scholarly journals Comportements comparés des marchés boursiers (1974-1979)

2009 ◽  
Vol 57 (2) ◽  
pp. 244-258 ◽  
Author(s):  
Claude Bensoussan
Keyword(s):  
Factor Analysis ◽  
Exchange Rates ◽  
Stock Markets ◽  
Stock Exchange ◽  
Empirical Validation ◽  
Percolation Method ◽  
The World ◽  
Methodological Aspects ◽  
Monthly Variations

ABSTRACT This article begins by pointing out, with regard to the study of stock market behaviour, the dangers of distortion inherent in factor analysis in principal components when applied as a method of grouping. As a follow-on to a preceeding contribution dealing with the period 1959-70 this article develops and clarifies the methodological aspects (dangers of factor analysis, utility of percolation method) within the context of the period 1974-79. The advantage of constituting groups from behaviourally homogenous markets, calculated according to the monthly variations in stock exchange rates of the 13 most important markets, is then analysed. The statistical analysis of links between national stock markets requires prudence as regards the use of notions in which the world stock markets are considered as being a whole, the concept of "economic blocks", indeed the same prudence must be exercised when considering the independence or interdependence of markets and the corresponding generalisations, although the long-term tendency would seem to have been modified since 1974 in a direction favourable to the empirical validation of the concept.

scholarly journals Design of Portfolio using Multivariate Analysis

2022 ◽  
pp. 13-22
Author(s):  
Dr. S. V. Ramana Rao ◽  
Nagendra Marisetty ◽  
B. Lohith Kumar
Keyword(s):  
Factor Analysis ◽  
Multivariate Analysis ◽  
Stock Returns ◽  
Stock Markets ◽  
Correlation Factor ◽  
Individual Investors ◽  
Causality Test ◽  
The World ◽  
Trading Partners ◽  
Portfolio Managers

Stock markets are considered a barometer of the respective country’s economy around the world. Modern portfolio theory advocates diversification for risk management, which helps maintain returns as long as indices around the world are not perfectly correlated. The relationship exists across markets; as a result, co-movement has drawn the attention of individual investors and portfolio managers for the construction of their portfolios to maximize returns for a given level of risk. The study of co-movements provides inputs for portfolio construction and facilitates the identification of markets where indices may move in the same direction or the opposite direction and the country’s stock markets that are not correlated. A review of the literature revealed that statistical tools like Correlation, Factor analysis, and Granger causality test, etc., are some of the tools that can be used to understand co-movements of markets. Alan harper et al. (2012) study used principle component analysis and inferred that Indian stock returns are aligned with its trading partners and concluded that maximizing the investors’ returns by reducing the risk. Tak Kee Hui concluded that factor analysis provides inputs for selecting foreign markets for risk diversification. This study examines the potential for diversification using 22 world stock market indices using multivariate analysis.

scholarly journals THE INFLUENCE OF THE COVID 19 ON THE BET AND WIG20 INDICES. COMPARATIVE ASPECTS

2021 ◽  
Vol 6 (1) ◽  
pp. 87-95
Author(s):  
Catalin Florin Barnut
Keyword(s):  
Stock Markets ◽  
Stock Exchange ◽  
Sustainable Growth ◽  
Long Term Effects ◽  
Negative Effects ◽  
State Institutions ◽  
Medical Sector ◽  
Starting Point ◽  
Warsaw Stock Exchange

The aim of the paper is to assess the effects of the coronavirus pandemic (COVID – 19) on two stock market indices: BET index for Bucharest Stock Exchange and WIG20 index for Warsaw Stock Exchange. The negative effects of the pandemic have had an influence on the performance of the stock markets since its debut. Many companies as well as sectors have ceased their activity during the outbreak, causing devastating financial losses worldwide. By comparing indices evolution during 2020 using the data available on the stock markets’ websites, as well as analyzing in part the companies that make up the indices portfolio, we will try to present the sectors most affected by the pandemic as well as their evolution during the analysis period. The results of this research can be a starting point for future empirical analysis on the long-term effects of the pandemic on stock markets’ performance for Romania and Poland. The results could be a source of information for state institutions, companies, investors, analysts but also representatives of the medical sector (responsible for crisis management) - in order to observe the severity and magnitude of the negative effects of the coronavirus pandemic on the financial markets and also help develop and ensue their long-term sustainable growth.

scholarly journals BovDB: A data set of stock quotes for Machine Learning on all companies from B3 between 1995 and 2020

