Financial Market Performance Research Articles

Good vs. bad volatility in major cryptocurrencies: The dichotomy and drivers of connectedness

Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. Our findings indicate that crypto connectedness reflects important events and oscillates substantially while reaching lower limit values when compared to traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that market downturns spill over substantially faster than comparable market surges. Overall, the connectedness dynamics are driven by a combination of both crypto (momentum, on-chain activity, off-chain activity) and legacy financial and economic (financial and economic uncertainty, and financial market performance) factors, while the asymmetry is more connected to the off-chain crypto activity and the combination of economic, financial, and monetary factors. In both the total connectedness and asymmetry modeling, these can serve as hands-on indicators to be further translated into specific portfolio re-balancing decisions, risk management, and regulatory frameworks.

IMPLEENTATION OF ENVIRONMENTAL, SOCIAL, AND GOVERNANCE (ESG) PRINCIPLES IN HEALTHCARE COMPANY MANAGEMENT: A COMPREHENSIVE REVIEW

The global healthcare system accounts for 4 % of the world’s carbon dioxide emissions, surpassing both aviation and shipping. Characterized by significant waste production and energy consumption, the industry faces direct challenges from climate change and requires tailored measures due to its unique attributes. Historically, the sector has prioritized social considerations, often at the expense of environmental issues. Enhancing the healthcare industry’s ESG performance is essential for achieving sustainability and Sustainable Development Goals, and it offers potential economic benefits. The primary aim of this research is to comprehensively analyze and understand the implementation of Environmental, Social, and Governance (ESG) principles within the management frameworks of the healthcare industry. The results show, most current research focuses on the value or connection that ESG brings to corporate financial performance or market performance, or pays more attention to the connection between CSR and ESG. In other words, many researchers pay more attention to the S part of ESG and pay less attention to the E and G parts. The research’s conclusions reflect the strategic importance of ESG in the global healthcare industry and underscore the importance of companies considering sustainability and social responsibility when making business strategies and operational decisions. Keywords: ESG, management, healthcare, medicine, pharmaceutical industry, sustainable development.

Europe after the crises: toward an optimum financial area?

ABSTRACT Europe’s policymakers embarked on an ambitious experiment in institution building after the last crisis – to make banks safer, to make financial markets more efficient, and to pool resources to respond to collective losses when the markets move against them. The goal is to construct a financial area that is resilient to the usual ups and downs in financial market performance and that can remain integrated even when systemically important institutions or sovereign finances run into trouble. The problem, policymakers complain, is that they know what to do, but they cannot overcome powerful political opposition to those new institutions or reforms. We use the examples of the United Kingdom, the United States, and Canada to show, that this problem is not unique. Building an ‘optimal financial area’ is no easier within countries than between them.

The impact of social media influencers on the financial market performance of firms

The impact of social media influencers on the financial market performance of firms

From text to treasure: the predictive superiority of a FinTech index in stock market returns

This study employs a text analysis methodology to construct a Financial Technology (FinTech) Index, utilizing textual data from The New York Times. The primary aim is to investigate the correlation between financial technology and stock market performance. Our findings provide compelling evidence that the FinTech Index possesses substantial predictive capability for excess returns in the US stock market, a feature that becomes particularly pronounced during economic downturns. Notably, when compared with traditional macroeconomic indicators, the FinTech Index offers valuable incremental insights. Moreover, this study expands to include sector-level and international market analyses, demonstrating the broad applicability and robust performance of the FinTech Index. Importantly, through the use of out-of-sample testing, we substantiate that the FinTech Index demonstrates superior predictive accuracy, presenting opportunities for investors to achieve higher economic returns.

The impact of climate policy uncertainty on the Italian financial market

In this paper, we develop the Climate Policy Uncertainty Index (CPU) for the Italian context based on news from major Italian newspapers. The CPU index exhibits distinct movements around major national and international climate events. We also investigate the effects of CPU on the Italian financial market. The results provide evidence that a shock CPU has a negative impact on financial market performance.

