◽  
J.M. Oliver
Keyword(s):  
Mast Cells ◽  
Protein A ◽  
Scattered Electron ◽  
Ige Receptor ◽  
Receptor Complexes ◽  
Ige Binding ◽  
Electron Imaging ◽  
Small Clusters ◽  
Relationship Of ◽  
The Relationship

In RBL-2H3 rat leukemic mast cells, crosslinking IgE-receptor complexes with anti-IgE antibody leads to degranulation. Receptor crosslinking also stimulates the redistribution of receptors on the cell surface, a process that can be observed by labeling the anti-IgE with 15 nm protein A-gold particles as described in Stump et al. (1989), followed by back-scattered electron imaging (BEI) in the scanning electron microscope. We report that anti-IgE binding stimulates the redistribution of IgE-receptor complexes at 37“C from a dispersed topography (singlets and doublets; S/D) to distributions dominated sequentially by short chains, small clusters and large aggregates of crosslinked receptors. These patterns can be observed (Figure 1), quantified (Figure 2) and analyzed statistically. Cells incubated with 1 μg/ml anti-IgE, a concentration that stimulates maximum net secretion, redistribute receptors as far as chains and small clusters during a 15 min incubation period. At 3 and 10 μg/ml anti-IgE, net secretion is reduced and the majority of receptors redistribute rapidly into clusters and large aggregates.

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