scholarly journals Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic

2021 ◽  
Vol 14 (3) ◽  
pp. 112
Author(s):  
Kai Shi
Keyword(s):  
Stock Market ◽  
Frequency Band ◽  
Stock Markets ◽  
Emerging Market ◽  
Low Frequency ◽  
Systematic Risk ◽  
Error Variance ◽  
Frequency Bands ◽  
Volatility Spillovers ◽  
Risk Sources

We attempted to comprehensively decode the connectedness among the abbreviation of five emerging market countries (BRICS) stock markets between 1 August 2002 and 31 December 2019 not only in time domain but also in frequency domain. A continuously varying spillover index based on forecasting error variance decomposition within a generalized abbreviation of vector-autoregression (VAR) framework was computed. With the help of spectral representation, heterogeneous frequency responses to shocks were separated into frequency-specific spillovers in five different frequency bands to reveal differentiated linkages among BRICS markets. Rolling sample analyses were introduced to allow for multiple changes during the sample period. It is found that return spillovers dominated by the high frequency band (within 1 week) part declined with the drop of frequencies, while volatility spillovers dominated by the low frequency band (above 1 quarter) part grew with the decline in frequencies; the dynamics of spillovers were influenced by crucial systematic risk events, and some similarities implied in the spillover dynamics in different frequency bands were found. From the perspective of identifying systematic risk sources, China’s stock market and Russia’s stock market, respectively, played an influential role for return spillover and volatility spillover across BRICS markets.

scholarly journals Intraday Volatility Spillovers among European Financial Markets during COVID-19

2021 ◽  
Vol 9 (1) ◽  
pp. 5
Author(s):  
Faheem Aslam ◽  
Paulo Ferreira ◽  
Khurrum Shahzad Mughal ◽  
Beenish Bashir
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Forecast Error ◽  
Error Variance ◽  
Stock Market Volatility ◽  
Volatility Spillovers ◽  
Forecast Error Variance ◽  
Intraday Volatility ◽  
Market Interdependence ◽  
Rolling Windows

During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The data consists of 10,990 intraday observations from 2 December 2019 to 29 May 2020. Using the methodology of Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that 77.80% of intraday volatility forecast error variance in twelve European markets comes from spillovers. Furthermore, the highest gross directional volatility spillovers are found in Sweden and the Netherlands, while the minimum spillovers to other stock markets are observed in the stock markets of Poland and Ireland. However, German and Dutch markets transmit the highest net directional volatility spillovers. Splitting the whole sample in pre- and post-pandemic declaration (11 March 2020) we find more stable spillovers in the latter. The findings reveal important information about European stock market interdependence during COVID-19, which will be beneficial to both policy-makers and practitioners.

An Effective Brain Imaging Biomarker for AD and aMCI: ALFF in Slow-5 Frequency Band

2021 ◽  
Vol 18 ◽  
Author(s):  
Luoyu Wang ◽  
Qi Feng ◽  
Mei Wang ◽  
Tingting Zhu ◽  
Enyan Yu ◽  
...  
Keyword(s):  
Brain Imaging ◽  
Frequency Band ◽  
Low Frequency ◽  
Posterior Cingulate Cortex ◽  
Angular Gyrus ◽  
Imaging Biomarker ◽  
Support Vector ◽  
Frequency Bands ◽  
Local Functional ◽  
Left Angular Gyrus

Background: As a potential brain imaging biomarker, amplitude of low frequency fluc-tuation (ALFF) has been used as a feature to distinguish patients with Alzheimer’s disease (AD) and amnestic mild cognitive impairment (aMCI) from normal controls (NC). However, it remains unclear whether the frequency-dependent pattern of ALFF alterations can effectively distinguish the different phases of the disease. Methods: In the present study, 52 AD and 50 aMCI patients were enrolled together with 43 NC in total. The ALFF values were calculated in the following three frequency bands: classical (0.01-0.08 Hz), slow-4 (0.027-0.073 Hz) and slow-5 (0.01-0.027 Hz) for the three different groups. Subsequently, the local functional abnormalities were employed as features to examine the effect of classification among AD, aMCI and NC using a support vector machine (SVM). Results: We found that the among-group differences of ALFF in the different frequency bands were mainly located in the left hippocampus (HP), right HP, bilateral posterior cingulate cortex (PCC) and bilateral precuneus (PCu), left angular gyrus (AG) and left medial prefrontal cortex (mPFC). When the local functional abnormalities were employed as features, we identified that the ALFF in the slow-5 frequency band showed the highest accuracy to distinguish among the three groups. Conclusion: These findings may deepen our understanding of the pathogenesis of AD and suggest that slow-5 frequency band may be helpful to explore the pathogenesis and distinguish the phases of this disease.