Accurate and efficient stock market index prediction: an integrated approach based on VMD-SNNs

The stock market index typically mirrors the financial market's performance. Hence, accurate prediction of stock market index trends is essential for investors aiming to mitigate financial risk and enhance future investment returns. Traditional statistical approaches often struggle with the non-linear nature of stock market index data, leading to potential inaccuracies in long-term predictions. To address this issue, we introduce the TCN-LSTM-SNN (TLSNN) model, a hybrid framework that integrates Long Short-Term Memory (LSTM) and Temporal Convolutional Network (TCN) for robust feature extraction, within a highly efficient Spiking Neural Network (SNN) architecture. Additionally, we employ the Subtraction-Average-Based Optimizer (SABO) to refine the Variational Mode Decomposition (VMD) technique, thereby separating the periodic and trend components of stock indices, reducing noise interference, and establishing a decomposition ensemble framework to bolster the model's resilience. The experimental results show that the VMD-TLSNN hybrid model suggested in this study surpasses other individual benchmark models and their hybrid models in prediction accuracy. Additionally, it demonstrates notably lower energy consumption compared to other hybrid models.

Monetary and fiscal policy impacts under alternative trilemma regimes

Using a new set of trilemma indexes for exchange rate stability, financial market openness, and monetary policy independence, this paper first locates more than one hundred economies in the trilemma triangle over time. Second, the paper depicts individual economies’ trilemma regimes, defined by combinations of the three indexes, in the global map. Third, the paper tests econometrically the impact of monetary and fiscal policies on key macroeconomic variables (i.e., the real GDP growth rate gap, inflation, and their variability/volatility) under alternative trilemma regimes. Fourth, it examines the roles of trilemma regimes in influencing the macroeconomic variables. Econometric analysis uses a sample of 61 emerging market & developing economies over the period 1971–2020. The two-stage least squares estimation results largely support the Mundell-Fleming predictions made for three “corner” regimes. Monetary policy is effective in raising the real GDP growth rate gap and its variability under the “flexible exchange rate” corner regime, but not under the “financially open fixed rate” regime. Monetary policy is most effective in stimulating inflation and inflation volatility under the “flexible rate” regime. Fiscal policy has a positive impact on the GDP growth rate gap under the “flexible rate” regime and positive impacts on inflation and variability/volatility measures under the “financially closed fixed rate” regime, while it has no such impact under the “financially open fixed rate” regime, a somewhat surprising finding. The “financially open fixed rate” regime has a role of achieving price stability in a financially open economy.

Kinerja Keuangan Bank Mandiri Tbk Sebelum Dan Sesudah Stock Split

This study aims to analyze the financial performance of Bank Mandiri Tbk before and after the stock split. The type of research used is quantitative research. The objects in this study are the financial statements and market performance (stock prices) of PT Bank Mandiri Tbk before and after the stock split. The sample is the financial statements for 2014-2016 as the period before the stock split and 2018-2020 after the stock split. The results of the study showed no difference in financial performance interpreted by the Current Ratio, Debt Equity Ratio, Return on Equity, Total Assets Turn Over both before and after the Stock Split policy.

The Impact of Selected Financial Ratios on The Market Performance of Listed Companies on The Acceleration Board Indonesia Stock Exchange (Period 2020-2023)

This research aims to analyze the impacts of selected financial ratios on the market performance of listed companies in the Acceleration Board IDX (Period 2020-2023) and find if IDX need to add the financial requirements in IDX Listing Regulations no. I-V to increase the company’s market performance in Acceleration Board IDX. The data of selected financial ratios and market performance were collected from the publication of listed companies’ financial reports and market trading data in 2020-2023 that can be accessed publicly on IDX’s official website. The population in this research is the whole Acceleration Board listed companies that were listed in IDX from 1st January 2020 – 31st December 2023. The samples used are limited to companies listed in Acceleration Board IDX period 2020-2023. Multiple regression analysis is used in this research to examine the relationship between the dependent variable and two or more independent variables. From five independent variables, partially, only the Net Profit Margin has a significant impact on the company’s market performance (stock price). From the results of the ANOVA test, there is a simultaneous significant effect of the independent variables ROA, ROE, DER, NPM, and Cash Flow from Operation on the dependent variable Market Performance (stock price).

