Equity Index Research Articles

Optimal Portfolio Investment and Consumption Strategies in Indian Equity Market

A number of investment strategies map out to maximize portfolio growth are tested on a long run Indian equity market. The application of the optimal portfolio techniques produces magnificent rate of growth, In spite of the fact that the assumptions of normality. Optimal portfolios are constructed by rebalancing the portfolio weights of four indices and ten sectors of National stock exchange indices. The purpose of this paper is to examine the Optimality of the Portfolio in the NSE and examine hypothesis the application of efficient market. The sample of stocks is not large in spite of its comprehensiveness from the local stock market . This paper also analyzes optimal portfolio and consumption strategies with unobservable states and predictability of risky asset returns. We develop approximate analytical solutions to the unconstrained dynamic problem. The approximation is shown to be fast and accurate. The computation time of the approximate solution is shown to be practically independent of the number of assets when no predictors are present and only marginally affected by the number of predictors. While the portfolio policy strongly depends on the current state of the economy, the consumption-to-wealth ratio is violently state-independent. Hedging demands are negligible with regimes and no predictability, but are important with predictability. On the other hand, the consumption to wealth ratio is not very impacted by the predictor. We provide an out of sample statistical assessment of the returns provided by a multi-regime strategy with respect to a single-regime and to a 1/N strategy.

Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario

In this paper, the dynamic relationship between the volatilities of both the Indian equity market and six major commodity markets is analyzed during the COVID-19 pandemic. We employ the time-varying parameters vector autoregression model and wavelet coherence approach to assessing market connectedness. The results reveal a significant increase in volatility correlation and spillovers between the Indian equity market and the six major commodity markets after the outbreak of COVID-19. Furthermore, it was found that after the COVID-19 outbreak, the volatility from the commodity markets rapidly spilled over to the Indian equity market. Similar evidence is also suggested by the wavelet coherence and confirms that the high level of contagion mainly occurs in the medium and long term. We further incorporate our evidence with hedging ratio and minimum portfolio connectedness weight. The results uncover that copper and crude oil are useful assets for Indian equity investors to conduct hedging and construct the portfolio.

Do cryptocurrencies integrate with the indices of equity, sustainability, clean energy, and crude oil? A wavelet coherency approach

AbstractThe paper examines market co‐movement between pairs of financial assets in the time‐frequency domain. Recent finance literature confirms the integration of cryptocurrencies and financial assets, which may bring more investments with the possibility of surplus liquidity in the cryptocurrency segment, leading to financial instability. The novelty of this paper is examining the integration of cryptocurrencies and the indices of equity, sustainability, renewable energy, and crude oil for the daily observations from 2015 to 2021 by using the wavelet coherency method. The empirical results signify no integration in the short‐term scales and grow stronger in the medium‐term scales, especially during the COVID‐19 period, and further exhibit weaker heterogeneous associations in the long‐term scales. However, the sustainability, clean energy indices follow similar dynamics of the equity market and crypto pairs. In contrast, the global crude oil index showcases the minor integration with cryptocurrencies compared with other traditional asset classes. Hence, the cryptocurrency market fails to confirm the safe haven features, especially during the COVID‐19 periods (Medium‐term), which facilitate the domestic and international investors expecting to hedge their price risk in equity markets using cryptocurrencies may have to look for short‐term. The lead–lag heterogeneous effects of the asset‐pairs may pave arbitrage opportunities for investors.

Combination forecast based on financial stress categories for global equity market volatility: the evidence during the COVID-19 and the global financial crisis periods

ABSTRACT The 2008 global financial crisis and the COVID-19 pandemic both decrease economic growth and lead to high uncertainty in global stock markets, and financial stress information is closely linked to financial crises. To improve the predictability of the realized volatility of the global equity indices during crises, we examine the predictive role of the Global Financial Stress Index (GFSI) and its categories. We find that the combination predictions based on GFSI’s five incorporated categories and three region-based categories outperform the predictions based on the raw GFSI for most indices. Specifically, the DMSPE combination model with a low discount factor has accurate forecasts for 5- and 22-day-ahead realized volatility, and it also performs better than the equal-weighted and the trimmed mean combination methods. In this study, we present a comprehensive analysis of the predictive role of financial stress information in stock market volatility during crises, and the empirical evidence provides a positive case against the ‘forecast combination puzzle’. Our findings are very instructive for policymakers and investors to make their own short-term and long-term plans in crisis.

