Equity Index Research Articles

Analyzing water-related equity indices in times of COVID-19

The impact of COVID-19 on water-related equity indices is analyzed in this paper for different regions around the world by using fractionally integrated methods and an artificial neural network model. Using fractional integration, a lack of mean reversion is observed in all cases except in the USA, which means that, for these regions, a change in the trend will be permanent after COVID-19 unless additional measures are implemented. At the same time, a structural break is observed in all cases between the 4th and March 10, 2020, likely due to the drastic lockdown imposed in many if not most countries. Long memory was tested for the post-break period and mean reversion was found not only in North America but also in Europe. Moreover, the results were strongly aligned with those obtained using the neural network model. This suggests that the water-related equity indices and associated levels of investments in water and related utilities have moved back to their pre-Covid-19 levels.

Analysis of the New Changes in Monetary Policy under Powell and the Current Situation in the U.S.

When Powell assumed office on February 5, 2018, his main monetary idea was to adopt a risk management strategy based on the core components of the traditional Fed policy in order to stabilize the market economy. The 2% inflation target was changed to an average inflation control of 2% over a period of time, meaning that the inflation rate may exceed 2% over time; in addition, the unemployment rate was repositioned to adopt the principle of employment maximization and no longer specify a target. However, as a result of its previous policy, the U.S. stock market equity index experienced a significant year-long decline. When this policy is implemented, the U.S. economy experienced a significant boost after the epidemic's impact on February 2020. There were numerous negative effects, though, and in 2022 the U.S.'s inflation rate shot up quickly and is now a startling 9%. Is the current state a result of the new monetary policy framework's introduction? Is there another reason? Using the time period from Powell's inauguration in 2018 to June 2022, this paper will examine the causes of the change between the old and new U.S. frameworks as well as the current state of the country's economy under the new framework.

Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets

This study investigates the returns spillovers across the equity markets of Asian emerging economies (China, India, Indonesia, Malaysia, Pakistan, Philippines, South Korea, Taiwan, and Thailand). To achieve this objective, we used two different spillover methodologies (DY 2012 and BK 2018). Moreover, this study used the daily closing prices of equity indices ranging from 5 January 2005 to 13 November 2021. The empirical findings revealed that the total spillover index using DY 2012, and the short-term frequency index using BK 2018, are close to each other, with values of 46.92% and 43.04%, respectively. However, the spillover index value is high, with a value of 56.25% in the long run. Furthermore, the results showed that the stock markets of South Korea and Taiwan are the major spillover transmitters in the Asian emerging markets. Also, the financial association among all emerging Asian equities is at its peak, subject to the mobility of cash flows across the global economies. The results of this study provide meaningful insight for policymakers and investors to implement an effective strategy to overcome the possible influence of any financial crisis in the future. Our paper provides a potential contribution to the financial literature by examining the transmission of spillovers across the Asian emerging stock markets. Furthermore, it provides in-depth information regarding stock market interdependence.

A vaccine for volatility? An empirical analysis of global stock markets and the impact of the COVID-19 vaccine

The oscillation of COVID-19 growth has had a sustaining impact on financial markets. This study investigates the asymmetric impact of COVID-19 growth and recovery on financial markets. Examining ten epicenters of the virus from 01/01/2021 to 31/12/2021, we utilize a stepwise regression methodology and a diverse set of control variables. Controlling for volatility, credit risk, liquidity risk, monetary policy, gold, and oil, our findings indicate a significant impact of COVID-19 on equity indices. Vaccination growth correlates with positive price movements in the USA, UK, China, Japan, France, and Spain. Simultaneously, negative price trends align with virus growth in the USA, UK, China, Japan, Spain, and World models. A nexus of causality between COVID-19, global oil markets, and equity prices is identified, while credit and liquidity risks emerged as significant risk factors in China. Our results highlight the pertinence of swift vaccine developments, lockdown interventions, and central bank responses, providing valuable insights to governments, regulators, and all financial market stakeholders.

