اختبار كفاءة أسواق الأوراق المالية العربية عند المستوى شبه القوي : دراسة سوق عمان المالي = Testing Efficiency of Arab Stock Markets at Semi-Strong Level : A Study of Amman Financial Market

2016 ◽  
pp. 37-44
Author(s):  
حكيمة بو سلمة
Keyword(s):  
Financial Market ◽  
Stock Markets ◽  
Testing Efficiency

The impact of global financial market uncertainty on the risk-return relation in the stock markets of G7 countries

2017 ◽  
Vol 34 (1) ◽  
pp. 2-23 ◽  
Author(s):  
Geoffrey Loudon
Keyword(s):  
Financial Market ◽  
Stock Markets ◽  
Regime Switching ◽  
Transition Probabilities ◽  
Market Uncertainty ◽  
Content Type ◽  
Regime Switching Model ◽  
Switching Model ◽  
Risk Return ◽  
The Impact

Purpose This paper aims to investigate the effect of global financial market uncertainty on the relation between risk and return in G7 stock markets. Design/methodology/approach Market uncertainty is quantified using a probability-based measure derived from a regime-switching model in which the state transition probabilities are time-varying in response to leading economic indicators. Time variation in the risk return relation is estimated using a GARCH-M model. Findings While the regime-switching model successfully distinguishes between crisis and normal states, there remains substantial variability through time in the level of uncertainty about which state prevails. Results show that a strong negative relation exists between this uncertainty and the reward-to-variability ratio across all G7 stock markets. This finding is qualitatively consistent at both monthly and weekly horizons. Originality/value Extant evidence on the risk-return relation is conflicting. Most papers assume the relation is time constant. Allowing the reward-to-variability ratio to vary through time in response to return regime uncertainty increases the understanding of asset pricing. It also has important implications for asset allocation decisions by investors.

TRENDS AND PROSPECTS FOR THE STOCK MARKETS INTEGRATION OF EURASIAN ECONOMIC UNION

2020 ◽  
Vol 2 (7) ◽  
pp. 141-151
Author(s):  
A. G. GLEBOVA ◽  
◽  
Zh. V. IVANOVSKAYA ◽  
I. V. LUKASHENKO ◽  
◽  
...  
Keyword(s):  
Synergistic Effect ◽  
Financial Market ◽  
Stock Markets ◽  
Graphical Analysis ◽  
Significant Differentiation ◽  
Regulatory Documents ◽  
Eurasian Economic Union ◽  
The Future ◽  
Economic Union ◽  
Securities Trading

Subject/topic. Studying the ways and degree of national stock markets convergence in the Eurasian Economic Union. Goals/objectives. Analysis of the functioning of the stock markets of the countries of the Eurasian Economic Union in the light of the opportunities provided in the framework of creating a common exchange space in the future. According to the roadmap for creating a common financial market at the first stage of integration, regulatory documents will be adopted that define the mutual admission of professional participants to securities trading and unify listing procedures for issuers of EAEU member countries. Given the significant differentiation in the level of development of the exchange and post-trading infrastructure, a study of the attractiveness and analysis of problem areas for the participating countries was carried out in order to determine the optimal scenario for integration into the EAEU common exchange space. Methodology. The study used methods of comparison and analogy, scientific generalization and graphical analysis. Conclusions. The main result of the study is to identify factors contributing to the synergistic effect of the integration of stock markets of all EAEU member countries. The study showed that the important factors, along with the harmonization of legislation, are the formation of a developed exchange and post-trading infrastructure, the introduction of modern financial technologies, including cybersecurity issues, as well as the development of an integrated currency market.

Volatility spillovers among G7, E7 stock markets and cryptocurrencies

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Berna Aydoğan ◽  
Gülin Vardar ◽  
Caner Taçoğlu
Keyword(s):  
Financial Market ◽  
Portfolio Management ◽  
Stock Markets ◽  
Negative Impact ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Content Type ◽  
Volatility Spillovers ◽  
Dynamic Relationship ◽  
The Stability

PurposeThe existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach.Design/methodology/approachApplying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed.FindingsInterestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market.Originality/valueOverall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.

Review of top five financial markets during the pandemic times

2021 ◽  
pp. 2131001
Author(s):  
Tahir Mumtaz Awan ◽  
Jamal Maqsood
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market News ◽  
Stock Markets ◽  
Stock Exchanges ◽  
Future Market ◽  
Virus Origin ◽  
The World ◽  
Global Stock Markets ◽  
Global Stock

The purpose of this paper is to jot down the devastating impacts of COVID-19 towards the top five financial markets of the world and to see how they reacted back in different phases of COVID-19 from start till July 2020. The review is based on the financial market news, blogs, the governmental, and other financial bodies’ websites. The effects of the pandemic are like the damage never seen before in a much shorter time, vanishing a quarter portion of wealth in about a month and creating continuous uncertainties for investors throughout. China despite being the virus origin still performed well and better among all top markets whereas the rest all the stock exchanges remained inconsistent. This paper is the first of its kind to review the COVID-19 effects on the top five global stock markets and the governmental responses towards them. The study along with contributing to the existing literature is also assisting investors, analysts, specialists, and authorities to analyze their opinions w.r.t. stock markets performances, government responses, and their future market-related decisions.

scholarly journals The co-integration of European stock markets after the launch of the euro

2008 ◽  
Vol 55 (3) ◽  
pp. 309-324
Author(s):  
Soares da
Keyword(s):  
Financial Market ◽  
Stock Markets ◽  
European Countries ◽  
Short Term ◽  
International Integration ◽  
International Financial Market ◽  
Two Indices ◽  
Empirical Tests ◽  
European Stock Markets

This article studies the international integration of the national stock markets of sixteen European countries. The international financial market is represented by two indices: a European index and a World index. The methodology of co-integration, used in this article, is the proper econometrical solution for the treatment of non-stationary series as those used in the present research. Complementarily, co-integration offers the possibility of distinguishing the long-term and the short-term interdependence, which very important when the variables are financial market indices. The empirical tests in this research have shown that both European and non European international factors are necessary to explain the international integration of the national stock markets under analysis. .

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