Equity Index Research Articles

A Method for Discriminating Equities Based on Sustainability Criteria in an ALM Process Designed for Practitioners

As the financial sector increasingly prioritizes responsible investment, insurance companies seek user-friendly methods to incorporate sustainability criteria for equities into their assets and liability management processes. This paper presents a practical two-step approach tailored for practitioners. The initial step involves leveraging publicly available sustainability data differing from the ESG score to construct both a sustainable equity index and a complementary index for shares not included in the former, achieved through clustering techniques. The subsequent step entails generating an efficient frontier using the Markowitz methodology. The proposed method has been applied to an authentic portfolio, demonstrating stability with a strong emphasis on sustainable assets when using the efficient reallocations given by the Markowitz model.

Research On Global Equity Based on Contribution-Welfare Model

Based on the outcome equity idea from the proverb "more effort, more gain", this paper established a global equity index based on the assessment of national contribution level and welfare level, then measured and compared the global equity situation in 2020 and 2000. The results indicated that the international society is still under strong inequality, and the fairness situation of the international community has deteriorated in the past 20 years.The model in this paper can evaluate the contribution level and national welfare status of countries in the global scope, and measure the unfairness of the international community.

IMPACT OF GLOBAL ECONOMIC FACTORS WITH FOREIGN INVESTMENTS ON INDIAN ECONOMIC DEVELOPMENT- AN EVENT STUDY

Purpose: The present stage of economic development is the basis for this empirical inquiry, which shows that foreign direct investment (FDI) significantly affects the destination countrys steady, high-quality, and healthy economic growth. To attract more international investment, every country experiencing economic globalisation is working to provide a favourable climate for businesses. Design/Methodology/Approach: I gathered five global institutional metrics global inflation, global gross domestic product, global production manager index, dollar index, and global equity index from the DPIIT websites secondary data for the years 2013-2023. These metrics form the basis of my studys primary objective. We are Using stalactitical tools like Unit root Test, ARDL Approach & OLS Model. Originality/Value: The researchers in this study used OLS (Least Squares) regression: Institutional variables effects on FDI flows were the focus of this research. To determine the effect of institutional characteristics (independent variables) on foreign direct investment (FDI) flows (dependent variable), this research used the ordinary least square approach. Findings: The study found with the help of ARDL model that the Institutional indicators had are having the positive coefficient value and stated that Global Economic Metrics which shown short run association with FDI flows, Time constraints, geographical constraints, or the inaccessibility of necessary data from appropriate sources are all obstacles that any research project must overcome. KEYWORDS: FDI, Global Metrics, Economy Growth, OLS Model.

A wavelet analysis of investing in cryptocurrencies in the Indian stock market

PurposeThis study is designed to examine the dynamic interrelationships between four cryptocurrencies (Bitcoin, Ethereum, Dogecoin and Cardano) and the Indian equity market. Additionally, the study seeks to investigate the potential safe haven, hedge and diversification uses of these digital currencies within the Indian equity market.Design/methodology/approachThis study employs the wavelet approach to examine the time-varying volatility of the studied assets and the lead-lag relationship between stocks and cryptocurrencies. The authors execute the entire analysis using daily data from 1st October 2017 to 30th September 2023.FindingsThe result of the study shows that financial distress due to the pandemic and the Russian invasion of Ukraine have a negative effect on the Indian equities and cryptocurrency markets, escalating their price volatility. Also, the connectedness between the returns of stock and digital currency exhibits a strong positive relationship during periods of financial distress. Additionally, cryptocurrencies serve as a tool of diversification or hedging in the Indian equities markets during normal financial circumstances, but they do not serve as a diversifier or safe haven during periods of financial turmoil.Originality/valueThis study contributes to understanding the relationship between the Indian equity market and four cryptocurrencies using wavelet techniques in the time and frequency domains, considering both normal and crisis times. This can offer valuable insights into the potential of cryptocurrencies inside the Indian equities markets, mainly with respect to varying financial conditions and investment horizons.

