scholarly journals Evidenciação do Contexto Econômico na Relação entre Governança Corporativa e Volatilidade das Ações nas Companhias Abertas Brasileiras

2021 ◽  
Vol 24 (1) ◽  
pp. 1
Author(s):  
Vanessa Noguez Machado ◽  
Lauren Dal Bem Venturini ◽  
Márcia Bianchi ◽  
Marco Antônio dos Santos Martins
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Significant Influence ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Public Companies ◽  
General Internal ◽  
Economic Context ◽  
Governance Practices ◽  
And Control

Objective: to analyze how the economic context affects the relationship between corporate governance and stock market volatility of Brazilian public companies listed on B3 S.A. - Brasil, Bolsa, Balcão (B3), from 2010 to 2018.Method: based on quantitative, descriptive, and documentary research, the stock market volatility on an annual basis was used as a metric for volatility (dependent variable); internal mechanisms (ownership and control structure, number of members of the administrative and fiscal council) and external mechanisms (B3 governance levels, American Depositary Receipt, and free float) such as corporate governance proxies (independent variable of interest); and control variables (Gross Domestic Product - GDP and others).Originality/Relevance: there is no consensus regarding the way that corporate governance practices affect stock market volatility, when considering the economic context in which the country finds itself, given that different proxies can cause different effects before the market (Li et al., 2013; Litov et al., 2006).Results: it was found that, in general, internal mechanisms have a significant influence in relation to stock market volatility only when analyzed together with the variation in GDP. The external mechanisms, on the other hand, did not show significant influence in relation to the stock market volatility.Theoretical / Methodological Contributions: the discussion about the interaction of corporate governance practices with the volatility in the stock market prices of Brazilian companies is broadened, as well as the different approaches to decision-making when analyzing the internal and external mechanisms of corporate governance in the Brazilian economic contex.

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Faheem Aslam ◽  
Hyoung-Goo Kang ◽  
Khurrum Shahzad Mughal ◽  
Tahir Mumtaz Awan ◽  
Yasir Tariq Mohmand
Keyword(s):  
Stock Market ◽  
Significant Risk ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Physical Damage ◽  
Stock Market Returns ◽  
Switching Model ◽  
The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

Do Lower Foreign Flows and Higher Domestic Flows Reduce Indian Equity Market Volatility?

2021 ◽  
pp. 097226292199098
Author(s):  
Vaibhav Aggarwal ◽  
Adesh Doifode ◽  
Mrityunjay Kumar Tiwary
Keyword(s):  
Stock Market ◽  
Mutual Fund ◽  
Stock Markets ◽  
Large Scale ◽  
Structural Changes ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Equity Investments ◽  
Net Equity ◽  
Indian Stock Market

This study examines the relationship that both domestic and foreign institutional net equity flows have with the India stock markets. The motivation behind is the study to examine whether increased net equity investments from domestic institutional investors has reduced the influence of foreign equity flows on the Indian stock market volatility. Our results indicate that only during periods in which domestic equity inflows surpass foreign flows by a significant margin, as seen during 2015–2018, is the Indian stock market volatility not significantly influenced by foreign equity investments. However, during periods of re-emergence of strong foreign net inflows, the Indian market volatility is still being impacted significantly, as has been observed since 2019. Furthermore, we find that both large-scale net buying and net selling by domestic funds increased the stock market volatility as observed during 2015–2018 and COVID-impacted year 2020 respectively. The implications of this study are multi-fold. First, the regulators should discuss with industry bodies before enforcing major structural changes like reconstituting of mutual fund investment mandate in 2017 which forced domestic funds to quickly change portfolio allocation amongst large-cap, mid-cap and small-cap stocks resulting in higher stock market volatility. Second, adequate investor educational and awareness programmes need to be conducted regularly for retail investors to minimize herd behaviour of investing during market rise and heavy redemptions at times of fall. Third, the economic policies should be stable and forward-looking to ensure foreign investors remain attracted to the Indian stock markets at all times.

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