scholarly journals On The Dynamic Dependence Between Oil Prices and Stock Market Returns: A Copula-GARCH Approach

2019 ◽  
Vol 9 (1) ◽  
pp. 414
Author(s):  
Mondher Kouki ◽  
Samia Ben Massoud ◽  
Achouak Barguellil
Keyword(s):  
Stock Returns ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Market Returns ◽  
Copula Functions ◽  
Stock Market Returns ◽  
Asset Return ◽  
Asset Pricing Model ◽  
Conditional Dependence ◽  
Show Evidence

This article investigates the conditional dependence structure between crude oil price and stock returns markets. Our empirical analysis relies on an asset pricing model that accommodates the asset return dependence through the copula functions. The obtained results indicate the superiority of our approach and show evidence of significant tail dependence of the returns in unstable financial environment.

scholarly journals Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study

2018 ◽  
Author(s):  
Yiguo Sun ◽  
Ximing Wu
Keyword(s):  
Tail Dependence ◽  
Dependence Structure ◽  
Market Returns ◽  
Dependence Relation ◽  
Feedback Effects ◽  
Conditional Dependence ◽  
Market Return ◽  
Volatility Index ◽  
Copula Method ◽  
Volatility Feedback

This paper studies the contemporaneous relationship between S&P 500 index returns and log-increments of the market volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate how the dependence between the two series varies across different segments of the market return distribution. We find that: (a) the two series exhibit strong, negative, extreme tail dependence; (b) the negative dependence is stronger in extreme bearish markets than in extreme bullish markets; (c) the dependence gradually weakens as the market return moves toward the center of its distribution, or in quiet markets. The unique dependence structure supports the VIX as a barometer of markets' mood in general. Moreover, applying the proposed method to the S&P 500 returns and the implied variance (VIX²), we find that the nonparametric leverage effect is much stronger than the nonparametric volatility feedback effect, although, in general, both effects are weaker than the dependence relation between the market returns and the log-increments of the VIX.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Weather, investor psychology and stock returns: evidence from Fiji's stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janesh Sami
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Sunshine Duration ◽  
Market Returns ◽  
Modeling Framework ◽  
Stock Market Returns ◽  
Content Type ◽  
Asset Pricing Models ◽  
Weather Changes ◽  
Practical Implications

PurposeThis paper investigates whether weather affects stock market returns in Fiji's stock market.Design/methodology/approachThe author employed an exponential general autoregressive conditional heteroskedastic (EGARCH) modeling framework to examine the effect of weather changes on stock market returns over the sample period 9/02/2000–31/12/2020.FindingsThe results show that weather (temperature, rain, humidity and sunshine duration) have robust but heterogenous effects on stock market returns in Fiji.Research limitations/implicationsIt is useful for scholars to modify asset pricing models to include weather-related variables (temperature, rain, humidity and sunshine duration) to better understand Fiji's stock market dynamics (even though they are often viewed as economically neutral variables).Practical implicationsInvestors and traders should consider their mood while making stock market decisions to lessen mood-induced errors.Originality/valueThis is the first attempt to examine the effect of weather (temperature, rain, humidity and sunshine duration) on stock market returns in Fiji's stock market.

Effects of Daylight-Saving Time Changes on Stock Market Returns and Stock Market Volatility: Rebuttal

2013 ◽  
Vol 112 (1) ◽  
pp. 89-99 ◽  
Author(s):  
Mark J. Kamstra ◽  
Lisa A. Kramer ◽  
Maurice D. Levi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daylight Saving Time ◽  
Daylight Saving ◽  
Time Changes ◽  
Saving Effect