Global Stock Market Volatility and Its Spillover on the Indian Stock Market: A Study Before and During the COVID-19 Period

This study investigates the impact of global stock market volatility on the Indian stock markets before and during the COVID-19 pandemic period. The study focuses on 11 stock markets, including Brazil, Canada, China, France, Hong Kong, India, Japan, Russia, Turkey, the UK, and the US, and applies the threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model to capture the current asymmetry in returns influenced by past negative/positive shocks, and the diagonal Baba Engle Kraft Kroner (BEKK) model to examine the cohesion of the Indian equity market with global markets. The importance of the Indian stock market lies in its ability to provide capital to companies, attract foreign investment, and provide investment opportunities for both domestic and international investors. Data for the study was sourced from https://www.investing.com for the period September 2019 to September 2021 and Stata software was used for data analysis. The study finds that Brazil, Canada, France, Russia, UK, and the USA are the primary sources of financial weight on India’s stock returns. The results suggest that Indian investors can diversify their funds into other asset classes while restricting investments in these markets, particularly during downturns. Investors can make informed decisions to diversify their portfolio and minimize risk. The results can also benefit society by promoting a more stable and resilient financial system. The study can also be expanded to include other financial and economic indicators such as inflation and interest rates to provide a more comprehensive analysis of the impact of global market volatility on Indian equity markets.

Forecast combination puzzle in the HAR model

AbstractThe heterogeneous autoregressive (HAR) model has become the benchmark model for predicting realized volatility, given its simplicity and consistent empirical performance. Many modifications and extensions to the original model have been proposed that often only provide incremental forecast improvements. In this paper, we take a step back and view the HAR model as a forecast combination that combines three predictors: previous day realization (or random walk forecast), previous week average, and previous month average. When applying the ordinary least squares (OLS) to combine the predictors, the HAR model uses optimal weights that are known to be problematic in the forecast combination literature. In fact, an average of simpler HAR‐style models, and a simple average forecast often outperforms the optimal combination in many empirical applications. We investigate the performance of these simple combination forecasts for the realized volatility of the Dow Jones Industrial Average equity index, and a sample of individual constituent stocks, as well as across a range of other assets, commodities, exchange rates, and a range of global equity market indices. In all cases, we find dramatic improvements in forecast accuracy across all horizons and different time periods. The combinations also perform well relative to the logarithmic form of the HAR model and when using a volatility timing strategy in portfolio allocation. Thisis the first time the forecast combination puzzle is identified in this context.

Finding the Potholes in Academic Career Pathways for Underrepresented Groups in Otolaryngology.

To assess inequities in representation among ranks and odds of promotion by race in academic otolaryngology. Cross-sectional study. USacademic medical centers. Demographic data was collected for medical students, residents, and faculty in the Association of American Medical Colleges and Accreditation Council for Graduate Medical Education databases for the academic year 2020 to 2021. The rank equity index (REI) was used to make pairwise comparisons between ranks to determine groups' representation between levels. Odds ratios (ORs) and 95% confidence intervals (CIs) demonstrating the likelihood that an individual of a particular rank/race would advance in their academic career were determined. Representation comparing medical students with full professors for black, Latine, and Asian otolaryngologists was below parity (REI: 0.27, 0.85, 0.85, respectively). Black (OR: 0.20, CI: 0.15, 0.26), Latine (OR: 0.61, CI: 0.50, 0.75), and Asian (OR: 0.62, CI: 0.55, 0.71) medical students all faced lower odds of becoming otolaryngology residents compared to their white counterparts. Similar findings occurred when comparing resident and assistant professor representation. American Indian/Alaskan Native (AIAN) and Native Hawaiian/Pacific Islander (NHPI) REIs and ORs could not be assessed as only 1 self-reported AIAN and no NHPI faculty are present in the studied data. Underrepresented in Medicine and Asian physicians faced worsening representation at each rung of the academic otolaryngology ladder. The greatest losses occurred when medical students transitioned to residents and residents transitioned to assistant professors. AIAN and NH faculty were absent in otolaryngology, indicating vital targets for recruitment efforts.

