Dynamics Of Return Research Articles

Risk and Return Analysis of Stocks of Nepalese Commercial Banks

This research article analyzes the impact of risk and return of Nepalese commercial bank stocks on portfolio returns to assist investors in making informed investment decisions. It aims to examine the effects of individual bank stock returns, risks, market return, and market risk (beta) on overall portfolio performance. The study utilizes a quantitative approach, employing descriptive statistics, comparative (trend) analysis, correlation analysis, and hypothesis testing. Secondary data was collected from 18 commercial banks in Nepal, including post-merger banks, covering the fiscal years from 2015/16 to 2021/22. Statistical tools such as SPSS and EViews were used for analysis. The findings indicate that investors seeking higher returns might consider Prabhu Bank, which offers high mean returns but also comes with higher volatility. In contrast, risk-averse investors may prefer banks like NMB and Nabil, which provide lower mean returns but more stable performance. Notably, this research contributes to the understanding of the risk-return relationship in the context of 18 Nepalese commercial banks post-merger, providing new insights for investors. This study highlights the importance of analyzing individual bank stocks and their associated risks for portfolio construction. By understanding the dynamics of risk and return, investors can optimize their investment strategies and enhance portfolio performance. Overall, this research fills a gap in existing literature by focusing on the Nepalese commercial banking sector and its implications for investor decision-making. The insights gained from this study can guide investors in navigating the complexities of the stock market, ultimately leading to more informed and strategic investment choices. Future research could expand on this work by exploring additional factors influencing stock performance and investor behavior in the Nepalese context.

Investigating Risk and Return Dynamics in Equities of Selected 10 Firms: A Five-Year Study (2019-2023)

This five-year study (2019-2023) delves into the intricate dynamics of risk and return within equity markets, focusing on ten selected firms listed on the National Stock Exchange (NSE). Through meticulous analysis, leveraging existing literature and empirical evidence, the research aims to empower stakeholders with evidence-based insights to optimize portfolio performance and manage risks effectively. Employing descriptive research methodology, secondary data was collected from various sources including the NSE website, publications, and journals. Statistical tools such as standard deviation and correlation matrices were utilized to assess risk and return profiles. The findings reveal diverse performance trajectories among the selected companies, with some exhibiting stable returns while others experiencing significant fluctuations. The scatter plot analysis highlights a potential positive correlation between risk and return, underscoring the importance of considering both factors in investment decisions. Additionally, the correlation matrix heatmap aids in identifying pairs of companies with complementary return patterns, facilitating portfolio diversification.The study recommends cautious consideration of the risk-return tradeoff, emphasizing the need for investors to align investment strategies with their risk tolerance and financial objectives. By bridging the gap between theory and practice, this research contributes to a deeper understanding of equity market dynamics, providing actionable insights for investors to navigate volatile market conditions effectively.

Risk and Return Analysis on Selected 10 Companies: a Five-year Study (2018-2022)

The "Risk and Return Analysis on Selected 10 Companies: A Five-Year Study (2018-2022)" delves into the intricate dynamics of risk and return within the equity market landscape over a significant period. Through meticulous examination spanning five years, this study aims to unravel the performance metrics of ten carefully chosen companies, providing investors and financial analysts with invaluable insights into optimizing portfolio strategies and maximizing returns. Employing contemporary methodologies and empirical data, the study contributes to the ongoing discourse surrounding risk-return dynamics, addressing the escalating need for evidence-based decision-making in financial markets amidst increasing complexity and volatility. Methodologically, the study employs a multifaceted approach, including the meticulous selection of ten companies based on predefined criteria, comprehensive data collection, and the application of various quantitative techniques to evaluate risk and return metrics. The analysis focuses on equity stocks over the specified five-year period, utilizing variance and standard deviation as fundamental statistical measures to quantify dispersion and volatility of stock returns. The study aims to furnish stakeholders with actionable insights to optimize investment decisions and mitigate potential risks effectively, ultimately aiding stakeholders in making well-informed investment decisions aligned with their financial objectives and risk tolerance levels.

Figurations of Returning to the Community in Léonora Miano’s African Novels

Abstract This article examines figurations of returning to the community in two of Léonora Miano’s novels. These novels offer an opportunity to broaden the notion of returning to community that, in philosophical debates, tends to be essentialist and abstract. In Les aubes écarlates and La saison de l’ombre, two clans find themselves confronted with the abduction of community members who become child soldiers or slaves. The physical or spiritual return of those abductees to their communities is at the core of the novels, and it is closely linked to questions of memory. Understanding the dynamics of return as a figuration—both in the literary sense and in Norbert Elias’s process sociology sense—helps us look at the concrete interactions that make up a community. This article analyzes the physical, mnemonic, and spiritual dimensions of returning to community and looks at the significance of inventing new rituals and forms of community.

