scholarly journals Design of Portfolio using Multivariate Analysis

2022 ◽  
pp. 13-22
Author(s):  
Dr. S. V. Ramana Rao ◽  
Nagendra Marisetty ◽  
B. Lohith Kumar
Keyword(s):  
Factor Analysis ◽  
Multivariate Analysis ◽  
Stock Returns ◽  
Stock Markets ◽  
Correlation Factor ◽  
Individual Investors ◽  
Causality Test ◽  
The World ◽  
Trading Partners ◽  
Portfolio Managers

Stock markets are considered a barometer of the respective country’s economy around the world. Modern portfolio theory advocates diversification for risk management, which helps maintain returns as long as indices around the world are not perfectly correlated. The relationship exists across markets; as a result, co-movement has drawn the attention of individual investors and portfolio managers for the construction of their portfolios to maximize returns for a given level of risk. The study of co-movements provides inputs for portfolio construction and facilitates the identification of markets where indices may move in the same direction or the opposite direction and the country’s stock markets that are not correlated. A review of the literature revealed that statistical tools like Correlation, Factor analysis, and Granger causality test, etc., are some of the tools that can be used to understand co-movements of markets. Alan harper et al. (2012) study used principle component analysis and inferred that Indian stock returns are aligned with its trading partners and concluded that maximizing the investors’ returns by reducing the risk. Tak Kee Hui concluded that factor analysis provides inputs for selecting foreign markets for risk diversification. This study examines the potential for diversification using 22 world stock market indices using multivariate analysis.

An Econometric Analysis of Linkages between Macroeconomic Variables and Stock Markets: Evidence from Asian Emerging Markets

GIS Business ◽  
2018 ◽  
Vol 13 (5) ◽  
pp. 21-30
Author(s):  
Risha Khandelwal
Keyword(s):  
Emerging Markets ◽  
Interest Rates ◽  
Stock Returns ◽  
Granger Causality ◽  
Stock Markets ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Macroeconomic Variables ◽  
Study Results

The purpose of this paper is to investigate impact of macroeconomic variables on stock markets of India and Indonesia. This paper also attempts to identify linkages between markets and macroeconomic variables. The rationale behind selecting these countries for the present study is MSCI emerging markets index of Asia, which comprises emerging economies with huge return potential for prospective investors. This study will help investors and researchers to understand dynamics of linkages between markets and macroeconomic variables. Augmented Dickey-Fuller (ADF) unit root test is used to assess the stationary of time series, Johansen test co-integration is applied to examine long-term integration among variables, Granger causality test is used to examine the causality relationship between macroeconomic variables and stock returns. The monthly data are taken for the study which ranges from July 1997 to July 2017. Currency exchange rates, interest rates, money supply, and inflation are the macroeconomic variables for the current study. Results revealed that there is one co-integrating equation of long-run equilibrium between the variables for both countries. Granger causality test reveals that there exists unidirectional and bidirectional relationship between the variables.

Cointegration of Asian Stock Markets: Empirical Evidence from India

2016 ◽  
Vol 6 (2) ◽  
Author(s):  
Beeralaguddada Srinivasa Veerappa
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Causality Test ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
Auto Regressive ◽  
Global Stock Markets ◽  
Indian Stock Market

At present stock return is significantly related to other global stock markets. The present paper empirically investigates the short run and long run equilibrium relationship between the stock market of India, Japan Hong Kong, Singapore, Malaysia, China, and Australia monthly data during January 1995 to December 2013. Researcher employs correlation test, multivariate co-integration framework, Vector Auto Regressive error-correction model and Granger causality test with reference to financial up evils in Asia and world viz., Asian crisis (1997/98), financial crisis (2008) Inflation conditions, Natural disasters, financial up evils etc. of long run relationship. Results find that the Indian stock market return is significantly co-integrated with long run and short run situations/causalities in Asian Stock returns.

scholarly journals Comportements comparés des marchés boursiers (1974-1979)

2009 ◽  
Vol 57 (2) ◽  
pp. 244-258 ◽  
Author(s):  
Claude Bensoussan
Keyword(s):  
Factor Analysis ◽  
Exchange Rates ◽  
Stock Markets ◽  
Stock Exchange ◽  
Empirical Validation ◽  
Percolation Method ◽  
The World ◽  
Methodological Aspects ◽  
Monthly Variations

