Equity Segments Research Articles

The Impact of the Cryptocurrency Market on Islamic vs. Conventional Stock Returns: Evidence from Gulf Cooperation Council Countries

The rapid rise and widespread global adoption of cryptocurrencies in recent years has fundamentally transformed the international financial landscape, with digital assets increasingly being recognized for their potential to influence the stability and performance of traditional capital markets. Against this backdrop, this study aims to empirically investigate the impact of cryptocurrency returns on Islamic vs. conventional stock returns in Gulf Cooperation Council (GCC) countries. The salient distinctions between Islamic and conventional stock markets include fundamental differences in principles, investment allocations, and risk profiles, underscoring the importance of examining the impact of cryptocurrency returns on these distinct equity segments. Daily data were collected from stock indices in five GCC countries over the period 2016–2019, including two sub-periods: before and after the 2017 crypto crash. Pooled OLS, fixed effects, random effects, and generalized linear models (GLMs) were used to analyze the data collected during the study. With the GCC increasingly focusing on cryptocurrency markets, there is growing concern about these markets’ potential impact on regional stocks. This study addresses the important questions of whether the impacts of the cryptocurrency market on Islamic vs. conventional stock markets differ throughout the GCC region and how these impacts have evolved since the crypto crash period. The findings reveal that cryptocurrency returns had a negative impact on both GCC Islamic and conventional stock market returns for the full sample period (2016–2019), and the negative effect was far more pronounced for conventional stocks. For the two sub-periods before and after the crash, only the cryptocurrency market and conventional GCC stocks remained negatively correlated, while the cryptocurrency market and the GCC Islamic stock markets became uncorrelated. Thus, for the calmer sub-periods before and after the crypto crash, the rise in cryptocurrency returns may have enticed GCC investors away from conventional stocks, perhaps resulting in a decline in their investment in these stocks. Meanwhile, those who invest in Islamic stocks may not be exposed to this temptation.

Size, Value and Momentum Returns in Indian Stock Market

The study investigates the applicability of factor-based investing in the Indian stock market, particularly focusing on the size, value, and momentum factors. Using data from 2005 to 2022 and employing the Fama-French methodology, the research examines the performance of these factors and their impact on investment returns. The findings reveal that while the size factor yielded negative returns, both the value and momentum factors exhibited positive performance. Notably, momentum emerged as the most effective strategy, delivering substantial returns and outperforming other factors. Additionally, the study analyzes the Equity Risk Premium (ERP), indicating insignificant real returns in the market during the study period. Drawdowns and volatility are assessed for each factor, highlighting the inherent risks and fluctuations associated with factor based investing. The research emphasizes the significance of integrating factor analysis in investment strategies and provides insights into the dynamics of the equity segment of Indian capital market.

Study on Knowledge of investors and impact of Advisory services on investment output in Future & options

Derivative trading was launched in India on NSE as well as BSE in the year 2000 and since then it has been witnessed that trading in Derivative segment is growing at a very high speed. If we look at the data for the last 10 years i,e. from 2012-13 to 2021-2022, the turnover of trading in options and Futures on Stock & index has moved from 31533003.96 cr to 1695233134.47cr (source: NSE). It has also been observed that nowadays most of the traders who were trading in equity segment only have started trading in future and options segment. The F&O contracts are used by the investors for variety of purpose such as hedging, speculation, arbitrage, profit maximization etc. It has also been observed that nowadays most of the individuals, who have little knowledge about stock market and trading, are entering into options and future trades and some of them are taking the services of some advisors for reaping maximum profit out of it. As per the current study conducted by SEBI, it has been observed that total number of traders who traded from the top 10 brokers in Indian in F&O segments has increased to 45.2 lakhs in the FY 22 from the 7.1 lakhs in the FY 2019. It shows that there is a significant increase of around 500% in the FY 2022 as compared to the FY 2019. The current study has been conducted to understand the awareness level and perception of investors towards making investment in future and options. The data has been collected from 102 respondents of Jammu & Kashmir who are actively involved in F&O trading through Non-random purposive sampling technique. After an in-depth review of literature, a comprehensive questionnaire was developed to collect the data that can be analyzed by using the relevant statistical tools to achieve the objectives of the study. The data shows that 76% of the respondents were aware about the F&O contracts available in the market and around 70% have knowledge about the concept of expiry in future and options. Regarding preference of investment in future & options only 50% of the investors are there who prefer to make investment in future & options. It has also been found that majority of the investors have gone for taking the help of financial advisors for making investment in future and options and chi-square analysis shows that there exists a significant relationship between investment output of the investors and advisory services taken by the investors

A framework for residents' pursuit of excellence based upon non-cognitive and cognitive attributes.