From cryptos to consciousness: Dynamics of return and volatility spillover between green cryptocurrencies and G7 markets

Based on TVP-VAR technique, this study examines the return and volatility spillover between green cryptocurrencies and G7 equity markets. The static connectedness measure posits that green cryptocurrencies function as receivers of return and volatility spillovers from G7 markets. The analysis of dynamic connectedness reflects a spike in total return and volatility spillovers during market stress and uncertainty. Furthermore, we estimate the optimal portfolio weights and hedge ratios for all pairs of green cryptocurrency and stock markets, implying critical insights for policymakers, hedge fund managers, and portfolio management professionals.

Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets

AbstractIn this article, we investigate the pattern and dynamics of return and volatility connectedness across East and Southeast Asian markets (referred to as the ASEAN5 + 5 group) by utilizing forecast‐error variance decompositions in a generalized VAR framework in conjunction with the Bai‐Perron procedure to control for structural breaks. Our analysis of the dynamics of return spillovers in static and time‐varying settings identifies that the stock markets of Singapore, Hong Kong and South Korea act as constant and largest net transmitters of shocks throughout the period from January 2003 to July 2021. The Chinese stock market is found to have the lowest return connectedness with other regional markets, which could be due to the local foreign ownership regulations. Visualization of the net pairwise return spillover network shows that Singapore is the sole net transmitter of shocks to all other markets in the ASEAN5 + 5 group, whereas, China, despite its market size is the sole net recipient. Two other markets in the regional group are identified as the net receivers, Japan and the Philippines, with the former becoming a net recipient from 2007. Our analysis of structural breaks shows that return spillovers across the markets intensify during periods of economic turmoil, financial shocks and the health crisis (COVID‐19), however, return to the pre‐shock levels during stable market periods. Further analysis of time‐varying patterns revealed that the dynamic connectedness across the region is not symmetrical and the influence of negative returns is more pronounced. The investigation of volatility spillovers shows no substantial differences. The stock markets generally retain their roles. Importantly, the time‐varying volatility connectedness exhibits similar patterns and tends to reach peak levels during turbulent episodes.

Modeling of the corporate capital structure

The capital structure is determined by the ratio of the company’s own and borrowed funds. It has a direct impact on the financial stability of the company, profit and return on equity. Thus a reasonable calculation of the value of the specified ratio is an urgent problem for any large enterprise. The correct ratio of borrowed and own capital in the structure of the aggregate corporate capital will allow to provide the specified return from the use of own capital in changing market conditions. The methodology of optimizing the structure of capital proposed by the authors is based on a formula for increasing return on equity (ROE) as a function of three variables — return on sales (ROS), resource productivity (Y) and equity multiplier M. The interpretation of the DuPont model as a model with lagged variables is original, which allows to predict the change in the equity multiplier at the expense of possible increase in other variables: resource productivity and return on sales, provided that the return on equity will reach the target level. There have been obtained formulas which allow modeling the structure of capital that guarantees a given profitability. The heuristic principle based on the three-factor model of DuPont ROE = ROS×Y×M, was that keeping the return on equity at the same level (as compared with the reference period) should entail compensation for the multidirectional dynamics of return on sales, resource productivity and equity multiplier. The paper considers three variants of the dependence of changes in the ratio of equity and borrowed capital of the company: when resource productivity is unchanged (ΔY = 0), when return on sales is unchanged (ΔROS = 0) and when both indicators change simultaneously (ΔY ≠ 0 and ΔROS ≠ 0). The methodology presented by the authors also allows to calculate the structure of capital which would provide a given level of return on equity ROE based on the forecast of return on assets ROS and return on sales Y with reference to the values of ROS and Y calculated in the reference period. We present the testing of this algorithm (in all three variants) on the basis of the reporting data of one of the metallurgical companies of Russia for the period 2017—2019.