ABSTRACT This article begins by pointing out, with regard to the study of stock market behaviour, the dangers of distortion inherent in factor analysis in principal components when applied as a method of grouping. As a follow-on to a preceeding contribution dealing with the period 1959-70 this article develops and clarifies the methodological aspects (dangers of factor analysis, utility of percolation method) within the context of the period 1974-79. The advantage of constituting groups from behaviourally homogenous markets, calculated according to the monthly variations in stock exchange rates of the 13 most important markets, is then analysed. The statistical analysis of links between national stock markets requires prudence as regards the use of notions in which the world stock markets are considered as being a whole, the concept of "economic blocks", indeed the same prudence must be exercised when considering the independence or interdependence of markets and the corresponding generalisations, although the long-term tendency would seem to have been modified since 1974 in a direction favourable to the empirical validation of the concept.

scholarly journals Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Manel Youssef ◽  
Khaled Mokni ◽  
Ahdi Noomen Ajmi
Keyword(s):  
Economic Policy ◽  
Stock Markets ◽  
Investment Banks ◽  
Individual Investors ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Daily Data ◽  
The Us ◽  
Portfolio Managers ◽  
The Uk

AbstractThis study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR) model for daily data over the period spanning from 01/01/2015 to 05/18/2020. Results showed that stock markets were highly connected during the entire period, but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020. Moreover, we found that the European stock markets (except Italy) transmitted more spillovers to all other stock markets than they received, primarily during the COVID-19 outbreak. Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns. Also, findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset, indicating that information spillovers from a given market may signal either good or bad news for other markets, depending on the prevailing economic situation. These results have important implications for individual investors, portfolio managers, policymakers, investment banks, and central banks.

scholarly journals Dynamic connectedness between stock markets in the presence of COVID-19 pandemic: Does economic policy uncertainty matter?

2020 ◽  
Author(s):  
Manel Youssef ◽  
Khaled Mokni ◽  
Ahdi Noomen Ajmi
Keyword(s):  
Economic Policy ◽  
Stock Markets ◽  
Investment Banks ◽  
Individual Investors ◽  
Policy Uncertainty ◽  
Information Spillovers ◽  
Economic Policy Uncertainty ◽  
Daily Data ◽  
Portfolio Managers ◽  
European Stock Markets

Abstract In this paper, we investigate the dynamic connectedness between the stock indices in the eight most endemic countries by the COVID-19 (China, Italy, France, Germany, Spain, Russia, U.S., and the U.K) as well as the effect of the economic policy uncertainty (EPU) by implementing the TVP-VAR model for daily data over the period spanning from 01/01/2015 to 05/18/2020. Results show that stock markets are highly connected during the entire period, while the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of the year 2020. Moreover, we find that the European stock markets transmit more spillovers to all other stock markets more than they receive (except for Italy), mainly during the outbreak of the COVID-19 pandemic. Also, findings show that the sign of the effect of the EPU on the net connectedness changes during the onset of the pandemic, showing that information spillovers from a given market may be seen as good or bad news for other markets, given the economic situation prevailing. From the results of this study, important implications can be provided for individual investors, portfolio managers, policymakers, investment banks, and central banks.

Crude oil and GCC stock markets

2020 ◽  
Vol 14 (4) ◽  
pp. 745-756 ◽  
Author(s):  
Abdullah Alqahtani ◽  
Amine Lahiani ◽  
Ali Salem
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Oil Prices ◽  
Least Square ◽  
Data Series ◽  
Causality Test ◽  
Stock Market Returns ◽  
Content Type ◽  
Gcc Countries

Purpose This paper aims to investigate the transmission of international oil prices to the stock market indices of the Gulf Cooperation Council (GCC) countries over the weekly period from April 07, 2004, to August 15, 2018. Design/methodology/approach The authors use the augmented Dickey–Fuller (ADF) unit root test to check the order of integration of data series. Afterward, the authors use the ordinary least square method to determine the spillover of international oil prices to the stock markets of GCC countries while accounting for the time-varying volatility of oil and stock market returns through the generalized autoregressive conditional heteroskedasticity. Then, the Johansen (1991) cointegration test is used to determine the long-run equilibrium relationship. Finally, the Granger (1969) causality test is used to determine the short-run causal effects between oil and the stock markets returns of GCC countries. Findings The findings indicate that the stock markets of GCC countries are efficient and respond significantly to international oil prices and evidence of high volatility associated with oil returns. Originality/value Investors and portfolio managers should consider the association between international oil prices and GCC stock returns when allocating their funds for diversification strategy. Moreover, policymakers should better understand the behavior of local stock markets.

