Equity Index Research Articles

African and international financial markets interdependencies: Does Covid-19 media coverage make any difference?

This study examines the co-movement and time-varying integration between equity, exchange rate, and international market volatility indices across different time–frequency domains using the wavelet and dynamic conditional correlation-generalised autoregressive conditional heteroskedasticity (DCC-GARCH) model and BEKK GARCH for selected African countries. First, the findings indicate that the co-movement between equity and exchange rates during the pandemic was exacerbated by global COVID-19 media coverage. The findings indicate that there has been a substantial risk transfer between exchange rates and stock returns during the COVID-19 pandemic, resulting in a decline in domestic stock returns and subsequent capital outflows, which in turn increased the exchange rate. Given the growing difficulties in diversification, specific information on the volatility of financial market connectedness is required to plan hedging strategies. To explore the influence of global market volatility on Africa’s equity and currency markets, it is crucial to analyse the relationship between regional and global market fluctuations, especially given the negative impact of the COVID-19 pandemic. Our empirical research demonstrates that the VIX and OVXCL indices play a significant role in transmitting spillovers to currency and equity markets in Africa. This suggests that the sentiment indicators provided by the VIX and OVXCL can be useful in predicting the behaviour of Africa’s currency and equity markets

Community design of the Brooklyn Health Equity Index

Abstract Health equity drives quality care. Few reliable metrics that capture patients’ perceptions of health equity exist. We report on the development of a patient-centered metric for health systems change in central Brooklyn, which stands out as an outlier in New York City with a disproportionate burden of poverty, disease, and death. A community-engaged, sequential, mixed-methods research design was used. Qualitative interviews were conducted with 80 community and health care stakeholders across central Brooklyn. Candidate items were derived from qualitative themes and examined for face, interpretive validity, and language. Interitem reliability and confirmatory factor analysis was assessed using data collected via text and automated discharge calls among 368 patients from a local hospital. Qualitative data analysis informed the content of 11 draft questions covering 3 broad domains: trust-building, provider appreciation of social determinants of health, and experiences of discrimination. Psychometric testing resulted in a Cronbach's alpha of 0.774 and led to deletion of 1 item, resulting in a 10-item Brooklyn Health Equity Index (BKHI). The 10-item BKHI is a novel, brief, and reliable measure that captures patients’ perceptions of inequities and offers a real-time measure for health systems and payors to monitor progress toward advancing health equity.

Volatility in the Equity Stock Market in India from 2019 to 2024: An Empirical Analysis

This research investigates the volatility and fluctuations in the Indian equity stock market from 2019 to 2024, a period characterized by unprecedented global and domestic challenges. The Indian stock market, like many emerging markets, experienced heightened volatility due to a confluence of events, including the COVID-19 pandemic, geopolitical tensions, economic reforms, and shifts in global financial conditions. The study employs advanced econometric models, including GARCH (Generalized Autoregressive Conditional Heteroskedasticity) and event study analyses, to capture the time-varying nature of market volatility and to identify the key factors driving these fluctuations. Our findings reveal that the COVID-19 pandemic triggered the most significant spikes in volatility, particularly during the early months of 2020, as uncertainty regarding the pandemic's impact on the economy led to sharp market corrections and investor panic. Additionally, the study highlights the influence of macroeconomic variables such as GDP growth, inflation, and monetary policy changes on market behavior. The paper also explores the role of investor sentiment and market liquidity in exacerbating volatility during crisis periods. The results provide valuable insights into the dynamics of the Indian equity market, offering implications for investors seeking to manage risk and for policymakers aiming to enhance market stability. The study underscores the need for robust risk management strategies and proactive regulatory measures to mitigate the adverse effects of such volatility, especially in an increasingly interconnected global financial environment. Keywords: Equity Stock Market, Volatility, India, COVID-19, Economic Reforms, 2019-2024

Equitable COVID-19 Testing Access for Underserved Communities: The Success of Vending Machines.

