Stock Index Autocorrelation and Cross-Autocorrelations of Size-Sorted Portfolios in the Japanese Market

This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. Interdependence of Indian stock market with other fourteen world markets in terms of long run integration, short run dependence (return spillover) and volatility spillover are investigated. These markets are that of are Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and United States. Long run and short run integration is examined through Johansen cointegration techniques and Granger causality test respectively. Vector autoregressive model (VAR 15) is used to estimate the conditional return spillover among these indices in which all fifteen indices are considered together. The effect of same day return in explaining the return spillover is also modeled using univariate models. Volatility spillover is estimated through ARGARCH in which residuals from the index return is used as explanatory variable in GARCH equation. Return and volatility spillover between Indian and other markets are modeled through bivariate VAR and multivariate GARCH (BEKK) model respectively. It is found that there is greater regional influence among Asian markets in return and volatility than with European and US. Japanese market, which is first to open, is affected by US and European markets only and affects most of the Asian Markets. Also, high degree of correlation among European indices namely FTSE, CAC and DAX is observed. US market is influenced by both Asian and European markets. Specific to Indian context, it is found that Indian market is not cointegrated with rest of the world except Indonesia. This may provide diversification benefits for potential investors. However, strong short run interdependence is found between Indian markets and most of the other markets. Indian and other markets like US, Japan, Korea, and Canada positively affect each others’ conditional returns significantly. Indian market also has significant effect on Malaysia, Pakistan, and Singapore return. This study found that there is significant positive volatility spillover from other markets to Indian market, mainly from Hong Kong, Korea, Japan, and Singapore and US market. Indian market affects negatively the volatility of US and Pakistan. It is interesting to note that Chinese and Pakistan markets are less integrated with other Asian, European and US markets.

Tail risk and return predictability for the Japanese equity market

This study examines the impact of the global financial crisis on the stock markets returns of China, Japan, India, and USA through E-GARCH model. In addition, it investigates the nature of volatility spillovers between stock indices during the global financial meltdown employing Granger Causality test. Daily stock prices are used for the period from 6th of January, 2006 to 22nd of April 2011. The main findings are as follows. First, in all stock markets high volatility and setback on the daily returns exist due to the financial crisis. Further the global financial crisis less affected Shanghai stock exchange than the other stock markets whereas it influenced the USA stock markets in large extent. Also stock returns volatility get moderated in the major Asian Countries stock markets after post crisis period but it has been remained in the USA stock exchanges. Secondly, Granger causality test shows that after the onset of the financial crisis, the USA stock markets have bidirectional influences on the each of other market, but didn’t receive any volatility spillover from major Asian Countries stock markets. Indian stock market experiences volatility spillover from all the stock markets. Japanese stock market receives volatility spillover only from USA stock markets. However, Shanghai stock exchange doesn’t experience any volatility spillover from the other stock markets.

The study aims to empirically examine the transmission of volatility from global stock markets to Indian stock market. The study is based on time series data comprising of daily closing stock market indices from National Stock Exchange (NSE), India and major foreign stock exchange of the three countries one each from America, Europe and Asia making the highest portfolio investment in Indian stock market. The study period covers 11 years from 1st January, 2005 to 31st December, 2015 comprising a total of 2731 observations. The Indian stock index used is CNX Nifty 50 and the foreign indices are S & P 500 from USA, FTSE 100 from UK, and Nikkei 225 from Japan. The results reveal that the Indian stock market return is co-integrated with market returns of US, UK and Japanese stock markets. Therefore, the return and hence volatility of Indian stock market is associated with global markets which depicts that it is getting integrated with global financial markets. The results provide empirical evidence for volatility transmission or volatility spillover in the Indian stock market from global markets. There exists inbound volatility transmission from US market to Indian stock market. The Indian and UK stock market have bi-directional volatility transmission. However, there exists presence of only outbound volatility transmission from Indian stock market to Japanese stock market. The volatility transmission from global markets to India is rapid with the spillover effect existing for up to three days only.Janapriya Journal of Interdisciplinary Studies, Vol. 5 (December 2016), page: 83-101

The Indian stock market is considered to be one of the earliest in Asia, which has been in operation since 1875. However, it remained largely outside the global integration process until 1991. A number of developing countries in association with the International Finance Corporation and the World Bank took steps to establish and revitalize their stock markets as an effective way of mobilizing and allocating funds. In line with the global trend, reform of the Indian stock market also started with the establishment of Securities and Exchange Board of India (SEBI), although it became more effective after the stock market scam in 1991. With the establishment of SEBI and technological advancement, the Indian stock market has now reached the global standard. The major indicators of stock market development show that significant development has taken place in the Indian stock market during the post-reform period. This chapter seeks to examine in this context whether reform in the Indian stock market has led to integration with the developed stock markets in the world. The study finds that contrary to general belief, the Indian stock market is not cointegrated with the developed market as yet. Of course, some short-term impact does exist, although it is found to be unidirectional for obvious reasons. That is to say, the developed stock markets, viz., the US, UK and Hong Kong stock markets, Granger cause the Indian stock market but not vice versa. However, the study does not find any causality between the Japanese stock market and the Indian stock market. It is derived from the study that although some positive steps have been taken up, which are responsible for the substantial improvement of the Indian stock market, these are perhaps not sufficient enough to become a matured one, hence not integrated with the developed stock markets so far.

