scholarly journals Analysing portfolio diversification opportunities in selected stock markets of North and South America and their impact on the textile sector: An empirical case study

2021 ◽  
Vol 72 (04) ◽  
pp. 398-407
Author(s):  
RAMONA BIRAU ◽  
CRISTI SPULBAR ◽  
AJMAL HAMZA ◽  
EJAZ ABDULLAH ◽  
ELENA LOREDANA MINEA ◽  
...  
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Financial Integration ◽  
Stock Exchange ◽  
Portfolio Diversification ◽  
Causality Test ◽  
International Portfolio Diversification ◽  
Integration Test ◽  
Textile Sector

This empirical study investigates the financial integration linkages among the sample stock markets of Canada, Mexico,United States (for both New York Stock Exchange, i.e. NYSE and NASDAQ), Panama, Brazil, Chile, Peru, Venezuela,Jamaica, Trinidad, and Tobago during the period from January 2001 to April 2019. This research study also examinesthe impact of selected stock market dynamics on the textile sector. International portfolio diversification has been animportant subject of research in financial fraternity since the emergence of Modern Portfolio Theory in 1952. This studyexamines the portfolio diversification opportunities in the 11 stock markets of Americas.International diversificationamong stock market indices has proven to be fruitful in the past. Certain tests have been used to determine opportunitiesfor diversification are correlation test, pairwise co-integration test, multiple co-integration test and granger causality test.The empirical results show that stock market indices share low correlation among other and they are not highlyco-integrated whereas results of Granger causality test exhibit an unidirectional relationship among few stock marketsin short run.

INVESTIGATION OF THE RELATIONSHIP BETWEEN TURKEY AND DEVELOPED STOCK MARKETS IN THE PANDEMIC PERIOD: ARDL BOUND TESTING APPROACH

2021 ◽  
Vol 8 (21) ◽  
pp. 36-44
Author(s):  
Anıl LÖGÜN ◽  
Rahman AYDIN
Keyword(s):  
Granger Causality ◽  
Stock Markets ◽  
Granger Causality Test ◽  
Portfolio Diversification ◽  
Test Results ◽  
Causality Test ◽  
International Portfolio Diversification ◽  
Developed Stock Markets ◽  
Bound Test

The integration of stock markets is an essential issue for international investors who aim to make short and long term investments. This paper examines Turkey and developed stock markets co-movements during the pandemic. International portfolio diversification advantages are investigated for Turkish investors who have a portfolio in developed markets. For this purpose, the long-term relationship between stock markets is analyzed using the Autoregressive Distributed Lag (ARDL) bound test. The study covers January 2019 and April 2021, and this period is divided into two separate periods, pre-pandemic and pandemic. The results of ARDL bounds tests have not found a cointegration relationship between stock markets in both the pre-pandemic period and the pandemic period. Granger causality test results show that NIKKEI 225 (Japan), DAX (Germany), FTSE 100 (United Kingdom) and CAC 40 (France) are the cause of BIST 100 (Turkey) in the pre-pandemic period. However, Granger causality test results show that there is no causality relationship during the pandemic period. Turkish stock market investors investing in developed stock markets will benefit from portfolio diversification in the long term.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

scholarly journals CAPITAL MARKET INTEGRATION OF ASEAN-5 COUNTRIES : AN EMPIRICAL ANALYSIS

2021 ◽  
Vol 5 (2) ◽  
pp. 30
Author(s):  
Tom Jacob ◽  
Rincy Raphael ◽  
M.V. Stebiya
Keyword(s):  
Granger Causality ◽  
Capital Markets ◽  
Market Integration ◽  
Stock Exchange ◽  
East Asian ◽  
The Philippines ◽  
Causality Test ◽  
Fully Integrated ◽  
Market Return ◽  
International Portfolio Diversification

