Equity Index Research Articles

Diversity of functional edaphic macrofauna in Musa acuminata x Musa balbisiana (AAB) agroecosystems

Background This study focused on evaluating the diversity and richness of the edaphic macrofauna in eight banana farms in the western zone of Nicaragua. Methods The sampling design was random and descriptive, it was divided into two phases, the first was the collection of the sample, and the second was the classification, coding, and storage of the extracted macrofauna populations. The sampling method employed included the extraction of soil and litter samples. Soil samples were collected using a wooden frame (monolith), with each sample weighing approximately 1 kilogram and taken from a depth of 0.20 cm. Litter samples were collected from the soil surface. A total of 80 samples were collected, with 40 soil samples and 50 litter samples obtained across the 8 plantain farms. Results The results showed that the relative abundance of biodiversity was higher in the 0–20 cm soil depth stratum than in the branch and leaf biomass strata. The values of the diversity indices of Simpson's Dominance, Shanon, Margalef, and Equity were in the normal range, with a tendency towards low diversity. Likewise, in the richness of species, the Dominance or most abundant genus were earthworms (Oligochaeta) and Hymenoptera (Solenopsis, Leptothorax, Camponotus, Pheidole), indicating the directly proportional relationship, that is to say, that the greater the number of earthworms the production increases and the greater the number of Hymenoptera it decreases, confirmed with the Pearson correlation coefficient with a reliability of 95%. Conclusions It was concluded that based on the estimates of the diversity indicators, two detritivore genus (earthworms and Hymenoptera) were the ones with the more dominance, being important in the production of the banana agrosystem due to the decomposition of organic matter and its nutritional contribution to the plant. We observed a direct correlation with earthworms and an indirect relationship with Hymenoptera.

Functional volatility forecasting

AbstractWidely used volatility forecasting methods are usually based on low‐frequency time series models. Although some of them employ high‐frequency observations, these intraday data are often summarized into low‐frequency point statistics, for example, daily realized measures, before being incorporated into a forecasting model. This paper contributes to the volatility forecasting literature by instead predicting the next‐period intraday volatility curve via a functional time series forecasting approach. Asymptotic theory related to the estimation of latent volatility curves via functional principal analysis is formally established, laying a solid theoretical foundation of the proposed forecasting method. In contrast with nonfunctional methods, the proposed functional approach fully exploits the rich intraday information and hence leads to more accurate volatility forecasts. This is confirmed by extensive comparisons between the proposed method and those widely used nonfunctional methods in both Monte Carlo simulations and an empirical study on a number of stocks and equity indices from the Chinese market.

Forecasting Market Volatility: The Role of Earnings Announcements

ABSTRACT This study examines whether information revealed by firms’ earnings announcements (EAs) forecasts short-run market-wide volatility in equity index prices. Using an exponential generalized autoregressive conditional heteroskedasticity model that includes controls for the information in an array of macroeconomic announcements, we find that EA information aggregated across firms forecasts market volatility at daily and weekly intervals. EA information’s forecasting power is greatest when more firms announce earnings on a given day, when EAs convey negative news, and for EA information about core earnings. Out-of-sample tests confirm that forecasts incorporating EA information better predict short-run market volatility than forecasts omitting EA information. We conclude that firm-level EAs are a significant source of systematic, market-wide information relevant for predicting near-term market volatility. Data Availability: All data are publicly available from sources cited in the text. JEL Classifications: E44; G12; M41.

Asymmetric Return Connectedness Among Indian Equity Sectors: Insights from Recent Global Disruptions

This article aims to study asymmetric shock transmission among India’s National Stock Exchange sectoral indexes before and amid the COVID-19 crisis and the Russian–Ukraine feud using an asymmetric time-varying parameter vector autoregressive connectedness technique. The daily closing price of equity sector indexes from 1 January 2018 to 31 March 2023 were used. The research reveals strong sectoral return interconnectedness, with negative returns spillover dominating the assessment period. COVID-19 substantially impacted connectedness more than the Russian–Ukraine feud. The sectors such as bank, private bank and financial services were net transmitters of risk, and information technology was the net recipient of risk throughout the assessment period, indicating these sectors are not much affected by these crises. Sector return spillover patterns were similar during the epidemic and the Russian–Ukraine dispute, except for the oil and gas and metal sectors, which shifted roles. These findings suggest that policymakers must recognize and assess the peculiarities of industries that are high-risk transmitters when formulating strategies to prevent market failure or mitigate risk transmission to others. Investors may benefit from recognizing industries that operate as risk transmitters and receivers to create effective risk-mitigation investment strategies amid turbulent times.