Co-volatility dynamics in global cryptocurrency and conventional asset classes: a multivariate stochastic factor volatility approach

PurposeThis study aims to investigate the co-volatility patterns between cryptocurrencies and conventional asset classes across global markets, encompassing 26 global indices ranging from equities, commodities, real estate, currencies and bonds.Design/methodology/approachIt used a multivariate factor stochastic volatility model to capture the dynamic changes in covariance and volatility correlation, thus offering empirical insights into the co-volatility dynamics. Unlike conventional research on price or return transmission, this study directly models the time-varying covariance and volatility correlation.FindingsThe study uncovers pronounced co-volatility movements between cryptocurrencies and specific indices such as GSCI Energy, GSCI Commodity, Dow Jones 1 month forward and U.S. 10-year TIPS. Notably, these movements surpass those observed with precious metals, industrial metals and global equity indices across various regions. Interestingly, except for Japan, equity indices in the USA, Canada, Australia, France, Germany, India and China exhibit a co-volatility movement. These findings challenge the existing literature on cryptocurrencies and provide intriguing evidence regarding their co-volatility dynamics.OriginalityThis study significantly contributes to applying asset pricing models in cryptocurrency markets by explicitly addressing price and volatility dynamics aspects. Using the stochastic volatility model, the research adding methodological contribution effectively captures cryptocurrency volatility's inherent fluctuations and time-varying nature. While previous literature has primarily focused on bitcoin and a few other cryptocurrencies, this study examines the stochastic volatility properties of a wide range of cryptocurrency indices. Furthermore, the study expands its scope by examining global asset markets, allowing for a comprehensive analysis considering the broader context in which cryptocurrencies operate. It bridges the gap between traditional asset pricing models and the unique characteristics of cryptocurrencies.

Time-varying Relationship between Fossil Fuel-Free Energy Indices and Economic Uncertainty: Global Evidence from Wavelet Coherence Approach

Considering the abysmal environmental impacts of anthropogenic activities, the entire world has been striving to shift toward a green economy. Also, the transition to a greener economy entails green financing, which escalates the pace and performance of environment-friendly economic activities. However, uncertain economic conditions might be a hindrance to green financing. Based on this, I investigate the co-movement of fossil-fuel-free energy equity indices returns and Twitter-based economic uncertainty using a wavelet coherence approach. The findings document that global, the US, and Japanese fossil-fuel-free indices show strong and positive co-movement with Twitter economic uncertainty for short- and medium-term investment horizons. However, a weak positive co-movement is observed during the Russia-Ukraine war. Based on these interesting findings, I suggest many policy implications.

How Integrated are Credit and Equity Markets? Evidence from Index Options

ABSTRACTWe study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit‐risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The model captures many aspects of the joint dynamics of CDX and SPX options. However, it cannot reconcile the relative levels of option prices, suggesting that credit and equity markets are not fully integrated. A strategy of selling CDX volatility yields significantly higher excess returns than selling SPX volatility.

Can Cryptocurrencies Provide Better Diversification Benefits? Evidence from the Indian Stock Market

Cryptocurrency has recently emerged as a financial asset among policymakers, investors and academics as a new alternative asset in the financial landscape. This research intends to empirically evaluate the safe haven, diversification and hedging potentials of digital currencies against the Indian equity market during different time frames. Four cryptocurrencies (Bitcoin, Ethereum, Binance Coin and Ripple) and Nifty 50 index data have been collected on a daily basis, from 26 July 2017 to 31 August 2023, for this purpose. Using wavelet-based methods, the study has discovered higher volatility in Nifty 50 and cryptocurrency prices during the crisis and stronger co-movement between pairs of equities and cryptocurrencies. Furthermore, the study finds that, under normal economic conditions, cryptocurrency can hedge the Indian stock market over short-term, medium-term and long-term investment horizons. However, investing in cryptocurrencies in the Indian stock portfolio for the short term does not give any safe haven or diversification advantages during times of economic crisis. Finally, we anticipate that the findings of our study will provide valuable insights into the potential usage of cryptocurrencies in the Indian stock market, both in stable and turbulent economic conditions. JEL Codes: G01, G41, N2, P34

Gender and Racial Diversity Among Obstetrics and Gynecology Departments and Gynecologic Oncology Divisions in Canada: Are We There Yet?