The financial integration of South East Asian markets has been an important research topic. Due to the recent global developments in financial markets, the behaviours of these emerging markets are gaining much interest. This research paper empirically analyzes stock market integration of international portfolio diversification across the South East Asian countries, namely Indonesia, Malaysia, Philippines, Singapore and Thailand. The Augmented Dickey-Fuller unit root test has been used to verify the static properties of the market return of ASEAN countries. An analysis of the co-integration among these countries' market return has been done using the Johansen Co-integration Approach. The co-movements between the ASEAN economies were analyzed through the Granger Causality test. The results of the Granger causality tests indicate the interdependence between ASEAN-5 market returns. This suggests a co-movement among ASEAN capital markets, but not all of these ASEAN capital markets were fully integrated. This study also found that the Malaysia Stock Exchange, the Stock Exchange of Thailand, the Singapore Stock Exchange and the Philippines Stock Exchange were fully integrated, but Indonesia Stock Exchange was not. Essentially, this study provides insight for policymakers, portfolio managers, domestic and international investors, risk analysts, and financial researchers to diversify their investment portfolios by combining assets from each ASEAN-5 country.

Dynamic linkages among international crude oil, exchange rate and Norwegian stock market: evidence from ARDL bound testing approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shelly Singhal ◽  
Sangita Choudhary ◽  
Pratap Chandra Biswal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Oil Price ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Integration Test

Purpose The purpose of this paper is to examine the long-run association and short-run causality among oil price, exchange rate and stock market in Norwegian context. Design/methodology/approach This work uses auto regressive distributed lag (ARDL) bound co-integration test to examine the long-run association among international crude oil, exchange rate and Norwegian stock market. Further to test the causality, Toda–Yamamoto Granger causality test is used. Daily data ranging from 1 January, 2011 to 31 December, 2018 is used in this study. Findings Findings of this study suggest the existence of long-run equilibrium relationship among oil price, exchange rate and Norwegian stock market when oil price is taken as dependent variable. Further, this study observes the bi-directional causality between Norwegian stock market and exchange rate and unidirectional causality between oil and Norwegian stock market (from oil to stock market). Originality/value To the best of the authors’ knowledge, this the first study in context of Norway to explore the long-run association and causal relationships among international crude oil price, exchange rate and stock market index. Particularly, association of exchange rate and stock market largely remains unexplored for Norwegian economy. Further, majority of studies conducted in Norwegian setup have considered the period up to year 2010 and association of these variables is found to be time varying. Finally, this study uses ARDL bound co-integration test and Toda–Yamamoto Granger causality test. These methodologies have been used in literature in context of other countries like India and Mexico but not yet applied to study the Norwegian case.

scholarly journals Stochastic Pattern of Major Indices of Bombay Stock Exchange

2019 ◽  
Vol 8 (3) ◽  
pp. 6774-6779
Keyword(s):  
Granger Causality ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Short Term ◽  
Causality Test ◽  
Policy Makers ◽  
Long Run ◽  
Integration Test ◽  
Augmented Dickey Fuller ◽  
Portfolio Managers

It is interesting to get inside and draw a meaningful inference by studying the movement of various stock indices. Portfolio managers, analysts, and investors are very keen to know about the technical pattern of indices. They consider the stock market is one of the economic barometers or market indicators of an economy. Indian financial market has undergone radical and vital change during the past few years. The purpose of this study is to check stochastic movements in selected indices and to signify nexus and interdependency among one another by the virtue of econometric analysis. The study comprises of daily closing value from 1st April 2014-1st April 2018, including major indices i.e. S&P-BSE 100; S&P-BSE-200, S&P BSE-500, S&P-BSE:Large cap, S&P-BSE:Mid-cap, S&P-BSE:small-cap, and BSE-SENSEX. Moreover, typical econometrics tool Augmented Dickey-Fuller Test, Granger Causality Test, and Johansen Co-integration Test were implemented to conclude the result. The study is one of its kinds to analyze the static and pair wise relationship among seven BSE indices along with the direction of their expected future movement that would help practitioners, policy makers and investors in anticipating the future movement of the indices. The Dickey-Fuller and Johanson test administered to analyze unit root and co-integration among the series in long run, followed by Granger causality test to observe the route of the short term relationship among various indices. The tests reveal uni-directional and in some cases bi-directional causality in selected indices. Further, it has been observed that due to co-integration, prices of different indices can’t move far away from one another [1]. This stochastic study delves volatility pattern of some major indices of Bombay stock exchange with the help of econometric tools. It clearly delineates nexus of all the indices and provided an explanation to appreciate concrete conduct of one series into a mutual relationship. Hence, investors or analyst may predict the movements, interdependency and their relationship in a significant manner.