Analyzing Time-Frequency Relations between Agricultural Commodities and Equity Index in India during Covid-19 Pandemic

The study examines the interdependence between the returns of Nifty 50 Equity Index and Agricultural Commodities cotton, mentha oil, guar seed, jeera, turmeric and coriander over a period of time. By applying wavelet analysis, the interdependence of agricultural commodities and equity index during the COVID-19 pandemic, identified periods of both strong and weak correlations between these markets. It is critical to note that the reasons for the link between agricultural commodities and equity indexes during COVID-19 pandemic may vary according to market conditions, regional considerations and other contextual factors. According to this study, Nifty 50 has higher co-movements with MCX Cotton, MCX Mentha Oil, and NCDEX Turmeric and lower co-movements with NCDEX Guar seed, NCDEX Jeera and NCDEX Coriander. The low coherence intervals indicate the ability for commodities investments to diversify in the face of a pandemic such as Covid-19. The observed trends by commodity category revealed their potential utility in the development of cross-asset hedge strategies. Thus, combining commodities and stocks increases performance over a variety of investment horizons.. KEYWORDS :Commodities market, Equity market, Co-movements, Wavelet analysis, Covid-19.

Low-carbon movement and stock market uncertainty: Insights from international comparisons between fossil fuel companies

We study the effect of investor attention to a low-carbon movement—the fossil fuel divestment movement—on stock volatility of fossil fuel companies from both developing and developed countries. Investor attention to this justice movement is measured by the weekly intensity of the Google search for the topic “fossil fuel divestment”. We employ a sample of 8 regional equity indices that exclusively comprise fossil fuel-related stocks over the 2012–2021 period. We find that investor attention to the fossil fuel divestment movement is positively and significantly related to the realized and conditional volatility of fossil fuel companies from both developing and developed countries. These findings contribute to improve our collective understanding of the implications of climate protection movement on energy sector in both developed and developing countries.

Return-forecasting Signals in Australia, Brazil and United States Equity Markets

This paper offers an in-depth analysis of the role various signals play in equity indices within Australia, Brazil, and the United States. Utilizing statistical methods, particularly single-variate regression analysis, I examine the relationship between the monthly return rates of these indices alongside various signals. A noteworthy finding of my research is that certain trading signals exhibit statistical significance within the context of individual nations, yet this significance does not translate across borders. This difference could be attributed to distinct economic factors inherent to each country, such as varying inflation rates and market microstructures. This study sheds light on multiple financial literatures by offering a comparative cross-sectional perspective on equity markets, and it laid the foundation for more nuanced financial research in the future. Despite the significant insights gained from this study, it also acknowledges the potential for further enhancement of the dataset, emphasizing the quest for a deeper understanding of these complicated relationships.

Regulating Debt Capital Market in India – Issues and Challenges

Indian Capital markets provide an important channel of financing through equity capital markets and debt capital markets. They help allocate risk, support growth and promote financial stability of a company or a corporate entity. In the last few years, the debt capital market of India has picked up pace of development propelled by government focus and support from regulators coupled with subdued credit growth from banks, however, it is yet to realize full potential. While globally bond market is much bigger than equity market, however in India, the scenario in not same. Whereas Indian equity capital market is considered equally efficient as compared to some of the most developed markets, bond market is still evolving. Hence, considering the large funding requirements public and private sector for economic recovery and growth, debt capital market holds huge untapped potential Hence the researcher would like to address the market and policy barriers impeding the realization of the full opportunity India presents to finance and vice versa. Present trends in capital markets development and to identify the factors that will encourage the development of a vibrant and resilient debt capital market in India. This dissertation focuses on how companies can excel by debt capital market. The researcher also focuses on applicable laws, new regulations and circulars issued by SEBI which brought a huge change in the Indian debt capital market. To critically analyze the regulatory requirements and also role of the banks in debt capital market.

