scholarly journals Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases

2022 ◽  
Vol 15 (1) ◽  
pp. 18
Author(s):  
Sisa Shiba ◽  
Juncal Cunado ◽  
Rangan Gupta
Keyword(s):  
The Netherlands ◽  
Infectious Diseases ◽  
Financial Markets ◽  
Stock Markets ◽  
Recursive Estimation ◽  
International Stock Markets ◽  
Long Run ◽  
Out Of Sample ◽  
Portfolio Managers ◽  
Realised Volatility

In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models. A recursive estimation approach in the short-, medium- and long-run out-of-sample predictability is considered and the main findings show that the EMVID index plays a significant role in forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets to EMVID are those in Singapore, Portugal and The Netherlands. The implications of these results for investors and portfolio managers amid high levels of uncertainty resulting from infectious diseases are discussed.

UNCERTAINTY RELATED TO INFECTIOUS DISEASES AND FORECASTABILITY OF THE REALIZED VOLATILITY OF US TREASURY SECURITIES

2021 ◽  
pp. 2150008
Author(s):  
SISA SHIBA ◽  
RANGAN GUPTA
Keyword(s):  
Infectious Diseases ◽  
Realized Volatility ◽  
Daily Newspaper ◽  
Treasury Securities ◽  
Long Run ◽  
Short Period ◽  
The Us ◽  
Out Of Sample ◽  
Portfolio Managers

This paper aims to examine the predictive power of the daily newspaper-based index uncertainty related to infectious diseases (EMVID) for the US Treasury securities’ realized volatility (RV) using the heterogonous autoregressive volatility (HAV-RV) model. In our out-of-sample forecast, we find strong significant evidence on the role of the EMVID index in forecasting the volatility of the US Treasury securities in the short-, medium- and long-run horizons except for the US 2-Year Treasury-Note (T-Note) Futures. Assessing the EMVID index role during the COVID-19 episode, we find that even in this short period, the index role in predicting the US Treasury securities is highly significant. These findings have important implications for portfolio managers and investors in times of unprecedented levels of uncertainty resulting from epidemic and pandemic diseases.

scholarly journals Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX

2020 ◽  
Vol 12 (20) ◽  
pp. 8581
Author(s):  
Wenjing Xie ◽  
João Paulo Vieito ◽  
Ephraim Clark ◽  
Wing-Keung Wong
Keyword(s):  
Sustainable Development ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
International Treaties ◽  
National Policies ◽  
The Sustainable Development ◽  
Long Run ◽  
Stock Market Investors

This study investigates whether the merger of NASDAQ and OMX could reduce the portfolio diversification possibilities for stock market investors and whether it is necessary to implement national policies and international treaties for the sustainable development of financial markets. Our study is very important because some players in the stock markets have not yet realized that stock exchanges, during the last decades, have moved from government-owned or mutually-owned organizations to private companies, and, with several mergers having occurred, the market is tending gradually to behave like a monopoly. From our analysis, we conclude that increased volatility and reduced diversification opportunities are the results of an increase in the long-run comovement between each pair of indices in Nordic and Baltic stock markets (Denmark, Sweden, Finland, Estonia, Latvia, and Lithuania) and NASDAQ after the merger. We also find that the merger tends to improve the error-correction mechanism for NASDAQ so that it Granger-causes OMX, but OMX loses predictive power on NASDAQ after the merger. We conclude that the merger of NASDAQ and OMX reduces the diversification possibilities for stock market investors and our findings provide evidence to support the argument that it is important to implement national policies and international treaties for the sustainable development of financial markets.

scholarly journals International Evidence for Return Predictability and the Implications for Long-Run Covariation of the G7 Stock Markets

2010 ◽  
Vol 11 (4) ◽  
pp. 527-544 ◽  
Author(s):  
Thomas Nitschka
Keyword(s):  
Stock Markets ◽  
Return Predictability ◽  
Cycle Frequency ◽  
Common Component ◽  
International Evidence ◽  
International Stock Markets ◽  
Long Run ◽  
Time Period ◽  
The Us ◽  
The Business Cycle