Investable Real Estate Allocations in a Mixed Asset Portfolio; Both Long Term and During Different Cycles

The NCREIF Property Index (NPI) data starts in 1978 and has been used as a benchmark index for over 45 years. In 2006 NCREIF created the NCREIF Open-End Diversified Core Equity Index (ODCE) and used historic fund level data to create performance data back to 1978. ODCE was the first “investable index ” in direct real estate for institutional investors, family offices, and high net worth investors who can meet these direct funds’ minimum investment levels (typically $5 million). Individual investors with less money can also access ODCE returns through Interval Funds or “Fund-of-Funds” that invest in and are designed to track or beat the ODCE Index. Since 2009 general partners of funds are required to update their net asset value (NAV) to “fair market value” on a quarterly basis as a result of Topic 820 of the Financial Accounting Standards Board. Both ODCE funds and interval funds have improved their liquidity with either monthly or quarterly redemption options, making them more competitive (from a liquidity aspect) with publicly traded securities. We analyze portfolio allocations over 45 years – the longest time frame ever studied and over 6 NEBR economic cycles and 4 ODCE real estate return cycles using Markowitz efficient frontier analysis. We inspect up-cycle and down-cycle periods separately and add to the literature by analyzing the ¼, ½, and ¾ points (low, medium, and high risk/return points) along the Markowitz efficient frontier. Our findings support many of the 45 studies published, but conflict with some depending upon their study methodology and time frame (9 to 25 years) studied. We conclude that real estate would have improved historic risk adjusted returns in many cycle periods.

Investigating the Determinants of Foreign Institutional Investor Inflows in Indian Equity Market: An Application of the Augmented Autoregressive Distributed Lag Bounds Testing Approach

The purpose of this study was to investigate the determinants of foreign institutional investors (FIIs) in the Indian equity market. For this purpose, the study has chosen country-specific push and pull factors for the period from January 2011 to December 2019. The beginning of the concerned period is marked by increased FII flows in the Indian market after the global financial crisis of 2008. The study has identified the stock market index of India, interest rate differential between India and the USA, inflation rate, and exchange rate as possible determinants of FII inflows in India and used the augmented autoregressive distributed lag (ARDL) approach based on the statistical properties of variables selected. The study found that in the long-run Indian stock market index, appreciating exchange rate, inflation, and interest rate differential are positively related to FII inflows in the Indian equity market whereas the US stock index is negatively related to FII inflows in India. JEL Codes: F30, G1

The dynamic causality model on foreign institutional investments and nifty indices

Post LPG, the Foreign Institutional Investors (FIIs) Investments, has created a massive impression on the Indian Equity market as well as the Indian economy, contributing toward several financial reforms of the Indian Government, RBI and SEBI, to a major extent, dancing to the tune of, the various Indian and other global economic crisis, to name a few, the US subprime crisis, demonetization in India and the Covid ’19 pandemic lockdown. The recent Covid-19 pandemic triggered fears of global recession due to which, the foreign investors started sculling back to pull out from the equity markets in India, a total net outflow of Rs. 1,12,189 crore (Rs.59,377.1 crore syphoned out from equities and Rs.52,811 crore from the debt segment) the highest withdrawal ever, in March 2020 by the FPIs, had a worst impact on the Indian Equity Market to the extent of a enormous drop of 1203 points of BSE Sensex and the broader NSE Nifty Index tanked 344 points in March 2020. This negative economic effect has prompted to analyze the impact of the FIIs Investments not only on the India’s major Index, i.e., Nifty but also its selected sectoral indices. The impact of FII investments has been specifically analyzed on both bidirectional and uni-directional relationship applying Granger causality model, considered more appropriate and have chosen the VAR framework for suitable outcome of the results of this study.