Comparison of practitioners' views on managing equity investments

2014 ◽  
Vol 9 (2) ◽  
pp. 153-167 ◽  
Author(s):  
Lukasz Prorokowski ◽  
Paulina Roszkowska
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Markets ◽  
Portfolio Diversification ◽  
Content Type ◽  
Central European ◽  
Emerging Stock Markets ◽  
International Portfolio Diversification ◽  
International Portfolio ◽  
Equity Investments

Purpose – The purpose of this paper is to examine the extent to which Central European emerging stock markets (focusing on Poland) have been affected by the recent international financial crisis, and how the current investment climate (barriers, risks, challenges and opportunities) influences appetite for investments in Polish equities. In doing so, the study aims to report timely findings in relation to the determinants of the safety and profitability of international portfolio diversification to the Polish stock market. Design/methodology/approach – Based on qualitative empirical research, the authors analyse the differences between the foreign (UK) and domestic (Poland) investors' views on equity investments in Poland. The study builds on questionnaires and interviews with practitioners associated with the Polish stock market. Findings – The authors report that the global financial crisis influenced changes to domestic and international investors' appetite for risk related to equity investments in emerging stock markets: investors are more prudent about emerging markets but the Polish stock market has shown substantial growth potential and positively distinguished itself from other Central European stock exchanges; particular types of investment risks associated with equity investments in the Polish stock market have abated. Polish equities are an attractive component of the international portfolio diversification, provided that trading strategies are adjusted to the contemporary investment environment. Originality/value – This paper addresses the absence of the academic literature devoted to the analysis of equity investments in the contemporary Central European emerging stock markets. The authors discuss the differences in appetite for risk between the UK and Polish investors and assumptions about investments in Poland. The authors also contribute to the international debate on investor protection and regulations that can improve investment processes.

scholarly journals Existe Alguma Relação entre Retornos Contábeis e Retornos do Mercado de Ações no Brasil?

2007 ◽  
Vol 5 (2) ◽  
pp. 233
Author(s):  
Newton Carneiro Affonso da Costa Jr. ◽  
Roberto Meurer ◽  
César Medeiros Cupertino
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Exchange ◽  
Granger Causality Test ◽  
Market Returns ◽  
Causality Test ◽  
Stock Market Returns ◽  
Weak Evidence ◽  
Causality Tests ◽  
The Relationship

This paper examines the relationship between accounting and stock market returns of Brazilian companies on a quarterly basis. The sample consisted of 97 companies with stocks traded in the Sao Paulo Stock Exchange from January of 1995 to March of 2007. A Granger causality test was applied to the two return series for each of the sampled companies. The results of the causality tests suggested that there is weak evidence that accounting returns lead stock market returns rather than the reverse.

scholarly journals Impact of Brexit on Islamic stock markets: employing MGARCH-DCC and wavelet correlation analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Burak Çıkıryel ◽  
Hakan Aslan ◽  
Mücahit Özdemir
Keyword(s):  
Sri Lanka ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Sector ◽  
Portfolio Diversification ◽  
Stock Index ◽  
Discrete Wavelet ◽  
Content Type ◽  
International Portfolio Diversification ◽  
Diversification Strategies

Purpose This paper aims to study the co-movement dynamics of Islamic equity returns to explain international portfolio diversification opportunities for investors having a heterogeneous stock holding period in light of Brexit. Design/methodology/approach The authors use the following three recent methodologies: the multivariate generalised autoregressive conditional heteroskedastic-dynamic conditional correlations, continuous wavelet transforms and maximum overlap discrete wavelet transform. Dow Jones Islamic country-based indexes are used from 2 September 2013 to 31 December 2019. Findings There is a high correlation between the United Kingdom (UK) Islamic stock market return with the Canadian, USA, Malaysian and Indian implying lesser diversification benefits for the investors. However, the results tend to indicate that UK Islamic stock market investors who have allocated their investment in Sri Lanka, Kuwait, Japan and Turkey have enjoyed diversification benefits. Besides, there is a declining correlation between UK Islamic stock markets and other selected markets aftermath of Brexit. Turkey seems the most volatile stock over the period, appealing to risk-lover investors to gain from price changes. When the shock occurs in the financial sector, the volatility is mean-reverting faster than other markets in Sri Lanka. On the other hand, Malaysia appears to have the least volatility implying a stable financial sector. Research limitations/implications The results tend to shed light on effective portfolio diversification benefits in light of the recent shock (Brexit) between the UK Islamic stock index and other selected indexes that vary from country to country depending on investment horizons. This critically confirms the significance of heterogeneity in investment horizons and provides significant inferences for portfolio diversification strategies. Originality/value To the best of the authors’ knowledge, this study is the first study investigating the Brexit effect on Islamic stocks, guiding Shariah sensitive investors in their diversification strategies, providing information to investors to consider the implications of this incident on Islamic stocks for future shocks.