To be Mobile to Stabilize and to Return to Enjoy: Safety, Cultural Familiarity and Inner-self in the Context of Mobility vs. Migration

Return is discussed mostly in the context of migration, not in regard to mobility. When it comes to return of the EU citizens, it is not seen as much of a return but retro-mobility. However, there are also great differences between member-states regarding return patterns. These patterns are influenced by socialization, work cultures, and concepts such as safety, family and the self. These differences, which do not seem very crucial at first, can result in return, rather than permanent migration. In order to understand the dynamics of return, I focus hereby in two women’s lives where I conducted two interviews with each: one during mobility and another before their return to their home countries, namely to Iceland and Spain. I argue, in this paper, that the motivations for return are complex and cannot be easily categorized as one specific factor. Rather, they are a combination of multiple factors which vary during diverse periods of mobility. These factors can be examined in the context of macro, meso and micro which are the themes that emerged from the interviews as safety, cultural familiarity and inner-self. The inner-self makes the last decision to return whilst ideas on safety and cultural familiarity are facilitating factors for return. Hence, every return is a biographical story and one has to consider the biographies of each migrant and/or mobile person before they examine the reasons to understand return in its full complexity.

Dynamics of return and volatility spill-over between developed, emerging and African equity markets during the Covid-19 pandemic and Russia–Ukraine war

We contribute to the growing literature examining spill-over effects between international equity markets in the “new normal” disposition and extend upon previous studies to include more recent periods covering the Russia–Ukraine war. Using the Diebold and Yilmaz network method, we estimate the returns and volatility connectedness between developed, emerging and African markets over the period 11 March 2020 to 30 June 2022. Our findings can be summarised in three points. Firstly, the static connectedness analysis informs us that emerging and African (developed) markets are the main net receivers (transmitters) of systemic shocks over the sample period. Secondly, the time-varying connectedness analysis further informs us that network connectedness is higher during the Russia–Ukraine war compared to the announcement of Covid-19 variants. Thirdly, the time-varying market specific analysis distinguishes which individual equities are most or least vulnerable to systemic shocks during the Covid-19 pandemic and Russia–Ukraine war. These findings are relevant for investors in their search for better hedging opportunities in equity markets. Moreover, market regulators should take heed of our findings as the observed build-up of systemic risk following the Russia–Ukraine conflict is an indicative of contagion effects experienced.

Quantile-based spillover connectedness among stochastic volatilities of ESG equities, Islamic and conventional stocks with implications for portfolio management

PurposeThis study aims to investigate the relationship between stock markets, environmental, social and governance (ESG) factors and Shariah-compliant in an integrated framework.Design/methodology/approachThe authors employ the multivariate factor stochastic volatility (mvFSV) framework to extract the volatility of the different sectoral indices. Based on this evidence, the authors employ the quantile vector autoregressive (QVAR) approach to examine the dynamic spillover connectedness among the aforementioned indices.FindingsThe study emphasizes the following major findings: (1) significant time-varying spillover connectedness across quantiles, (2) bidirectional and asymmetric spillover effect among the ESG index and the other sectoral indices, (3) the strength of spillover connectedness is time-varying across quantiles, (4) based on the perspective of portfolio optimization, ESG market is a significant strong forecasting contributor to conventional and Shariah-compliant markets, (5) overall, the findings point out serious quantile pass-through effect among ESG index and the other sectoral indices during the COVID-19 health crisis.Originality/valueThis study extends the previous literature in the following ways. First, to the best of the researchers’ knowledge, none of the existing studies have investigated the relationship between stock markets, ESG factors and Shariah-compliant in an integrated framework. Second, this study extends the previous scholarships by applying the mvFSV. Third, the authors propose a new rolling version to estimate dynamic spillovers, namely the rolling-window quantile VAR method. This approach provides a great advantage in computing the dynamics of return and variance spillover between variables in terms not only of the overall factor but also of the net (pairwise) aspect.

Characteristics of the litter dynamics in a Moso bamboo forest after strip clearcutting.

The quality of new Moso bamboo trees has been found to decrease in the years following strip cutting (SC) events. It is thus essential that we improve our knowledge of nutrient return after strip cutting in Moso bamboo forests to help facilitate sustainable management. In this investigation the dynamics of nutrient return were monitored in plots with 8m wide strip cutting (SC), their reserve belts (RB), and a traditionally managed forest (CK) as the control, for 5 years after cutting. The results showed that strip cutting significantly reduced nutrient return (p< 0.05), but as the plots recovered, the nutrient levels also recovered to match those of the control. The high densities in the RB no longer increase nutrient return. Five years after SC there was no significant difference in nitrogen and phosphorus returns among the three treatment plots, but potassium returns in the SC plot were significantly higher than those in the RB (p< 0.05). From 2-5 years after cutting, the litter decomposition rate in the RB was significantly higher than in the SC and CK (p< 0.05). In addition, the decomposition rate in the SC plot was significantly accelerated five years after logging, which suggests that long-term strip cutting management may lead to the restriction of nutrients on the growth and development of new trees. The results indicate that nutrients should be added via artificial fertilization in the future.