On the similarities between precious metals, precious metal stocks and equities – International evidence for gold and silver

The study attempts to assess if the precious metal stocks behave more like their metal or stock counterparts. We use both Maximal Overlap Discrete Wavelet Transform and Continuous Wavelet Transform to test the time and frequency-varying association of precious metal stocks with the precious metals and broader equity indices. The empirical shreds of evidence are suggestive that precious metal stocks behave more like precious metals than common stocks. The results bear important policy implications for the multi-horizon investors wishing to expose themselves to precious metal stocks, precious metals and common stocks.

Does adhering to the principles of green finance matter for stock valuation? Evidence from testing for (co-)explosiveness

We use a test for co-explosiveness to improve our understanding of the effects of green finance on the valuation of stocks. First, by testing against temporary explosiveness in the MVIS Global Coal Index, the NASDAQ OMX Green Economy Index, and the MSCI World Equity Index, we find evidence for explosive periods in the latter two time series. Second, we use a recently proposed econometric procedure to test for co-explosivity of the jointly explosive variables, i.e., the NASDAQ OMX Green Economy Index and the MSCI World Equity Index. The test results indicate co-explosive behavior. The MVIS Global Coal Index, on the other hand, shows completely different time series properties. Assuming that there is no speculative bubble, the theory of corporate finance suggests that this empirical finding should be a result of differences with regard to risk premia demanded by investors buying the respective stocks and (respectively or) expected future corporate earnings of the firms examined here. More specifically, the existence of higher risk premia and pessimistic expectations regarding future corporate earnings should suggest that investors are looking at the business models of firms that are included in the MVIS Global Coal Index with at least a certain degree of skepticism. Thus, our results imply that not adhering to the principles of green finance perhaps might be more important for the stock market valuation of firms than adhering to it.

Career Advancement Among Women Physicians in Nine Academic Medicine Specialties.

Objective: Gender parity lags in academic medicine. We applied the Rank Equity Index (REI) to compare the longitudinal progress of women's academic medicine careers. We hypothesized that women have different rank parity in promotion by specialty based on the proportion of women in the specialty. Materials and Methods: Aggregate data by sex for medical students, residents, assistant professors, associate professors, and professors in nine specialties were obtained from the Association of American Medical Colleges for 2019-2020. Specialties were clustered into terciles based on the proportion of women in the field: upper (obstetrics and gynecology, pediatrics, psychiatry), middle (internal medicine, emergency medicine, anesthesia), and lower (surgery, urology, and orthopedic surgery). We calculated the percentage representation by sex by specialty and rank to calculate REI. Specialty-specific REI comparisons between each rank were performed to assess parity in advancement. Results: Only specialties in the upper tercile recruited proportionally more women medical students to residency training. All specialties advanced women for the resident-to-assistant professor with psychiatry, internal medicine, emergency medicine, anesthesia, urology, and orthopedic surgery that promoted women faculty at rates above parity. No specialty demonstrated parity in advancement based on sex for the assistant professor-to-associate professor or associate professor-to-professor transitions. Conclusion: Gender inequity in advancement is evident in academic medicine starting at the assistant professor-to-associate professor stage, regardless of overall proportion of women in the specialty. This suggests a common set of barriers to career advancement of women faculty in academic medicine that must be addressed starting at the early career stage.

Examining significance of “downside beta” as a measure of risk – evidence from Indian equity market

PurposeMany studies have shown that from a theoretical and empirical point of view, downside risk-based measures of risk are better than the traditional ones. Despite academic appeal and practical implications, downside risk has not been thoroughly examined in markets outside developed country markets. Using downside beta as a measure of downside risk, this study examines the relationship between downside beta and stock returns in Indian equity market, an emerging market with unique investor, asset and market characteristics.Design/methodology/approachThis is an empirical study done by using ranked portfolio return analysis and regression analysis methodologies.FindingsThe study results show that downside risk, as measured by downside beta, is distinctly priced in the Indian equity market. There is a direct positive relationship between downside beta and contemporaneous realized returns, indicating a premium for downside risk. Downside risk carries a higher weightage than upside potential in the aggregate return of the stock portfolios. Downside beta is a better measure of systematic risk than conventional market beta and downside coskewness.Practical implicationsThe empirical results support the adoption of downside beta in practice and provide a case for replacing traditional beta with downside beta in asset pricing applications, trading and investment strategies, and capital allocation decision-making.Originality/valueThis is one of the first in-depth studies examining downside beta in Indian equity markets using a broad sample of individual stock returns covering a wide time range of 22 years. To the best of our knowledge, this study is the first one to compare downside beta and downside coskewness using individual stock data from the Indian equity market.

