Benchmark Index Research Articles

Inter-linkages Among Selected Stock Markets of South Asia: Revisit

The present study investigates the inter linkages among South Asian stock markets namely India, Sri Lanka and Pakistan. The topic is important for international investors because if the stock markets are found integrated with each other then they cannot reap profits from portfolio diversification or reduction in risk. Daily closing prices of the bench mark indices of three countries are taken for a period from 1 Jan. 2001 to 23th Feb. 2023. The paper used statistical tools such as descriptive statistics and correlation analysis and on the other hand, the econometric techniques namely Johansen’s Co integration test, VAR, Variance Decomposition Analysis, Impulse response function and Granger causality test and the selected stock markets are found interlinked in long run as well as in short run.

A Study on the Spill Over Effects on Nifty 50 Returns: Evidence from Stock Market Performances of Major Asian Counterparts of India

This study investigates the spillover effects of major Asian stock market performances on the returns of the Nifty 50, India's benchmark index. Employing advanced econometric techniques, we analyze the dynamic relationships between the Nifty 50 and key Asian counterparts, considering both short-term and long-term horizons. Our research delves into return spillovers aiming to comprehensively assess the interconnectedness and transmission of market movements across the region. This study utilizes an extensive dataset covering Nifty 50 returns from April 1, 2013, to March 31, 2023, along with meticulously documented returns from stock market indexes linked to major strategic alliances in India. By applying advanced multivariate time series analysis techniques, encompassing Vector Autoregression (VAR), Granger causality tests, and impulse response functions, we model the intricate dynamics interweaving these indexes with the Nifty 50. The research endeavors to answer fundamental questions, including assessing short- term and long-term effects resulting from major Asian counterparts of India on Nifty returns, as well as exploring noticeable patterns that indicate the direction of causality between these counterparts and Nifty returns. The outcomes of this study carry substantial implications for decision-makers. Investors can make more informed decisions, businesses planning strategic partnerships can refine their strategies, and policymakers can formulate economic and financial regulations that accurately reflect the complexities of these dynamics. By unveiling the ripple effects of these counterparts on the Nifty 50, this research offers valuable insights into the evolving dynamics of India's financial markets and their integration into the global economy.

Beyond Expectations: Corporate Governance's Insufficiency in Fraud Prevention

Objective –The specific objectives to be achieved in this research are to (1) test the Beneish model (1999) as a predictor of reliable manipulation or indicator to reveal signals or symptoms of financial reporting fraud. (2) Test whether corporate governance effectiveness reduces financial statement fraud.Design/Methodology –The research analyzed publicly listed non-financial firms listed in Indonesia's stock exchange (IDX) from 2017 to 2022. Simple random sampling was used to select 86 companies per year, resulting in 617 year-firm observations. Data analysis was carried out by logistic regression multiple with panel data. The test was carried out by adopting the Beneish benchmark index (Z-score) model which is effective for predicting indications of fraudulent financial statements. Results –The test results show that there is 99.8% of incidents indicated financial statement fraud and the other 0.2% did not indicate financial statement fraud. Corporate governance mechanisms consisting of institutional ownership, audit committees, and audit quality does not mitigate fraud. It is anticipated that the research's contribution will serve as a practical guide and reference for the examination of indicators of fraud in corporate finances. The findings of this study are expected to provide valuable insights for policymakers and regulators seeking to improve corporate governance practices.Research limitations/implications –This research does not incorporate the competency and capability specifications of governance structures such as the board of commissioners, audit committees, and external auditors. Future investigations are anticipated to delve more profoundly into the internal and external corporate governance capabilities and specifications.Novelty/Originality –This study reveals that, on the whole, a significant proportion of companies are implicated in fraudulent activities, while corporate governance mechanisms are deemed inadequate in overseeing management activities conducive to fraud. The outcomes of this research challenge the prevailing paradigm of corporate governance as an effective deterrent against fraudulent behavior.