In a 2011 reply to our 2010 comment in this journal, Berument and Dogen maintained their challenge to the existence of the negative daylight-saving effect in stock returns reported by Kamstra, Kramer, and Levi in 2000. Unfortunately, in their reply, Berument and Dogen ignored all of the points raised in the comment, failing even to cite the Kamstra, et al. comment. Berument and Dogen continued to use inappropriate estimation techniques, over-parameterized models, and low-power tests and perhaps most surprisingly even failed to replicate results they themselves reported in their previous paper, written by Berument, Dogen, and Onar in 2010. The findings reported by Berument and Dogen, as well as by Berument, Dogen, and Onar, are neither well-supported nor well-reasoned. We maintain our original objections to their analysis, highlight new serious empirical and theoretical problems, and emphasize that there remains statistically significant evidence of an economically large negative daylight-saving effect in U.S. stock returns. The issues raised in this rebuttal extend beyond the daylight-saving effect itself, touching on methodological points that arise more generally when deciding how to model financial returns data.

scholarly journals The Sensitivity of Central Bank Interest Rate on Commercial Banks’ Stock Market Returns in Kenya

2021 ◽  
Vol 7 (5) ◽  
pp. p72
Author(s):  
Micah Odhiambo Nyamita ◽  
Martine Ogola Dima
Keyword(s):  
Interest Rate ◽  
Central Bank ◽  
Interest Rates ◽  
Stock Returns ◽  
Commercial Banks ◽  
Secondary Data ◽  
Market Returns ◽  
Cross Sectional ◽  
Stock Market Returns ◽  
Panel Data Regression

Commercial banks occupy a significant position in the transmission of monetary policy through the financial market. Furthermore, commercial banks have assets and liabilities which are interest rate sensitive, and their stock returns are believed to be particularly responsive to changes in the central bank base lending rates. Therefore, this study investigated the sensitivity of central bank interest rate changes on stock returns of listed commercial banks in Kenya for nine year period, from 2006 to 2014. The study used a hybrid of cross sectional and longitudinal quantitative surveys method, applying GMM panel data regression model on the secondary data from the 11 listed commercial banks in Kenya. The study found out that there is a significant strong positive sensitivity of average annual changes in central bank interest rates (CBR) on the stock returns of the listed commercial banks in Kenya, from 2006 to 2014, measured using CAPM. Hence, listed commercial banks’ managers in Kenya should monitor, keenly, the changes in the central bank interest rates and make investor related decisions accordingly.

scholarly journals A COPULA-BASED APPROACH TO INVESTIGATE VERTICAL SHOCK PRICE TRANSMISSION IN THE ITALIAN HOG MARKET

New Medit ◽  
2019 ◽  
Vol 18 (1) ◽  
pp. 3-14
Author(s):  
Fabian Capitanio ◽  
Felice Adinolfi ◽  
Barry K. Goodwin ◽  
Giorgia Rivieccio
Keyword(s):  
Supply Chain ◽  
Extreme Events ◽  
Value Chain ◽  
Tail Dependence ◽  
Price Transmission ◽  
Dependence Structure ◽  
Copula Functions ◽  
Price Changes ◽  
Positive Shock ◽  
The Relationship

It is a stylized fact that the Italian farmers do not benefit of casual structure along value chain. Conversely, retailers could advantage of any positive shock price changes occurred in the wholesale supply chain. We investigate the presence of shock price vertical contagion in the Italian hog market, describing the dependence structure along the supply chain and assessing the degree of extreme value dependence. The approach followed is non linear and copula-based, applied on weekly data of hog price changes referred to Italian farm, wholesale and retail branch chain, over the period 1994-2015. In particular, the objective of the analysis consists in to obtain a measure of the relationship between extreme events of returns, estimating the tail dependence coefficients of copula functions involved in the analysis. The empirical findings highlight the asymmetry of price transmission along the hog Italian supply chain, more relevant for wholesale–retail pair.

scholarly journals Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Isiaka Akande Raifu ◽  
Terver Theophilus Kumeka ◽  
Alarudeen Aminu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Estimation Methods ◽  
Panel Var ◽  
Impulse Response Functions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Long Run ◽  
Policy Shocks