scholarly journals Linkages between gold and emerging Asian stock markets: New evidence from the Chinese stock market crash

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Volatility Spillovers ◽  
Hedge Ratios ◽  
The Global Financial Crisis ◽  
New Evidence

This study examines the return and volatility transmission between gold and nine emerging Asian Stock Markets during the global financial crisis and the Chinese stock market crash. We use the VAR-AGARCH model to estimate return and volatility spillovers over the period from January 2000 through June 30, 2018. The results reveal the substantial return and volatility spillovers between the gold and emerging Asian stock markets during the global financial crisis and the Chinese stock market crash. However, these return and volatility transmissions vary across the pairs of stock markets and the financial crises. Besides, we analyze the optimal portfolios and hedge ratios between gold and emerging Asian stock markets during all sample periods. Our findings have important implications for effective hedging and diversification strategies, asset pricing and risk management.

Determining patterns of motor recruitment during locomotion

2002 ◽  
Vol 205 (3) ◽  
pp. 359-369 ◽  
Author(s):  
James M. Wakeling ◽  
Motoshi Kaya ◽  
Genevieve K. Temple ◽  
Ian A. Johnston ◽  
Walter Herzog
Keyword(s):  
Motor Unit ◽  
Frequency Band ◽  
Fibre Type ◽  
Low Frequency ◽  
Motor Units ◽  
Motor Unit Recruitment ◽  
Medial Gastrocnemius ◽  
Fibre Types ◽  
Myoelectric Signals ◽  
Frequency Bands

SUMMARY Motor units are the functional units of muscle contraction in vertebrates. Each motor unit comprises muscle fibres of a particular fibre type and can be considered as fast or slow depending on its fibre-type composition. Motor units are typically recruited in a set order, from slow to fast, in response to the force requirements from the muscle. The anatomical separation of fast and slow muscle in fish permits direct recordings from these two fibre types. The frequency spectra from different slow and fast myotomal muscles were measured in the rainbow trout Oncorhynchus mykiss. These two muscle fibre types generated distinct low and high myoelectric frequency bands. The cat paw-shake is an activity that recruits mainly fast muscle. This study showed that the myoelectric signal from the medial gastrocnemius of the cat was concentrated in a high frequency band during paw-shake behaviour. During slow walking, the slow motor units of the medial gastrocnemius are also recruited, and this appeared as increased muscle activity within a low frequency band. Therefore, high and low frequency bands could be distinguished in the myoelectric signals from the cat medial gastrocnemius and probably corresponded, respectively, to fast and slow motor unit recruitment. Myoelectric signals are resolved into time/frequency space using wavelets to demonstrate how patterns of motor unit recruitment can be determined for a range of locomotor activities.

scholarly journals Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

Energies ◽  
2020 ◽  
Vol 13 (12) ◽  
pp. 3162 ◽  
Author(s):  
Tiantian Liu ◽  
Shigeyuki Hamori
Keyword(s):  
Renewable Energy ◽  
Stock Markets ◽  
Low Frequency ◽  
Investment Horizon ◽  
Stock Market Index ◽  
Energy Investment ◽  
Time Frequency ◽  
Volatility Spillovers ◽  
Financial Variables ◽  
The Us