Analysis of key influencing factors on the financial performance of Jakarta Islamic Index 30 industrial firms

Purpose The purpose of this paper is to investigate the impact of size, asset quality, asset management, financial risk, gross domestic product and inflation rate on the financial performance of companies listed on the Jakarta Islamic Index of 30 industrial firms. Design/methodology/approach Based on the selected criteria, this study analysed an unbalanced panel of data from 30 industrial companies on the Indonesian capital market that are members of the Jakarta Islamic index. Profitability is measured using the dependent variables return on assets (ROA), return on equity (ROE) and stock prices. The influence of explanatory variables of internal factors, namely, size, asset quality, asset management, financial risk, gross domestic product and inflation is investigated using pooled OLS, fixed and random effect estimation. Findings The empirical findings indicate that the scale of a company has a significant impact on its performance, asset quality, asset management and financial risk. GDP has a substantial impact on financial performance, particularly as measured by ROA and ROE. This study’s ramifications have substantial effects on a broad spectrum of stakeholders. The results of this study provide the general public and investors with a greater understanding of the factors that influence a company’s performance on the Jakarta Islamic Index 30. Research limitations/implications The implication of this research is that a deeper comprehension of the factors that influence the financial performance of companies within industrial sectors that follow Islamic finance principles can help design more effective strategies and policies. Practical implications This research has significant practical implications in a number of crucial areas. First, it provides a comprehensive comprehension of the company’s financial performance in the industrial sector in accordance with Islamic finance principles. Second, the research findings provide more precise guidance on how company size, asset quality and macroeconomic variables influence the performance of Indonesia's financial market. Originality/value The study’s authenticity and value hold considerable importance. This study introduces novel perspectives on the assessment of corporate financial performance within industrial sectors through the lens of Islamic finance principles. It offers valuable insights that have not yet been extensively investigated by scholars in the field.

Structural Changes in the Impact of Covid-19 Pandemic on the Performance of Financial Markets. Stock Market by Using Least Squares WHTI Breaks

The global outbreak of COVID-19 in 2020 became unprecedented and sent shockwaves through financial markets worldwide. This study investigates the impact of the pandemic on the performance of the U.S. financial market from March 1, 2020, to April 14, 2022. Utilizing Bai and Perron’s (1998) least squares with breaks during this period. The study’s test findings validate the existence of seven structural changes, signifying the occurrence of eight effects of independent factors on the S&P 500 index. The empirical findings demonstrate a substantial influence of COVID-19 pandemic on the performance of financial markets. Specifically, the impact of the number of COVID-19 cases and new fatalities on financial market performance, exhibits variations in terms of direction, nature, depth, and level. Based on an analysis of the structural changes, it can be inferred that the initial period exhibits the most pronounced negative impact on the number of new COVID-19 cases. Subsequently, the direction and nature of this impact undergo a transformation from the second to the eighth periods. Specifically, the impact of the number of new COVID-19 cases becomes positive in the second, third, sixth, seventh, and eighth periods, gradually diminishing until it reaches its lowest levels of impact in the eighth period. The research further identifies a detrimental impact on the occurrence of new fatalities. However, the periods spanning from the third to the fifth period exhibit very modest levels of influence, which then transition into a beneficial effect during the fifth period. Moreover, the research reveals that the impact of mortality rates on the performance of the United States stock market was greater than that of COVID-19 cases across all periods linked to structural changes. Additionally, the exchange rate of the dollar has a consistent and favorable impact, and the real interest rate has a pronounced negative impact, which gradually reduces over time and eventually transitions into a positive value by the eighth period.

Impact of post-IPO investments on the long-term financial market performance of Japanese IPOs: A preregistered report

This pre-registered report seeks to understand how investments made after a firm's initial public offering (IPO) impact its long-run IPO financial performance. That IPOs substantially underperform three to five years after going public (Loughran and Ritter, 1995) has been much debated with various factors implicated in causing the “new issues puzzle”. However, few studies focus on how firms actually spend their IPO capital and the associated impacts of those choices on long-term performance. By empirically testing the impact of the actual “use of proceeds” by newly public IPOs, the proposed study will bridge this gap. It can also inform corporate decision making by addressing how spending on debt repayment, fixed assets, working capital, and investments in shares, as well as investments in shares of stock, secondary stock, and foreign direct investments impact a firm's long-term financial market performance.