AbstractGiven the effects COVID-19 pandemic on the financial sectors across the world, this study examined the reaction of stock returns of 201 firms listed in the Nigerian Stock Exchange to the COVID-19 pandemic and lockdown policy. We deployed both Pooled OLS and Panel VAR as estimation methods. Generally, the results from POLS show the stock market returns of the Nigerian firms reacted negatively more to the global COVID-19 confirmed cases and deaths than the domestic COVID-19 confirmed cases and deaths and lockdown policy. The results of the impulse response functions revealed that the effects of COVID-19 confirmed cases and deaths and lockdown policy shocks on stock returns oscillate between negative and positive before the stock market returns converge to the equilibrium in the long run. The FEVD results showed that growth in the COVID-19 confirmed cases, deaths and lockdown policy shocks explained little variations in stock market returns. Given our finding, we advocate for the relaxation of policy of lockdown and the combine use of monetary and fiscal policies to mitigate the negative effect of COVID-19 pandemic on stock market returns in Nigeria.

scholarly journals Measuring Stock Market Predictability with Implications of Financial Ratios: An Empirical Investigation of Pakistan Stock Market

2020 ◽  
Vol 12 (2) ◽  
Author(s):  
Abdul Samad Shaikh ◽  
Muhammad Kashif ◽  
Sadia Shaikh
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Strong Predictor ◽  
Generalized Least Squares ◽  
Financial Ratios ◽  
Arbitrage Pricing Theory ◽  
Market Returns ◽  
Stock Market Returns ◽  
Study Results

This paper investigates the financial ratios prediction on Stock Market Returns for Pakistan Stock Exchange. The research includes three financial ratios; Dividend Yield (DY), Earning Yield Ratio (EYR) and Book-to-Market Ratio (B/M); that have been observed through past researchers as predictors of Stock Market Returns. The theoretical framework is based on Arbitrage Pricing Theory and Capital Asset Pricing Model CAPM by Roll and Ross (1977) and Fama-French 3 factor (1992). Generalized Least Squares (GLS) is applied to estimate the predictive regressions, Cointegration runs are applied to evaluate the long-term relationship, and Generalized Methods of Moments (GMM) to measure the moments over the years and fluctuations in stock returns. The study results show financial ratios as strong predictor of stock return in Pakistan Stock Exchange, the GMM analyses reveal that the EYR has the higher predictive power than DY and B/M respectively. Furthermore, it is found that the financial ratios predictability is enhanced when ratios are combined in the multiple predictive regression models. The research findings are useful for the stock market investors to evaluate their decisions and for academic researchers to evaluate the stock market and investment predictability.

scholarly journals FACTORS DETERMINING STOCK MARKET RETURNS: CASE OF NAIROBI STOCK EXCHANGE

2016 ◽  
Vol 1 (1) ◽  
pp. 108
Author(s):  
Samson Okoth Ondiek ◽  
Dr. Ongoro
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Significant Relationship ◽  
Unique Contribution ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Book Value ◽  
Company Stock ◽  
The Government

AbstractPurpose: The study attempts to establish if the changing macroeconomic factors and the industry variables can predict the variation on the Nairobi Security Exchange stocks return Methodology: It adopted a regression model that related stock returns to various selected macro and micro economic factors and used data of 20 companies that constitute the NSE index. The study used monthly data spanning the year 2006 to 2010.Results: The regression results indicate that, four of the variables i.e. market return (NSEI), exchange rate for US/KSH, market to book value ratio have a positive and significant relationship with an individual company stock market returns. Risk Free rate (91 Treasury bill rate) also had a positive and significant relationship while industrial growth opportunity and inflation were found to be negative and significant. leverage on the other hand was found to be insignificant and therefore does not influence individual company stock market returns. Unique contribution to theory, practice and policy: These findings will have significant effects on investors’ investment decisions making as well as the Government and the capital markets authority (CMA) in the formulation of polices and guidelines. Once factor betas are estimated, we can describe the expected change in security returns with respect to changes in a given factor and thus giving the investors, CMA and the Government a better understanding on the effect of a change in the fiscal and monetary policies in the stock market. This is crucial to the Government as it seeks to promote the capital market as a source of alternative funding for economic growth. Investors wishing to construct portfolios should also consider the trends of the inflation rates, exchange rates, market to book value ratio, industrial production and the stock market.  The rise of either of this micro and macroeconomic indicators may influence the returns positively or negatively and hence the investor may choose the best time to either buy or sell their securities

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