Generalized index and mode modulatedOFDMwith improved spectral and energy efficiency

AbstractRecently developed trends in wireless communication encounter extremely high surge in data traffic, which makes it inevitable to employ energy efficient techniques to reduce detrimental consequence of carbon emission over society. This concern has motivated us to upgrade our previous work on index and mode modulated orthogonal frequency division multiplexing (IMM‐OFDM) for achieving dual benefits in terms of spectral and energy efficiency. In this paper, we have proposed a generalized index and mode modulated OFDM scheme with variable number of subcarrier activation. Novelty of this generalized scheme is its capability to act as a unified model for classic OFDM and three other benchmark index modulated OFDM schemes along with our previously proposed IMM‐OFDM scheme. This new scheme outperforms those five descendent schemes in terms of energy efficiency and error performance as indicated by simulation results. Spectral efficiency improvement in this scheme is achieved through optimum sets of active subcarrier number, which are determined to gain most optimized trade‐off between spectral and energy efficiency with least detector complexity. This generalized parent scheme can replace individual models of its five descendent schemes and consequently can be considered to be one of the most promising candidates for next generation mobile communication system.

Measuring the Performance of KSE100: The Impact of Demutualization

The purpose of this study is to assess how the demutualization process has affected the performance of the KSE100 Benchmark Index. The study utilized Descriptive Statistics and a Paired sample t-test, as well as daily data from KSE-100 spanning 2009 to 2019. This data was analysed in terms of market capitalization, traded value, daily stock returns, and trading volume. Our results show that, overall, market capitalization increased significantly during the period, except in the second phase. Daily stock returns for the KSE100 Index did not improve over the entire period, though the decrease was not statistically significant. Trading volume did not improve and decreased significantly in both the first and second phases, but increased after the listing of the Pakistan Stock Exchange on its own exchange. The overall conclusion is that the performance of the Index improved, which is a crucial finding for foreign investors looking to invest in the Pakistani stock market. The study is also significant for institutional investors, local investors, potential investors, and portfolio managers who are interested in the growth and development of the stock market. This study is a valuable addition to existing literature, as a significant portion of the existing literature on the demutualization of the Pakistan Stock Exchange is qualitative.

A Comparative Analysis of Risk and Return Among chosen companies against the Benchmark Index in NSE.

In the current scenario of high volatility in the stock exchange, it's crucial for investors to make informed decisions. The surge of millennial investors into the market, aiming for substantial returns, highlights the importance of a solid grasp of statistical tools and measures for sound decision-making. This study delves into the risk and return analysis of various stocks alongside their benchmark indices to decode the stock movements in relation to the market. The primary goal for any investor is to amplify profits while minimizing risks. This research aids investors by offering insights into various statistical methods for analyzing stock risks and returns.

Returns and Risks in Dynamic Stocks

In the current scenario of high volatility in the stock exchange, it's crucial for investors to make informed decisions. The surge of millennial investors into the market, aiming for substantial returns, highlights the importance of a solid grasp of statistical tools and measures for sound decision-making. This study delves into the risk and return analysis of various stocks alongside their benchmark indices to decode the stock movements in relation to the market. The primary goal for any investor is to amplify profits while minimizing risks. This research aids investors by offering insights into various statistical methods for analyzing stock risks and returns. The research concentrated on gathering daily data, including the closing prices of stocks from 2019 to 2023, from the stock market. It calculated the daily returns of these stocks and measured their standard deviations, focusing on key sectors such as Automobile, Banking, Finance, FMCG, and IT. These sectors are pivotal in reflecting the country's economic health. Further analysis was conducted using beta and regression analysis to assess the risk associated with the indices compared to market indices like NIFTY AUTOMOBILE, BANK NIFTY, NIFTY FINANCE, NIFTY FMCG, and NIFTY IT Service. This helped in understanding the indices' performance versus the benchmark indices and integrating various statistical tools to differentiate the risk and return profiles across sectors. The study aims to identify which sector presents a favorable investment opportunity in terms of risk and return.