This paper examines the spillovers of return and volatility transmitted from fossil energies (crude oil and natural gas) and several important financial variables (stock market index, bonds, and the volatility index) to renewable stock markets in the US and Europe under the time-frequency domain frameworks. The total spillovers of return and volatility from all variables to renewable stock markets in the US are higher than those in Europe. Stock markets transmit the highest return spillovers to renewable energy stocks, which far exceed the spillovers from fossil energy to renewable energy stocks in both regions. In addition, both return and volatility spillovers could be enhanced, possibly due to specific events or sudden changes in prices. In particular, extreme events such as the Brexit referendum in 2016 influenced mostly the volatility spillovers across European markets. Moreover, the spillovers of return and volatility are contingent on frequency, and most return spillovers are concentrated at the high frequency, whereas most volatility spillovers are concentrated at the low frequency. These results remind investors that it is necessary to consider the investment horizon when making their financial decisions on renewable energy investment.

scholarly journals Anomalies In Asian Stock Market

2008 ◽  
Vol 8 (2) ◽  
pp. 151
Author(s):  
Kamaludini ,
Keyword(s):  
Stock Market ◽  
Key Words ◽  
Stock Markets ◽  
Emerging Market ◽  
Weekend Effect ◽  
Market Anomalies ◽  
Year Effect ◽  
Analysis Methods ◽  
Research Show ◽  
Market Anomaly

<p class="Style14">Anomaly phenomena in many stock markets show various results achieved by each researcher. The various results very much depend on time and method used. Most of Asian Stock Market is emerging market. The objective in this research are to know market anomalies, especially those of weekend effect, turn of the month effect, and turn of the yeareffect, in Asian stock markets region. The analysis methods to test for market anomalies are GARCH and AAIOVA. The result in this research is: anomalies that happen on weekend effect and turn of the month effect. Anomalies on the turn of the year effect in this research show no significant result. Anomaly will occur in several condition, in weekend and early of the week, turn of and first the month. Anomaly will happen also in several event, such as; independent and religious day.</p><p class="Style1"><strong><em>Key words : Emerging market, GARCH, ANOVA, market anomaly, weekend effect, turn of the </em></strong><strong><em>month effect, and turn of the year effect.</em></strong></p>

Oil and risk premia in equity markets

2020 ◽  
Vol 37 (4) ◽  
pp. 697-723
Author(s):  
Satish Kumar ◽  
Riza Demirer ◽  
Aviral Kumar Tiwari
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Systematic Risk ◽  
Oil Prices ◽  
Risk Premia ◽  
Market Size ◽  
Predictive Information ◽  
Content Type ◽  
Oil Market ◽  
Factor Returns

Purpose This study aims to explore the oil–stock market nexus from a novel angle by examining the predictive role of oil prices over the excess returns associated with the market, size, book-to-market and momentum factors via bivariate cross-quantilograms. Design/methodology/approach This study makes use of the bivariate cross-quantilogram methodology recently developed by Han et al. (2016) to analyze the predictability patterns across the oil and stock markets by focusing on various quantiles that formally distinguish between normal, bull and bear as well as extreme market states. Findings The study analysis of systematic risk premia across the four regions shows that crude oil returns indeed capture predictive information regarding excess factor returns in stock markets, particularly those associated with market, size and momentum factors. However, the predictive power of oil return over excess factor returns is asymmetric and primarily concentrated on extreme quantiles, suggesting that large fluctuations in oil prices capture markedly different predictive information over stock market risk premia during up and down states of the oil market. Practical implications The findings have significant implications for the profitability of factor- or style-based active portfolio strategies and suggest that the predictive information contained in oil market fluctuations could be used to enhance returns via conditional strategies based on these predictability patterns. Originality/value This study contributes to the vast literature on the oil–stock market nexus from a novel perspective by exploring the effect of oil price fluctuations on the risk premia associated with the systematic risk factors including market, size, value and momentum.

scholarly journals The role of liquidity in asset pricing: the special case of the Portuguese Stock Market

2017 ◽  
Vol 22 (43) ◽  
pp. 191-206 ◽  
Author(s):  
María del Mar Miralles-Quirós ◽  
José Luis Miralles-Quirós ◽  
Celia Oliveira
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Emerging Market ◽  
Methodological Approach ◽  
Model Framework ◽  
Content Type ◽  
Previous Evidence

