Is Quantile Connectedness Flexible or Uniform Under Catastrophic Tenure? Insights into ESG Investing and Financial Markets in the Quad Nations

India has much less exposure in the stock market integration literature until recently. Given India’s fast-growing economic influence, research on the Indian stock market still seems to be inadequate and needs further investigation. The present study extends the existing stock market integration literature in the following ways. First, to provide further evidence, we examine the dynamic price linkages and interdependence between the stock market of India and that of the U.S., U.K., Japan, Singapore, Honk Kong, Malaysia, South Korea, Taiwan, and China using daily stock price indices data covering the period January 2, 2001 to November 28, 2008. Second, this research examines examine the long-term and short-term dynamic relationship among the stock prices using Johansen-Juselius cointegration, vector error correction model and Granger causality test. Additionally, the innovation accounting analysis is conducted to further investigate the interactions between the Indian markets and others world markets. And lastly, the results from this research provide implications regarding international diversification and market efficiency that are important for investors and fund managers who are interested in investing in these markets. From the study, we can conclude that, Indian market is having a cointegrating relationship with US financial market. But relationship with other financial markets is not well established.

The article examines the role and importance of the financial market in the modern economic system. It is determined that the financial market is one of the spheres of market economic relations, the specificity of which is that the object of sale is financial funds. It was found that in the early stages of financial relationship development, financial asset purchase and sale agreements were concluded directly between the owner and the consumer of capital. However, as the world's wealth and scale of production grows, the volume of such agreements has increased substantially, and the conditions for their implementation have become more difficult. It is noted that the financial market consists of two fundamentally different areas - the securities market and the bank loan market. It has been investigated that corporations are one of the subjects of the financial market. They act on it as large issuers, sellers of their securities and large investors who invest their temporarily free funds in financial assets. As an issuer, the corporation acts on the financial market as a debtor-borrower as an investor - a lender-lender. In the financial market, the corporation functions as a net borrower. It is established that the corporation is active in all spheres and segments of the financial market: in the money and stock markets, in the market of bank loans, in the primary and secondary markets, in the stock and over-the-counter markets. Market choice is determined by the operational and strategic goals that corporate financial managers set for themselves. In the money market, the corporation acts as an issuer of short-term securities, in the market of bank loans - a borrower of short-term capital in order to mobilize short-term funds to finance working (working) capital. In the stock market, it issues long-term securities in order to finance long-term development projects. It is noted that the main advantage of a large corporation as a form of business organization is the ease of transferring ownership rights and the relatively quick receipt of additional cash through the issue of new shares. This advantage is realized in the financial (stock) market, which plays an important role in corporate financing of economically developed countries. The conclusions about the role and importance of the corporation's activity in the financial market have been made.

Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks

The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the impact of exogenous financial variables on financial markets. The stock market is an important part of the financial market and plays an important role in the overall economy. Information asymmetry is common and has a certain degree of impact on investors’ returns. However, many scholars believe that the problem of information asymmetry in China has seriously negatively impacted investors, forming an unsustainable state. At present, there are still many problems in the Chinese stock market, especially the stock market fraud, which brings great challenges to the sustainable development of the stock market. Based on the idea of the STCC model, it is assumed that the Copula parameter is affected by the exogenous variables and the time-varying dynamic Copula model-ST-VCopula model is established. Based on the model, the influence of market volatility (VIX index) on the stock market is explored and then the stock index data of several countries are empirically analyzed. The empirical results show that the VIX index has a significant impact on the linkage between stock markets. The VIX index is easy and more intuitive to obtain, providing another way for the dynamic linkage research between the market, which can provide investors with some guidance and advice when conducting financial activities such as diversification.

Stock markets are the main source of financial fragility and the spillover effect due to the high level of connectedness. This study focuses on the connectedness between the Japanese stock market and the major Western stock market indices by performing time and frequency-domain connectedness analysis for the period between 4 January 2002, and 29 September 2020. The time-domain analysis shows that there is a high connectedness among stock market indices, and the net transmitter indices are SPX and AEX while net receiver indices are AORD and N225. The frequency-based analysis highlights that the connectedness between markets in the long term contains more information in contrast to short and medium terms. Similar to time-domain results, SPX is the net transmitter and N225 is the net receiver market indices in long term. Moreover, the dynamic analysis results illustrate the turbulent times of the volatility spillover in the long term with high and short-medium run with low spillover index. Dynamically, time-domain and long-term frequency-domain frameworks’ findings give similar time variation illustrations.

Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?

Tracing dynamic linkages and spillover effect between Pakistani and leading foreign stock markets

Analysis and understanding of financial market principles are important for effective financial management both for individual investors and for the economy at the national and global levels. One of the key theoretical approaches to the study of financial markets is the efficient market hypothesis (EMH), according to which asset prices reflect all available information at once, so it is impossible to obtain excess profits using only public information. At the same time, the research focuses more on the influence of behavioral factors, which emphasize the role of psychological and emotional aspects in making investment decisions. The purpose of the article is to study the peculiarities of the functioning of the financial services market, taking into account the hypothesis of an efficient market and behavioral effects, as well as to identify the impact of psychological factors on investment decision-making and market dynamics. The object of research is the behavior of financial market participants. A number of research methods were used in the work on the research: analysis of scientific sources, research of historical data of the financial services market, statistical methods, quantitative analysis of behavioral effects and models of behavioral economics. The "December rally" effect has been studied and described as a phenomenon where financial markets, particularly stock markets, tend to show positive changes during December, and the January effect, when financial markets tend to show certain patterns or changes during January, the first month of the new year. The impact of the "Santa Claus Rally" effect is summarized, which describes a significant and rapid increase in market prices and indicates a rapid increase in stock indices during the New Year holidays. Statistical trends related to the day-of-the-week effect on stock exchanges have been identified, including explanations for fluctuations at the beginning of the week (Monday) and at the end of the week (Friday). The cyclicality of the stock market is described depending on the presidential elections in the country and the following years, when the stock markets show certain regularities during the four-year election cycle in the USA. Numerous cases have been identified that indicate that the financial market is also largely dependent on the actions and statements of influencers due to their influence on investor sentiment, the formation of expectations and the direct stimulation of trading activity.

U NLESS quality is apparent at the point of sale, the market must find ways to ensure the delivery of high-quality products; otherwise, producers have incentives to sell low-quality goods at high-quality prices, thereby assuring a degenerate equilibrium.1 Various solutions to this problem have been proposed, most revolving around bonding mechanisms.2 For bonds to work, however, consumers must react to the delivery of less-than-promised quality.3 In general, the faster consumers detect and react to delivery of low-quality products, the more efficient the market is in delivering high-quality products.4 Despite its prominence in the theoretical literature, direct evidence of consumer response to less-than-promised quality is rarely measured. This is a shortcoming presumably attributable to the difficulty of measuring both the difference between expected and actual product quality and

This research is the companion study of three previous research projects conducted at Amundi that address the issue of ESG (Berg et al., 2014; Bennani et al., 2018; Drei et al., 2019). These studies, which were focused on the stock market, showed that 2014 marks a turning point for ESG screening and the performance of active and passive management in developed equities. Indeed, ESG investing tended to penalize both passive and active investors between 2010 and 2013. Contrastingly, ESG investing has been a source of outperformance since 2014 in Europe and North America. Moreover, it appears that ESG investing and factor investing are increasingly connected. In particular, Bennani et al. (2018) and Drei et al. (2019) concluded that ESG is a new risk factor in the Eurozone. The case of fixed income is particular since it has been little studied by academics and professionals. It is true that implementing an ESG investment policy in the bond market is less obvious than in the stock market. For example, in the case of sovereign bonds using ESG filters may dramatically change the profile of the bond portfolio, particularly in terms of liquidity. In fact, it seems that ESG investors pursue two different goals when they consider equities and bonds. They invest in stocks with good ESG ratings in order to avoid extra-financial longterm risks, whereas they consider that fixed income is the field of impact investing. This explains the high demand for green and social bonds, and this also explains why ESG screening is less widely implemented in fixed income markets than in equity markets. The objective of this new study is to explore the impact of ESG investing on asset pricing in the corporate bond market. For that, we apply the methodologies that have been used by Bennani et al. (2018) for testing ESG screening in active and passive management. In particular, we consider the sorted portfolio approach of Fama and French (1992), and the index optimization method that consists in minimizing the active risk with respect to the benchmark while controlling for the ESG excess score. Three investment universes are analyzed: euro-denominated investment grade bonds, dollar-denominated investment grade bonds, and high-yield bonds. Results differ from one universe to another. In the case of EUR IG bonds, we retrieve some common patterns observed by Bennani et al. (2018) in the case of equities. Indeed, from 2010 to 2013, ESG screening has produced a negative alpha, whereas we observe an outperformance since 2014 when we implement ESG scoring in active and passive management. In the case of USD IG bonds, the results are disappointing since ESG screening produces negative alpha for the entire period. Results on high-yield bonds are difficult to interpret since ESG coverage of this market is not satisfactory. We also test how ESG has impacted the cost of corporate debt. Our results show that there is a positive correlation between ESG and credit ratings. This is normal since credit rating agencies also incorporate extra-financial risks in their default risk models. Using the approach developed by Crifo et al. (2017), we propose an integrated credit-ESG model in order to understand the marginal effects of ESG on the cost of capital. We find that there is a negative relationship between ESG scores and yield spreads. The better the ESG rating, the lower the yield spread. For instance, we estimate that the cost of capital difference is equal to 31 bps between a worst-in-class corporate and a best-in-class corporate in the case of EUR IG corporate bonds. In the case of USD IG corporate bonds, the difference is lower but remains significant at 15 bps. Moreover, the impact of ESG is more pronounced for some sectors, for instance Banking and Utility & Energy. These results are important because ESG investing and ESG financing are two sides of the same coin. In order to tackle environmental and social issues, ESG must be a winning bet for both investors and issuers.

Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash

Stock market and financial market are the two main economic sectors of Indian economy which provides an access to various resources available for raising liquidity, Capital for any public and private business establishments. They play a prominent role in the development and growth of economy of the country. Stock market is set of exchange where companies issues shares and other securities for trading and financial market is a place that enables buying and selling of financial assets to support economic growth and stability. In this study we will be studying about these two markets and their major role in economic development of the country. Besides this we will find out the adverse effects of Covid 19 pandemic on stock and financial markets and how these affects hinder the development of the economy. The main objectives of the study include Study of stock and financial market volatility and investment ratio during Covid Pandemic. Based on the objectives hypothesis has been derived. The research design of the study includes the type of research that is mainly descriptive and the data collection is purely secondary base. Various national and international journals and Government websites like has been used to collect the data. Correlation and regression statistical techniques will be used for doing the analysis of the data. The findings and the recommendation give an insight to financial advisors and policy makers for making better financial system that are robust to Global crisis.

I The Evolving International Financial Environment.- 1 Global Financial Markets: The Past, The Future, and Public Policy Questions.- 2 The Telecommunications and Information Revolution: Implications for Financial Markets, Trading Systems, and Regulation.- 3 The Financial System and Global Socioeconomic Structural Changes.- II Banking and Financial Intermediary Markets.- 4 Japanese Banking, Financial Markets, and Competitive Equality.- 5 Banking in the United Kingdom and Continental Europe.- 6 Banking and Financial Intermediary Markets in the United States: Where From, Where To?.- 7 Financial Intermediation and Liberalization in Japan.- III Securities Markets.- 8 Internationalization and Regulation of the World's Securities Markets.- 9 Japanese Securities Markets and Global Harmonization.- 10 Reflections on the CFTC/SEC Jurisdictional Dispute.- IV Futures Markets.- 11 Regulation of Futures Markets in the United Kingdom.- 12 The Japanese Financial Futures Market: Present and Future Prospects.- 13 The Internationalization of Futures Markets: Issues for U.S. Markets.- V International Clearance, Settlement, and Payment Procedures: The Role of Regulation.- 14 Automation of the Financial Markets: Implications for Clearance, Settlement, and Payment Procedures.- 15 Twenty-Four Hour Trading, Clearance, and Settlement: The Role of Banks.- 16 Screen-Based Trading in Japanese Financial Markets.- 17 Cooperative Approaches to Reducing Risks in Global Financial Markets.- VI Is There a Systemic Risk Problem in International Financial Markets?.- 18 Systemic Risk in International Securities Markets.- 19 Government Officials as a Source of Systemic Risk in International Financial Markets.- 20 Systemic Risk and International Financial Markets.- VII National Autonomy Versus International Cooperation.- 21 Competition Versus Competitive Equality in International Financial Markets.- 22 Regulatory Harmonization To Achieve Effective International Competition.- 23 Regulating Global Financial Markets: Problems and Solutions.