Abstract Temporary fluctuations of the US consumption-wealth ratio do not only predict excess returns on the US but also international stock markets at the business cycle frequency. This finding is the reflection of a common, temporary component in national stock markets. Exposure to this common component explains up to 50% of the pairwise covariation among long-horizon returns on the G7 stock markets for the time period from 1970 to 2008. This latter finding is less pronounced in the post-1990s period.

scholarly journals COVID-19 Pandemic and Investor Herding in International Stock Markets

Risks ◽  
2021 ◽  
Vol 9 (9) ◽  
pp. 168
Author(s):  
Elie Bouri ◽  
Riza Demirer ◽  
Rangan Gupta ◽  
Jacobus Nel
Keyword(s):  
Infectious Diseases ◽  
Financial Markets ◽  
Stock Markets ◽  
Investor Sentiment ◽  
Market Uncertainty ◽  
Herding Behavior ◽  
Market Participants ◽  
Hedging Strategies ◽  
Global Stock Markets ◽  
Global Stock

The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we examine the association between pandemic-induced market uncertainty and herding behavior in a set of 49 global stock markets. More specifically, we study the pattern of cross-sectional market behavior and examine whether the pandemic-induced uncertainty drives directional similarity across the global stock markets that cannot be explained by the standard asset pricing models. Utilizing a time-varying variation of the static herding model, we first identify periods during which herding is detected. We then employ probit models to examine the possible association between pandemic-induced uncertainty and the formation of herding. Our findings show a strong association between herd formation in stock markets and COVID-19 induced market uncertainty. The herding effect of COVID-19 induced market uncertainty is particularly strong for emerging stock markets as well as European PIIGS stock markets that include some of the hardest hit economies in Europe by the pandemic. The findings establish a direct link between the recent pandemic and herd formation among market participants in global financial markets. Considering the evidence that herding behavior can drive security prices away from equilibrium values supported by fundamentals and further contribute to price fluctuations in financial markets, our findings have significant implications for policy makers and investors in their efforts to monitor investor sentiment and mitigate mis-valuations that might occur as a result. Furthermore, the evidence on the behavioral pattern of stock investors in relation to infectious diseases uncertainty can be useful in studying price discovery in stock markets and might help market participants in forming hedging strategies to mitigate downside risk in their investment portfolios.

scholarly journals Is There a Causal Relationship Between Financial Markets in Asia and the US?

2017 ◽  
Vol 22 (1) ◽  
pp. 71-90
Author(s):  
Amalendu Bhunia ◽  
Devrim Yaman
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Causal Relationship ◽  
Stock Markets ◽  
Market Prices ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
International Investors ◽  
Stock Values

This study examines whether there is a causal relationship between selected stock markets in Asia and the US. Based on stock values from a sample of nine Asian stock markets, we find a positive correlation with US stock market prices in most cases, the exception being Vietnam. Our results indicate significant long-run and short-run causality in both directions between the Asian and US stock markets. These findings show that, while both sets of markets are integrated, there are still valuable opportunities for international investors to diversify their portfolios in the US and Asia.

scholarly journals On the Bound of Cumulative Return in Trading Series

2020 ◽  
Author(s):  
Yang Can ◽  
Junjie Zhai ◽  
Helong Li
Keyword(s):  
Emerging Markets ◽  
Financial Markets ◽  
Upper Bound ◽  
Stock Markets ◽  
Trading Strategies ◽  
Trading Rules ◽  
Empirical Results ◽  
Developed Markets ◽  
International Stock Markets ◽  
Bootstrap Methodology

Abstract There is no doubt that cumulative return is one of fundamental concerns in financial markets. In this paper, we first reveal the upper bound of cumulative return, and then propose a method to evaluate the performance of trading strategies by using proposed upper bound. Furthermore, with the help of bootstrap methodology, we conduct numerous experiments on distinct international stock markets, including developed markets and emerging markets, to verify the validity of the proposed upper bound. And both the theoretical and empirical results show that the effectiveness of the proposed upper bound and reveal its significant potentials on evaluating performance of trading rules.

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