Equity Index Research Articles

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;

Enhancing Equitable Water Distribution in Agriculture: A Novel Optimal Framework for Irrigation Equity Index Improvement Under Diverse Adaptation Strategies

Enhancing Equitable Water Distribution in Agriculture: A Novel Optimal Framework for Irrigation Equity Index Improvement Under Diverse Adaptation Strategies

Vertical Equity Analysis of Parking Reservation Based on the Auction Strategy

As an on-demand mobility service, parking reservations can greatly alleviate the issue of parking challenges. There are currently three primary strategies for parking reservation: first-come-first-served, permit reservation, and auction. In contrast to the first-come-first-served and permit-reserved strategies, the auction strategy uses dynamic pricing to allocate parking supplies efficiently based on the auction, which attracts more scholars for the research. However, parking reservations based on the auction process may have an inequity issue because drivers’ age, gender, income level, and location of residence fluctuate. This inequity may limit the growth of reserved parking by influencing parking drivers’ acceptance of reserved parking. But currently, very few scholars focus on the issue of reserved parking equity, and even fewer measure this nebulous and personal issue. In consideration of this, the Lorenz curve of parking reservation and the vertical equity index of parking reservation are proposed in this paper along with the calculation method for the index, which enables the problem of reserved parking vertical equity to be visualized and made concrete. The numerical experimental method is used to analyze the vertical equity of drivers with varying income levels, utilizing the Vickrey–Clarke–Groves (VCG) auction process as an example. According to the research, loss-averse drivers are more than gain-neutral and gain-seeking drivers when the income levels of the drivers using reserved parking are the same. With the increasing number of high-income drivers involved in the parking reservation, medium to low-income drivers would lose their chances of successful reservations because of their uncompetitive bid price which leads to inequity issues when the number is less than the number of parking spaces. In contrast, the vertical equity index changes more for gain-seeking drivers while being generally steady when loss-averse and gain-neutral drivers participate. For instance, when the profit and loss coefficient is 3 and 15% of drivers with high-income levels use the parking reservation platform, the vertical equity index rises from 0.09128 to 0.45434. The reference price has a moderating influence on the vertical equity index when the number of driver participants at high-income levels remains constant. In general, within a reasonable range, the higher the reference price, the more equitable the parking reservation procedure and the lower the vertical equity index.

Regional and periodic asymmetries in the effect of Russia-Ukraine war on global stock markets

This study aims to investigate regional and periodic asymmetries in the impact of the outbreak of the Russia-Ukraine war on global equity markets. Employing the event study methodology, the current study examines global stock market reactions within a 61-day window centred around the event day, i.e., February 24, 2022. MSCI equity indices of 47 sample countries have been utilized to ensure uniformity in the index development methodology. They provide broader coverage of global equity markets by including large and mid-cap companies, representing approximately 85% of the free float-adjusted market capitalization for each sampled country. The study extends the event window to 61 days to assess the enduring effects of the war over a relatively longer period. The research delineates regional and periodic asymmetries and posits that the impact of the war on a market is contingent upon its geographical proximity and trade relations with Russia and Ukraine. Additionally, the impact is stronger during a shorter window surrounding the event date but diminishes over the extended period.

Sustainable Equity Discrimination in Asset Liability Management for Practitioners: A Practical Approach

CONTEXT: As the financial sector increasingly emphasizes responsible investment, insurance companies are actively seeking user-friendly approaches to incorporate sustainability criteria for equities into their Asset and Liability Management processes. OBJECTIVES: This paper aims to introduce a novel practitioner-centric methodology focused on seamlessly integrating publicly available Environmental, Social, and Governance (ESG) criteria. The objective is also to ensure ease of implementation for companies, emphasizing independence from ESG scoring provided by private data providers. METHODS: The proposed approach involves leveraging accessible sustainability data to construct both a sustainable equity index and a complementary index for non-included shares, utilizing clustering techniques. Subsequently, an efficient frontier is generated through the application of the Markowitz methodology. The effectiveness of the method is demonstrated through its application to a real portfolio, showcasing stability with a notable emphasis on sustainable assets, guided by the efficient reallocations suggested by the Markowitz model. RESULTS: Both constructed indices exhibit similar trends, with the ESG index outperforming, albeit with slightly higher volatility. This performance discrepancy is mirrored in the strategic asset allocation, where a preference is given to the ESG class over the non-ESG class. IMPLICATIONS AND LIMITATIONS: The findings suggest the feasibility of a financial institution successfully developing its own cohesive sustainability index using solely publicly available data. While our constructed ESG index demonstrated superior performance in this study, further research involving alternative data sources is essential to generalize this result.

Functional Groups of Terrestrial Invertebrates in the Leaf Litter of Atlantic Forest (Bahia, Brazil)

The study conducted in a native fragment of the Atlantic Forest in Alagoinhas, Bahia, Brazil, aimed to evaluate the action of functional groups of terrestrial invertebrates and the effect of seasonality on their biodiversity. Over 6 months, researchers captured 166 invertebrates representing 9 orders and 17 families. The findings revealed a greater abundance of invertebrates (77) at the edge of the forest fragment. However, the indices of diversity, equity, and richness were similar between the fragment's edge and interior. Notably, at the edge, detritivores (such as little armadillos) and predators (including ants and spiders) exhibited dominance over other functional groups like phytophagous, saprophagous, coprophagous, and bioturbators. Predators of the orders Hymenoptera and Araneae were highlighted for their ecological importance, particularly in biological control, especially of detritivores. Interestingly, the study did not observe the effect of seasonality during the brief inventory period. This suggests that other factors may significantly influence the biodiversity of terrestrial invertebrates in the Atlantic Forest fragment in Bahia, Brazil.

Predicting tail risks by a Markov switching MGARCH model with varying copula regimes

AbstractTo improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio risk forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS‐C‐MGARCH) model of Fülle and Herwartz (2022). As an empirical illustration, we take the perspective of a risk‐averse agent and employ the suggested model for assessments of future risks of portfolios composed of a high‐yield equity index (S&amp;P 500) and two safe‐haven investment instruments (i.e., Gold and US Treasury Bond Futures). We follow recent suggestions to employ the expected shortfall as a prime assessment of tail risks. To accurately evaluate the merits of the new model, we back‐test the risk forecasting for daily returns over 10 years for heterogeneous market environments including, for example, the COVID‐19 pandemic. We find that the MS‐C‐MGARCH model outperforms benchmark volatility models (MGARCH, C‐MGARCH) in predicting both value‐at‐risk and expected shortfall. The superiority of the MS‐C‐MGARCH model becomes stronger, when the share of comparably risky assets in the portfolio is relatively large.