Risk–return spectrum of investment for going green: Evidence from Indian equity market

AbstractThis study investigates the risk–return spectrum of investment for going green and sustainability practice in India. This article analyses three sustainability focused index from Indian equity market viz. S&P BSE GREENEX, S&P BSE CARBONEX and S&P BSE ESG 100. Statistical and financial rates, ratios and latest five‐factor model of asset pricing are used for the said purpose. ESG 100 index turned out to be outperformer whereas the other two gave slightly less return than the market benchmark. Volatility is found to be similar to that of the market for all the indexes. Significant increment of wealth of green investors during and after the COVID‐19 pandemic period is another notable finding of the study. Results of this article indicate that investors are getting more return compared to market if they invest in stocks that perform well in sustainability criterion.

Can we breathe a sigh of relief now? The impact of First Republic Bank takeover by JP Morgan on the US equity markets

This paper investigates the effects of the takeover of First Republic Bank (FRB) by JP Morgan Chase on different US equity indices. Results from an event-study approach reveal that this acquisition exerts no significant impact on US equity markets, indicating that these markets in the US are relatively immune to extreme shocks and therefore, could act as a safe haven for investors during times of high uncertainty.

Global financial stress index and long-term volatility forecast for international stock markets

In this study, we examine the long-term predictive role of the global financial stress index (GFSI) on equity market volatility and provide a comprehensive analysis using GFSI for the realized volatilities of 21 international stock indices. By focusing on the out-of-sample analysis, we show that GFSI has strong predictive information in forecasting the long-term realized volatilities for most of these equity indices, and it performs better than the Chicago Board Options Exchange volatility index (VIX), the United States economic policy uncertainty (USEPU), global economic policy uncertainty (GEPU), and geopolitical risk (GPR). In terms of the predictive performance during the COVID-19 pandemic, we further show the significantly effective role of GFSI for the long-term realized volatilities of equity markets. In dealing with the high-level global financial stress, our study helps policymakers from many countries to prevent large market fluctuations and decrease economic damage, and facilitate market participants to form better risk-aversion investment strategies.

Comparison Between Debt and Equity Investment in India Based on Fixed Income and Equity Indices on National Stock Exchange

Comparison Between Debt and Equity Investment in India Based on Fixed Income and Equity Indices on National Stock Exchange

The Optimal Allocation of Securities for Portfolios

Portfolio optimization assists in the selection of the optimum portfolio to meet certain goals. The most often usedportfolio optimization model is the Markowitz Model (MM). The approach highlights the need to select assetscomplementing one another to reduce risk for investors. It compares the risks and returns of multiple equities to discoverwhich asset offers the best returns while posing the fewest hazards. To simplify the Markowitz Model, the Index Model(IM) employs a single element, the market index, which impacts all investment returns. Using the MM and IM, thisstudy analyzes permitted portfolio areas for ten stocks and one broad equity index. The ten businesses were chosenfrom various industry areas. SPX, NVDA (Technology), CSCO (Technology), INTC (Technology), The Goldman SachsGroup (Financial Services), US Bancorp (Financial Services), TD CN (Financial Services), Allstate (Financial Services),Procter & Gamble Company (Personal Care Products), Johnson & Johnson (Pharmacy), Colgate-Palmolive (PersonalCare Products).The firms from several industrial sectors are chosento guarantee the risk-diversified final portfolio. As aconsequence, the efficient portfolio employs the weightsthat yield the highest returns for a given risk level orthe lowest risk for a given projected return level whendetermined using the MM or IM. We concluded from thedata that the IM optimization model well approximatesthe MM optimization model by minimizing the number ofestimations necessary for model estimation.

The predictive ability of technical trading rules: an empirical analysis of developed and emerging equity markets

We investigate the predictability of leading equity indices of 23 developed and 18 emerging markets with a set of 6406 technical trading rules over up to 66 years. Using a state-of-the-art test for superior predictive ability to control for data snooping bias, we find in-sample evidence for technical heuristics with significant outperformance over a simple buy-and-hold strategy in the majority of markets. The proportion of heuristics with superior performance is much higher among emerging market indices, and the predictability diminishes drastically over time in all markets. In particular, markets turn unpredictable in the last years of our sample. Moreover, the results are very sensitive to the introduction of moderate transaction costs. An out-of-sample analysis shows that the performance of technical rules is not persistent in the sense that recently best-performing rules perform significantly worse than simple buy-and-hold strategies in the future. Overall, our results cast serious doubt on whether investors could have earned any excess profits using the broad range of considered technical trading rules.

