Empirical Analysis of Linkages between Shanghai and Bombay Stock Markets

2015 ◽  
Author(s):  
Li Zhongwu
Keyword(s):  
Empirical Analysis ◽  
Stock Markets

scholarly journals Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul

2017 ◽  
Vol 17 (4) ◽  
pp. 216-227 ◽  
Author(s):  
Yilmaz Yildiz ◽  
Mehmet Baha Karan ◽  
Burak Pirgaip
Keyword(s):  
Empirical Analysis ◽  
Stock Markets ◽  
Market Reaction

Risk connectedness of selected CESEE stock markets: a spillover index approach

2019 ◽  
Vol 10 (4) ◽  
pp. 447-472 ◽  
Author(s):  
Tihana Škrinjarić ◽  
Boško Šego
Keyword(s):  
Empirical Analysis ◽  
Stock Markets ◽  
Investment Strategies ◽  
Content Type ◽  
Index Approach ◽  
Dynamic Portfolio ◽  
International Investors ◽  
Developed Stock Markets ◽  
The Empirical Analysis ◽  
Over Time

Purpose The purpose of this paper is to empirically evaluate risk spillovers between selected CESEE (Central, Eastern and South-Eastern Europe) stock markets in order to evaluate the possibilities of an international diversification of a portfolio. Design/methodology/approach The VAR model and the Diebold and Yilmaz (2009, 2012) spillover index are used, with rolling indices estimation over time in order to observe dynamics, which is important for investment strategies. Data are monthly and include selected CESEE stock market indices which were available to the researcher. Findings The empirical analysis for the period of January 2012–June 2019 indicates that some country risks were the net emitter of shocks in the system (Slovenia and Czech Republic), whereas some were net receivers (Croatia and Ukraine). The results are robust with respect to changing the length of the rolling window analysis, which means that investors could utilize such an approach in a dynamic portfolio selection. Research limitations/implications Observing only selected markets due to data (un)availability. Practical implications The paper shows how international investors can utilize the aforementioned methodology in order to make a more detailed analysis of the dynamics of stock markets connectedness so that international portfolios can be rebalanced according to the results and investors’ preferences. Originality/value This is the first such research which focuses on CESEE countries, since existing research is focused on more developed stock markets. Moreover, the empirical analysis extends to commenting the pairwise net indices over time, which is important for the dynamic portfolio rebalancing over time.

scholarly journals Does Regulation Matter? an Analysis of Corporate Charters in a Laissez-Faire Environment

2013 ◽  
Vol 31 (1) ◽  
pp. 11-39 ◽  
Author(s):  
Gonzalo Islas Rojas
Keyword(s):  
Empirical Analysis ◽  
Stock Markets ◽  
Investor Protection ◽  
Corporate Law ◽  
Necessary Condition ◽  
Corporate Sector ◽  
Agency Model ◽  
Laissez Faire ◽  
Using Data ◽  
The Empirical Analysis

AbstractAre laws that protect minority investors a necessary condition for the development of stock markets? This paper attempts to answer this question using data on the origins of the corporate sector in Chile to construct an empirical analysis of the contractual provisions included in charters of corporations in the 19th century. Our findings indicate that, even though corporate law at the time was silent with respect to governance rules and investor protection, a significant number of corporations were created and their shares traded. The empirical analysis of the corporate charters reveals that these contracts frequently included provisions favourable to outside investors and the use of these provisions is consistent with the predictions of a simple agency model.

scholarly journals Dissecting cross-impact on stock markets: an empirical analysis

2017 ◽  
Vol 2017 (2) ◽  
pp. 023406 ◽  
Author(s):  
M Benzaquen ◽  
I Mastromatteo ◽  
Z Eisler ◽  
J-P Bouchaud
Keyword(s):  
Empirical Analysis ◽  
Stock Markets

scholarly journals Time-Scale Comovement Between The Indian And World Stock Markets

2013 ◽  
Vol 29 (3) ◽  
pp. 765 ◽  
Author(s):  
Rahul Deora ◽  
Duc Khuong Nguyen
Keyword(s):  
Empirical Analysis ◽  
Time Scale ◽  
Stock Markets ◽  
Conditional Correlation ◽  
Dynamic Conditional Correlation ◽  
Time Horizons ◽  
Heterogeneous Groups

We propose a wavelet-based dynamic conditional correlation GARCH approach to investigate the time-scale comovement between the Indian and world stock markets. Our empirical analysis reveals the existence of time-scale-dependent comovement between Indian and world stock markets. The results can thus be used by heterogeneous groups of foreign and Indian investors who trade in different time horizons to actively manage and hedge against the risk of their portfolios.

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