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.

The purpose of the study had been aimed to further the understanding in exploring the relevance performance of the monopoly stock of Tenaga Nasional Berhad (TNB) to assess the stock performance return in comparison against the Malaysian stock market with reference towards the measurement of the Kuala Lumpur Stock Exchange (KLSE) market index performance as the benchmark. With reference to the previous studies, there is relevance support to identify the tendency of the findings to suggest the higher performance for the major stocks like TNB stock where the business model of TNB being monopolizing the industry creating the upper hand for the stability in driving the revenue and profit leading to higher value in the stock price. The methodology of the research had further the quantitative analysis study using the historical data of 10years from 2014 to 2023 to identify the potential pattern and trend to assess the comparison for the performance and trading trend for both the TNB stock and market index of KLSE. The outcome of the research had suggested the sufficient evidence to identify the higher average return for the TNB stock over the negative return average being achieved by the KLSE market index putting clear picture on the higher performance of the monopoly TNB stock. In addition, the growth of the trading volume trend had suggested that the investors are being higher confidence towards the growth of the TNB stock where the growth of the trading volume for TNB stock is higher than the trading volume for KLSE market index and even exceeding the average return for the TNB stock. 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Aims: This study aims to determine the relationship between population density and altitude of the territory and DHF incidence in Yogyakarta City in 2017-2018.
 Study Design: The study was designed as an observational cross-sectional study.
 Place and Duration of Study: This study was conducted in Yogyakarta from 2017 to 2018. Methodology: This quantitative study employs an analytic observational cross-sectional design. Moran's I and LISA tests were used to analyze the data.
 Results: Based on bivariate Moran's Scatterplot analysis, the density of residents with dengue incidence showed negative spatial autocorrelation (I=-0.308), and the altitude with dengue incidence showed negative spatial autocorrelation (I=-0.128), indicating that the majority of the sub-district was scattered in quadrants II and IV. The LISA density bivariate test results on residents with dengue incidence revealed that the Gondomanan Sub-district has positive autocorrelation (li= 0.30) with a Low-Low quadrant and statistical significance (P-Value=0.040.05). In contrast, Kotagede Sub-district has negative autocorrelation (li=-2.31) with a Low-High quadrant and statistical significance (P-Value=0.000.05). Gondomanan Sub-District has positive autocorrelation (li=0.67) at the Low-Low quadrant and statistical significance (P-Value=0.03 0.05), whereas Kotagede Sub-District has negative autocorrelation (li=-2.86) at the Low-High quadrant and statistical significance (P-Value=0.000.05).
 Conclusion: Density residents have a negative autocorrelation with the incidence of DHF in Yogyakarta City. Local spatial density residents with DHF cases were found in the Gondomanan Sub-District with positive spatial autocorrelation. At the same time, Kotagede Sub-District had negative spatial autocorrelation in contrast to an altitude with a global spatial connection toward DHF incidence in Yogyakarta with negative autocorrelation.