scholarly journals Islamic Versus Conventional Stock Market Indices Performance: Empirical Evidence from Turkey

2019 ◽  
Vol 12 (1) ◽  
pp. 74 ◽  
Author(s):  
Kamola Bayram ◽  
Anwar Hasan Abdullah Othman
Keyword(s):  
Stock Market ◽  
Causal Relationship ◽  
Stock Markets ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Time Frame ◽  
Causality Test ◽  
Significant Difference ◽  
Test Of Hypothesis ◽  
Short Run

<p><em>Rapid growth of Islamic finance in general and Sharī`ah compliant stocks in particular arises the question whether Islamic funds/stocks have a better performance or there is no significant difference with the performance of conventional counterparts. This study has twofold objectives, firstly to compare the performance of Islamic and conventional stock market indices in Turkey, namely KATILIM50 and BIST 100 by using Two-Sample Test of Hypothesis over the period of 15 May 2015 to 31 December 2016.  Secondly, to examine the causal relationship between both stocks markets indices in the short-run using </em><em>Granger (1969) Causality Test</em><em>. The findings of parametric Z-test reveals that there is no statistical significant difference between the performance of both indices the KATILIM 50 index and BIST 100 index in Turkey Stock Exchange Market during the time frame of the study.  Further, the </em><em>Granger</em><em> Causality findings indicate the absence of causal relationship between the two stock markets indices in the short-run.</em> <em>This suggests that stock markets in Turkey are informationally efficient and non-violated with the Efficient Market Hypothesis with respect to the available information of both indices. The findings of this study therefore will provide useful channel for Muslim investors to fully participate in the Turkish capital market that is Sharī`ah complaint and fulfil their religious belief without sacrificing any financial performance.</em></p>

scholarly journals The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect

2019 ◽  
Vol 11 (14) ◽  
pp. 3845 ◽  
Author(s):  
Andy Wui-Wing Cheng ◽  
Nikolai Sheung-Chi Chow ◽  
David Kam-Hung Chui ◽  
Wing-Keung Wong
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Financial Integration ◽  
Mainland China ◽  
Causality Analysis ◽  
Cointegration Tests ◽  
China Stock Market ◽  
Hong Kong Stock Market

This study examines the sustainability of financial integration between China (represented by Shenzhen and Shanghai) stock markets and Hong Kong stock market over the period of pre and post launch of the Stock Connect Scheme. This paper aims to fill the gap in the financial literature by providing empirical research on the dynamics of the financial integration process, and examining the sustainability of financial integration among the three Chinese stock markets. We apply cointegration and both linear and nonlinear causalities to investigate whether the Shanghai–Hong Kong Stock Connect has any impact on both market capitalizations and market indices of Hong Kong, Shanghai, and Shenzhen markets. Through cointegration tests and linear Granger causality techniques, it was found that the stock markets from mainland China are increasingly influencing the Hong Kong stock market after the introduction of the Stock Connect Scheme; however, when using nonlinear Granger causality analysis for confirming China market dominance, the result shows an reverse relationship whereby the Hong Kong stock market is still relevant to understand and predict China stock market after the introduction of the Stock Connect Scheme. Overall, our findings support the view that the Shanghai–Hong Kong Stock Connect has a significant impact on both market capitalizations and market indices of the Hong Kong, Shanghai, and Shenzhen markets, but Hong Kong stock market is still relevant to understand and predict China stock market after the introduction of the Stock Connect Scheme. The change in share premium difference between mainland China’s domestic A-share markets and Hong Kong’s H-share market could change investors’ appetites or sentiments. Further research includes examining whether there is any functional relationship including nonlinear relationship and studying the dynamic drivers of the relationships.

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