Economic policy uncertainty and equity index in sub-Saharan African (SSA) countries: accounting for multiple structural breaks in a panel framework

Economic policy uncertainty and equity index in sub-Saharan African (SSA) countries: accounting for multiple structural breaks in a panel framework

Impact of leachate on soil microbial diversity and its treatment

This study analyzed the impact of leachate from a temporary landfill on soil microbial diversity in Tingo María, Huánuco region, Peru. Three treatments were used: untreated soil (S), addition of stream water (T0), leachate (T1), and leachate treated by coagulation and flocculation (T2), with 828.5 ml/week added in three weekly doses. Soil samples were collected from the Reserved Forest of the Universidad Nacional Agraria de la Selva. Twenty-one randomly distributed soil samples were taken and homogenized for analysis. Soil quality parameters measured included sand, clay, silt, texture, pH, organic matter, nitrogen, phosphorus and potassium. As for microorganisms, viable aerobes, lactobacilli, actinomycetes, fungi, nitrogen-fixing bacteria, and Escherichia coli were quantified using specific culture and counting methods for each of them. To evaluate the impact of the leachate on microbial diversity, equity indices (Shannon and inverse Simpson), dominance indices (complementary Simpson and Berger Parker) and the percentage composition of each microorganism per treatment were used. An ANOVA was performed to estimate differences in microbial diversity, with a Tukey test at a significance level of α = 0.05. The study showed that leachates affect soil microbial diversity, reducing equity and increasing the dominance of certain species such as E. coli. They also alter physicochemical parameters, decreasing organic matter and nitrogen but increasing other elements such as phosphorus and potassium. This could have implications for soil health and functionality.

Examining Cryptocurrency Dynamics with Asian Equity Indices and Commodities: A Wavelet Coherence Analysis

A wide range of interest has been shown in this field by investors and decision-makers due to the correlation between cryptocurrencies, Asian stock indexes, and commodities in the global financial market through partitioning the data and applying the wavelet analysis approach to analyze the described movement of various variables. Moreover, this study seeks to provide information to fintech financiers and policymakers as well about the examined variables. Time-series data was obtained from 01st January 2019 to 31st December 2023 and analyzed from multiple internet sources about commodities, Asian Stock indices, and cryptocurrency prices. To find specific patterns and trends in a certain area, research used the wavelet approach to analyze the data and separate each series into a separate frequency band. The findings showed that there is a highly significant relationship among commodities, Asian stock indexes, and cryptocurrency in different frequency bands. On the other hand, a negative correlation was found in low frequency bands between the prices of commodities and cryptocurrency, whilst a positive correlation was found in high frequency bands between cryptocurrency and Asian Stock indices.

Disparities in Access to Bariatric Surgery in North Carolina.

This study sought to identify factors that contribute to disparities in access to bariatric surgery in North Carolina (NC). Using the rate of bariatric surgery in the county with the best health outcome as the reference, we calculated the Surgical Equity Index (SEI) in the remaining counties in NC. Approximately 2.95 million individuals (29%) were obese in NC. There were 992 (.5%) bariatric procedures performed on a population of 194 209 individuals with obesity in the Reference County (RC). The mean SEI for bariatric surgery in NC was .47 (SD .17, range .15-.95). A statistically significant difference was observed in 89 counties. Univariable analyses identified the following variables to be significantly associated with the SEI: percent of population living in rural areas (% rural) (relative rate change in SEI [RR] = .994, 95% CI .92-.997; <.0001), median household income (RR = 1.0, 95% CI = 1.0-1.0; P = .0002), prevalence of diabetes (RR = .947, 95% CI .917-.977; .0006), the primary care physician ratio (RR = .995, 95% CI .991-.998; P = .006), and percent uninsured adults (RR = .955, 95% CI .927-.985; P = .003). By multivariable hierarchical regression analysis, only the % rural remained statistically associated with a low SEI (RR = .995 per 1% increase in % rural, 95% CI = .992, .998; P = .0002). The percent rural is the most significant predictor of disparities in access to bariatric surgery. For every 1% increase in % rural, the rate of surgery decreased by .5%. Understanding the characteristics of rurality that are barriers to access is crucial to mitigate disparities in bariatric surgical access in NC.

Corporate Sustainability and Capital Costs: A Panel Evidence from BRICS Countries

Global sustainability challenges have triggered a sense of accountability in society, culminating in the growing incorporation of sustainability into corporate operations. This article aims to investigate the influence of environmental, social and governance (ESG) disclosure on a company’s cost of financing in emerging markets. Furthermore, the article examines the criticality of separate pillars of ESG in determining the companies’ capital costs using a panel dataset of 192 non-financial companies drawn from the equity indices from the BRICS countries for 10 years, spanning 2011–2020. Pooled Ordinary Least Square and fixed-effect panel regressions are used to test the hypothesised relationships. The robustness of our findings is validated by the application of the System Generalised Methods of Moments approach. The results show that ESG disclosure scores and their individual component scores are positively associated with the cost of equity and weighted average cost of capital. In contrast, there is a negative relationship with the cost of debt. Results demonstrate the apprehensions of equity providers and the reception of debt providers towards the companies’ ESG adoption. The governance pillar has the most significant influence on capital costs. The study enables managers to evaluate the economically ideal capital structure for ESG-compliant enterprises strategically.

