scholarly journals Fractal Markets, Frontiers, and Factors

2021 ◽  
Vol 12 (5) ◽  
pp. 104
Author(s):  
Wilhelm Berghorn ◽  
Martin T. Schulz ◽  
Sascha Otto
Keyword(s):  
Stock Market ◽  
Mathematical Analysis ◽  
Stock Markets ◽  
Asset Returns ◽  
Alternative View ◽  
Efficient Markets ◽  
Market Data ◽  
Multi Scale ◽  
Finance Theory ◽  
Asymptotically Efficient

We develop an alternative view to the modern finance theory that essentially suggests equilibria in efficient markets by taking a risk-based view of asset returns in stock markets. Based on a mathematical analysis of stock market data using multi-scale approaches, we will alternatively describe markets and factors as trend-based fractal processes and analyze well-known factor premiums, which leads to a return-based view of markets and a model of investors reacting to market environments. We conclude that markets could be viewed alternatively as fractal, non-stationary and, at most, asymptotically efficient.

scholarly journals Impact of Covid-19 in Bangladesh Stock Market

2020 ◽  
Vol 4 (2) ◽  
pp. 22-23
Author(s):  
Sunjida Haque ◽  
Tanbir Ahmed Chowdhury
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Potential Consequence ◽  
Economic Activities ◽  
Market Data ◽  
Policy Interventions ◽  
The World ◽  
Before And After ◽  
The Impact

The world's big economies are roiled and going under a devastating threat amid the impact of the COVID-19 pandemic. No country will be safe as this virus will eventually outbreak everywhere, regardless of how countries prepare to avoid it. The economic ramification as well as the stock market crisis will be uncertain due to the extended suspension of economic activities in almost every country. No wonder, the clattered stock markets of Bangladesh which have already got the adjective of “the worst stock market in the world” because of inefficient and irrational fluctuations in previous years will experience a colossal crisis due to the pandemic. The article provides an investigation on comparable analysis of the impact on stock markets of Bangladesh, Dhaka stock exchange, and Chittagong stock exchange, before and after the pandemic situation with current market data. We also examine the potential consequence of policy interventions to the market and the investors during a pandemic.

Relevance and evolution of adaptive markets hypothesis: a review

2016 ◽  
Vol 8 (3) ◽  
pp. 166-179 ◽  
Author(s):  
Raj S. Dhankar ◽  
Devesh Shankar
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Design Methodology ◽  
Efficient Market Hypothesis ◽  
Efficient Markets ◽  
Informational Efficiency ◽  
Market Behavior ◽  
Efficient Market ◽  
Content Type ◽  
Dynamic Perspective

Purpose The purpose of this paper is to discuss the relevance and evolution of adaptive markets hypothesis (AMH) that has gained traction in the recent years, as it provides a dynamic perspective to the concept of informational efficiency. Design/methodology/approach This paper discusses several issues related to the concept of informationally efficient markets that have indicated efficient market hypothesis to be an incomplete portrayal of stock market behavior. Findings The authors find that a strict and perpetual adherence to informational efficiency is highly unlikely, and AMH provides a much more plausible description of the behavior of stock markets. Originality/value The authors provide a description of studies that examine the testable implications of AMH.

Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

2015 ◽  
Vol 11 (1) ◽  
pp. 13
Author(s):  
Elfa Rafulta ◽  
Roni Tri Putra
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Data ◽  
International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets

2021 ◽  
pp. 097226292098395
Author(s):  
Manu K. S. ◽  
Surekha Nayak ◽  
Rameesha Kalra
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Developing Economies ◽  
Positive Impact ◽  
Global Market ◽  
Stock Market Integration ◽  
Developed Economies ◽  
Market Participants ◽  
Causality Tests

The focus of this article is to analyse the inter-linkages between eight leading stock markets in Asian continent from the period of July 2011 to February 2018. This period holds relevance as this was the time when Recession 2.0 set in, which adversely affected the developed economies; however, the developing economies withstood the crisis without much of an impact. Co-integration and Granger causality tests were conducted to probe the inter-linkages. Study revealed a positive impact on Asian stock market indices collectively on each of the indexes. The highest number of unidirectional causalities was to KOPSI and NIFTY from rest of the stock indices. Results confirmed that no co-integration relationship existed among the selected indices indicating favourable diversification opportunities. Thus, the study fosters global market participants and policymakers to consider the nitty-gritties of stock market integration so as to benefit from international stock market diversification in the Asian region.

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.

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.

Sign in / Sign up

Export Citation Format

Share Document