A new channel for global volatility propagation

We compare two channels for global impact on local volatility: the direct channel in which global variables affect the expected value of local volatility, and a new channel in which they affect local volatility persistence. Using 21 equity indices in 17 developed economies, we show that (1) global variables are the main determinants of local volatility persistence; (2) the volatility-persistence channel contributes far more to local volatility variations than the direct channel; and (3) global average return contributes far more to local volatility variations than global average volatility. The global impact on local volatility persistence help explain the commonality in global volatility dynamics.

Spatiotemporal Diversity of Scolytinae (Coleoptera: Curculionidae) in Three Ecosystems of Villaflores, Chiapas

The diversity of scolitines associated with jungles and a rustic coffee plantation in the municipality of Villaflores, Chiapas, was determined during the period from August 2020 to July 2021. The insects were captured using Ecoiapar traps with ethyl alcohol as attractant. A total of 3745 individuals of scolitines were collected, grouped into 28 genera and 64 species; the species Corthylus rubricollis and Cryptocarenus laevigatus are new records for Mexico. In jungles and coffee plantations, the richest genera were Corthylus, Xyleborus, Hypothenemus and Cryptocarenus. The maximum index of diversity of scolitines determined with the Shannon-Wiener index was in the locality of Guaymas (H': 2.979); with the Margalef index, the maximum specific richness was in Roblada (DMG: 7.073). On the other hand, with the equity index, the maximum value was obtained in Guaymas (J': 0.7654); while, with the Jaccarf similarity index, the Guaymas-Roblada localities present a greater number of species in common. The scolitine population fluctuated constantly, presenting two very marked population peaks, the first in the winter season in March with 782 individuals, the second in the summer in September with 62 individuals. By locality, the populations of scolitines fluctuated constantly, with the highest number of insects recorded in the winter and spring seasons, during the dry season and at the beginning of the rainy season.

Are return predictors of industrial equity indexes common across regions?

Are return predictors of industrial equity indexes common across regions?

International stock volatility predictability: New evidence from uncertainties

This study explores the previous unexamined aspect of the comprehensive U.S. economic uncertainty in improving the accuracy of international equity markets volatility. Our empirical results reveal that the novel U.S. economic uncertainty index as a powerful new predictor of equity volatility in international markets from both in-sample and out-of-sample perspectives, especially for non-U.S. equity index formed by high market capitalization stocks. We show that the U.S. economic uncertainty index subsumes the information content of the stock market volatility, and it contains incremental information on future volatility after controlling for contemporaneous volatility. Furthermore, our empirical results suggest that the U.S. economic uncertainty can transmit to the international equity markets from credit spread channel. Our results are robust and provide new insights to investors and policy makers.

Performance of Equity Investments in Sustainable Environmental Markets

Despite a significant increase in global clean energy investments, as part of the decarbonization process, it remains insufficient to meet the demand for energy services in a sustainable manner. This study investigates the performance of sustainable energy equity investments, with focus on environmental markets, using monthly equity index data from 31 August 2009 to 30 December 2022. The main contributions of our study are (i) assessment of the performance of trading strategies based on the trend, momentum, and volatility of Environmental Opportunities (EO) and Environmental Technologies (ET) equity indices; and (ii) comparison of the performance of sustainable equity index investments to fossil fuel-based and major global equity indices. Market performance evaluation based on technical analysis tools such as the Relative Strength Index (RSI), Moving Averages, and Average True Range (ATR) is captured through the Sharpe and the Sharpe per trade. The analysis is divided according to regional, sector, and global EO indices, fossil fuel-based indices, and the key global stock market indices. Our findings reveal that a momentum-based strategy performed best for the MSCI Global Alternative Energy index with the highest excess return per unit of risk, followed by the fossil fuel-based indices. A trend-based strategy worked best for the MSCI Global Alternative Energy and EO 100 indices. The use of volatility-based information yielded the highest Sharpe ratio for EO Europe, followed by the Oil and Gas Exploration and Production industry, and MSCI Global Alternative Energy. We further find that a trader relying on a system which simultaneously provides momentum, trend, or volatility information would yield positive returns only for the MSCI Global Alternative Energy, the S&P Oil and Exploration and Production industry, NYSE Arca Oil, and FTSE 100 indices. Overall, despite the superior performance of the MSCI Global Alternative Energy index when using momentum and trend strategies, most region and sector EOs performed poorly compared to fossil fuel-based indices. The results suggest that the existing crude oil prices continue to allow fossil fuel-based equity investments to outperform most environmentally sustainable equity investments. These findings support that sustainable investments, on average, have yet to demonstrate consistent superior performance over non-renewable energy investments which demonstrates the need for continued, rigorous, and accommodating regulatory policy actions from government bodies in order to reorient significant capital flows towards sustainable equity investments.