2021 ◽  
Author(s):  
Fabian Corrêa Cardoso ◽  
Juan Malska ◽  
Paulo Ramiro ◽  
Giancarlo Lucca ◽  
Eduardo N. Borges ◽  
...  
Keyword(s):  
Machine Learning ◽  
Stock Markets ◽  
Stock Exchange ◽  
High Volume ◽  
Financial Resources ◽  
Data Set ◽  
Transaction Data ◽  
Public Data ◽  
The World ◽  
Cumulative Factor

Stock markets are responsible for the movement of huge amounts of financial resources around the world. This market generates a high volume of transaction data, which after being analyzed are very useful for many applications. In this paper we present BovDB, a data set that was built considering as source the Brazilian Stock Exchange (B3) with information related to the years between 1995 and 2020. We have approached the events’ impact on the stocks by applying a cumulative factor to correct prices. The results were compared with public data from InfoMoney and BR Investing, showing that our methods are valid and in accordance with the market standards. BovDB data set can be used as a benchmark for different applications and is publicly available for any researcher on GitHub.

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.

scholarly journals Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models

2021 ◽  
Vol 4 (1) ◽  
Author(s):  
Mohammad Irfan ◽  
Salina Kassim ◽  
Sonali Dhimmar
Keyword(s):  
Event Study ◽  
Stock Markets ◽  
Global Economy ◽  
Stock Exchange ◽  
World Health ◽  
Global Pandemic ◽  
The World ◽  
Socio Economic Impact ◽  
Health Organization ◽  
The Impact

The Covid-19 is an unexpected event in the world history with substantial socio-economic impact on the global economy. The global financial market was also badly affected as reflected by the extreme volatility as well as weak performances in the stock markets all over the world.  How do the Islamic stock markets in various parts of the world behave during the Covid-19 shock? The objective of this study is to identify the impact of the Covid-19 pandemic as declared by the World Health Organization on the Islamic stock markets. Using the threshold volatility and event study models, the study analyses the impact of the Covid-19 announcement on the Islamic stock indices in the Indian Stock Exchange (represented by the Bombay Stock Exchange - BSE Shariah Index) and Indonesian Stock Exchange (represented by the Jakarta Islamic Indices - JII). With the date of event identified as 11th March 2020, the event window consists of 60, 30, and 20 days. The results show that the BSE Shariah and JII have positive coefficients, with the BSE Shariah Index shows negative response to the announcement of Covid-19 as global pandemic. On the other hand, the JII reacted positively to the event. The study shows the reaction of a stock exchange is dependent on other economic factors unique to the country, resulting in the events impact of the Covid-19 to vary from one country to another.

scholarly journals Macroecenomic identification of the pricing factors on the Johannesburg Stock Exchange

1990 ◽  
Vol 21 (1/2) ◽  
pp. 17-26 ◽  
Author(s):  
G. D.I. Barr
Keyword(s):  
Factor Analysis ◽  
Stock Markets ◽  
Stock Exchange ◽  
Analysis Approach ◽  
Economic Factors ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Economic Forces ◽  
Pricing Factors ◽  
Business Confidence

This paper considers the main economic forces which drive the various sectors of the Johannesburg Stock Exchange, over the period 1979-1987. A factor-analysis approach identified these main forces as the price of gold, the short-term rate of interest, the performance of foreign stock markets, and local business confidence. The period considered is broken down into several subperiods in which these economic factors performed differently and where one or other dominated. This enables one to obtain a precise idea of which economic variables move which sectors and when.

scholarly journals Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis

2020 ◽  
Vol 17 (4) ◽  
pp. 202-214 ◽  
Author(s):  
Taufeeque Ahmad Siddiqui ◽  
Haseen Ahmed ◽  
Mohammad Naushad
Keyword(s):  
Financial Markets ◽  
Time Scales ◽  
Time Scale ◽  
Stock Markets ◽  
Stock Exchange ◽  
Stock Index ◽  
The World ◽  
The Uk ◽  
The Impact ◽  
Wavelet Coherency