ObjectivesGender and racial diversity in academic Canadian departments of obstetrics and gynecology (OBGYN) have not been previously described. We examined gender representation in leadership in academic OBGYN departments and gynecologic oncology (GO) divisions, and determined factors predictive of leadership and promotion including racialized status. MethodsThis cross-sectional study of Canadian residency-affiliated academic OBGYN departments queried institutional websites in January 2021 to compile a list of academic faculty. Subjective gender was assessed using photographs and pronouns, and racialized status was determined using photographs. Logistic regression analyses determined predictive factors for leadership roles. Fassiotto et al. rank equity indices (REI) and Hofler et al. representation ratios were calculated. ResultsWithin 16 Canadian institutions there were 354 (33.6%) men and 699 (66.4%) women, with 18.3% racialized faculty. Men were more likely to reach full professorship (P < 0.00001) and leadership positions of department chair, vice-chair or division head (P = 0.01). Representation ratios for women in OBGYN were <1 for all administrative leadership positions, and pairwise comparisons of the probability of promotion for women OBGYNs using REI reveal significant disparities between senior and junior administrative leadership and professorial ranks. Racialized physicians were less likely to have attained full professorship (P = 0.002). Ninety-seven academic GOs were identified: 68 (70.1%) were women, 17 (17.5%) racialized. Seven GO divisions (44%) had no racialized members. On multivariate analysis, only year of completion of fellowship was predictive of leadership. ConclusionIn academic Canadian OBGYN departments women are underrepresented in leadership and full professor positions. Racialized faculty are underrepresented in full professorship.

The Application of Markowitz Model and Index Model in the Real Financial Market

This essay aims to analyze the optimal capital allocation in a ten-stock portfolio. The research paper will delve into two big aspects: the introduction of the Markowitz Model (“MM”) and Index Model (“IM”) and the implementation of MM and IM. A recent 20 years of historical daily total return data for ten different stocks, which belong to groups of three to four 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 (one-month Fed Funds rate) will be used. Utilizing these optimization inputs for the Markowitz Model and Index Model, I will find the regions of permissible portfolios (efficient frontier, minimal risk portfolio, optimal portfolio, and minimal return portfolios frontier) for the five cases of the additional constraints.

Short- and long-run cross-border European sustainability interdependences

AbstractThe increasing interest in climate change risks, environmental degradation, corporate social responsibility, and environmental, social, governance principles has motivated the recent soaring focus of policymakers, market practitioners, and academics on sustainable investments. In this vein, we investigate the cross-country interconnectedness among sustainability equity indices. Using a bivariate Dynamic Conditional Correlations-Mixed Data Sampling (DCC-MIDAS) specification, we study the short- and long-run time-varying dependence dynamics between European and five international (Australia, Brazil, Japan, US, and Canada) sustainability benchmarks. Our cross-country dynamic correlation analysis identifies the interdependence types and hedging characteristics in the short- and long-run across the business cycle. The significant macro- and crisis-sensitivity of the sustainability correlation pattern unveils strong countercyclical cross-country sustainability interlinkages for most index pairs and crisis periods. We further reveal the high- and low-frequency contagion transmitters or interdependence drivers in the macro environment during the 2008 global financial turmoil, the European sovereign debt crisis, and the recent pandemic-induced crash. Finally, we demonstrate that climate change risks and policy considerations are potent catalysts for both countercyclical and procyclical cross-border sustainability spillovers.

Portfolio Optimization Project

This project aims to reduce the non-Gaussian effects and assess portfolio optimization using the Index Model and Markowitz Model for the recent 20 years of daily total return rate for the ten renowned stocks of the first group. It is important to recognize that the S&amp;P 500 equity index and 1-month Fed Funds rate are used as a proxy for the risk-free rate. The daily data is aggregated into the monthly observations, and optimization inputs are calculated based on the monthly observations. In addition, using optimization inputs for the Index Model and Markowitz Model, regions of different permission portfolios are identified.

LSTM-ARIMA AS A HYBRID APPROACH IN ALGORITHMIC INVESTMENT STRATEGIES

This study focuses on building an algorithmic investment strategy employing a hybrid approach that combines LSTM and ARIMA models referred to as LSTM-ARIMA. This unique algorithm uses LSTM to produce final predictions but boost results of this RNN by adding the residuals obtained from ARIMA predictions among other inputs. The algorithm is tested across three equity indices (S&amp;P 500, FTSE 100, and CAC 40) using daily frequency data spanning from January, 2000 to August, 2023. The architecture of testing is based on the walk-forward procedure which is applied for hyperparameter tunning phase that uses using Random Search and backtesting the algorithms. The selection of the optimal model is determined based on adequately selected performance metrics combining focused on risk-adjusted return measures. We considered two strategies for each algorithm: Long-Only and Long-Short in order to present situation of two various groups of investors with different investment policy restrictions. For each strategy and equity index, we compute the performance metrics and visualize the equity curve to identify the best strategy with the highest modified information ratio (𝐼𝐼𝐼𝐼**). The findings conclude that the LSTM-ARIMA algorithm outperforms all the other algorithms across all the equity indices what confirms strong potential behind hybrid ML-TS (machine learning - time series) models in searching for the optimal algorithmic investment strategies.