The domino effect: Analyzing the impact of Silicon Valley Bank's fall on top equity indices around the world

This study used event study methodology to analyze the impact of Silicon Valley Bank (SVB) fall on the top nine global equity indices from 6 September 2022 to 22 March 2023. The steep sell-off of equities due to the bank run on March 10, 2023, was the major reason behind this movement. The study suggests that the failure of a major financial institution like SVB can have a significant impact on the global equity markets, with contagion effects spreading across borders.

SHARIAH-COMPLIANT STOCKS: HARMONIZING INDEX INSTITUTION SCREENING METHODOLOGIES

The purpose of this study is to uncover an acceptable screening method used by index institutions to reduce the gaps inthe Shariah-compliant status of stock.The initial concepts are based on academic literature and followed by interview sessions of nine key experts recognized in the field of Shariah-compliant stocks as respondents.The results of this study have yielded some notable findings. Fund managers who are aware that the investors who appoint them are very much in favor of Shariah-compliant securities will certainly use methods that suit their investors' appetite. Shariah advisers have also concurred that the differences between the global index institution's screening methods are not significant and the differences found are not related to Shariah requirements.Studies on the methodology of such Shariah-compliant stock screenings are important and have a great impact on ensuring the continued viability of Islamic financial developments so that they are not frustrated by the issue of non-uniformity of Shariah-compliant stock screening methods. In Malaysia, the stock screening method is performed by the Shariah Advisory Council of the Securities Commission of Malaysia (SACSC), while in the global market, there are several index institutions such as the Dow Jones Islamic Indexes (DJII), FTSE Shariah Global Equity Index Series (FTSE) and MSCI Islamic Index Series (MSCI), which also have their own Shariah-compliant stock screening method.

Comparison of Markowitz Model and Index Model in Capital Markets

We are searching for an optimal portfolio that plays a significant role in portfolio management by maximizing the expected return subject to a constant risk or minimizing the risk for a constant expected return. In this work, we first calculate the basic statistical information of our risky instruments, the probability density functions, and the Q-Q plot to compare the daily and monthly data for ten stocks and one broad equity index. We conclude that the monthly returns data is much closer to a normal distribution. Second, when calculating the correlation coefficients, we find that the stocks of the same industry are often highly correlated. Third, through the plotting of the feasible portfolio regions using the Markowitz Model (MM) and the Index Model (IM) consisting of various portfolios under different constraints, calculating two essential points on the efficient frontier, and analyzing the CAL, we generalize that the contrast between the MM model and IM model have similar results whether there is weighted SPX. Compared with the IM model, the MM minimal variance portfolio and maximum Sharpe Ratio the olio the MM model is more desirable than the IM model. The introduction of the generic index SPX affects the results of both models to a certain extent. Finally, we use the Monte Carlo method to simulate that the generated points are all within the feasible region, which indicates that the sample results are reasonable. Our research not only further supplementary the empirical research of the MM model and IM model, but we provide investors with some investment suggestions for constructing portfolios.

Humanistic health of the physical living environment: The equity of property inheritance in China.

Equity in the inheritance culture of family property is an important component of humanistic health in modern living environments. The inheritance of property under Chinese traditional family culture is the material basis for the continuation of family and clan. This study demonstrates the equity component embedded in traditional family inheritance culture and further studies of the healthy human settlements environment. Based on the theory of "equal share for all sons" in ancient China and the "equity" and "justice" that are of modern significance, this paper analyzes the family division culture of individual traditional housing and the corresponding impact indices of family division equity. Taking Renhe Village, a typical local residential building of the middle and late Qing Dynasty as the research object, this study built a spatial syntax data model and 3D simulation technology for the simulation analysis of space and climate. The results show that Renhe Village meets the requirements of the equity evaluation system of housing property rights distribution in terms of the natural unit indicator (quantity, lighting, ventilation) and the overall spatial indicator (privacy, centrality, convenience). In other words, equity does not mean an absolute average share, but an equity culture formed after six evaluation indices under the subdivision of two indicators are balanced. Based on the above, an equity system model of housing property rights distribution was established, and the weight of the ancients' attention to the housing distribution standard was explored. It is further found that the ancients attached more importance to light among the natural unit indicators, and attached the most importance to centrality in the overall spatial indicators. These findings provide new ideas for understanding the equity of property inheritance under Chinese traditional family culture. They also provide quantifiable criteria for the distribution of modern rural housing and social security housing, and ultimately provide a reference for the humanistic public health of the modern living environment.