This study examines the pivotal role of COVID-19 testing in mitigating disease spread, particularly in underserved rural communities facing health care access challenges. The Southern Nevada Health District successfully implemented a vending program in Clark County, offering free COVID-19 antigen test kits. Strategically located based on health equity indices and featuring a user-friendly, multilingual registration process, these machines proved effective in reaching rural populations. The cost-effective model suggests potential adoption for broader public health interventions and services in other regions. (Am J Public Health. 2024;114(S7):S558-S561. https://doi.org/10.2105/AJPH.2024.307718).

Novel Approaches and Actionable Insights to Improve Outcomes

This issue of NEJM Catalyst Innovations in Care Delivery includes articles, case studies, and research reports on improved access to organ transplantation, a health equity index, global collaboration on patient-reported outcomes, clinical decision-making tools, integration of teaching and research into community practices, longitudinal care management, and patient quality and safety.

Global reversal strategy: equilibrium of endogenous trading?

PurposeAfter considering the price reversal among countries' indices as a global, coordinated and generalized phenomenon, this paper aims to examine the profitability of the reversal strategy internationally and find an economically essential and predictive reversal effect. Indices' portfolios form based on the prior 48 months; prior losers outperform prior winners by 8.86% per year during the subsequent 48 months. Interestingly, the reversal effect is substantially stronger for emerging countries, yielding 14.04% annually. It remains profitable post-globalization, countering the concern of whether the integration of equity markets synchronized the price reversal worldwide. Returns' differences consistent with portfolio formation approaches are also observed.Design/methodology/approachThis study follows the methodology De Bondt and Thaler (1985) set out and uses the same methodological framework Wouassom et al. (2022) put forward. Nevertheless, this study does not focus on stocks. Still, it employs global equity indices from the viewpoint of an international investor who can switch between worldwide equity indices using a contrarian trading strategy.FindingsMy findings indicate that reversal strategies with overlapping portfolios are profitable over the entire sample period and every formation and holding period. These returns are highly statistically significant and vary considerably from one horizon to another. More importantly, the reversal strategies remain, on average, profitable and significant in the period post-1994 but are not particularly distinctive, which implies that the reversal effect survives the globalization impact and indicates that the integration of equity markets together with the international correlation among markets do not synchronize the prices reversal effect around the world given that.Research limitations/implicationsFurther work would be recommended to study a more extended period dating back to the nineteenth century or the Victorian Era, characterised by rapid economic development in almost every domain, to verify if reversal is historically compensation for carrying risks exclusively during contraction.Practical implicationsMy analysis takes on particular significance given the association between lagged market movement in share prices and investors’ optimism that appears among traders, generating an increasing reversal effect (Siganos and Chelley-Steley, 2006) and has direct implications for predicting and controlling trading costs associated with asset allocation strategies.Social implicationsThe difficulty with using the reversal strategy to uncover the long-term return reversal effects in the equity markets today resides in the fact that the globalization of the economy has fuelled the concentration of assets within institutional investors. The critical insight is that the concentration of equity in the hands of institutional investors activated international equity trading. These institutional investors seek to maximize their shareholder value from the opportunity by simultaneously dealing in many markets while constructing and holding portfolios that include assets from various countries using highly profitable investment strategies such as reversal.Originality/valueTo the best of the authors’ knowledge, this is the first paper to show an easily implemented contrarian strategy that switches back and forth between country indices and generates extraordinarily high abnormal returns of more than 8.86% per annum. We also show that these returns compensate for global risks and for investors ready to take them during contraction.

Financial market volatility: Does banking concentration play a role?

This study examines the relationship between banking concentration and financial market volatility in India. A challenge in analyzing this relationship is the differing frequencies of the data. Banking concentration data tends to be available quarterly compared to the high-frequency nature of volatility data of financial market. To address this issue, a GARCH–MIDAS model is employed, which is capable of effectively relating data with dissimilar frequencies. We quantify bank concentration using the n-bank concentration ratio and the Herfindahl–Hirschman Index. The analysis reveals a positive association between higher banking concentration and increased volatility in the Indian equity and bond markets.

