scholarly journals Testing of portfolio optimization through investments in stock market indices and Bitcoin

2021 ◽  
Vol 69 (6-7) ◽  
pp. 318-332
Author(s):  
Miloš Grujić ◽  
Boško Mekinjić ◽  
Dragana Vujičić-Stefanović
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Institutional Investors ◽  
Stock Exchange ◽  
Optimization Theory ◽  
Portfolio Theory ◽  
Modern Portfolio Theory ◽  
Markowitz Model ◽  
Advantages And Disadvantages ◽  
Markowitz Portfolio

This paper presents an empirical verification of the effectiveness and usefulness of investment diversification using the main stock exchange indices and Bitcoin. The objective is to determine the effects applying the Markowitz portfolio optimization theory, i.e., the advantages of applying the modern portfolio theory for institutional investors. The research offers an answer to the following question: what are the advantages and disadvantages of using Bitcoin in portfolio optimization? The paper contributes to the representation of the reach and limitations of the modern portfolio theory for institutional investors. The conclusion is that rational behaviour of institutional investors requires consideration of portfolio optimization using the Markowitz model, because it is possible to create portfolios which, on the basis of historical returns, provide desired returns alongside certain risks. The methodology includes the analysis of high frequency data, i.e., daily trading data were used. The results indicate that the use of the Markowitz portfolio selection method, with all its limitations, is desirable, possible and applicable, but that it entails serious flaws in the sense of neglecting transaction costs, foreign exchange differences and the real value in the stock market. The results of the research show that Bitcoin is a good source of diversification in a portfolio that contains traditional financial instruments both for the risk-averse investor as well as for those investors who have a greater appetite for risk. The conclusion is that rational behavior of institutional investors requires consideration of investing in Bitcoin using the Markowitz model. However, given the high degree of volatility, investors should be very careful when making decisions about including Bitcoin in the portfolio.

scholarly journals Bitcoin: its influence on the global World and its relationship with the stock exchange

2018 ◽  
pp. 54-72
Keyword(s):  
Stock Market ◽  
Linear Correlation ◽  
Stock Exchange ◽  
Strong Relationship ◽  
Technological Infrastructure ◽  
Economic Agents ◽  
Advantages And Disadvantages ◽  
Technological Advances ◽  
Market Indexes ◽  
Global World

The new technological advances have brought a revolution on how economic agents interact with society and markets. Nowadays, the use of virtual currencies is more frequent in the financial transactions and bitcoin has been defined as the most important world cryptocurrency due to its high market capitalization and its technological infrastructure. Several studies have been conducted to discuss bitcoin advantages and disadvantages; however, few papers in literature have examined its connection and influence on the stock market. The objective of this paper is precisely cover this gap. Firstly, by providing tools and concepts to understand bitcoin’s dynamic, and then determining its relationship with stock market indexes. In that context, this manuscript examines the definition and function of bitcoin in the global world and its presence in Ecuador. Besides, exploratory and visual analyses are provided using the evolution of bitcoin and other market indexes. Finally, a linear correlation is computed between bitcoin, other cryptocurrencies, stock exchange indexes and commodities. The results in this study, employing visual and statistical analyses, demonstrated that bitcoin has: a strong relationship with other cryptocurrencies; a lineal correlation, not as strong as the previous one, with the main stock market indexes; and no linear correlation with commodities.

scholarly journals A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs

2018 ◽  
Vol 12 (1) ◽  
pp. 4 ◽  
Author(s):  
Giorgio Arici ◽  
Marco Dalai ◽  
Riccardo Leonardi ◽  
Arnaldo Spalvieri
Keyword(s):  
Transaction Costs ◽  
Portfolio Optimization ◽  
Matched Filter ◽  
Portfolio Theory ◽  
Portfolio Allocation ◽  
Short Sales ◽  
Modern Portfolio Theory ◽  
Filter Theory ◽  
Short Sale ◽  
Unified Method

Modern Portfolio Theory is the ground upon which most works in portfolio optimization context find their foundations. Many studies attempt to extend the Modern Portfolio Theory to include short sale, leverage and transaction costs, features not considered in Markowitz’s seminal work from 1952. The drawback of such theories is that they complicate considerably the simplicity of the original technique. Here, we propose a simple and unified method, which takes inspiration from, and shows connections with the matched filter theory in communications, to evaluate the best portfolio allocation with the possibility of including a leverage factor and short sales. Finally, we extend the presented method to also consider the transaction costs.

scholarly journals The Moderating Role of Information Asymmetry in the Relationship between Stock Market Liquidity and Institutional Investors: A Case of Textile Sector in Pakistan Stock Exchange

2019 ◽  
Vol IV (I) ◽  
pp. 10-18
Author(s):  
Muhammad Arif
Keyword(s):  
Stock Market ◽  
Information Asymmetry ◽  
Institutional Investors ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Significance Level ◽  
Stock Market Liquidity ◽  
Role Of Information ◽  
Textile Sector

The study focused on the moderation role of information asymmetry (IA) that plays a vital role between Stock market liquidity (SML) and Institutional investors (I.I) in textile sector of Pakistan stock exchange (PSX). Among total population of 155 companies, a sample of 150 textile companies is chosen with the help of convenient sampling technique for a period of 10 years (2009-2018). The results of Pre-moderation panel data regression analysis show that there is insignificant effect of I.I on SML while size (SZ), leverage (LEV) and growth (GR) have significant effect on SML. Further, post-moderation effect of IA, which is the uniqueness of the study, indicates a stronger significant effect of SZ, LEV and GR on SML as compare to pre-moderation regression results, which evident that IA do has a significant role between explanatory variables and SML. The results of the study are supporting the signaling theory on the base of moderation of IA that increases the significance level between I.I and SML.