Excellence, although variably conceptualized, is commonly used in medicine and the resident excellence literature is limited. Both cognitive attributes (CAs) and non-cognitive attributes (NCAs) are essential for academic and clinical performance; however, the latter are difficult to evaluate. Undergirded by an inclusive and non-competitive approach and utilizing CAs and NCAs, we propose a criterion-referenced behavioral framework of resident excellence. Perceptions of multiple stakeholders (educational administrators, faculty, and residents), gathered by survey (n = 218), document analysis (n = 52), and focus group (n = 23), were analyzed. Inductive thematic analysis was followed by deductive interpretation and categorization using sensitizing concepts for excellence, NCAs, and CAs. Chi-squared tests were used to determine stakeholder perception differences. All stakeholders had similar perceptions (P > .05) and 13 behavioral attributes in 6 themes undergirded by insight and conscientiousness were identified. The NCAs included: interpersonal skills (works with others, available, humble), professional (compassionate, trustworthy), commitment to profession (visible, volunteers), commitment to learn (proactively seeks feedback, creates learning opportunities), and work-life balance/integration (calm demeanor, inspirational). The CA (medical knowledge and intellect) included: applies knowledge to gain expertise and improves program's caliber. Resident excellence is posited as a pursuit. The attributes are non-competitive, inclusionary, potentially achievable by all, and do not negatively affect freedom of choice. However, contextual and cultural differences are likely and these need validation across societal equity segments. There are implications for learners (adaptive reflection and learning goal orientation), faculty (reduced bias and whole-person feedback), and system leaders (enhancing culture and learning environments) to foster excellence.

INVESTMENT BASED ON SIZE, VALUE, MOMENTUM AND INCOME MEASURES: A STUDY IN THE TAIWAN STOCK MARKET

Cross-sectional characteristics of stocks such as market value, market-to-book ratio and accumulated past return can be applied to formulate equity portfolios in the stock-picking process to generate good profits in some markets, which relate to the well-known size, value and momentum or contrarian strategies in the literature. Alternatively, income measures in financial statements drive investors in stock markets to buy or sell in an intuitive way that can be also used in the stock-picking process to generate good profits in some markets. This study applies these types of information in the formation period to formulate long-short strategies and investigates both the returns and risk profiles in the holding period afterward and checks whether the measures can be used to generate good profits in the Taiwan markets for the period from January 1980 to June 2020. Given different lengths of the holding period and different equity segments, our empirical analysis shows that strategies filtered by the income measure of gross profitability outperform the counterparts filtered by the operating profitability. Moreover, while the momentum or contrarian effect is not, the size and value effects are helpful to improve the performance of long-short strategies filtered by gross profitability.

Can active investment managers beat the market? A study from the U.S. large cap equity segment

This paper deals with the ongoing rise of index (passive) investing on the U.S. large-cap equity market and its manifestations. We have constituted two scenarios of the 1990–2021 market shift: implying the reduction of efficiency in the first and the continuous increase of efficiency in the second one. Analysing a wide array of 2 173 managed assets, we have found that passive investments´ returns significantly outmatch the active ones. Our results also indicate that active investments offered significantly reduced volatility and the risk-adjusted returns were free of significant differences. This implies no change of intrinsic market efficiency so far, along with overall support for the efficient market hypothesis in the target sample.

Forming the Financial Reporting System of Issuers on the Basis of Taxonomy: Current Problems and Ways to Solve Them