Proposed Marketing Communications Strategy for a New Fighting Brand: A Case Study for SIG

This study investigates the launch of a fighting brand in the cement industry, focusing on the challenges faced by a market-leading company with an existing flagship brand amidst emerging economical players. The goal is to enable the fighting brand to compete aggressively while avoiding cannibalization of the flagship brand, thus maintaining market leadership. Using a qualitative approach, primary data were collected through semi-structured interviews with internal informants, small contractors, and heads of masons, while secondary data came from the latest Brand Equity Index report of 2023. Key findings reveal that masons equate price with quality and prefer application-based cement for profitability. Differentiation is crucial to minimize cannibalization risks. The study proposes a new target for the fighting brand with detailed psychographics and behavior, aiming for a targeted marketing strategy and communication. Insights for communication management and marketing are provided, suggesting marketing activities based on the 5A model to ensure successful brand management. The study offers new perspectives for the company and the cement industry, emphasizing the importance of a multi-brand strategy to address future challenges.

Health Equity Considerations in Cost-Effectiveness Analysis: Insights from an Umbrella Review.

Cost-effectiveness analyses (CEA) are important in healthcare decision-making and resource allocation; however, expanding the scope of CEAs beyond the traditional clinicoeconomic concepts to also include value elements such as health equity has attracted much interest in recent years. This umbrella review aimed to synthesize evidence on how equity concepts have been considered in modified types of CEAs. Publicly available articles in MEDLINE were searched on January 25, 2024, to identify systematic reviews (SLRs) published in English since 2013 that incorporate health equity considerations in CEAs. Title/abstract, full-text article screening and data extraction were conducted by a single reviewer and validated by a second reviewer. Results were qualitatively synthesized to identify common themes. Eight SLRs were included. Distributional CEAs (DCEA), equity-based weighting, extended CEA (ECEA), mathematical programming and multi-criteria decision analysis (MCDA) were the most discussed approaches. A lack of consensus on the best approach for incorporating health equity into CEAs was highlighted, as these approaches are not currently consistently used in decision-making. Important limitations included scarcity of robust data to inform health equity indices, bias associated with commonly used health outcome metrics and the challenge of accounting for additional contextual factors such as fairness and opportunity costs. Proposals to expand CEAs to address equity issues come with challenges due to data unavailability, methods complexity, and decision-makers unfamiliarity with these approaches. Our review indicates that extended and distributional CEAs can support decision-making by capturing the impact of inequity on the clinical and cost-effectiveness assessment of treatments, although future modeling should account for additional contextual factors such as fairness and opportunity costs. Recommendations for actions moving forward include standardization of data collection for outcomes related to equity and familiarity with methodologies to account for the complexities of integrating health equity considerations in CEAs.

Safety assessment of cryptocurrencies as risky assets during the COVID-19 pandemic

This study examines the safe-haven properties of cryptocurrencies during the COVID-19 pandemic by exploring various cryptocurrency allocation strategies and their impact on downside risk compared to holding only the stock market index. Spanning from 2019 to 2021, the analysis includes seven cryptocurrencies—Bitcoin, Ethereum, Litecoin, Dash, Maker, Monero, and NEO—and six stock market indexes—SP500, FTSE, CAC40, IBEX, AEX, and DJIM. The research introduces a portfolio optimization approach focused on mitigating significant losses during crises, employing Value at Risk (VaR), Modified Value at Risk (MVaR), and Conditional Value at Risk (CVaR) metrics across different portfolio compositions. Findings highlight several key insights: higher cryptocurrency allocations correlate with increased downside risk, with none of the studied cryptocurrencies acting as a safe haven for international equity indexes during the COVID-19 pandemic. Relative MVaR exceeds CVaR across most combinations, and Maker demonstrates the highest downside risk, while Bitcoin and Litecoin exhibit the lowest risk levels based on CVaR and MVaR, respectively. Integration of the FTSE index is associated with peak risk levels, whereas incorporating DJIM and AEX shows reduced risk exposure. The study contributes novel insights into cryptocurrency risk dynamics during the COVID-19 pandemic, offering valuable implications for risk management strategies in investment portfolios.