Borrowing Constraints and the Dynamics of Return and Repeat Migration

As wages in migrant sending countries catch up with those in destinations, migrants adjust on several margins, including their duration of stay, the number of migrations they undertake, as well as the amount saved while abroad. This paper combines Mexican and U.S. data to estimate a dynamic model of consumption, emigration and re-migration, accounting for financial constraints. An increase in Mexican household earnings shortens migration duration, but raises the number of trips per migrant. For lower-income migrants, a rise in Mexican wages leads to a more than proportional effect on consumption expenditure in Mexico, arising from repatriated savings.

The Relationship between Labor Productivity and Salary Return: An Empirical Analysis on Russian Regional Data

The article deals with dynamics and differentiation of labor productivity and salary return in the Russian Federation in the period 2012–2020, as well as the relationship between these indicators. The study is based on Russian regional data published by Rosstat in the Unified Interdepartmental Information and Statistical System (EMISS). The theoretical section of the article discusses the mechanisms responsible for the dynamics of labor productivity and salary return, as well as for the correlation between these indicators, including technological development, the sectoral structure of the regional economy and local labor market characteristics. Calculations have shown that both labor productivity and salary return in the regions of Russia in the period under review have positive dynamics and significant regional variation. However, most of this variation is due to the presence of four regions in which the studied indicators show levels several times higher than the values in the bulk of the regions: Nenets Autonomous Okrug, Yamalo-Nenets Autonomous Okrug, Khanty-Mansi Autonomous Okrug, Sakhalin Oblast. In our opinion, the leadership of these regions is due to the predominance of the extractive industry in their sectoral structure, characterized by a high level of capital intensity and a low level of labor intensity. The analysis of the number of employed and the number of hours worked shows a negative trend and a significant variation by region, which can serve as a factor of high interregional differentiation of labor productivity and salary return. Correlation analysis of the average over the period of labor productivity and salary return indicates the absence of a significant relationship between the studied indicators when excluding atypical observations from the analysis.

Usage efficiency analysis fixed assets at agricultural enterprises of the Krasnodar territory

Fixed assets act as a key element of the material and technical base of agricultural enterprises, which is due to the specifics of the products they produce and the work they carry out. The importance of analyzing the efficiency of the use of fixed assets at agricultural enterprises of the Krasnodar Territory - the most strategically significant region of the Russian Federation in terms of production and sale of agricultural products - is determined by the important role they play in production processes. The article is devoted to the analysis of the efficiency of the use of fixed assets at agricultural enterprises of the Krasnodar Territory and the directions of its improvement. The authors studied the dynamics of return on funds, capital intensity and profitability of enterprises of the agricultural sector of the Krasnodar Territory. A factor analysis of key indicators of the efficiency of the use of fixed assets at agricultural enterprises of the Krasnodar Territory was carried out. The reasons that have a negative impact on the dynamics of the indicators of capital productivity and capital intensity are identified. Promising directions for improving the management system of fixed assets at agricultural enterprises of the Krasnodar Territory in order to increase the efficiency of their use have been identified.

КОРПОРАТИВНОЕ УПРАВЛЕНИЕ ФИНАНСОВЫМ ПОТЕНЦИАЛОМ

The article is devoted to the formation and implementation of the financial potential of large organizations (corporations). Under the financial potential, the authors understand the totality of capital objects of long-term and short-term use (non-current and current assets) in value terms, which they have on their balance sheet, according to the possibilities and limitations of functioning in the current economic environment, and under its implementation - the monetary benefit of corporations from operating them in the process of carrying out activities. The purpose of the study is focused on creating a toolkit for assessing this monetary benefit, which includes appropriate methods, for an objective analysis of the indicators of the implementation of corporate financial potential and the identification of reserves for their ultimate improvement. The assessment of such a benefit, which is an increase in cash receipts for the period under study, should be composed of cost effects due to the dynamics of capital return (an indicator of the efficiency of using total assets) and the cost of capital. Comparison of the calculated parameters will give an answer about the quality of the implementation of the financial potential of corporations. The evaluation of these indicators is possible using the methods of deduction and induction in combination with the differentiation method. In combination with each other, they provide the most accurate parameters for all structural elements (intermediate indicators) that affect the final indicators (final indicators) of interest to us. The developed methods were tested on the example of Komos Group LLC), on which an analysis was made of the formation and implementation of its financial potential over a five-year period, and corrective measures were proposed to improve the efficiency of capital use as a fundamental factor indicator of monetary benefits

Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak

The cryptocurrency markets are perceived as being dominated by Bitcoin leading the overall system dynamics. Although the previous empirical evidence points towards strong connections among selected cryptocurrencies or, from the other side, weak dependence between Bitcoin and traditional financial assets, a focused study on the dynamics of return and volatility connectedness among a wider range of cryptocurrencies is lacking, and more so, one directed towards the very first actual critical period of the global economy coinciding with relevant crypto-markets. Using data for the 10 most capitalized cryptocurrencies between 1st October 2017 and 5th January 2021, we examine how cryptocurrencies interact and whether they have a clear leader, with a special focus on differences with respect to investment horizons and how the relationship structure evolves in time. We uncover a structural change in the connectedness evolving in 2020 as the market restructures in reaction to the unprecedented monetary injections as a counter to the COVID-19-induced economic standstill. The structural change is shown not only for cryptocurrencies considered separately but also when we jointly examine them with traditional assets.

Borrowing Constraints and the Dynamics of Return and Repeat Migration

Borrowing Constraints and the Dynamics of Return and Repeat Migration

Сurrent state of artificial reproduction of chum salmon in Primorye Region

Results of 4 salmon hatcheries operation in Primorye Region are overviewed. Dynamics of chum salmon producers return to the rivers is presented for 4 last years. Recent tendency of shifting the peak of return from middle October to late September — early October is noted both for the rivers flowing into Peter the Great Bay (Barabashevka) and for the rivers of central Primorye (Verbnaya and Milogradovka). High percentage of producers aged 2+ was observed in the hatchery rivers in some years (32.9 % in the Barabashevka in 2019, 31.0 % in the Verbnaya in 2020, 37.8 % in the Bezymyanny in 2020). Interannual fluctuations in the number of producers return are possibly caused by malfunctions of hatcheries. A problem of water supply to the hatcheries is considered. Expediency of temperature control at hatcheries is shown. Data on release of chum salmon juveniles in the last decade are presented for each hatchery: the number of juveniles released, the average weight of juveniles, and the timing of release. Total release to the Barabashevka River was 119.29 . 106 juveniles, to the Ryazanovka — 114.24 . 106 juveniles, to the Poyma — 49.43 . 106 juveniles, to the Narva — 6.02 . 106 juveniles, to the Brusya — 3.11 . 106 juveniles, to the Verbnaya — 69.66 . 106 juveniles, to the Milogradovka — 1.00 . 106 juveniles, to the Lidovka — 1.71 . 106 juveniles, to the Bezymyanny — 69.45 . 106 juveniles, and 2.00 . 106 juveniles each to the Kievka and Margaritovka Rivers.

Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak

This study examines the return and volatility connectedness between the rare earth stock market and clean energy markets, world equity, base metals, gold, and crude oil. Using daily data from September 21, 2010 to August 28, 2020, a time-varying parameter vector autoregression (TVP-VAR) approach to connectedness is applied to uncover the dynamics of connectedness during the entire period and the COVID-19 pandemic period. Volatility connectedness is generally stronger than return connectedness. However, the return and volatility connectedness pattern varies over the full sample period, exhibiting a significant spike following the abrupt COVID-19 outbreak in February–March 2020. The rare earth index shows a close interdependence with the clean energy, world equity, and oil indexes during the outbreak of the pandemic, though it mostly remains a return and volatility receiver over the entire period. During the COVID-19 outbreak, the rare earth stock index becomes more central to the network of connectedness for both return and volatility, showing strong interdependence with clean energy and world equity. The volatility of the rare earth stock index exhibits a strong interdependence with that of crude oil prices. Our findings help investors understand diversification benefits and investment protection. They support policymakers in developing strategies for lessening import dependence on rare earth metals.

Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets

We investigate the dynamics of return and liquidity (co) jumps for three of the most traded emerging market currencies vis-à-vis US dollar. Accordingly, an increase in the average bid-ask spread (realized volatility) significantly reduces the duration between consecutive return (liquidity) jumps, while liquidity and volatility only play a partial role on the duration between consecutive return-liquidity cojumps. There is also evidence of vicious return-liquidity spirals in views of the positive contemporaneous impact of liquidity jumps on volatility and return jumps on the bid-ask spread. Finally, scheduled macroeconomic news and central bank announcements increase the likelihood of both return and liquidity (co) jumps.