Assessing the impact of ESG scores on market performance in polluting companies: a post-COVID-19 analysis

The study aims to unravel the impact of Environmental Social Governance (ESG) scores on the firm’s market performance of polluting companies. Moreover, the study also finds out moderating effect of green initiatives. The study’s population consisted of 67 companies that were chosen from the list of polluting companies given by the Central Pollution Control Board of India for the post-COVID-19 timeframe of 2020–2023. Regression analysis was conducted to analyze the relationship between the variables. The results indicate that the performance of ESG will improve the financial performance of the company. In most cases, the results suggest that firms with heightened ESG performances have better market performance. Furthermore, the results show that there is no moderating effect of green initiatives. This study’s findings have important implications for stakeholders. The examination’s findings should help managers understand the state of ESG and financial market performance after the coronavirus crisis, as well as the relationship between FP and ESG responsibility fulfilment. The study has significant practical implications that may help managers create plans and guidelines for implementing and improving ESG scores to maximize performance. Population was the major limitation of the study.

The dynamics of financial performance and market performance in the context of Indian banking industry

Background This study aims to gain insight into the effect of banks’ financial performance on their market performance. We conceptualized the research subject on the assumption that the financial performance of an organization is the most important criterion for triggering movement in its stock price. We explored various models and parameters to evaluate financial performance of banks and found CAMELS being one of the most comprehensive and appropriate model. We considered share price growth of banks to measure their stock market performance Methods We collected financial and stock market data pertaining to 32 listed Indian banks for the period 2018 to 2022. The study has employed multiple linear regression analysis of panel data for evaluating the relationship between independent and dependent variables. We adopted panel regression for data analysis and used the Prais- Winsten regression with panel corrected standard errors, as the data suffers from contemporaneous cross-sectional correlation. Results The results show that net non-performing assets, net interest margins, and return on capital have a significant negative impact on share price growth. The capital adequacy ratio and the current and savings account deposit ratios have a positive insignificant impact. The liquid asset-to-total asset ratio has a negative, insignificant impact. The coefficient of determination indicates that the share price growth of banks is more dependent on other factors which are not included in the regression analysis of this study. Conclusion This study helps investors and bankers understand the limited impact of financial parameters on banks’stock prices and to look for other parameters which explain the stock price movement better.

Interplay of financial market performance, macroeconomic indicators and business sentiment: a comprehensive study of the Turkish economy

PurposeThe purpose of this study is to examine the long- and short-term relationships between the BIST100, RSC index, the EURO/TRY exchange rate, bank loans provided to the private sector, imports and exports, and nonperforming loans (NPLs) with the autoregressive distributed lag (ARDL) bound, Johansen co-integration and vector error correction model (VECM) causality tests. Political developments, pandemics, conflicts between countries, trade chains and general economic and financial problems that have frequently occurred worldwide in recent years have significantly affected the Turkish economy as well as all other countries. Türkiye's economy is intricately linked with global financial markets, and understanding the dynamics between domestic macroeconomic variables and external financial indicators can provide insights into the country's economic resilience and vulnerabilities to external shocks.Design/methodology/approachTwo distinct models are used in the analysis, with the Borsa Istanbul 100 (BIST100) Index and the Real Sector Confidence (RSC) Index serving as the dependent variables. This study examines the long- and short-term relationships between the BIST100, RSC index, the EURO/TRY exchange rate, bank loans provided to the private sector, imports and exports, and nonperforming loans (NPLs) with the ARDL bound, Johansen cointegration and VECM causality tests. The study uses monthly data spanning from December 31, 2002, to July 29, 2022, offering a comprehensive perspective on the dynamics of the Turkish economy.FindingsThe findings reveal significant long-run relationships between the BIST100 and the exchange rate, imports and exports. Short-run dynamics indicate the importance of changes in these variables, as well as NPLs and RSC, in affecting the BIST 100. The model captures the impact of economic indicators such as imports, NPLs and exports on RSC. In addition, it underscores a long-run equilibrium relationship, suggesting a responsive RSC to deviations. There is a strong positive relationship between BIST100 and the RSC. Causality tests reveal temporal relationships and causal links, with evidence of bidirectional causality for some variables, providing comprehensive insights into the short-term dynamics and adjustment mechanisms influencing RSC in the Turkish economic context.Practical implicationsAmidst global economic uncertainties and fluctuations, particularly in emerging markets such as Türkiye, understanding the relationships between financial market indicators and macroeconomic variables may help policymakers formulate effective monetary and fiscal policies aimed at stabilizing the economy, promoting sustainable growth and mitigating financial risks. In addition, these insights have practical implications for investors, regulators and other financial market participants seeking to make informed decisions in an increasingly interconnected and dynamic global economy.Originality/valueThis study uniquely examines a wide range of macroeconomic variables and financial indicators specific to Türkiye, including both traditional and nontraditional factors. This study also offers unprecedented insights into the unique characteristics and dynamics of the Turkish economy and provides valuable insights for businesses, investors and policymakers to consider Türkiye’s economic environment more effectively.