The influence of the board’s size, independence and sociodemography on the firm’s climate change orientation: evidence from the GALPLACC index

PurposeThis paper aims to explore the relationship between board composition and a firm’s commitment to combatting climate change. Specifically, this study investigates how various characteristics of the board, namely its size and presence of independent directors, and of the directors themselves, including gender diversity, age, educational background and national homogeneity, affect the corporate-level climate change orientation. From a theoretical standpoint, the authors take a cross-fertilizing perspective, bridging upper echelons theory with agency, resource dependence and critical mass theories.Design/methodology/approachThe study uses ordered probit regression models on a hand-collected multi-country and multi-industry sample of 35 listed firms included in the Global Climate Change Liquid Equity Index (GALPLACC) provided by ECPI. This index is particularly relevant as it focuses on firms that have demonstrated a commitment to climate change, providing a robust dataset for the analysis.FindingsThe findings underscore the importance of disentangling various characteristics of corporate boards and directors. Specifically, the orientation toward climate change is negatively influenced by both board size and having a higher number of independent directors, while it is positively affected by reaching a critical mass of women on the board. Conversely, factors such as average age, educational background and the level of national homogeneity do not show significant effects.Originality/valueThis paper has an exploratory nature and contributes to the ongoing debate on the crucial, yet controversial role played by board-level and directors’ sociodemographic characteristics in shaping a firm’s environmental stance. Moreover, this study offers potential recommendations for policymakers regarding board composition to enhance firms’ climate change orientation.

Examining time–frequency quantile dependence between green bond and green equity markets

In the context of the rapidly growing demand for green investments and the need to combat climate change, this study contributes to the emerging literature on green investments by exploring the time–frequency connectedness between green bonds (GBs) and green equities. Specifically, we examine the degree of connection between GBs and green equities, the extent to which these markets influence each other, and which one is the primary net transmitter versus the net receiver of shocks under diverse market conditions. To accomplish these objectives, we use the wavelet-based Quantile-on-Quantile (QQ), dynamic conditional correlation (DCC), portfolio implications, and Quantile VAR approaches. The results show that GBs and green equities have a strong positive connection, depending on time and frequency domains. However, a negative association between GBs and green equities is observed during periods of crisis, highlighting GBs’ ability to hedge green equity portfolios. The portfolio strategies demonstrate that investors require to invest in the Green Economy equity and S&P GB portfolio to reach the highest level of hedging effectiveness. The findings further imply that the Global Water Equity Index transmits the highest spillover to other green assets, while the Green Economy Equity Index receives the most spillover from other assets. The pairwise volatility connectivity reveals that most pairs have minimal quantile dependence, indicating the potential for diversification across the GB and green equity pairs. These findings have significant implications for investors and policymakers concerned with green investments and climate change mitigation.

Impact of a new regulatory policy on thematic and monthly distribution funds in Japan

The Japan Financial Services Agency (JFSA), the country’s financial regulatory body, is concerned with business conduct surrounding mutual fund sales in Japan, especially regarding thematic and monthly distribution funds. The agency introduced a new regulatory policy in 2015 to encourage competition to provide high-quality, customer-oriented financial products and services. Unlike traditional regulation, this policy is based on the comply-or-explain approach, which does not mandate compliance. We utilize a difference-in-differences (DID) approach to examine whether this policy induces changes in the behavior of fund distributors regarding the promotion of these funds. We find that the effectiveness of the policy is not uniform. The policy has a limited impact on reducing fund flows and the size of thematic and monthly distribution funds among active funds, which include equity, bond, and balanced funds. By contrast, we find some evidence that the policy has reduced the fund flows and the size of equity thematic and monthly distribution funds relative to low-cost equity index funds. We find that the comply-or-explain approach alone may not suffice to regulate these fund sales, as distributors and managers can pursue their own interests. In addition, the effectiveness of the approach also depends on investors’ behavior, which may be hindered by a lack of sophistication in understanding the characteristics of these funds.