Cointegration of Asian Stock Markets: Empirical Evidence from India

GIS Business ◽  
2016 ◽  
Vol 11 (5) ◽  
pp. 25-40
Author(s):  
Beeralaguddada Srinivasa Veerappa
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Causality Test ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Short Run ◽  
Auto Regressive ◽  
Global Stock Markets ◽  
Indian Stock Market

At present stock return is significantly related to other global stock markets. The present paper empirically investigates the short run and long run equilibrium relationship between the stock market of India, Japan Hong Kong, Singapore, Malaysia, China, and Australia monthly data during January 1995 to December 2013. Researcher employs correlation test, multivariate co-integration framework, Vector Auto Regressive error-correction model and Granger causality test with reference to financial up evils in Asia and world viz., Asian crisis (1997/98), financial crisis (2008) Inflation conditions, Natural disasters, financial up evils etc. of long run relationship. Results find that the Indian stock market return is significantly co-integrated with long run and short run situations/causalities in Asian Stock returns.

Delimitation and Verification of Decision-Making Factors When Settling Upon Event Destinations: The Brazilian Case

2018 ◽  
Vol 6 (6) ◽  
pp. 150
Author(s):  
Adriano Stadler ◽  
Marcos Rogério Maioli ◽  
Mariana Pires Vidal Lopez
Keyword(s):  
Decision Making ◽  
Factor Analysis ◽  
Multivariate Analysis ◽  
Likert Scale ◽  
Statistical Validity ◽  
The World ◽  
Decision Making Factors ◽  
Standard Deviations ◽  
Brazilian Case

This article aims to delimit the decision-making factors when opting for event destinations. Therefore, a survey based on the Likert scale of 6 points was set out to the 79 surveyees who held events in Brazil between 2005 and 2010, and was cataloged by one of the most important event organizers associations in the world. The answers lay out little homogeneity, which is evident from the analysis of average and standard deviations to the multivariate analysis, especially through factor analysis. It was noticed that the categories for services and costs are legitimate; since the categories which aimed at diagnosing the influence of location in choosing the events destination is null and void. The results set out that cost and location have influence in decision-making when it comes to the election of an event destination, but the ascertained variables do not bear high statistical validity.

Shock and volatility spillovers between oil and emerging seven stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muzammil Khurshid ◽  
Berna Kirkulak-Uludag
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Design Methodology ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Causality Test ◽  
Content Type ◽  
Volatility Spillovers ◽  
Oil Market ◽  
High Level

Purpose This study aims to examine the volatility spillover effects between oil and stock returns in the emerging seven economies. Design/methodology/approach In this study, the Granger causality test and vector autoregression-generalized autoregressive conditional heteroskedasticity approach to analyze the volatility spillover from 1995 to 2019 were used. The findings provide evidence of significant volatility spillover between oil and Brazil, China, India, Indonesia, Mexico, Russia and Turkey (E7) stock markets. Findings All emerging seven stock markets exhibit positive and low constant conditional correlations with oil assets. The magnitude of the correlation changes in respond to the country’s net position in the crude oil market. While a relatively high level of correlation exists between oil and the stock markets of net oil-exporting countries, a relatively low level of correlation exists between oil and the stock markets of net oil-importing countries. Originality/value The findings suggest that oil asset improves the risk-adjusted performance of a well-diversified portfolio of stocks. However, investors should invest a larger portion of their portfolios in E7 stock markets than in oil.

Growing Russian Economy against Growing External Tension

2012 ◽  
pp. 4-32
Author(s):  
I. Borisova ◽  
B. Zamaraev ◽  
A. Kiyutsevskaya ◽  
A. Nazarova ◽  
E. Sukhanov
Keyword(s):  
Economic Growth ◽  
Stock Markets ◽  
Negative Effects ◽  
Russian Economy ◽  
Investment Demand ◽  
The World

Conditions and features of the Russian economy development in 2011 are considered in the article. Having caused unprecedented outflow of the capital abroad, rising tension and turbulence on the world financial and stock markets have not broken off recovery of the Russian economy. Crisis recession was overcome. Record-breaking low inflation, rapid credit restoration and active government adjustment neutralized negative effects of the external tension and supported economic growth, having encouraged consumer and investment demand.

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