A Model for Streamlining Benchmarking in Sustainable Development of Industries

Benchmarking is a process of improving organizational performance by recognizing, comprehending, adjusting, and incorporating the most effective practices and procedures observed either within or outside an organization. Benchmarking creates, primarily in industrial sectors, clearly identified opportunities for the use of processes and resources, and detecting the continuous improvement of their performance. From the point of view of a systemic approach to the management of the efficiency of the performance of industrial organizations based on benchmarking, it is possible to increase competitiveness in interaction with economic improvements. The objective of this study is to assess the potential of benchmarking in a business, with a particular focus on the economic aspect, by a systematic approach, and to propose a model for selecting the research segment, based on an international company operating across multiple countries worldwide. The study concentrates on the technical equipment of quarries in EU countries, where the company operates, employing benchmarking, a benchmark index, and statistical methods. The proposed model was designed in an open way that can be expanded and generalized for other manufacturing and non-manufacturing enterprises. The model is flexible and adaptable to the specifics of other sectors as regards the need to improve management with an emphasis on making management more efficient, and thereby supporting sustainable development.

Assessing Energy Mutual Funds: Performance, Risks, and Managerial Skills

This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector’s cyclical nature, these funds consistently outperformed benchmarks based on monthly returns, showcasing resilience amid market fluctuations. However, challenges emerged during the COVID-19 pandemic, with notable improvements post-vaccination. Utilizing a multi-factor model, the research highlights the interconnectivity of energy equity mutual funds with broader market movements and systemic factors. Despite their primary focus on the energy sector, these funds exhibit sensitivity to larger market trends, rendering them susceptible to market dynamics. Additionally, an assessment of portfolio manager expertise reveals some proficiency in security selection post-vaccinations against COVID-19.

International financial subordination in the age of asset manager capitalism

The rise of asset managers as key nodes of financial intermediation has been one of the most fundamental changes in the global economy over recent years. An emerging literature on asset manager capitalism (AMC) discusses these changes and its implications, though largely in the context of corporate governance in advanced capitalist economies. This paper expands the remit of the AMC literature to spaces outside the global capitalist core, and assesses its implications, based on quantitative data on asset manager allocations and flows, and qualitative data from semi-structured interviews. We find that despite the growth of asset managers’ investments into emerging markets, their presence remains limited and that the threat of exit remains present but increasingly tied with global conditions and the composition of benchmark indices. We also find that asset managers’ investments are increasingly focussing on bonds, and are heavily concentrated in a few companies and sectors, revealing a marginal rather than broad-based presence. Finally, we find very limited evidence that asset managers use their voice to influence corporate governance and macroeconomic policy. Overall, asset managers do not seem to fundamentally reshape the characteristics of financial subordination of emerging markets, and the characteristics of AMCs remain, for now, specific to advanced economies.

Algorithm-Based Low-Frequency Trading Using a Stochastic Oscillator and William%R: A Case Study on the U.S. and Korean Indices

Using stochastics in stock market analysis is widely accepted for index estimation and ultra-high-frequency trading. However, previous studies linking index estimation to actual trading without applying low-frequency trading are limited. This study applied William%R to the existing research and used fixed parameters to remove noise from stochastics. We propose contributing to stock market stakeholders by finding an easy-to-apply algorithmic trading methodology for individual and pension fund investors. The algorithm constructed two oscillators with fixed parameters to identify when to enter and exit the index and achieved good results against the benchmark. We tested two ETFs, SPY (S&P 500) and EWY (MSCI Korea), from 2010 to 2022. Over the 12-year study period, our model showed it can outperform the benchmark index, having a high hit ratio of over 80%, a maximum drawdown in the low single digits, and a trading frequency of 1.5 trades per year. The results of our empirical research show that this methodology simplifies the process for investors to effectively implement market timing strategies in their investment decisions.