The ‘COVID’ crash of the 2020 U.S. Stock market

The Indian stock market, one of the largest and most dynamic among emerging economies, has experienced substantial growth and transformation over the past few decades. Liberalization policies introduced in the early 1990s, combined with globalization and technological advancements, have contributed to the increasing participation of both domestic and foreign investors. Despite these advancements, the market continues to display inefficiencies and behavioral tendencies that offer fertile ground for the study of stock market anomalies. Traditional financial theories, particularly the Efficient Market Hypothesis (EMH), suggest that stock prices fully incorporate all available information, thereby negating the possibility of consistently achieving abnormal returns. However, empirical evidence from markets worldwide indicates recurring deviations from this principle. These deviations, termed "anomalies," represent patterns of returns inconsistent with EMH and challenge the notion of rational investor behavior. The existence of such anomalies offers potential opportunities for investors to formulate profitable strategies while simultaneously questioning the universality of traditional financial models. This thesis primarily investigates three well-documented stock market anomalies within the context of the Indian stock market: the size effect, momentum effect, and value effect. The size effect refers to the consistent outperformance of small-cap stocks relative to large-cap stocks, even after adjusting for risk. The momentum effect highlights the phenomenon where stocks exhibiting superior past performance continue to generate positive returns over short- to medium-term horizons. Lastly, the value effect indicates that stocks with lower valuation metrics, such as low Price-to-Earnings (P/E) or Price-to-Book (P/B) ratios, outperform their high-growth counterparts in the long run. Although these anomalies have been extensively studied in developed markets like the United States and Europe, emerging markets such as India present unique attributes that warrant deeper analysis. The Indian market is characterized by higher volatility, greater information asymmetry, regulatory transitions, and a significant presence of retail investors, all of which potentially amplify or alter the behavior of these anomalies. Behavioral finance factors such as overconfidence, herd behavior, and loss aversion are particularly prevalent among Indian investors, further influencing the manifestation of inefficiencies in the market. The findings reveal that all three anomalies are present and statistically significant in the Indian stock market, albeit with varying degrees of persistence across different periods. The size effect is notably strong, supporting the argument that small-cap stocks offer higher risk-adjusted returns compared to large-cap stocks. Momentum strategies based on prior winners also demonstrate substantial profitability over short horizons, highlighting potential for tactical asset allocation. The value effect remains evident, particularly during market downturns, suggesting that undervalued stocks provide resilience and long-term outperformance. These insights carry practical implications for investors, fund managers, and policymakers. By acknowledging the presence of anomalies, investment strategies can be optimized to exploit these inefficiencies. Simultaneously, regulators and policymakers may consider measures to enhance transparency and reduce information asymmetry, contributing to improved market efficiency.

Previous evidence suggests that the relationship between different stock markets is unstable over time. In particular, the Finnish and Japanese financial economies are interrelated and exhibit non‐linear behaviour. Presents an approximation of the influence of the Japanese stock market on the Finnish derivatives market by an adaptive recursive least squares (RLS) algorithm. The parameters are allowed to change over time through a discounting factor, thus providing a convenient means for recognizing past information to a specified degree. Following the reasoning of Bera et al. (1992), shows that the RLS algorithm is, theoretically, able to cope with conditional heteroscedasticity. Compares the results with different values on the discount factor and when choosing a suitable value the ARCH‐like effects in the residuals seem to vanish. On the other hand, some new peculiarities in the RLS residuals emerge when ARCH effects are eliminated. The results indicate that the standard RLS algorithm combined with a proper specification of the discount factor could be useful in studying relationships of this kind.

This study investigates how investor’s behavior i.e. disposition effect affect stock price in Indonesian Stock Exchange in the period of financial crisis (2008 – 2009). This study also investigates how are accounting measures (earning per share and book value per share) and certain market indicators (stock trading volume and stock price volatility) in the relationship of disposition effect and stock price. Multiple linear regression analyses perform to analyze of the population of 398 firms listed in the IDX in the year 2009, from where a sample of 53 firms was selected based on an inclusion criterion. This study uses daily investors transaction data of the period January-June 2008 (before financial crisis), July-December 2008 (during financial crisis), and January-June 2009 (after financial crisis). This study indicated that disposition bias by investors affect negatively stock price and weaken the positive relationship between EPS and SP during and after financial crisis period, but weaken the positive relationship between BVS and SP before financial crisis period. The other results show that VOL elicit negative effects on SP in the period before the financial crisis, but VOT has a negative effect on SP for the period during and after a financial crisis. Stock market practitioners and researchers should consider disposition bias by investors in the stock market to make better analyses of stock price, accounting measures, and certain market indicators. This study provide evidence that behavioral bias i.e. disposition effect by investors in decision making occurred in Indonesian Stock Exchange and affect negatively stock price and weakens the relationship between information of firm fundamental value and stock price during period of normal and financial crisis.

Foreign Institutional Investment in the Indian Equity Market: An Analysis of Daily Flows during January 1999-May 2002

S ince the War, the Japanese economy has been able to maintain a high growth rate. Among the conditions for such a growth, we cannot ignore the important role of the financial market.' Although post-war Japanese financial intermediation relied mostly on the flow of funds through the banking sector, there has been little research that deals with the securities market.' Since the oil crisis, however, the Japanese financial structure has drastically changed because of large issues of government bonds, so that the function of the securities market has rapidly become more important than before. Therefore, it is important to survey the Japanese securities market with the hope that it will be a starting point for this kind of research. In this paper, we shall focus on the stock market and examine its function from the macroeconomic point of view. The objective of our analysis is to clarify whether or not the price mechanism works in the Japanese stock market. The answer to this question provides a foundation for what is to follow, which will include a test of the Capital Ass& Pricing Model and the measurement of the cost of capital. First, we will survey the character of the Japanese stock market. We will then investigate the effectiveness of the price mechanism from two aspects, i.e., from the standpoint of allocational efficiency and from that of informational efficiency. Finally, we will present some concluding remarks.

New evidence on determinants of price momentum in the Japanese stock market