COVID-19 has impacted the world economy in an unprecedented manner; the financial markets indicate the same. This spontaneous event landed most of the stock markets into extreme volatility. Large capital outflow and extreme rapid fall were seen among almost all the world financial markets. Though similar trend prevailed everywhere during this pandemic, the impact could not be accumulated in absolute terms. Using the data of five stock markets, the current study endeavored to draw an impact of COVID-19 on major stock exchanges. The study uses wavelet coherency analysis on one-year daily data from June 2019 to May 2020 of five stock markets: Bombay Stock Exchange (BSE), London Stock Exchange (LSE), NASDAQ, Tokyo Stock Exchange (Nikkei), and Shanghai Stock Exchange. It is observed that there are time-variation and scale-variation in co-movements between the studied markets. During the crisis, the co-movement concentrates on a short time scale, even for two days. These results have significant implications for international investors, which will help them in portfolio diversification with time elements. All the stock markets under study have indicated co-movement at different time scales and frequencies with varying cross-power levels. However, the concentration of co-movement is found the most between the UK and the US stock markets. It is the least between Japan and the UK. In BSE, co-movement at shorter time scales started late. NASDAQ is leading only in one case, i.e., Shanghai Stock Exchange. BSE is not leading any stock index. LSE is in the leading position in all four cases. It has also been observed that co-movement started to concentrate at a shorter time scale as soon as the impact of the crisis increased.

scholarly journals Co-integration of Karachi Stock Exchange with major South Asian Stock Exchanges

2014 ◽  
Vol 4 (1) ◽  
pp. 106
Author(s):  
Salleh Nawaz Khan ◽  
Mohamad Saad Aslam
Keyword(s):  
Stock Market ◽  
South Asia ◽  
South Asian ◽  
Stock Markets ◽  
Stock Exchange ◽  
Stock Exchanges ◽  
Cross Listing ◽  
The World ◽  
The Subject ◽  
China And Japan

International cross  listing have   amplified  the interest of  academics   and  investors  to the subject  of  co movement among  the  stock  markets of  the world . This  study  investigates the co integration of  Pakistan stock exchange (KSE 100 index) with  major stock exchanges of south Asia . The results reveals that there is no co integration  of  Pakistan’s stock  market  (KSE100  index)  with china and  Japan stock markets.  However   there  is co integration of Pakistan’s stock market (KSE 100 index) with the stock market of India, Indonesia, Malaysia and Singapore. 

scholarly journals A study on Co-integration of Pakistani Stock Market with selected Asian Stock Markets

2014 ◽  
Vol 1 (4) ◽  
pp. 18-24
Author(s):  
Anjum Shezad ◽  
Farzand Ali Jan ◽  
Saqib Gulzar ◽  
M. Akram Ansari
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Equity Markets ◽  
Stock Index ◽  
Taiwan Stock Exchange ◽  
Integration Test ◽  
Short Run

Pakistani Equity Market has seen many ups and downs since the last two decades. The local investors are feeling themselves much insecure in indigenous investment. The reasons behind are political instability, severe power crises and terrorism which compelled the local investors to go across boarder and need to explore the multiple option of investment in international securities to minimize the investment risk. The main purpose and scope of this study is to explore causal and dynamic linkages of Karachi Stock Exchange, KSE-100 index (Pakistan) with emerging stock markets of Nikkei-225 (Japan), Shanghai Stock Exchange, SSE (China), Kuala Lumpur Stock Exchange, KLSE (Malaysia) and Taiwan Stock Exchange Corporation, TSEC Taiwan. The most recent data is taken from January, 2001 to December, 2013. Monthly stock index observations are taken. Descriptive statistics, Correlation Analysis, Unit Root Test, VAR, Co-integration Test, VECM Test are used to identify the presence of short-term as well as long-term associations. Empirical results indicate that KSE-100 is a volatile market and have suitable level of returns. Moreover, KSE-100 index has not long-term relationship with Japan, Malaysia, Taiwan and China but Taiwan, China and Japan has short run relationships to KSE. The findings conclude that there is a further need of future study to explore the factors of economic integration amongst these equity markets. The study overall exhibits awareness not only for economic and financial decision makers but also for international as well as regional investors about the benefit opportunities of portfolio diversification in these equity markets, funds management and trends of the stock market.

Growing Russian Economy against Growing External Tension

2012 ◽  
pp. 4-32
Author(s):  
I. Borisova ◽  
B. Zamaraev ◽  
A. Kiyutsevskaya ◽  
A. Nazarova ◽  
E. Sukhanov
Keyword(s):  
Economic Growth ◽  
Stock Markets ◽  
Negative Effects ◽  
Russian Economy ◽  
Investment Demand ◽  
The World

Conditions and features of the Russian economy development in 2011 are considered in the article. Having caused unprecedented outflow of the capital abroad, rising tension and turbulence on the world financial and stock markets have not broken off recovery of the Russian economy. Crisis recession was overcome. Record-breaking low inflation, rapid credit restoration and active government adjustment neutralized negative effects of the external tension and supported economic growth, having encouraged consumer and investment demand.

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