MUTUAL FUND PERFORMANCE IN A BULLISH MARKET DURING THE COVID-19 CRISIS

Active funds vs passive funds represent one of the most prominent investment decisions that ought to be undertaken by investors over the decades. Our paper seeks to offer an insight into the average performance of equity mutual funds during the period when there were roughly 70 ‘all-time-highs’ recorded by S&P 500 amid the COVID-19 health crisis. Additionally, our paper aims to explore the robustness and persistence of the explanatory powers of Morningstar sustainability globes, ratings from agencies and growth tilt during the health crisis. Our results indicated that the benchmark indexes seemed to dominate mutual funds in most cases during our sampling period. The ratings from Morningstar and/or Lipper together with growth investing appeared to be ideal elements to contemplate when making investment decisions during the COVID-19 health crisis.

ESG investing versus the market: returns and risk analysis and portfolio diversification in Latin-America

PropósitoSe examina el rendimiento de los índices-ESG en América Latina (AL), evaluando sus características de riesgo y retorno en comparación con los índices convencionales.Diseño/metodología/enfoque:Utilizando un enfoque cuantitativo, analizamos los índices-ESG de Brasil, México, Chile, Perú y Colombia, empleando ratios de Sharpe, Sortino y Omega para medir los rendimientos ajustados al riesgo. Se utiliza análisis de regresión para evaluar la replicabilidad de los índices-ESG por parte de los índices de referencia. Se realizan simulaciones de Monte-Carlo para explorar el aumento en los rendimientos ajustados al riesgo cuando se incorporan los índices-ESG en las carteras.Hallazgos:El estudio aborda preguntas críticas: ¿Pueden los índices-ESG superar a sus índices de referencia? ¿Pueden estos índices-ESG ser replicados por sus contrapartes de referencia? ¿Mejoran los índices-ESG la diversificación de las carteras? Los hallazgos revelan que la inversión en índices-ESG tiene el potential de mejorar los rendimientos y la diversificación de las carteras de inversión.Limitaciones/implicaciones de la investigación –Aunque este estudio se centra en diversas economías de AL, es importante tener en cuenta variaciones en moneda y volatilidad.Originalidad/valor:La principal contribución de este estudio radica en su enfoque en países de AL en el examen de carteras diversas; ofrece valiosos conocimientos sobre el rendimiento de los índices-ESG en esta región en comparación con los índices convencionales.

Analysing Risk & Return Profiles: A Comparative Study of the Indonesian Stock Market against International Benchmarks

The Indonesian stock market, also known as IDX, has emerged as a prominent player in the financial landscape of Southeast Asia. It has attracted the interest of investors who regard it as a potential source of massive returns. Nevertheless, empirical research has consistently demonstrated that developing nations’ stock markets tend to exhibit a notable degree of volatility. This volatility is well recognised for its propensity to amplify risk levels for domestic investors, potentially leading to a decrease in the demand for stock market investments. The observed phenomenon in Indonesia reveals a very low degree of stock market engagement when compared to benchmark nations. This suggests that the high volatility in the market may be a contributing factor. Understanding the risk-return characteristics of the IDX in comparison to recognised benchmark indexes is crucial for making educated investment decisions. This study will conduct a comparative analysis of the risk-return attributes of the IDX in comparison to six well recognised benchmark indexes, specifically the S&P 500 Index, the Straits Times Index, the FTSE 100 Index, the Shanghai Stock Exchange Composite, the BSE Sensex, and the BOVESPA Index. The study employs several risk and return measures, such as standard deviation, coefficient of variation, and the Sharpe ratio, to assess the relative performance of the IDX. The objective of this study is to evaluate the comparative appeal of the Indonesian stock market when compared to international benchmarks, with a specific focus on risk and return. The aim is to determine the optimal level of stock market involvement and the inclination towards risk aversion or risk-seeking behaviour among retail investors in Indonesia.