Modelling (A)symmetric Nexus Between Macroeconomic Information Sentiment Biases and Stock Market Returns in Case of India: A Bound Test Approach

This research attempts to scrutinise the asymmetric nexus of macroeconomic factors in determining the financial stock market performance using index returns of BSE-SENSEX and NSE-NIFTY as proxies for stock market performance in India. The auto-regressive distributed lag (ARDL) results demonstrate the long-term nexus of money supply, interest rates, gold prices, inflation, exchange rate, oil prices and foreign institutional investment (FII) in the capital market with stock returns. The non-linear ARDL (NARDL) results unequivocally support that the selected macroeconomic factors have an asymmetric nexus with the stock market performance. The study’s empirical findings have significant consequences for policy in designing the asset allocation decisions by the investor, portfolio managers and policymakers in the circumstances of a sudden positive or negative shock in the stock market. JEL Codes: E44, G10, C58

Institutional framework, macroeconomic instability and financial markets: perspective from emerging economies

Purpose The study evaluates the role of institutional framework and macroeconomic instability on financial market development among emerging economies.Design/methodology/approach The study uses panel data compiled from 32 countries from the sub-region of Sub-Sahara Africa (SSA), covering the period starting from 1996 to 2019. Empirical analyses were carried out using the two-step system generalized method of moments (TS-GMM) statistical framework.Findings Reviewed results suggest that institutional quality, effective governance and corruption control have a significant positive impact on financial market development among economies in the sub-region. Further empirical estimates show that macroeconomic risk and macroeconomic uncertainty have significant adverse effects on financial market development. Additionally, reported empirical estimates suggest that an improved institutional framework has the potential to lessen the adverse effect of macroeconomic instability on financial market development among economies in the sub-region.Originality/value The uniqueness of this empirical inquiry compared to related studies in the present literature stems from the fact that studies employing similar empirical approaches on the subject matter for economies in the sub-region are rare. Additionally, the analysis pursued in this study employs critical variables whose impact on financial market performance in the sub-region has not been examined per our review. These variables include indexes such as macroeconomic risk and institutional quality, which are unique to this study based on their construction; these indexes are generated using a principal component analysis procedure with different underlying variables compared to what may be found in the literature.

The effect of a green supply chain on a company's success

The potential of a conceptual model which integrates sustainabile logistics and management strategies to financial performance and organizational performance to lead to long-term profitability is studied in this research. Green logistics and distribution methods, as per the research, currently have a significant impact on the financial market and organizational performance. The organizational performance of green supply chain management and logistics and management practices is also examined in light of the moderating effects of ethical, ecological, and financial performance. Google form is used to develop a questionnaire due to the factor of COVID-19 element for instant data Collection. A 5-point Likert scale is used for the validity of the questionnaire statements. A statistical tool SPSS is used to analyze and examine collected data. Further linear regression is used to find the correlation, variance of the model, and significance of the variables.

EMPIRICAL INSIGHTS INTO THE INFLUENCE OF FINANCIAL DEVELOPMENT ON CAPITAL MARKETS IN SOUTHEAST ASIA

The rise of capital markets around the world has paved the way for new research on the relationship between financial development and capital market performance. This becomes relevant as capital markets are now more accessible to foreign capital flows as a result of economic liberalization and globalization. Therefore, this study intends to provide empirical evidence of the impact of financial development proxied by three parts, namely financial access, financial efficiency and financial stability based on critical mass theory. Operationally, this study uses a sample of 6 countries in ASEAN with an annual observation period from 2007 to 2022. With the characteristics and structure of panel data, this study uses panel regression analysis with a total data of 672 observations (country-years). The analysis used also applies a fixed-effects model (FEM) at the country (Country-FE) and year (Year-FE) levels. The results show that there is a positive association between financial access and capital market performance, a negative association between financial efficiency and capital market performance, and a positive association between financial stability and capital market performance.