scholarly journals Confucius and Herding Behaviour in the Stock Markets in China and Taiwan

2018 ◽  
Vol 10 (12) ◽  
pp. 4413 ◽  
Author(s):  
Batmunkh Munkh-Ulzii ◽  
Michael McAleer ◽  
Massoud Moslehpour ◽  
Wing-Keung Wong
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Trading Volume ◽  
Dispersion Model ◽  
Empirical Support ◽  
Sample Period ◽  
Empirical Results ◽  
Thomson Reuters ◽  
Behavioural Patterns ◽  
Bull And Bear Markets

It has been argued in the literature that financial markets with a Confucian background tend to exhibit herding behaviour, or correlated behavioural patterns in individuals. This paper applies the return dispersion model to investigate financial herding behaviour by examining index returns from the stock markets in China and Taiwan. The sample period is from 1 January 1999 to 31 December 2014, and the data were obtained from Thomson Reuters Datastream. Although the sample period finishes in 2014, the data are more than sufficient to test the three hypotheses relating to the stock markets in China and Taiwan, both of which have Confucian cultures. The empirical results demonstrate significant herding behaviour under both general and specified markets conditions, including bull and bear markets, and high-low trading volume states. This paper contributes to the herding literature by examining three different hypotheses regarding the stock markets in China and Taiwan, and showing that there is empirical support for these hypotheses.

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.

Islamic occasions and investor sentiment

2018 ◽  
Vol 11 (2) ◽  
pp. 194-212 ◽  
Author(s):  
Marwa Jaziri ◽  
Mouna Abdelhedi
Keyword(s):  
Saudi Arabia ◽  
Financial Markets ◽  
Trading Volume ◽  
Design Methodology ◽  
Positive Emotions ◽  
Investor Sentiment ◽  
Content Type ◽  
Empirical Results

Purpose The purpose of this paper is to investigate whether the Islamic religious occasions can, through their impact on investor sentiment, affect returns in six Arab financial markets. Design/methodology/approach In this paper, the authors test the effect of the occasions of Hajj pilgrimage, Ramadan, Eid-al-Fitr, Mawlid and Ashura during the period of 2001-2016 on Saudi Arabia, Dubai, Kuwait, Egypt, Qatar and Bahrain financial markets. Three measures of investor sentiment are used: trading volume, high minus low and psychological line index. Findings Higher effect of investor sentiment on returns is detected after Hajj pilgrimage than that before Hajj pilgrimage in all studied financial markets. The positive emotions during Ramadan contribute significantly to the increase in returns in Arab financial markets. Results indicate that most of studied financial markets exhibit a significant effect of investor sentiment on returns during the first 10 days and the second 10 days of Ramadan. Empirical results indicate that Eid-al-Fitr affects the relation between investor sentiment and returns in Saudi Arabia, Kuwait, Qatar and Dubai financial markets. Relationship between investor sentiment and returns is not is not significantly affected by the Mawlid occasion, except in the Dubai and Kuwait financial markets. Originality/value The Islamic occasions of the Hajj pilgrimage, Ramadan and Eid-al-Fitr affect significantly the relation between investor sentiment and returns.

COVID -19 and Indian Financial Markets: A Review

2020 ◽  
Vol 16 (02) ◽  
pp. 1-8
Author(s):  
Kamaldeep Kaur Sarna
Keyword(s):  
Financial Markets ◽  
Financial Institutions ◽  
Financial Services ◽  
Stock Markets ◽  
Global Economy ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Negative Impact ◽  
Management Strategies ◽  
The Impact

COVID-19 is aptly stated as a Black Swan event that has stifled the global economy. As coronavirus wreaked havoc, Gross Domestic Product (GDP) contracted globally, unemployment rate soared high, and economic recovery still seems a far-fetched dream. Most importantly, the pandemic has set up turbulence in the global financial markets and resulted in heightened risk elements (market risk, credit risk, bank runs etc.) across the globe. Such uncertainty and volatility has not been witnessed since the Global Financial Crisis of 2008. The spread of COVID-19 has largely eroded investors’ confidence as the stock markets neared lifetimes lows, bad loans spiked and investment values degraded. Due to this, many turned their backs on the risk-reward trade off and carted their money towards traditionally safer investments like gold. While the banking sector remains particularly vulnerable, central banks have provided extensive loan moratoriums and interest waivers. Overall, COVID-19 resulted in a short term negative impact on the financial markets in India, though it is making a way towards V-shaped recovery. In this context, the present paper attempts to identify and evaluate the impact of the pandemic on the financial markets in India. Relying on rich literature and live illustrations, the influence of COVID-19 is studied on the stock markets, banking and financial institutions, private equities, and debt funds. The paper covers several recommendations so as to bring stability in the financial markets. The suggestions include, but are not limited to, methods to regularly monitor results, establishing a robust mechanism for risk management, strategies to reduce Non-Performing Assets, continuous assessment of stress and crisis readiness of the financial institutions etc. The paper also emphasizes on enhancing the role of technology (Artificial Intelligence and Virtual/Augmented Reality) in the financial services sector to optimize the outcomes and set the path towards recovery.