Growth evaluation of fintech connectedness with innovative thematic indices – An evidence through wavelet analysis

PurposeThis study evaluated the growth of Fintech to measure the contribution towards the sustainable development goal of the United Nation in terms of financial inclusion through exploring the connectedness of fintech with several thematic indices. The study navigates the co-movements in short and long window-time frames. Design/methodology/approachThis study used wavelet coherence method to analyze linkages between two-time series by considering the stock market co-movements. Wavelet coherence is applied on the pairwise Fintech-Index with the MSCI benchmarks for investment portfolio purposes. FindingsThe global correlation among indices signifying that the benchmark of MSCI USA has a greater level of interactions with the nascent industries but is not highly correlated with other benchmark equity indices. The Global FinTech Index indicates the highest values among the thematic indices. The Artificial Intelligence & Big Data Index has revealed a lower level of association with the MSCI Latin American Index among the overall correlations. Practical implicationsFirst, borrowing and lending and mitigating the risk needs to be addressed. Second, financial regulations would deal with market failures and vulnerabilities. Third, people would be expected to access innovative financial services and would be treated fairly with adequate access to payments, credit, insurance, and savings products. OriginalityThe study covers Artificial Intelligence & Big Data Index (IAIQ), Blockchain Index (ILEGR), Disruptive Technology Index (IDTEC), Global Fintech Index (IFINIX). A key contribution of this research is to analyze the growth of Fintech in terms of size, participants, user market growth, and the role of stakeholders and policymakers.

The effectiveness of technical trading strategies: Evidence from Indian equity markets

The purpose of the study was to analyze the effectiveness of technical trading strategies in trading stocks of selected Indian companies represented in the Nifty 50 Index. The research was done using secondary data from January 2022 to August 2022. Hourly share prices of 14 largest companies as per market capitalization from 14 different sectors from the Nifty 50 Index were considered as a part of the study. Simple Moving Average, Exponential Moving Average – Relative Strength Index and Bollinger Bands – Relative Strength Index – strategies considered in the study. It was found that strategy based on Bollinger Bands and Relative Strength Index performed the best. Performance was considered with respect to both the number of stocks having a net profit and the number of stocks that were able to outperform the buy-and-hold strategy for the time period considered. The study considered several combined strategies and performance indicators, whereas previous studies used limited indicators. Out of the 14 stocks considered, the Simple Moving Average strategy was able to generate net profit for 8 stocks and it outperformed the buy-and-hold strategy for 6 stocks, Exponential Moving Average – Relative Strength Index strategy generated net profit for 6 stocks and it outperformed the buy-and-hold strategy for 5 stocks, and the Bollinger Bands – Relative Strength Index generated net profit for 11 stocks and it outperformed the buy-and-hold strategy for 10 stocks. The Bollinger Bands – Relative Strength Index strategy was able to outperform as it was more dynamic and entered and exited positions actively.

Bitcoin Vs Gold: Which One is the Most Powerful in Boosting the Shariah Equity Index? Global Evidence

Abstract The study explores the most powerful between Bitcoin and Gold in boosting the Shariah Equity Index in Malaysia, the United Arab Emirates, China, Indonesia, The United States of America (USA), Japan, Oman, and Saudi Arabia in the short and long term. The study uses analysis of the first and second stages of the Granger Causality Test and Vector Error Correction Model (VECM), then Impulse Response Function (IRF) and Variance Decomposition (VDC) over the period 2013 to 2021. The finding proves that only Gold can affect the Islamic Equity Index in the short term, then Bitcoin and Gold proved to contribute equally to the Islamic Equity Index in the long term. However, Bitcoin has the potential to provide positively correlated shocks and dominate the value of Islamic equity indices in the long term. The results demonstrate that government intervention is decisive in maintaining the stability of the Shariah Equity Index from future Bitcoin threats. The study’s finding has practical implications for Islamic capital market Investors, Managers, and Authorities.