Portfolio Optimization Based on U.S. Stock

In the financial domain, portfolio optimization is of immense significance due to its potential for risk diversification and return enhancement. Particularly in today's society where inflation is on the rise, a well-constructed portfolio can effectively assist investors in maintaining or increasing real assets. This study selected 10 U.S. stocks and analyzed their data for the past decade. Utilizing Monte Carlo simulation, the study identified the efficient frontier and constructed three types of portfolios: equal-weighted (1/N) portfolio, global minimum variance portfolio (hereinafter referred to as GMVP), and maximum Sharpe ratio portfolio. The findings show that Microsoft and Nvidia have the greatest investment weights in the portfolio with the maximum Sharpe ratio. In the GMVP, JNJ and KO have the highest investment weights. By contrasting the three portfolios' combined performance with the S&P 500 index, both the maximum Sharpe ratio and the 1/N portfolios outperformed the benchmark index, while the GMVP performed below the benchmark. The findings of this study may offer insights into portfolio management for investors looking to increase their real assets.

Evaluating Islamic Stock Portfolio Weighting Method: Application Of Global Minimum Variance In Indonesia Islamic Stock Market

Investing in stocks can be a smart alternative to saving money in a bank or keeping cash on hand due to the negative impact of inflation. It offers various advantages, such as generating income and safeguarding wealth against inflation. Investing in stocks comes with risks, which can be mitigated through strategic portfolio construction. Multiple methods exist for portfolio weighting, one of the popular portfolio weighting methods is Global Minimum Variance (GMV) by Markowitz (1952). This research aims to provide evidence about the performance of the GMV Method for Islamic retail investors using the Jakarta Islamic Index as the investment universe. The study analyzes the out-of-sample performance of GMV compared to Benchmark Indexes, which are IHSG, LQ45, ISSI, and JII. The finding of this study provides that constructing an Islamic stock portfolio using GMV help historically able to help the investor to gain a better return compared to ISSI, LQ45, and JII in the overall observation period and earned better returns compared to all benchmark indexes after the Covid-19 Period. Global Minimum Variance also helps the investor to gain better risk-adjusted return compared to ISSI and JII in the overall observation period and after the Covid-19 Period. Therefore, the retail investor could use GMV to construct their Islamic Portfolio to gain better returns than the market.

Evaluating the large-cap mutual funds performance vis-à-vis benchmark index in India a decadal study

Evaluating the large-cap mutual funds performance vis-à-vis benchmark index in India a decadal study

Unravelling the return and volatility interdependencies between Indian equity ETFs and benchmark indices

Unravelling the return and volatility interdependencies between Indian equity ETFs and benchmark indices

Heterogeneous macroeconomic factors' effects on stocks across sizes, styles, and sectors in the South Korean market.

Knowledge of the key macroeconomic variables that influence stock volatility across capital sizes, styles, and sectors can provide clues for investment strategies and policy decisions. We use the GARCH-MIDAS model with feature selection to analyze Korean Benchmark Indices from 2009 to 2022. This study maximizes memory retention through an optimal fractional differentiated price series and uses an adaptive lasso penalty for feature selection. The housing price-sales index and realized volatility were consistently influential across most indices and sectors. The GARCH-MIDAS model, paired with these variables, significantly improves long-term stock volatility forecasts. This study underscores the need to monitor housing prices in South Korea because of their substantial effects on long-term stock volatility.

Evaluating the Performance of Real Estate Exchange-Traded Funds

This study examines the net monthly returns of real estate exchange-traded funds (ETFs) through various performance evaluation models and market situations. The results reveal that these ETFs generated positive alphas and outperformed benchmark indices in absolute returns. However, their performance varied across market conditions, demonstrating both outperformance and underperformance compared to U.S. and global stocks. During the COVID-19 pandemic, real estate ETFs displayed a decline, trailing behind U.S. and global equities in both absolute returns and risk-adjusted performance. This emphasized their vulnerability during economic crises. Utilizing the Carhart four-factor model, significant exposure of real estate ETFs to the stock market was observed. Moreover, an assessment of ETF portfolio managers’ skills indicated proficiency in security selection but limited capabilities in market timing.