Three essays on modeling stock returns: empirical analysis of the residual distribution, risk-return relation, and stock-bond dynamic correlation

2021 ◽  
Author(s):  
Jiandong Li
Keyword(s):  
Stock Returns ◽  
Empirical Analysis ◽  
Residual Distribution ◽  
Dynamic Correlation ◽  
Risk Return

scholarly journals FINANCIAL CRISIS AND LOCAL BANKS: A REVIEW OF BANK-FIRM RELATIONSHIPS IN ITALY

2017 ◽  
Vol 14 (3) ◽  
pp. 249-258 ◽  
Author(s):  
Andrea Quintiliani
Keyword(s):  
Financial Crisis ◽  
Empirical Analysis ◽  
Research Question ◽  
Banking System ◽  
Relationship Lending ◽  
Critical Elements ◽  
Risk Return ◽  
The Impact ◽  
The Relationship ◽  
The Empirical Analysis

This paper focuses on bank-firm relationship in an economic deeply changing environment. The objectives of the paper are two-fold: to understand, compared to the overall banking system, if the lending activities and economic-financial performances of Italian local banks have changed after the outbreak of the financial crisis; and to understand what are the conditions that allow to develop a model of a local bank capable of supporting the development routes of SMEs, by an appropriate risk/return profile. In order to answer the first research question, the paper presented an empirical analysis, covering the period 2007-2011, of Italian Cooperative Credit Banks (a particular category of local banks) compared with the system of bank groups with operability spread over much of the Italian territory and not. The empirical comparative analysis has the aim to see the effects of the crisis on the relationship bank-firm through the reading of the impact on the dynamics of lending and on the profiles of structure, riskiness, profitability and efficiency of the banks under examination. In order to provide an answer to the second research question, the paper provides some insight of evolutionary nature reflection in the bank-firm relationship. In accordance with the doctrinal postulates of the relationship lending the empirical analysis shows how the financial then real crisis has not induced Cooperative Credit Banks to restrict credit to local firms. The survey evidences have however highlighted some critical elements that are reflected inevitably on the local bank’s risk-return profile. Based only on quantitative data of statement, the empirical analysis represents a limit in this kind of research. This paper is useful to stimulate the debate of experts as well as to focus on the studies of local banks in particular in the light of their anti-cyclic role. Even if abounding in subjects about local banks and relationship lending literature faces only marginally the effects of global crisis on business profiles of local banks.

Relationship between different sources of geopolitical risks and stock markets in the GCC region: a dynamic correlation analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abdullah Alqahtani ◽  
Shawkat Hammoudeh ◽  
Refk Selmi
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Risk Index ◽  
Saudi Arabian ◽  
Gulf Region ◽  
Content Type ◽  
Dynamic Correlation ◽  
Hedging Strategies ◽  
Gcc Countries ◽  
Geopolitical Risks

PurposeThe findings would help in designing useful and relevant hedging strategies against geopolitical risks (GPRs), which are rampant in the Gulf Cooperation Council (GCC) region.Design/methodology/approachThis study focuses on the regional and global costs of GPRs for businesses in the Gulf region.FindingsThe results of the analysis show that the time-varying conditional correlation between the stock returns of the GCC countries and the Saudi Arabian geopolitical risk is consistently negative, suggesting that the Saudi Arabian geopolitical risk hurts the GCC stock markets, thus underscoring the importance of studying regional GPRs.Originality/valueThe contribution of this paper is twofold: First, it uses a newly geopolitical risk index that includes recent geopolitical events not included in the Caldara and Iacoviello (2018) index. In addition to war threats and acts, terrorist threats and acts and nuclear threats, the authors consider global trade tensions (GTTs), Saudi Arabia's geopolitical risk and OPEC news mainly related to OPEC oil production levels. Second, it assesses whether Saudi Arabia, which is the largest economy in the region and the main global oil exporter, is really a risk exporter to the rest of the GCC countries.

scholarly journals An Empirical Analysis of the Relationship Between Urbanization and Fiscal Policy --- Taking Jiangxi Province of China As an Example

2018 ◽  
Vol 10 (2) ◽  
pp. 140 ◽  
Author(s):  
Xiao-Ying Wan
Keyword(s):  
Fiscal Policy ◽  
Empirical Analysis ◽  
Impulse Response Function ◽  
Jiangxi Province ◽  
Vector Autoregressive ◽  
Dynamic Correlation ◽  
Existing Problems ◽  
Fiscal Revenue ◽  
The Impact ◽  
The Relationship

Urbanization is still the direction of China's development in the next twenty years. The study of the relationship between fiscal policy and urbanization is of great value to the healthy promotion of urbanization. In this paper, through the establishment of vector autoregressive model, and analysis using the impulse response function and variance decomposition empirical dynamic correlation between the development of urbanization in Jiangxi province and that of fiscal policy, fiscal policy focus; at the same time, this thesis employs qualitative analysis and quantitative analysis, normative analysis and empirical analysis, combined with the reality of the development of urbanization in Jiangxi Province in order to analyze of the relationship between the development of urbanization in Jiangxi province and fiscal policy and the existing problems. The study found that there is a cointegration relationship between fiscal policy and urbanization. The impact of fiscal expenditure on Urbanization in Jiangxi is better than that in fiscal revenue. Finally, this paper also puts forward relevant policy.

Why is it so difficult to uncover the risk–return tradeoff in stock returns?

2006 ◽  
Vol 92 (1) ◽  
pp. 118-125 ◽  
Author(s):  
Markku Lanne ◽  
Pentti Saikkonen
Keyword(s):  
Stock Returns ◽  
Risk Return
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