The use of standardized financial reporting formats in a form convenient for international investors, in particular on the basis of taxonomy, is becoming increasingly common in the world, given the significant role of transparency for public investment and automated processing of branched statistical information on financial instruments. Implementation at the state level of significant changes in procedures, deadlines, formats for reporting information should take into account both the proper legal regulation of such changes and the availability of working infrastructure for the formation and submission of reports, sufficient time to adapt to changes in reporting entities, auditors, IT companies. Despite repeated postponements of the transition of Ukrainian companies to taxonomy-based reporting, there are numerous difficulties in implementing this project. Thus, the article’s objective is due to legal, financial and technological risks for many taxonomy-based reporting entities and the uncertainty of current and future procedures for adapting international reporting requirements in XBRL format for their application in Ukraine.
 The international experience of introduction of financial reporting on the basis of taxonomy is considered and the advantages of such format for all participants of information interaction (reporting subjects, state regulators, investors, financial intermediaries and users of financial services, subjects of information-analytical infrastructure) are determined.
 The current lack of expected benefits for Ukrainian issuers and investors is justified due to the preservation of duplication of reporting information in various formats, disorder of deadlines and reporting procedures, delay and omission of difficulties in implementing the Financial Reporting System.
 Measures are proposed to accelerate the efficiency of the Financial Reporting System, reduce legal and regulatory risks, avoid duplication of different forms and deadlines for reporting, expand the participants in the information interaction on the pilot launch of the project and prepare for regular taxonomy changes.
 It is planned to analyze the actual impact of increasing financial disclosure requirements by issuers on the investment attractiveness of the Ukrainian stock market (primarily the equity segment) and the quality of its information infrastructure in the absence of noticeable interest of issuers in public raising capital and circulation of their securities in the regulated market.

Does disease outbreak news impact equity, commodity and foreign exchange market? Investors' fear of the pandemic COVID-19

PurposeMarket volatility is subject to good or bad news and even responses to fake news and policy changes. In this piece of work, the authors consider the effects of the recent COVID-19 pandemic event on the global equity market, commodities and FX market, measured in terms of the investors' fear index.Design/methodology/approachIn this empirical work, the authors employ time series-based regression models followed by augmented dummy regressions and growth of the COVID-19.FindingsCOVID-19-induced investors' fear appears to be higher in the equity segment for the first time since the market crash of 1987 and the global financial crisis of 2008–2009. Furthermore, this disease outbreak shock has been more pronounced in terms of crude oil prices. Besides, a market participant in the commodity and FX market has paid a disproportionate premium to protect such pandemic development. Findings show that Options act as the best hedge against an uncertainty like COVID-19 and that option-based implied volatility is the best measure of investors' fear and market volatility.Practical implicationsThis study has practical implications for the financial markets, e.g. (1) Contagious disease outbreak news matters for the equity, commodity, and foreign exchange markets – empirical outcome validates the theory of market efficiency valid for the Options. (2) Option's implied volatility is the best indicator of investor fear measured for the unprecedented economic news. Further implication holds for the policymakers and society, e.g. (1) The unavailability of short-selling could be one plausible reason for increased uncertainty and volatility; hence, policymakers should look upon this issue at the exchange level. (2) Any market needs multiple lines of risk management, effective price discovery and attractive liquidity.Originality/valueThe study is novel in terms of presenting market behavior amid COVID-19 across global equity markets and commodities and FX markets.

Increased efficiency of oil and gas companies (goals, interests, securities market)

The article is devoted to the study of increasing the efficiency of oil and gas companies through their goals and interests in the securities market in the oil sector. The article examines the reasons and factors affecting changes in the value of securities (stocks and bonds) of companies in the oil and gas sector. The author analyzes the dynamics of the development of the debt and equity segment of the market, citing statistics.

Ideal Investment Protection in Optimistic Perceptions: Evidence From the Indian Equity Options Market

The study is an experiential assessment on the ability of the Indian equity options market to resist the adverse impacts that arise from unexpected changes in the underlying equity market, focusing on two distinct investor perceptions within optimistic dimension in the market, viz. the recovery phase and the growth phase, which were evident in the Indian market scenario post the period of financial upheavals due to global economic crisis during the latter half of 2000s. The risk mitigation capability of the options is examined in terms of long run integration and short run re-equilibrating relationship shown by near month calls and puts with varied stages of exercisability with their underlying equity segment in the National Stock Exchange of India. Further, the ideal hedge sizes of the options and the hedge gains resulting from affecting them in the investment profile are identified under minimum variance framework, using Diagonal BEKK GARCH. The results are indicative that all different options segments express to have the expected resistance ability during both bullish perceptions under consideration, and prove that optimal use of options with equity portfolio provides assured hedge gains in terms of reduction in un-anticipatable variances.