Applying and analyzing the Model Portfolio Theory (MPT) by using Markowitz Model and index Model

In this study, I apply the Markovitz Model(“MM”) and Index Model(“IM”). These Portfolio Optimization models estimate and optimize U.S. equity portfolios with some realistic additional constraints. I was given a recent 20 years of historical daily total return data for ten stocks, which belong in groups to three different sectors (according to Yahoo! Finance), one (S&amp;P 500) equity index (a total of eleven risky assets), and a proxy for risk-free rate (1-month Fed Funds rate). I aggregate the daily data to the monthly observations, and based on those monthly observations, I calculate all proper optimization inputs for the full Markowitz Model (“MM”) alongside the Index Model (“IM”). We use the optimization inputs (“IM”) and (“MM”) to explore some additional constraints.

Dynamic connectedness, portfolio performance, and hedging effectiveness of the hydrogen economy, renewable energy, equity, and commodity markets: Insights from the COVID-19 pandemic and the Russia-Ukraine war

This study employs a Time-Varying Parameter Vector Auto Regressive (TVP-VAR) connectedness approach to investigate the dynamic interconnections, portfolio performance, and hedging effectiveness across hydrogen economy, renewable energy markets, equities, and energy commodities amidst the backdrop of the COVID-19 pandemic and the Russia-Ukraine conflict. Our findings reveal a consistent level of average connectedness during both black swan events, with dynamic connectedness reaching its peak during the COVID-19 crisis. While some assets (hydrogen economy index, renewable, solar and clean technology index) persistently function as net transmitters, the others (geothermal index, crude oil, natural gas, biofuel, and gold) consistently act as net receivers. We also find that the role of equity indices (wind energy, fuel cell, FTSE_100, and S&P 500) as net transmitters or receivers changes over time. The network plot results show that the hydrogen economy typically functions as shock transmitters for equity market indices and commodities. Portfolio analysis underscores the superior risk-adjusted performance of the minimum variance (connectedness) portfolio during the COVID-19 crisis in comparison to the Russia-Ukraine conflict. Furthermore, our examination of effective hedge and portfolio strategies demonstrates that managed collateralized portfolio weights of hydrogen economy and renewable energy assets (equities) in the minimum variance portfolio increase (decrease) from 7% to 12% (53%–41%) during the COVID-19 crisis, and subsequently decline (rise) further to 6% (53%) amidst the Russia-Ukraine conflict. These findings suggest a preference for hydrogen economy and renewable energy assets as hedging instruments in health-related financial crises over crises precipitated by military conflicts.

Unlocking the dynamic linkages between sustainable equity investment and economic policy uncertainty: An empirical analysis for G‐20 countries

AbstractThe study examines the dynamic relationships between sustainable equity investment and economic policy uncertainty of G‐20 countries using monthly environmental, social, and governance (ESG) equity and economic policy uncertainty (EPU) indices. Using the autoregressive distributed lag model and nonlinear autoregressive distributed lag model models, the study finds a negative long‐run relationship between sustainable equity investments and economic policy uncertainties in Australia, Canada, the USA, Brazil, Mexico, Germany, Italy, and Japan. Investors in these G20 countries may perceive that companies with higher ESG performance are more likely to face regulatory scrutiny, legal action, or reputational damage if they are associated with high levels of economic policy uncertainties. As a result, ESG market indices may underperform when EPU is high and vice versa. It supports prospect theory and suggests that individuals are more sensitive to potential losses than gains. On the contrary, the relationship is positive in the case of the USA, Brazil, China, and to some extent India. This might be because firms with high ESG performance could manage risks better and seize opportunities associated with EPU, which helps ESG market indices to outperform when EPU is high. It is supported by the legitimacy theory that says to maintain the legitimacy and credibility of the company, the investment must be invested in ESG initiatives, which can lead to improved long‐term financial performance and market value.

