scholarly journals An Optimal Control Approach to Portfolio Diversification on Large Cap Stocks Traded in Tokyo Stock Exchange

2022 ◽  
Author(s):  
Muhammad Jaffar Sadiq Abdullah ◽  
Norizarina Ishak
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Risk Mitigation ◽  
Portfolio Diversification ◽  
Diversification Strategy ◽  
Optimal Portfolios ◽  
Control Approach ◽  
The Global Financial Crisis ◽  
Naïve Diversification

In this chapter, Markowitz mean-variance approach is proposed for examining the best portfolio diversification strategy within three subperiods which are during the global financial crisis (GFC), post-global financial crisis, and during the non-crisis period. In our approach, we used 10 securities from five different industries to represent a risk-mitigation parameter. In this way, the naive diversification strategy is used to serve as a comparison for the approach used. During the computation process, the correlation matrices revealed that the portfolio risk is not well diversified during non-crisis periods, meanwhile, the variance-covariance matrices indicated that volatility can be minimized during portfolio construction. On this basis, 10 efficient portfolios were constructed and the optimal portfolios were selected in each subperiods based on the risk-averse preference. Performance-wise that optimal portfolio dominated the naïve strategy throughout the three subperiods tested. All the optimal portfolios selected are yielding more returns compared to the naïve portfolio.

scholarly journals The Effect of Sustainable Asymmetric Market Conditions on Returns & Volatility in Stock Markets during a Global Financial Crisis

2021 ◽  
pp. 42-56
Author(s):  
Majid Imdad Khan ◽  
Aftab Ahmad ◽  
Rana Shahid Imdad Akash ◽  
Asif Mahmood ◽  
Ayyaz Ahmad ◽  
...  
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Portfolio Diversification ◽  
Market Conditions ◽  
The Global Financial Crisis ◽  
The Impact

Sustainable asymmetric market conditions’ development and volatility in stock returns play a vital role in investment decisions during a global financial crisis. Rational investment decisions and portfolio diversification can have the optimum returns. However, portfolio diversification through Islamic stock returns is perceived as a model of safer flight than that of conventional stocks. In the present study, the GARCH (1,1) - (Mean and Variance equations) has been employed to predict the impact of asymmetric market conditions on returns and volatility of Islamic stock markets (Dow Jones Islamic Market Malaysia (DJIM), Dow Jones Islamic Market Indonesia (JKII) and Dow Jones World Islamic Index (DJWI) Benchmark), and Conventional stock markets (Shanghai Stock Exchange (SSE-China), Bombay Stock Exchange (BSE-India) and Pakistan Stock Exchange (PSE-Pakistan), during the global financial crisis. The analysis reveals that the bullish effect was higher in all stock markets. Overall results suggested that Islamic stock markets have a sustainable impact of asymmetric market conditions on returns and volatility of Islamic stock markets & conventional stock markets during the global financial crisis. The asymmetric market conditions in stock markets are strongly recommended for economic globalisation during a global financial crisis.

scholarly journals The Investment in Fixed Assets Before and After the Global Financial Crisis (Empirical Study for Industry and Investment Sector in Palestine Stock Exchange)

2021 ◽  
Vol 12 (4) ◽  
pp. 52
Author(s):  
Tamer Bahjat Sabri
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Return On Assets ◽  
Significant Difference ◽  
Fixed Assets ◽  
Before And After ◽  
The Global Financial Crisis ◽  
Investment In Fixed Assets ◽  
Shed Light

This paper seeks to shed light on investment in fixed assets before and after the financial crisis that took place in 2008 and compare the two periods together in the sectors of industry and investment in Palestine Stock Exchange. The period between 2005 – 2007 was chosen to represent to the pre-crisis time and the period between 2010 -2012 was chosen to represent the post-crisis time. The population of the study consists of fifteen organizations from both sectors. To test the hypothesis of the study, the independent samples T-test was employed.The average ratio of fixed assets to the total assets of industry and investment rose from 56.2% before the crisis to 58.5% after the crisis. As for the hypotheses of the study, the findings showed no difference except for the seventh hypothesis. There was a statically significant difference in the ratio of fixed assets to equity between the listed companies that a high return on assets and those that have a low return.

scholarly journals The impact of operating leverage on the capital structure of Johannesburg Stock Exchange-listed firms before and after the 2008 global financial crisis

2018 ◽  
Vol 11 (1) ◽  
Author(s):  
Matabane T. Mohohlo ◽  
Johan H. Hall
Keyword(s):  
Financial Crisis ◽  
Capital Structure ◽  
South African ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Johannesburg Stock Exchange ◽  
The Global Financial Crisis ◽  
Operating Leverage ◽  
The Impact ◽  
The Capital Structure

The financial leverage-operating leverage trade-off hypothesis states that as financial leverage increases, management of firms will seek to reduce the exposure to operating leverage in an attempt to balance the overall risk profile of a firm. It is the objective of this study to test this hypothesis and ascertain whether operating leverage can indeed be added to the list of factors that determine the capital structure of South African firms. Forty-six firms listed on the Johannesburg Stock Exchange between 1994 and 2015 are analysed and the impact of operating leverage is determined. The results are split into two periods, that is, the period before the global financial crisis (1994–2007) and after the global financial crisis (2008–2015). The impact of operating leverage during these two periods is then compared to determine whether a change in the impact of operating leverage on the capital structure can be observed especially following the crisis. The results show that the conservative nature of South African firms leading up to 2008 persisted even after the global financial crisis. At an industry level, the results reveal that operating leverage does not have a noticeable impact on capital structure with the exception of firms in the industrials sector of the South African economy.