Pricing Interest Rate Swaps in Malaysia

2004 ◽  
Vol 07 (04) ◽  
pp. 493-507 ◽  
Author(s):  
Dick Davies ◽  
David Hillier ◽  
Andrew Marshall ◽  
King Fui Cheah
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Capital Controls ◽  
Sample Period ◽  
Kuala Lumpur ◽  
Empirical Results ◽  
Illiquid Markets ◽  
Interest Rate Swaps ◽  
Derivative Markets

This paper compares the theoretical price of interest rate swaps implied from the yield curve with the actual Kuala Lumpur Interbank Offer Rates used for swap resets in the Malaysian swap market for both semi-annual and annual interest rate swaps between 1996 and 2002. As far as we are aware no previous paper has considered pricing swaps in a less established derivative markets. Our empirical results indicate significant and persistent differences between the theoretical implied price and the actual reset price for both swaps over the sample period. This finding has implications for traders and banks in pricing swaps in Malaysia and more generally for pricing swaps in less established or illiquid markets or where capital controls have been introduced.

scholarly journals An application of multivariate GARCH models in research for the interaction of world financial markets

Equilibrium ◽  
2009 ◽  
Vol 2 (1) ◽  
pp. 61-68
Author(s):  
Tomasz Chruściński
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Multivariate Garch ◽  
Garch Models ◽  
Data Sets ◽  
Conditional Correlation ◽  
Main Emphasis ◽  
Multivariate Garch Models ◽  
Diagonal Vech

This article presents information about taxonometric methods in classification stock-markets and selected Multivariate GARCH models. The main emphasis is placed on which market (country) influences others. Research has been geared towards three kinds of measurement: diagonal VECH models, diagonal BEKK models and Constant Conditional Correlation. The results obtained for the DBEKK model is optimal for most data-sets.

An Analysis of Long Memory in Volatility for Asian Stock Markets

2000 ◽  
Vol 03 (03) ◽  
pp. 309-330 ◽  
Author(s):  
Huimin Chung ◽  
William T. Lin ◽  
Soushan Wu
Keyword(s):  
Financial Markets ◽  
Memory Effect ◽  
Long Memory ◽  
Stock Markets ◽  
Asia Pacific ◽  
Size Distortion ◽  
Asset Return ◽  
Semiparametric Method ◽  
Aggregation Size ◽  
And Shifts

One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.

The Impact of Regulatory Standards, Interest Rates and Trading Volume on Volatility Transmission between Cross-Listed European Equities

2009 ◽  
Vol 10 (1) ◽  
pp. 89-105
Author(s):  
Koulakiotis Dasilas ◽  
Tolikas Molyneux
Keyword(s):  
Interest Rates ◽  
Stock Markets ◽  
Trading Volume ◽  
Positive Impact ◽  
Stock Exchanges ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Regulatory Standards ◽  
European Stock Markets ◽  
The Impact

This paper investigates the relationship between volatility transmission and stock market regulatory structures, interest rates and trading volume for European securities which are cross-listed on stock exchanges of higher, lower or similar regulatory standards compared to their home stock markets. The empirical results suggested that the regulatory environment has a significant impact on volatility spillovers and the level of interest rates and trading volume have a positive impact on the magnitude and persistence of these volatility spillovers. These findings have potentially important implications for both regulators and investors who are concerned with the effectiveness of legislation aiming to harmonise the European stock markets and the effects of volatility transmission on investment positions across European stock markets.

Analysis of Time Series Based on a New Entropy Plane by Using Weighted Dispersion Pattern

2021 ◽  
Vol 31 (09) ◽  
pp. 2150128
Author(s):  
Guyue Qin ◽  
Pengjian Shang
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Stock Markets ◽  
Simulated Data ◽  
Tsallis Entropy ◽  
Dispersion Pattern ◽  
Complex Time ◽  
Plane Method ◽  
Stock Indexes ◽  
Analysis Of Time Series

Complexity is an important feature of complex time series. In this paper, we construct a weighted dispersion pattern and propose a new entropy plane using past Tsallis entropy and past Rényi entropy by using weighted dispersion pattern (PTEWD and PREWD, respectively), to quantify the complexity of time series. Through analyzing simulated data and actual data, we have verified the reliability of the entropy plane method. This entropy plane successfully distinguishes American and Chinese stock indexes, as well as developed and emergent stock markets. We introduce PTEWD and PREWD into multiscale settings, which could also well distinguish different stock markets. The results show that the new entropy plane could be used as an effective tool to distinguish financial markets.

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