Spatial accessibility and equity of community healthcare: unraveling the impact of varying time and transport mode.

Achieving a higher level of accessibility and equity to community healthcare services has become a major concern for health service delivery from the perspectives of health planners and policy makers in China. In this study, we introduced a comprehensive door-to-door (D2D) model, integrating it with the open OD API results for precise computation of accessibility to community hospitals over different transport modes. For the D2D public transit mode, we computed the temporal variation and standard deviation of accessibility at different times of the day. Additionally, accessibility values for D2D riding mode, D2D driving mode, and simple driving mode were also computed for comparison. Moreover, we introduced Lorenz curve and Gini index to assess the differences in equity of community healthcare across different times and transport modes. The D2D public transit mode exhibits noticeable fluctuations in accessibility and equity based on the time of day. Accessibility and equity were notably influenced by traffic flow between 8 AM and 11 AM, while during the period from 12 PM to 10 PM, the open hours of community hospitals became a more significant determinant in Nanjing. The moments with the most equitable and inequitable overall spatial layouts were 10 AM and 10 PM, respectively. Among the four transport modes, the traditional simple driving mode exhibited the smallest equity index, with a Gini value of only 0.243. In contrast, the D2D riding mode, while widely preferred for accessing community healthcare services, had the highest Gini value, reaching 0.472. The proposed method combined the D2D model with the open OD API results is effective for accessibility computation of real transport modes. Spatial accessibility and equity of community healthcare experience significant fluctuations influenced by time variations. The transportation mode is also a significant factor affecting accessibility and equity level. These results are helpful to both planners and scholars that aim to build comprehensive spatial accessibility and equity models and optimize the location of public service facilities from the perspective of different temporal scales and a multi-mode transport system.

Economic policy uncertainty and Indian equity sectors: a quantile regression approach

PurposeThis paper aims to investigate the effect of economic policy uncertainty (EPU) shocks on Indian equity market sectors. The effect of domestic (Indian) and foreign (USA) EPU shocks is examined on ten major Bombay Stock Exchange sectors.Design/methodology/approachThe study uses data covering the period from September 2005 to July 2023 and uses the methodology of quantile regression to investigate the heterogenous response of stock market sectors under diverse market conditions explained through the analysis of conditional quantiles distribution.FindingsThe results demonstrate that domestic and foreign EPU shocks negatively affect most of the sectors in bearish market conditions. Industrials, commodities, utilities, consumer discretionary and financial services are the most affected sectors by domestic EPU. However, the information technology sector is found to be immune to domestic EPU shocks but negatively affected by foreign EPU shocks. On the other hand, energy, financial services and fast-moving consumer goods sectors are found to be immune to foreign EPU shocks but are negatively affected by domestic EPU shocks.Practical implicationsUnderstanding the heterogeneous response of different sectors to EPU shocks could help investors and portfolio managers identify portfolio diversification opportunities.Originality/valueThis study makes an inaugural attempt to examine the responses of Indian stock market sectors to domestic and foreign EPU shocks using the approach of quantile regression and unveils the previously unexamined diverse reactions of Indian stock market sectors to EPU shocks originating from both India and USA.

State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices

Current price jump tests assume a constant intra-day volatility pattern (IVP) over sample period. We test this assumption by allowing IVP to depend on some state variables such as the sign of previous returns or the relative levels of volatility. Estimation results from 5-min GARCH model for four equity indices show that squared-return-based IVP weights increase in early morning hours when previous returns are negative, suggesting an asymmetric IVP. For a jump-robust IVP estimator, distinct responses are found for days with Realized Variance (RV) increasing from the previous day. Our results are consistent with and complement recent studies on time-varying IVP. Price jumps obtained using the state-dependent IVP are more prudent, show lower degree of clustering and are less concentrated over trading hours.