Forecast or Fallacy? Shiller's CAPE: Market and Style Factor Forward Returns in Indian Equities

Forecast or Fallacy? Shiller's CAPE: Market and Style Factor Forward Returns in Indian Equities

Timing the Tide: The Impact of Rebalancing Periods in Momentum Investing in Indian Equities

Timing the Tide: The Impact of Rebalancing Periods in Momentum Investing in Indian Equities

Pandemic's Ripple Effect: Exploring Dynamic Connectedness of Indian Equity and Commodity Markets

This research investigates volatility spillovers between the Indian equity markets and commodity futures markets. The Nifty 50 index is chosen as a representative of the equity market, based on market capitalization, while Crude Oil, Copper, Zinc, Gold, and Silver are selected to represent the commodity market in India. The selection of each commodity is grounded in considerations of liquidity and physical market size. This research investigates how the volatility in the Indian stock market interacted with the volatility of five major commodity markets throughout the COVID-19 pandemic. In order to ascertain the direction of information flow, the study employs the Granger causality approach. The research investigates how volatility transmits from the Indian equity market to various commodity markets. Employing methodologies inspired by Diebold and Yilmaz (2012) for Time Varying Parameter and Vector Autoregression (TVP VAR) analysis, the study explores these connections. To further delve into the dynamic relationship between these markets, wavelet coherence analysis is also utilized. This methodologically robust approach goes beyond traditional correlation analysis by deconstructing the co-movements across different time scales, offering a more nuanced understanding of the complex relationships and potential transmission mechanisms at play during the unprecedented period of the COVID-19 pandemic. By analyzing the frequency-dependent interactions between these markets, the study aims to shed light on how economic shocks and market fluctuations in one sector might propagate and impact the other, providing valuable insights for investors, policymakers, and researchers alike.

REINVESTIGATING THE INFLUENCE OF DOT COM BUBBLE ON FINANCIAL MARKET AND INVESTMENTS

Development of financial markets and investment sector have ensured mutual reinforcement which was started in 1995 and deepened until the collapse of the bubble in 2000, which refined the characteristics of the web. This study thoroughly investigates speculative dot com bubble in research related to corporate finance by exploring the issues of dividend policy. In addition, we examined the dividend policy and speculative bubbles on the dataset and S&amp;P 500. This study designs the contours of this capacity with emphasis on the generation of demand. Considering the “dividend smoothing” phenomenon, this article raises question on the efficiency of dividends observed as an important factor that affects investment bubbles. This study builds hypothetical payouts of dividends as per the corporate earnings reported. It is inferred that firms’ dividend policy affects speculative bubbles. The “dotcom bubble” is widely known as a common example for a “stock price bubble” in various equity indices like NASDAQ. It is observed with the dividend series observed as a common factor. It is not basically the case with the adjusted time series of dividends.

IPOs as Catalysts for Retail Investor Wealth Creation: Evidence from the Indian Stock Market

The study delves into the dynamics of wealth creation for retail investors in the context of Initial Public Offerings (IPOs) within the Indian equity markets. Against the backdrop of a burgeoning retail investor base, the research offers a comprehensive analysis spanning April 2012 to December 2022, evaluating short-term and long-term IPO performance metrics. The study reveals nuanced insights into wealth creation dynamics by scrutinizing listing day returns, first-week to third-year returns, and market-adjusted returns vis-à-vis the Nifty50 Index. Notably, the research suggests that while IPOs exhibit promise with positive listing day returns, sustaining growth over extended horizons poses challenges. The hypothesis of inflation serving as a pragmatic hurdle rate for retail investors is explored, offering a novel perspective on wealth preservation. It also sheds light on the significant variability in the Real Rate of Returns (RRRs) among IPOs, with some contributing to wealth generation while others result in wealth erosion. This underscores the importance of retail investors carefully assessing and managing risks, emphasizing the need for prudent portfolio diversification and effective risk mitigation strategies, particularly over longer investment horizons.

Risk-Return Spectrum of Investment for Going Green: Evidence from Indian Equity Market

Risk-Return Spectrum of Investment for Going Green: Evidence from Indian Equity Market

Unravelling the return and volatility interdependencies between Indian equity ETFs and benchmark indices

Unravelling the return and volatility interdependencies between Indian equity ETFs and benchmark indices