Selected Stock Market Research Articles

Impact of tumultuous economic periods on investments made by joint-stock companies included in the WIG-ESG index

The aim of the article is to assess the role of ESG assumptions in dealing with complex crises that are both economic and financial in nature. The research problem is excessive fluctuations in the quotations of the WIG-ESG index, which includes listed companies characterized by adherence to the principles of socially responsible business. An attempt will be made to verify the research hypothesis, which assumes a positive impact of selected stock market indicators on the stabilization of quotations of the analyzed index. The research method will be the estimation of an econometric model built from dependent variable Y describing changes in the quotations of the WIG-ESG index and six independent variables describing selected stock market indicators exerting a greater or lesser influence on the changes in the quotations included in the monthly time interval in the research period January 2014–November 2023. It is concluded that the relationship between stock market capitalization and the value of equity estimated at the end of the last quarter is the basis for stabilizing the quotations of the index.

Inter-linkages Among Selected Stock Markets of South Asia: Revisit

The present study investigates the inter linkages among South Asian stock markets namely India, Sri Lanka and Pakistan. The topic is important for international investors because if the stock markets are found integrated with each other then they cannot reap profits from portfolio diversification or reduction in risk. Daily closing prices of the bench mark indices of three countries are taken for a period from 1 Jan. 2001 to 23th Feb. 2023. The paper used statistical tools such as descriptive statistics and correlation analysis and on the other hand, the econometric techniques namely Johansen’s Co integration test, VAR, Variance Decomposition Analysis, Impulse response function and Granger causality test and the selected stock markets are found interlinked in long run as well as in short run.

The Profitability of Contrarian and Momentum Strategies: Evidence from Emergent Markets

The profitability of contrarian and momentum strategies has been the subject of numerous research studies. In this paper, we have evaluated the presence of the momentum and the contrarian strategies in the Brazilian and Istanbul stock exchanges and aim to assess which of the strategies is most profitable for the investors. This study is done to provide investors and the research area with updated, pertinent results and help the process of decision-making at different time horizons. A quantitative study following Jegadeesh and Titman's (1993) approach is employed. The study is conducted over two-time horizons: short- and long-term, 2 and 8 years, respectively. The findings of the empirical study have shown the effective existence of the momentum strategy and the contrarian strategy in selected Stock Markets. Also, the findings demonstrate that momentum strategies are ideal for generating a maximum positive return in the long term in BIST 100, while the contrarian strategies are more exhibited in the short term for BOVESPA and the long-term trend.

Comovement of stock markets pre- and post-COVID-19 pandemic: a study of Asian markets

PurposeThe study aims is to explore the cointegration level among major Asian stock indices from pre- COVID-19 to post COVID-19 times.Design/methodology/approachJohansen cointegration test is employed to know the long run relationship among the stock market indices of Hong Kong, Indonesia, Malaysia, Korea, India, Japan, China, Taiwan, Israel and South Korea. The empirical testing was done to analyze whether any significant change has been induced by the COVID-19 pandemic on the cointegrating relationship of the selected markets or not. Through statistics of trace test and maximum eigen value, total number of cointegrating equations present among all the indices during different study periods were analyzed.FindingsThe presence of cointegration was found during all the sample periods and the findings suggests that the selected stock markets are associated with each other in general. During COVID-19 crisis period the cointegration level was reduced and again it regained its original level in the next year and again reduced in the subsequent next year. So, the cointegrating relationship among selected stock market indices remains dynamic and no evidence of impact of COVID-19 on this dynamism was found.Originality/valueThe study has explored the level of cointegration among the major stock indices of Asian nations in the pre, during, post-crisis and the most recent periods. The interconnectedness of the stock markets during the COVID-19 times has been compared with similar periods in different years immediately preceding and succeeding the COVID-19 times which has not been done in any of the existing study.

Time-varying effects of fuel prices on stock market returns during COVID-19 outbreak

This article explores the impact of fuel price movements on the stock market return of 2020 during the COVID-19 disruptions. In doing so, a monthly data of seven selected stock market indices representing developed and emerging economies globally was used for analysis. The study used a time-varying parameter VAR model to examine a time-varying causal association between oil prices and stock market returns and a novel quantile-causality approach to capture the fluctuations of these markets under COVID-19's varying market conditions. The study further utilises the entropy transfer approach to capture the Granger-causal relationship in the presence of nonlinearities of the data series. The results indicate a high information flow from fuel prices to the FTSE-100, Pacific, and European stock indicies, but not the other way round. The results show that, for the FTSE-100 and the European region, there is a two-way information flow between equities and natural gas, and vice-versa. However, a one-way information flow was established from the stock market to the Pacific and emerging economies.