Evaluating Opportunities in Active Management

Institutional investors are frequently faced with making a choice between active and passive management. The ability to select skilled managers who can add value beyond a comparable passive benchmark may justify the case for active implementation. One fundamental approach toward evaluating active managers is segregating them based on the region of their investment focus—US large-caps, international large-caps, global small-caps, and emerging markets—and then reviewing the active management opportunity and the past success of active managers in each of these market segments. Our study reveals that both emerging markets and small-caps were relatively less efficient, provided a diverse universe for stock selection, and exhibited higher return dispersion than other market segments, thereby creating a dynamic pool of potential opportunities for active management. In addition, active managers have been more successful in selecting emerging market and small-cap stocks and have exhibited higher persistence in performance in these markets. <b>TOPICS:</b>Manager selection, equity portfolio management, emerging markets <b>Key Findings</b> • The ability to select skilled managers in opportune markets, those who can add value beyond a passive investment tracking an index, may justify the case for active implementation. • Global small-caps and emerging markets offered greater opportunity for active stock selection compared to the US and international large-cap equity segments. • Global small-cap and emerging markets active managers were more successful in adding value over their benchmarks compared to US large-cap active managers, even when results were neutralized for systematic risk factors. Additionally, small-cap and emerging markets managers exhibited higher persistence in performance.

Atores, ações e dominação cultural na construção da indústria de capital de risco no Brasil

Este artigo aborda a indústria brasileira de capital de risco a partir da trajetória dos agentes que contribuíram para seu desenvolvimento. O Estado desempenhou um papel importante na regulamentação dessa indústria, notadamente a partir da criação da Comissão de Valores Mobiliários (CVM), da Financiadora de Estudos e Projetos (FINEP) e da BNDESPar, subsidiária do Banco Nacional de Desenvolvimento Econômico e Social (BNDES). O artigo conclui que, apesar da legitimidade desta indústria estar ligada ao financiamento da inovação tecnológica pelas firmas gestoras que atuam junto ao segmento venture capital, aqueles que dominam culturalmente a indústria, preferem investir no segmento private equity, onde o retorno sobre o investimento é significativamente maior e o risco, menor. Como resultado, os dados extraídos da CVM, indicam que, o financiamento via venture capital, onde a incerteza e os riscos são mais elevados, recaem principalmente sobre as agências governamentais, reproduzindo a dominação cultural predominante na indústria mundial.

Optimal Portfolio Construction with NSE's Nifty Midcap Fifty Scrips An Analytical Research

The context focus here is to construct an optimal portfolio using Sharpe’s Index Model with medium-market capitalization equity stocks listed in NSE, India. The research questions answer the risk-return profile of the midcap scrips, ideal scrips and weights for the optimal portfolio and causal explanation with reference to the benchmark index. The scrips in NSE’S Nifty Midcap Fifty form the study population with month-end closing MPS during September 2006-August 2009, as datasets. The study contributes to the literature of optimal portfolio construction by highlighting the midcap equity segment of the Indian capital market.

What Matters in International Equity Diversification?

Over the past decade, investors and financial advisors have shown renewed interest in increasing international equity exposure. Investors confront one of two key issues in making decisions on their strategic allocations, depending on the starting point of their portfolios: 1) for a U.S.-only equity portfolio, the issue is which strategies produce the most beneficial international exposure; 2) for a portfolio already with significant international exposure, the issue is what benefits are there in exploring small cap, micro cap, and new frontiers in international equity investing. We use mean-variance spanning and optimization tests of indexes to assess the comparative benefits of competing paths to international diversification of the equity segment of an investor’s portfolio. We find that for investors with a U.S.-only stock segment in their portfolios, any of the international indexes examined substantially improve risk and return characteristics — more evidence that home bias is costly. No clear winners emerge among the indexes, however. For the investor who already has a diversified portfolio of U.S. large and small cap, developed ex-U.S. large cap, and emerging markets large cap, an extension to frontier markets would be beneficial. The additional diversification and return benefits from extending to developed ex-U.S. small and micro cap as well as emerging markets small and micro cap are small.