Purpose The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing. Design/methodology/approach The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the change in classification of the Portuguese market, from an emerging to a developed one. Findings The overall results of the study show that individual illiquidity affects Portuguese stock returns. However, in contrast to previous evidence from other markets, they show that the most traded stocks (hence the most liquid stocks) exhibit larger returns. In addition, they show that the illiquidity effects on stock returns were higher and more significant in the period from January 1988 to November 1997, during which the Portuguese stock market was still an emerging market. Research limitations/implications These findings are relevant for investors when they make their investment decisions and for market regulators because they reflect the need of improving the competitiveness of the Portuguese stock market. Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one. Practical implications The results have important implications for individual and institutional investors who can take into account the peculiar effect of liquidity in stock returns to make proper investment decision. Originality/value The Portuguese market provides a natural experimental area to analyse the role of liquidity in asset pricing, because it is a tiny market and during the period studied it changed from an emerging to a developed stock market. Moreover, the authors have to highlight that previous evidence almost exclusively focuses on the US and major European stock markets, whereas studies for the Portuguese one are scarce. In this context, the study provides an alternative methodological approach with results that differ from those theoretically expected. Thus, these findings are a challenge for academics and open a theoretical and a practical debate.

Rational Speculative Bubbles in the Thai Stock Market: Econometric Tests and Implications

2007 ◽  
Vol 10 (01) ◽  
pp. 1-13 ◽  
Author(s):  
Sethapong Watanapalachaikul ◽  
Sardar M. N. Islam
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Emerging Market ◽  
Hazard Model ◽  
Investment Planning ◽  
Efficient Operation ◽  
Crisis Period ◽  
Speculative Bubbles ◽  
Emerging Stock Markets ◽  
Econometric Tests

Understanding of factors like economic fundamentals or bubbles that normally determine the returns of stock in any emerging market such as the Thai stock market is essential for academic, investment planning and public policy reasons. An empirical study of the existence of rational speculative bubbles in the Thai stock market is undertaken by using the Weibull Hazard model. The conventional Weibull Hazard model is used as a benchmark model for other speculative bubble models. Empirical results suggest the presence of rational speculative bubbles in the Thai stock market, especially during the pre-crisis period. While rational speculative bubbles were not present immediately after the post-crisis period, some were observed a few years after the crisis. A possible explanation for such a result concerning rational speculative behaviour and bubbles in the emerging stock markets could be attributed to the presence of market imperfections in emerging stock markets, requiring institutional and policy developments to ensure efficient operation of the stock market.

scholarly journals Comparison of Frequency Bands Using Spectral Entropy for Epileptic Seizure Prediction

2013 ◽  
Vol 2013 ◽  
pp. 1-5 ◽  
Author(s):  
Susana Blanco ◽  
Arturo Garay ◽  
Diego Coulombie
Keyword(s):  
Frequency Band ◽  
Epileptic Seizure ◽  
Signal Analysis ◽  
Fourier Spectrum ◽  
Low Frequency ◽  
Eeg Signals ◽  
High Frequencies ◽  
Frequency Bands ◽  
Low Correlation ◽  
Rate Of Increase

Introduction. Under the hypothesis that the uncontrolled neuronal synchronization propagates recruiting more and more neurons, the aim is to detect its onset as early as possible by signal analysis. This synchronization is not noticeable just by looking at the EEG, so mathematical tools are needed for its identification. Objective. The aim of this study is to compare the results of spectral entropies calculated in different frequency bands of the EEG signals to decide which band may be a better tool to predict an epileptic seizure. Materials and Methods. Invasive ictal records were used. We measured the Fourier spectrum entropy of the electroencephalographic signals 4 to 32 minutes before the attack in low, medium and high frequencies. Results. The high-frequency band shows a markedly rate of increase of the entropy, with positive slopes and low correlation coefficient. The entropy rate of growth in the low-frequency band is practically zero, with a correlation around 0.2 and mostly positive slopes. The mid-frequency band showed both positive and negative slopes with low correlation. Conclusions. The entropy in the high frequencies could be predictor, because it shows changes in the previous moments of the attack. Its main problem is the variability, which makes it difficult to set the threshold that ensures an adequate prediction.

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