Testing volatility spillovers using GARCH models in the Japanese stock market during COVID-19

This paper investigates volatility spillovers in the stock market in Japan during the COVID-19 pandemic by using GARCH family models. The empirical analysis is focused on the dynamics of the NIKKEI 225 stock market index during the sample period from July 30, 1998, to January 24, 2022. In other words, the sample period covers both the period of the global financial crisis (GFC) and the COVID-19 pandemic. The econometrics includes GARCH (1,1), GJR (1,1), and EGARCH (1,1) models. By applying GARCH family models, this empirical study also examines the long-term behavior of the Japanese stock market.The Japanese stock market is much more stable and efficient than emerging or frontier markets characterized by higher volatility and lower liquidity. The paper establishes that NIKKEI 225 index dynamics is different in intensity in the case of the two most recent extreme events analyzed, namely the global financial crisis (GFC)of 2007–2008 and the COVID-19 pandemic. The findings confirmed the presence of the leverage effect during the sample period. Moreover, the empirical results identified the presence of high volatility in the sample returns of the selected stock market. Nevertheless, the econometric framework showed that the negative implications of the GFC were much more severe and caused more significant contractions compared to the COVID-19 pandemic for the Japanese stock market. This study contributes to the existing literature by providing additional empirical evidence on the long-term behavior of the stock market in Japan, especially in the context of extreme events.

Economic policy uncertainty and stock markets’ co‐movements

AbstractHere, we investigate the direction of the relationship between economic policy uncertainty (EPU) and stock markets. We focus on time‐variant co‐movements between the EPU index and selected stock market indices (S&P500, UK100, Nikkei225 and DAX30) at different investment horizons. We show that the EPU index lags stock markets at longer investment horizons during global financial turmoil, especially in the United States, Japan and Germany. The identified lag between the changes of the EPU index and selected stock market indices ranges between 2 and 6 months at investment horizons exceeding 32 months. In addition, we confirm the existence of the short‐term effects of EPU on stock markets.

Daily COVID Cases and Selected Stock Market Indices An Attempt to Understand the Movements of the NIFTY 50 Index during the Pandemic

Daily COVID Cases and Selected Stock Market Indices An Attempt to Understand the Movements of the NIFTY 50 Index during the Pandemic

The causality relationship between energy prices and developed countries indices

The aim of this study is to determine the causality relationship between energy prices, which are among the most important inputs of the economy, and selected stock market indices of developed countries. Crude oil and natural gas are used as energy variables. G7 countries were selected to represent developed countries. Stock indices used in the study are Dow & Jones (USA), DAX (Germany), CAC40 (France), FTSE250 (England), FTSE Italia All Share (Italy), NIKKEI225 (Japan), and S&P/TSX (Canada). In the study, Johansen (1988) cointegration test and Granger (1969) causality test were used to analyse the causality relationship between energy prices and selected stock market indices. The research could not find a long-term balance relationship between energy prices and developed country indices. Also, while the causality relationship was determined between crude oil prices and NIKKEI225, DAX, and CAC40 indices, a causal relationship between natural gas prices and Dow & Jones and FTSE250 indices was determined. In the study, it was found that energy prices can be used for diversification in investments to be made with stock market indices of developed countries. This study is one of the most comprehensive studies in the literature that examines the relationship between energy prices and the stock market indices of G7 countries. It is expected to contribute to the literature in this way.

Analysing portfolio diversification opportunities in selected stock markets of North and South America and their impact on the textile sector: An empirical case study

This empirical study investigates the financial integration linkages among the sample stock markets of Canada, Mexico,United States (for both New York Stock Exchange, i.e. NYSE and NASDAQ), Panama, Brazil, Chile, Peru, Venezuela,Jamaica, Trinidad, and Tobago during the period from January 2001 to April 2019. This research study also examinesthe impact of selected stock market dynamics on the textile sector. International portfolio diversification has been animportant subject of research in financial fraternity since the emergence of Modern Portfolio Theory in 1952. This studyexamines the portfolio diversification opportunities in the 11 stock markets of Americas.International diversificationamong stock market indices has proven to be fruitful in the past. Certain tests have been used to determine opportunitiesfor diversification are correlation test, pairwise co-integration test, multiple co-integration test and granger causality test.The empirical results show that stock market indices share low correlation among other and they are not highlyco-integrated whereas results of Granger causality test exhibit an unidirectional relationship among few stock marketsin short run.