scholarly journals Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange

2021 ◽  
Vol 18 (2) ◽  
pp. 273-286
Author(s):  
Le Tuan Anh ◽  
Dao Thi Thanh Binh
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Gaussian Copula ◽  
Optimal Portfolios ◽  
Empirical Results ◽  
Portfolio Strategy ◽  
T Copula ◽  
Mean Variance

This paper studies how to construct and compare various optimal portfolio frameworks for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the Vietnamese stock market. The study contains a census of the top 43 companies listed on the Ho Chi Minh stock exchange (HOSE) over the ten-year period from July 2010 to January 2021. Optimal portfolios are constructed using Mean-Variance Framework, Mean-CVaR Framework under different copula simulations. Two-thirds of the data from 26/03/2014 to 27/1/2021 consists of the data of Vietnamese stocks during the COVID-19 recession, which caused depression globally; however, the results obtained during this period still provide a consistent outcome with the results for other periods. Furthermore, by randomly attempting different stocks in the research sample, the results also perform the same outcome as previous analyses. At about the same CvaR level of about 2.1%, for example, the Gaussian copula portfolio has daily Mean Return of 0.121%, the t copula portfolio has 0.12% Mean Return, while Mean-CvaR with the Raw Return portfolio has a lower Return at 0.103%, and the last portfolio of Mean-Variance with Raw Return has 0.102% Mean Return. Empirical results for all 10 portfolio levels showed that CVaR copula simulations significantly outperform the historical Mean-CVaR framework and Mean-Variance framework in the context of the Vietnamese stock exchange.

scholarly journals The Impact of the European Financial Integration Process and Other International Tendencies on the Romanian Stock Market

2010 ◽  
Author(s):  
Alina Sargu
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Financial Integration ◽  
Stock Exchange ◽  
Financial System ◽  
Financial Innovation ◽  
Integration Process ◽  
The Impact ◽  
European Financial Integration

The study presents in a comprehensive way the effects that deregulation, internationalisation, integration, financial innovation and the development of the institutional investors have had on the Romanian stock market. Using dates provided by several relevant sources on the field, like the Bucharest Stock Exchange or Intercapital, we have established in which extent these tendencies emerged on the Romanian stock market and if our stock market has already reached the point where it will be able to fully integrate itself in the European financial system.

Information sources and investing decisions – a path modeling approach

2017 ◽  
Vol 43 (8) ◽  
pp. 928-947 ◽  
Author(s):  
Mohammad Tariqul Islam Khan ◽  
Siow-Hooi Tan ◽  
Lee-Lee Chong
Keyword(s):  
Information Processing ◽  
Stock Market ◽  
Institutional Investors ◽  
Information Sources ◽  
Stock Exchange ◽  
Information Source ◽  
Limited Information ◽  
Sources Of Information ◽  
Path Modeling ◽  
Content Type

Purpose Given the special feature of institutional investors in Malaysia, the purpose of this paper is to explore how these investors acquire and employ different information sources in their investing decisions. Design/methodology/approach The study uses self-reported information sources collected via a survey of 66 institutional investors following convenience sampling, and estimates the relationship via Smart-PLS (Partial Least Squares) path modeling. Findings The results suggest that although investors place greater importance on fundamental and technical indicators, they do not implement these information sources in their decisions. Rather, gathering information from economic statistics and ratios, discussion with colleagues, historical returns of the Malaysian stock market, decisions of other market players, specialized press and stock exchange bulletins, and statements of opinion leaders are more closely related to trading, risk taking, and financial asset holding. This finding supports the limited information processing of bounded rationality, irrespective of the type of information source. Practical implications Institutional investors should critically assess the information sources upon which they rely to collect information as irrational information processing may adversely affect the stock market efficiency. Originality/value To the authors’ knowledge, this is the first study to explore the unique features of institutional investors in Malaysia in conjunction with their sources of information, and to identify which sources matter when making investing decisions.

scholarly journals Financial performance of investment funds as members of Tehran stock exchange

2015 ◽  
Vol 3 (2) ◽  
pp. 105
Author(s):  
Marzieh Jamdar
Keyword(s):  
Financial Performance ◽  
Mutual Funds ◽  
Significant Relationship ◽  
Stock Exchange ◽  
Portfolio Theory ◽  
Performance Rating ◽  
Investment Funds ◽  
Modern Portfolio Theory ◽  
Asset Value

<p>In this research, the financial performance of investment funds as members of Tehran Stock Exchange was measured based on the Modern Portfolio Theory (MPT) measures including Sharpe's, Jensen's, Treynor's and Modigliani's measures. The performance rating of investments was also compared based on the above measures and the relation of any fund's rank with the related measures was examined. Overall, 32 mutual funds were evaluated during 2011-12. The results showed that the net growth percentage of any in-vestment unit's asset value is directly and strongly related to the growth percentage of Sharpe's, Jensen's and Modigliani's measures, but the net growth percentage of any investment unit's asset value is weakly and inversely related to Treynor's measure. The funds' ranks were not also the same based on the abovementioned measures, but there is only a significant relationship between their ranks.</p>

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