Some Like It Hot: The Role of Very Active Mandates across Equity Segments in a Core–Satellite Structure

This article reviews the active management opportunity in different market segments, and discusses the role of very active mandates across segments in a core–satellite portfolio structure. Research based on manager performance data over the last 10 years indicates that there is little evidence that average emerging market or small-cap managers have produced higher or more persistent risk-adjusted returns relative to their developed market large-cap peers. Therefore, institutional investors may consider active and passive management as complementary strategies across all equity segments. Due to the outperformance of high active risk mandates over the analyzed period, a simulated core–satellite structure across different equity segments achieved a higher information ratio than a combination of low active risk managers. The outperformance of high active risk mandates may reflect links between higher manager skill, higher investment conviction, and/or fewer constraints. Depending on investment beliefs, institutional investors might explore such a core–satellite structure to implement the global equity allocation.

Pre-trade transparency and trade size

We analyse how Pre-Trade Transparency (PTT) affects the behaviour of different stock traders. To do so, we exploit a natural experiment, that is the PTT change in the equity segment of Italian Stock Exchange (ISE) which occurred in July 2007, with the aim of reducing information asymmetries between individuals and intermediaries/institutional investors. We specify a dynamic empirical model for trade size and estimate it on a large panel of tick-by-tick data. Results suggest that increased transparency affects the dynamic trade pattern emerging from interacting strategic decisions of different traders. In addition, the contribution of the order flow disclosure both in reducing the adverse selection component of the bid–ask spread, and in weakening the sensitiveness to risk of the trade size also emerges. Overall, PTT enhancement should reduce the informative disequilibrium among market participants and improve the quality of the market.

Corporate drivers of market liquidity on the Warsaw stock exchange

Following the adoption of a liquidity support programme by the Warsaw Stock Exchange in June 2008, this paper investigates the corporate financial signals on which firms can rely in their communication to investors to enhance the liquidity of their securities in the market. More specifically, this paper takes a new look at the corporate determinants of the liquidity of the shares of Polish firms listed on the WSE. Our analysis notably confirms the role played by corporate financial signals in explaining the cost of transacting and the depth of this market. The reported evidence further identifies the price-to-book ratio as a discriminating variable affecting liquidity in the equity segment of the Exchange.

Structural Aspects Regarding the Bond Market from Central and Eastern Europe in International Context

In Central and Eastern Europe, the equity segment dominates the capital market mainly due to the privatization process initiated in these countries. The bond market has been set up later, but the pace of development is high. This market knows a quantitative and qualitative development, and innovation process is intense in this field too. In our study, we analyze the development of the bond market from Central and Eastern Europe in the context of international financial crisis. We observe a high concentration of bonds market and the importance of domestic public bond segment. The Bucharest Stock exchange has a marginal position in Central and Eastern Europe, but we remark the position of Romanian exchange taking in account the value of bonds trading on international segments due to the support of international financial institutions.

Pre-Trade Transparency and Trade Size

We analyze how pre-trade transparency (PTT) affects the behavior of different stock traders. To do so, we exploit a natural experiment, that is the PTT change in the equity segment of Italian Stock Exchange which occurred in July 2007, with the aim of reducing information asymmetries between individuals and intermediaries/institutional investors. We specify a dynamic empirical model for trade size and estimate it on a large panel of tick-by-tick data. Results suggest that increased transparency affects the dynamic trade pattern emerging from interacting strategic decisions of different traders. In addition, the contribution of the order flow disclosure both in reducing the adverse selection component of the bid-ask spread, and in weakening the sensitiveness to risk of the trade size also emerges. Overall, PTT enhancement should reduce the informative disequilibrium among market participants and improve the quality of the market.

Impact of FIIs and DIIs in Dynamism of Indian Capital Market

Purpose: The purpose of this paper is to examine the effects of different sources of institutional investors – both domestic and foreign – on the dynamism of Indian capital market in the recent years.Design/Methodology/Approach: This paper begins with an understanding of what has been the trend of FIIs and DIIs flow in the Indian capital market in the last decade. In this context it has been studied that how FIIs acted as a trigger for the Sensex in the recent years. In the next section it has been attempted to look at the correlation between the FIIs/DIIs flows into the Indian capital market. Findings: This paper also proposes that the dynamics of the Foreign Institutional Investors’ (FIIs) investment in Indian capital market is queer and is different in debt and equity segments. In particular, it believes that the Domestic Institutional Investors (DIIs) provide the much needed support to the market in hours of crisis. Through statistical analysis it has been shown that though FIIs constitute a minor portion of the total market turnover their confidence levels and strategies become increasingly important to the Indian capital market.