THE INFLUENCE OF OIL PRICE FLUCTUATIONS ON STOCK MARKET OF DEVELOPING ECONOMIES: A FOCUS ON NIGERIA

The inconclusiveness of findings from various studies on Nigeria on the effect of crude oil price fluctuation on the stock market has led to an argument in literature, thus necessitating further exploration of the subject. This study examines the effect of variations in the price of crude oil on selected stock market performance variables in Nigeria using monthly frequency data covering January 1997 to December 2016. Variance decomposition, impulse response analysis, and VAR estimations were employed for the study. The results reveal that oil price variations are slowly transmitted in some stock market performance variables. The findings indicate that the effect of crude oil price fluctuations in the Nigerian stock market is greatly minimized and does not sufficiently account for market activities. Keywords: Emerging Economy, Nigeria, Oil Price Shocks, Stock Market, VAR. JEL Classifications: C25, Q47, F4 DOI: https://doi.org/10.32479/ijeep.10140

Effectiveness of Corporate Governance Attributes on Disclosure of Non-Financial Information in Developing Economies

The study examines how corporate governance attributes enhance disclosure of non-financial information in developing economies using a case study of companies listed on selected Stock Markets in Sub-Saharan Africa. Corporate governance attributes such as Chief Executive Officer (CEO) non-duality, board size, board composition, audit committee independence, block and director shareholdings are examined while controlling for firm size, profitability and leverage. The study adopts a quantitative research approach where panel data is obtained to carry out a comparative analysis of companies listed on stock markets of South Africa, East Africa and Nigeria. The data is collected from annual reports of each company for a period of four years and is analysed to obtain Random- Effects Multiple regression models. Findings indicate that the effect of CEO Non-duality, board size and having a higher proportion of non-executive directors on boards is significant and positive. Block ownership of shares and directors’ shareholdings have a negative effect on disclosure of non-financial information. However, the study does not provide evidence to suggest that Audit committee independence affects non- financial information disclosure. The major contribution of the study is to establish corporate governance attributes that play a vital role in disclosure of non-financial information using a comparative analysis of listed companies in Sub-Saharan Africa. The paper is the first of its kind in developing economies. Keywords : Corporate governance attributes, corporate disclosure, non-financial information. DOI: 10.7176/RJFA/12-4-02 Publication date: February 28 th 2021

First to React Is Last to Forgive: Evidence from the Stock Market Impact of COVID 19

COVID 19 has had parallel and uneven economic shocks across countries since its outbreak in December 2019. Stock markets as usual were the first to react, with drop rates as much as the Global Financial crises of 2008. This study uses daily data to model the dynamic impact of COVID 19 pandemic on returns of selected stock market indices and globally-traded commodities. The overall panel least squares VAR estimation results indicate a negative short termed impact of 2.3% on the performances of the stock markets when the spread rate of corona-virus increases by 1% across countries ceteris paribus. While The COVID 19 contamination rate is not statistically significant to explain the changes in the exchange rate and gold prices in the countries of analysis, yet the virus spread rate is found to be significant in steering prices of platinum, silver, WTI, and Brent crude oil.

The Causality Relationship between Energy Prices and Developed Countries Indices

The aim of this study is to determine the causality relationship between energy prices, which are among the most important inputs of the economy, and selected stock market indices of developed countries. Crude oil and natural gas are used as energy variables. G7 countries were selected to represent developed countries. Stock indices used in the study are Dow&Jones (USA), DAX (Germany), CAC40 (France), FTSE250 (England), FTSE Italia All-Share (Italy), NIKKEI225 (Japan), and S&P/TSX (Canada). In the study, Johansen (1988) cointegration test and Granger (1969) causality test were used to analyze the causality relationship between energy prices and selected stock market indices. The research could not find a long-term balance relationship between energy prices and developed country indices. Also, while the causality relationship was determined between crude oil prices and NIKKEI225, DAX, and CAC40 indices, a causal relationship between natural gas prices and Dow&Jones and FTSE250 indices was determined. In the study, it was found that energy prices can be used for diversification in investments to be made with stock market indices of developed countries. This study is one of the most comprehensive studies in the literature that examines the relationship between energy prices and the stock market indices of G7 countries. It is expected to contribute to the literature in this way.

Behaviour of Stock Returns During COVID-19 Pandemic: Evidence from Six Selected Stock Market in the World

This paper investigates the short term return behavior of six selected stock market around the world during the COVID-19 Pandemic. USA, Indonesia, India, South Korea, Saudi Arabia, and Singapore are selected based on the size of their stock market and the countries have taken a considerable amount of decision and policy to mitigate the risk of before, ongoing, and aftermath COVID-19 Pandemic. This study relies on two major time series investigation techniques, namely Econometric Modeling of returns; The Autoregressive model, Assumption of Linearity, Volatility Modeling, namely the GARCH and WBAVR Test. The results suggest that the stock return behavior in six selected countries occurs in different forms. Our findings suggest that the policymakers must understand how to shift their policy to mitigate the risk of COVID-19 in the financial sector, since we observe a strong correlation between the public health crisis and stock market performances.

Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis.

This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019–April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths’ cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.

SHORT-TERM FORECASTING OF BELEXLINE AND BELEX15 MOVEMENTS

At the onset of 2019, global economy has been facing a number of macroeconomic issues, which significantly multiplied in the course of the past ten-year period. Slow-moving rate of economic growth, increased fiscal deficits, enormous public and private debt – these are just some of the issues which led to the plunge of the leading stock market indices at the end of 2018. Bearing in mind that S&P 500, DJIA and NASDAQ Composite stopped the multiannual growth trend which started on March 22, 2009, new quakes on the global financial market may well be expected. Unlike developed global stock markets, which hugely recovered from the 2008 crash, the Belgrade Stock Exchange showed no significant growth trend in the observed period. In this respect, regardless of the detected declines of the world’s best known stock market indices, it is not realistic to expect any significant change in the Belgrade Stock Exchange share market, which the conducted empirical research should confirm. The basic goal of the research is to establish the monthly tendencies of BELEXline and BELEX15 movements in the forthcoming one-year period. The basic hypothesis of the research is that there will be no significant changes in the movement of the values of selected stock market indicators in the Belgrade Stock Exchange share market during the one-year period to come.

Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa

Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa

Analysis of Cointegration and Causality Relationship among Selected Stock Market Indexes in the World and Indonesia Stock Exchange Composite Index (IHSG) for the Period 2005-2017

This research aims to analyze the cointegration and causality relationship among selected stock market indexes in the world and Indonesia Stock Exchange Composite Index (IHSG) for the period 2005 until 2017. The stock market indexes are selected based on the trading relationship between Indonesia and other countries in the non-oil and gas sectors. The selected stock market indexes are Dow Jones Industries Average, Bombay Stock Exchange Sensex, Kuala Lumpur Stock Exchange, Nikkei, Korea Stock Exchange, Stock Exchange of Thailand, Shanghai Composite, Straits Times Index, and Indonesia Stock Exchange Composite Index (IHSG). This research is a time series research which uses monthly data from January 2005 until December 2017 and Augmented Dickey-Fuller Test, Lag Optimum, Johansen Cointegration Test, Granger Causality Test, Vector Error Correction Model (VECM), Variance Decomposition, and Impulse Response Function. The results of the research show that there is cointegration among selected stock market indexes and Indonesia Stock Exchange Composite Index (IHSG) and there is causality among selected stock market indexes and Indonesia Stock Exchange Composite Index (IHSG).

The comparative analysis of investor sentiment effect on two major earthquakes and tsunami incidents

Purpose- Natural catastrophes such as earthquakes and tsunamis have been a great concern since the beginning of humanity and even before. Apart from the severe property damage they cause, these unforeseen incidents leave thousands of injured and dead. Events like the Indian Ocean and Japan earthquakes and tsunamis even lead to substantial impacts over the global economies. Through this interest, this study aims to determine the impacts of both incidents, over several stock market indices. Methodology- In order to capture the influence of these events on various stock markets, an investor sentiment methodology is adopted. Trading volume is selected as an investor sentiment proxy and it is regressed against multiple macroeconomic data. The residuals of these analyses are assigned as investor sentiment indices for both cases respectively.Furthermore, an EGARCH model is developed to observe the impacts of investor sentiment associated with both incidents, on the considered stock markets. Findings- The stock returns of Japan and Vietnam are negatively influenced by investor sentiment associated with the Indian Ocean Earthquake and Tsunami while the stock returns of Indonesia, South Korea, China and Singapore are positively influenced. Thus, the conditional volatilities of Sri Lanka, Indonesia, Thailand, Taiwan and Vietnam are negatively affected. Moreover, the stock returns of Indonesia, South Korea and Thailand are impacted negatively by investor sentiment related to the Japan Earthquake and Tsunami. Hence, the conditional volatility of Indonesia is positively influenced while it is negatively affected for Vietnam. Conclusion- In contrast with the previous studies, there is strong evidence that most of the selected stock market indices are influenced by both events while the shocks brought by these events are long-lived through the selected stock markets. Moreover, Indian Ocean Earthquake and Tsunami incident seems to generate higher investor sentiment effects on the stock markets than Japan Earthquake and Tsunami incident does.Consequently, Indonesia and Vietnam are considered to be highly impacted by the investor sentiment related to both events. However, Hong Kong, Malaysia and India do not happen to have any investor sentiment effects regarding both earthquakes and tsunami incidents.