Testing the Adaptive Market Hypothesis and Time-Varying Efficiency in the Indian Equity Market

The study examines the adaptive market hypothesis (AMH) as an evolutionary principle of the alternative efficient market hypothesis in the Indian stock market (Sensex and Nifty50) on the daily return from April 2014 to May 2020. Based on AMH, investors behave, learn, and adapt to market conditions. This distinction of dynamic market conditions is divided into bull and bear market classifications. We apply three variations of the variance ratio test and the returns have been whitened using the Autoregressive model with generalized autoregressive conditional heteroskedasticity (AR-GARCH) approach to examine the nonlinear predictability test. Further, we evaluate a fixed-length subsample window framework to detect the time-varying predictability and examine whether market conditions affect stock return predictability and market condition. The study confirms inefficient market behaviour during crises, fear, panic, macroeconomic events and each market adapts differently to certain market conditions. Furthermore, the return series exhibits significant periods of efficiency and inefficiency consistent with the adaptive market hypothesis. The evidence of our findings sheds light on efficient market behaviour in dynamic market conditions and market environments for researchers, investors in investment strategies and policy intervention in risk containment measures and control market manipulation.

Unveiling the interlinkage between Ethereum and Nifty indices: impact of cryptocurrency on Indian equity markets post Covid-19

Unveiling the interlinkage between Ethereum and Nifty indices: impact of cryptocurrency on Indian equity markets post Covid-19

Neighborhood-level Social Determinants of Health and Waitlist Mortality for Liver Transplantation: The Liver Outcomes and Equity Index.

To examine neighborhood-level disparities in waitlist mortality for adult liver transplantation (LT), we developed novel area-based social determinants of health (SDOH) index using a national transplant database. ZIP Codes of individuals listed for or received LT in the Scientific Registry of Transplant Recipients database between June 18, 2013, and May 18, 2019, were linked to 36 American Community Survey (ACS) variables across 5 SDOH domains for index development. A step-wise principal component analysis was used to construct the Liver Outcomes and Equity (LOEq) index. We then examined the association between LOEq quintiles (Q1 = worst and Q5 = best neighborhood SDOH) and waitlist mortality with competing risk regression among listed adults in the study period and acuity circle (AC) era. The final LOEq index consisted of 13 ACS variables. Of 59 298 adults waitlisted for LT, 30% resided in LOEq Q5 compared with only 14% in Q1. Q1 neighborhoods with worse SDOH were disproportionately concentrated in transplant regions with low median Model for End-Stage Liver Disease at transplant (MMAT) and shorter wait times. Five years cumulative incidence of waitlist mortality was 33% in Q1 in high MMAT regions versus 16% in Q5 in low MMAT regions. Despite this allocation advantage, LOEq Q1-Q4 were independently associated with elevated risk of waitlist mortality compared with Q5, with highest increased hazard of waitlist deaths of 19% (95% CI, 11%-26%) in Q1. This disparity persisted in the AC era, with 24% (95% CI, 10%-40%) increased hazard of waitlist deaths for Q1 versus Q5. Neighborhood SDOH independently predicts waitlist mortality in adult LT.

Connectedness with commodities in emerging markets: ESG leaders vs. conventional indexes

This study investigates the dynamic connectedness of ESG Leaders and conventional equity indexes with commodities in emerging markets. Using data for emerging markets stocks from three regions (Asia, Europe, and Latin America), we compare the spillover effects from commodities to ESG and conventional indexes. Most of the transmission of shocks occurs between equity indexes, whereas spillover from commodities is limited. While there are similarities in the behavior of ESG Leaders and conventional index time series, slightly higher transmission is documented from commodities to conventional indexes compared to the ESG Leaders. Regional differences in connectedness are observed. However, from a portfolio management perspective, no notable differences can be seen between investing in either the ESG Leaders or conventional emerging market indexes when included in portfolios with commodities.