scholarly journals Risk management of Islamic banks: A search for empirical evidences

2017 ◽  
Vol 14 (2) ◽  
pp. 8-16
Author(s):  
Sayed M. Fadel ◽  
Jasim Al-Ajmi
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Management Practices ◽  
Global Financial Crisis ◽  
Risk Mitigation ◽  
Balance Sheet ◽  
Islamic Banks ◽  
Risk Levels ◽  
Management Techniques ◽  
The Global Financial Crisis

The objectives of this study are to determine 1) the effect of global economic and financial crisis on risk management, 2) the severity of different types of risk facing Islamic banks, 3) the risk levels of Islamic financial modes, 4) risk assessment techniques, and 5) risk management techniques. The structure of the balance sheet, the nature of Islamic finance instruments and funding sources have a great impact on the level of risk exposure of banks and the instruments. Credit risk is found to be the most serious risk, followed by liquidity risk, market risk and operational risk, in descending order of importance. As for the riskiness of Islamic financing modes, mudarabah is perceived to be the riskiest, followed by musharakah, while murabahah ranked as the least risky mode. Moreover, Islamic banks are found to use traditional risk management techniques more than sophisticated measurements. They also adopt risk mitigation techniques that are used by conventional banks in preference to techniques that are considered to be unique to Islamic banks. This paper is the first to study the risk management practices of Islamic banks operating in Bahrain. It also provides evidence about these practices after the global financial crisis that affected all countries, including Bahrain.

Financial Early Warning System for Risk Detection and Prevention from Financial Crisis

Data Mining ◽  
2013 ◽  
pp. 1559-1590
Author(s):  
Nermin Ozgulbas ◽  
Ali Serhan Koyuncugil
Keyword(s):  
Financial Crisis ◽  
Early Warning ◽  
Financial Distress ◽  
Business Performance ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Warning System ◽  
Chi Square ◽  
Risk Detection ◽  
The Global Financial Crisis

Risk management has become a vital topic for all enterprises especially in financial crisis periods. All enterprises need systems to warn against risks, detect signs and prevent from financial distress. Before the global financial crisis that began 2008, small and medium-sized enterprises (SMEs) have already fought with important financial issues. The global financial crisis and the ensuring flight away from risk have affected SMEs more than larger enterprises When we consider these effects, besides the issues of poor business performance, insufficient information and insufficiencies of managers in finance education, it is clear that early warning systems (EWS) are vital for SMEs for detection risk and prevention from financial crisis. The aim of this study is to develop and present a financial EWS for risk detection via data mining. For this purpose, data of SMEs listed in Istanbul Stock Exchange (ISE) and Chi-Square Automatic Interaction Detector (CHAID) Decision Tree Algorithm were used. By using EWS, we determined the risk profiles and risk signals for risk detection and road maps for risk prevention from financial crisis.

scholarly journals Disclosure on Related Party Transactions: Evidence from Italian Listed Companies

2016 ◽  
Vol 6 (2) ◽  
Author(s):  
Fabrizio Bava ◽  
Melchiorre Gromis di Trana
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Selection Process ◽  
New Economy ◽  
Quantitative Approach ◽  
Regulatory Body ◽  
Related Party Transactions ◽  
The Global Financial Crisis ◽  
Economic Fairness

AbstractRecent shortcomings in corporate affairs, related to the bursting of the New Economy Bubble and the global financial crisis, have forced regulators to strengthen current rules introducing new bans and requirements, aimed at guaranteeing the substantial and economic fairness of related party transactions (RPTs). In 2010 rules regarding RPTs were completely reshaped by the Italian Regulatory Body for the Italian Stock Exchange (CONSOB Regulation no. 17221). One of the most important amendments regarded the change in the criteria by which RPTs are mandatorily disclosed to investors. This change replaces a selection process based on a qualitative with a quantitative approach, in order to reduce the subjectivity of this particular evaluation. This study aims to analyze the effectiveness of the disclosure of RPTs after the introduction of the new rules. Our results show that although the new rules contribute to increasing the amount of information disclosed to investors through a higher number of documents reported by companies, their percentage in relation to the overall amount is worryingly low.

scholarly journals The Effect of Leverage, Receivables Turn Over, Firm Size on Financial Performance at Automotive Companies Listed at the Indonesian Stock Exchange

2020 ◽  
Vol 5 (5) ◽  
pp. 1542-1546
Author(s):  
Thomas Sumarsan Goh ◽  
Melanthon Rumapea ◽  
Nagian Toni
Keyword(s):  
Financial Crisis ◽  
Financial Performance ◽  
Firm Size ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Trade War ◽  
The Global Financial Crisis ◽  
Turn Over

The global financial crisis that starting from end of 2019 until today and the trade war between China and United Stated has brought the effect to the slow down of Indonesian economic. The research aims at studying the effect of leverage, receivables turn over, firm size on financial performance at the automotive companies that have been listing at the Indonesian stock exchange, partially and simultaneously

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