Financial market integration remains a key focus in academic finance, especially given how crucial it is to portfolio diversification. The purpose of this research is to investigate a crucial yet underexplored aspect like the cointegration of economies with formal or unofficial military ties, focusing on countries within the Quad strategic forum—India, Japan, Australia, and the United States. The daily closing values of benchmark stock market indices of Quad economies viz. Nikkie 225 for Japan, S&P ASX 200 for Australia, NASDAQ composite for the United States, and S&P Sensex for India were considered. Unit root tests, Johansen Cointegration tests, VAR (Vector Autoregressive) model, and the Granger Causality statistics are computed for data analysis. Additionally, the Impulse response function and variance decomposition are computed for better financial market predictions. The result reveals intriguing dynamics: while the Indian stock market initially responds positively to shocks in the Australian market, this effect diminishes over time. Also, movements in the Australian and United States stock markets significantly contribute to predicting fluctuations in the Indian market, contrasting with the limited predictive power of the Japanese stock market. These findings carry significant practical implications for international investors, offering valuable guidance for optimizing portfolio diversification strategies amidst geopolitical and economic complexities. This paper contributes to academic literature by offering empirical insights into the short-term dynamics and causal relationships of Quad countries’ stock markets, setting a foundation for future studies on long-term trends and market responses to external factors.

(ProQuest: ... denotes formulae omitted.)I. INTRODUCTIONThe interaction between stock market and currency market has been the subject of a long-drawn academic debate with inconclusive results. There are two competing hypotheses to explain these macroeconomic variables; traditional and portfolio approaches. The traditional approach, suggested by Dornbusch et al. (1980) is that exchange rate movements lead change in stock prices since the stock prices represent firm's values denominated in foreign currency. In contrast to traditional theory, portfolio approach, first discussed by Branson et al. (1977) postulates that changes in stock prices may have an influence on exchange rate via portfolio adjustments.Even though the theoretical explanations have attempted to show causal relation between stock market and exchange rate market, the empirical findings are rather mixed for the causal direction. Furthermore, the empirical results of causal relation between two financial markets have been varied by countries and time periods. Table 1 reports the summary of previous empirical studies.Abdalla and Murinde (1997) find the supportive evidences in favor of traditional approach using a country's monthly exchange rates. The studies show that there is uni-directional causality from exchange rate to stock return in India, Korea and Pakistan. Similarly, Wu (2000) shows Singapore-dollar exchange rates Granger stock prices. In contrast, Ajayi et al. (1998) find significant linkage between two financial markets by indicating uni-directional causality from the stock market to the currency market for advanced countries including Canada, France, Germany, Italy, Japan, U.K, and U.S from 1985 to 1991. Hatemi-J and Irandoust (2002) confirm that stock market tends to lead exchange rates in favor of the portfolio approach for Sweden. In a similar vein, Pan et al. (2007) find out there is unidirectional causal relationship from stock price to exchange rate for Korea and Singapore before Asian financial crisis.On the other hand, some of the studies have found bi-directional causality between two financial markets (Ajayi and Mougoue, 1996). In this regard, Pan et al. (2007) also provide evidences to indicate bi-directional causal relationship for Hong Kong before the Asian financial crisis. Granger et al. (2000) investigate causality based on Granger causality tests for nine Asian countries during the Asian financial crisis then obtain fairly differing results by country. They show that exchange rate market tends to lead the stock market in Japan and Thailand, which support traditional approach whereas stock market takes the lead in Taiwan. Furthermore, bi-directional relation is discovered for Korea, Malaysia and the Philippines. In Singapore, there exists no such causal relation.The ratio of foreign investors in Korean stock market has been high as shown in Table 3. It has been mostly more than thirty percent since 2001 and it reached its peak 40.1% in 2004. In other words, the foreign investment in Korea is a major component in Korean financial market. There have been numerous studies to investigate the relation between two financial markets, however, the existing literature is inconclusive on the relation between stock market and exchange rate.Korean stock market can be affected by the change in exchange rate of Korean Won via the traditional approach (Abdalla and Murinde, 1997; Kang and Yoon, 2012) while it also can affect the foreign exchange market via the portfolio approach (Lee and Ahn, 2010). On the other hand, Lee (2007) and Granger et al. (2000) provide bi-directional interaction between exchange rates and stock prices in Korea. In addition, Pan et al. (2007) find out that the results are in line with the traditional approach during Asian crisis, while they agree with the portfolio approach before Asian crisis in Korea. Therefore, examining the detailed relationship between foreign exchange market and stock market in Korea is appropriate to study the interaction between two markets and moreover it is very important for investors and policy makers in Korea. …