Return and Volatility Spillover in Equity and Commodity Market: Some Indian Evidence

This study empirically investigates the return and volatility spillover among equity markets, Agro and non-Agro commodity markets. The study has used daily return data of BSE SENSEX as equity index, MCX iCOMEDEX, including Gold, Silver, and Crude oil, as non-agro indices, and NCDEX (AGRIDEX) as agro commodity indices to analyze volatility transmission between assets and markets using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) model. The study has used dummy variables in the variance equation to identify the structural breaks during the COVID 19 pandemic. Further, Vector Auto Regression (VAR) pair-wise Granger causality test has been used to understand returns’ causality. The study has found a bidirectional and unidirectional causal relationship between variables. The study indicates that NCDEX could influence all the variables except MCX Gold. In structural breaks with deterministic dummy variables during COVID-19, we have found mixed evidence of asymmetric impact on conditional volatility. The study also indicates a positive and significant asymmetric volatility effect in the case of MCX Gold and MCX Silver during the COVID-19 period. The study has specified that SENSEX dominates the inflow of information to all commodity markets. Also, the findings signpost that information flows from NCDEX to MCX Gold, MCX Silver, and MCX Crude Oil. JEL Codes: C32, E30, E44, F41, G15, Q43

Green Shocks: The Spillover Effects of Green Equity Indices on Global Market Dynamics

This study investigates the impact of green equity indices on global market dynamics using a time-varying parameter vector autoregression (TVP-VAR) model. We uncover a significant shift in the role of the global market, transitioning from a shock transmitter to a shock receiver, as the influence of green finance grows. By directly comparing green equity indices with their corresponding global parent indices, we adopt a global perspective that transcends the limitations of studies focusing on specific regions, such as the USA, China, or Europe. This novel approach minimizes the potential biases in the transmission channels within regional markets, enabling a more comprehensive understanding of the relationship between green finance and global market dynamics. Moreover, by focusing on equity indices we ensure a consistent comparison of financial instruments, avoiding the complexities that arise when comparing different asset classes such as green bonds and conventional equities. For global investors, our results highlight the importance of dynamic and flexible hedging strategies that adapt to the distinct characteristics of green assets and their growing influence on the global market. Risk managers should incorporate these time-varying spillover effects into their models to better assess and mitigate potential risks. Policymakers should consider the growing influence of green finance on the broader market when formulating regulations and incentives to support sustainable investing, as our findings underscore the increasing importance of this sector in shaping market dynamics.

Unveiling the ESG-dividend nexus: the moderating role of investor protection and regulatory enforcement

PurposeThe mounting focus on environmental, social and governance (ESG) factors in business has sparked substantial curiosity in understanding the nexus between ESG and the companies’ strategic decisions. This study aims to investigate the influence of firms’ ESG disclosure scores on their dividend payout. Furthermore, it examines the nuanced dynamics of this relationship by exploring the moderating role of the country’s investor protection regulations and regulatory enforcement.Design/methodology/approachThis study uses pooled ordinary least square regression with year, industry and country effects. It analyzes a balanced panel data set of 192 non-financial firms drawn from the primary equity indices of BRICS nations. This study examined the data of six years spanning 2015–2020.FindingsThe findings discover a significantly positive relationship between ESG scores and dividend payout ratio, conveying that firms with higher ESG scores allocate more of their profits as dividends. Furthermore, the finding reveals that country-level robust investor protection and effective regulatory enforcement mechanisms undermine the positive association between ESG ratings and payouts of dividends, suggesting that the ESG disclosure of firms operating in a setting characterized by enhanced investor safeguards and stricter regulatory oversight will exert less influence on their dividend decisions.Originality/valueTo the best of the authors’ knowledge, this is the first study to concentrate on the ESG–dividend nexus in the BRICS countries. Furthermore, this study used each country’s investor protection index and regulatory enforcement scores to comprehend the influence of country-level legal frameworks in shaping the relationship between ESG and dividend decisions, thus adding value to the existing literature on corporate sustainability.

An Empirical Study on Perception and Behaviour of Investors towards Equity Market Investments

Perception and Behaviour of Investors' towards the performance of equity indices in the stock market were meticulously examined in this study. By delving into their perceptions, we aim to provide valuable insights to help investors make informed decisions that lead to financial success. As part of a research study, the required data has been gathered from 415 individuals who invest in the equity market. The study aimed to investigate how investors' decision-making behavior, whether rational or irrational, affects their perceptions of movements in equity stock indices. The data was analyzed using the Structural Equation Model approach. The study revealed that the model had an excellent fit to the suggested values, indicating that investors use both rational and irrational approaches in their investment decision-making process. Although they collect complete financial information, they also use shortcuts to make investment decisions.&#x0D;