COMPARATIVE ANALYSIS OF THE US STOCK MARKET PERFORMANCE: PRE AND POST COVID-19

The financial markets have been significantly impacted by the global COVID-19 epidemic due to international lockdowns and decreased demand, which has further exacerbated the economic situation, including a decline in crude oil prices. The country has experienced economic consequences as a result of the coronavirus and subsequent lockdown measures. The Dow Jones Industrial Average (DJIA) is a price-weighted stock market index that tracks 30 major companies listed on US stock exchanges. While the DJIA is a widely recognized equity index, some professionals argue that it may not provide a comprehensive representation of the overall US stock market compared to larger indices such as the S&P 500 or Russell 2000 Index. This study aims to assess the impact of the stock market shutdown caused by COVID-19. Specifically, it investigates the extent to which the lockdown measures have affected the US stock market and whether there are any differences in market reactions before and after the onset of the pandemic. By comparing the performance of the DJIA index before and after COVID-19, the study aims to uncover the level of influence experienced.

Staatsfonds und die Dax-40-Unternehmen

Abstract Sovereign wealth funds (SWFs), with their massive assets, have been the subject of media attention and academic scrutiny for more than 20 years. The acquisition and exercise of power by SWFs should raise particular alarm where these are controlled by authoritarian regimes. This paper considers possible routes for SWFs to gain influence over Germany’s largest corporations, specifically the 40 members of the DAX equity index. It further examines whether any SWFs would have sufficient assets to be able to acquire blocking minorities, simple majorities, or qualified majority control to the extent possible in these 40 major corporations. The conclusion is that certain SWFs controlled by authoritarian regimes, particularly those of China and the UAE, have sufficient financial resources to enable the acquisition of significant power exercise potential through this route.

The Impact of Covid-19 Global Crisis on the Firm’s Performance: Evidence from Listed Material Sector Companies in Sri Lanka

The purpose of this study is to examine the impact of Covid-19 on the profitability of the material sector firms in Sri Lanka using ROA and ROE as the profitability measures. The commendable performance of the material sector equity index during Covid-19 period motivates this study to investigate whether the profitability of the sector backs the observed performance in the equity index. For this purpose, this study performs both parametric and non-parametric comparison tests on quarterly data gathered using annual reports from 2018Q1 to 2021Q1. Further, this study employs panel regression models to identify whether the differential effect of Covid-19 on profitability is immune to other controlling effects. Additionally, this study investigates the reasons behind the profitability patterns by analyzing annual reports' content. The results of this study confirm that during the first quarter of the year 2021, the ROA and ROE are greater than the per Covid period ROA and ROE. The major external reason for the higher profitability is the relaxed government policies implemented during the Covid-19 period. Accordingly, the findings of this study imply that supportive government policies enhance the performance of firms during crisis periods.

ESG Metrics Disclosures for Index-Listed Companies in Paris, New York and Johannesburg

Against the background of Index listed companies, for example the Paris Stock Exchange (Euronext) CAC 40 ESG Index, New York (NY) Stock Exchange iShares Core MSCI World UCITS ETF Index and the Johannesburg Stock Exchange (JSE) Equity Fund or Index, this article will review similarities in ESG metrics disclosures relevant to each index and whether a stock exchange could rate an index for ESG compliance without making use of an external rating company, for example MSCI. This article also discusses the method used by MSCI to rate listed companies for ESG compliance and whether asset or fund managers could rate their investment portfolios independently from a stock exchange. In this regard, three asset managers – BNP Paribas, Blackrock and Old Mutual – are examined for similarities in their ESG rating processes. In addition, this article explains whether the above stock exchanges are using the same ESG metrics or not. Paris Stock Exchange, New York Stock Exchange, Johannesburg Stock Exchange, ESG, asset manager index, asset manager ESG compliance, ESG rating, United Nations Sustainable Stock Exchanges Initiative