scholarly journals Halloween Effect in Developed Stock Markets: A US Perspective

2019 ◽  
Author(s):  
Oleksiy Plastun ◽  
Xolani Sibande ◽  
Rangan Gupta ◽  
Mark E. Wohar
Keyword(s):  
Stock Markets ◽  
Developed Stock Markets ◽  
Halloween Effect

Halloween Effect in developed stock markets: A historical perspective

2020 ◽  
Vol 161 ◽  
pp. 130-138
Author(s):  
Alex Plastun ◽  
Xolani Sibande ◽  
Rangan Gupta ◽  
Mark E. Wohar
Keyword(s):  
Stock Markets ◽  
Historical Perspective ◽  
Developed Stock Markets ◽  
Halloween Effect

COVID-19 and overconfidence bias: the case of developed, emerging and frontier markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Vijay Kumar Shrotryia ◽  
Himanshi Kalra
Keyword(s):  
Stock Markets ◽  
Impulse Response Functions ◽  
Economic Activities ◽  
Content Type ◽  
Long Run ◽  
Governance Practices ◽  
Global Stock Markets ◽  
Developed Stock Markets ◽  
Overconfidence Bias ◽  
Global Stock

PurposeThe main purpose of the present study is to delve into the overconfidence bias in global stock markets during both pre COVID-19 and COVID-19 phases.Design/methodology/approachThe present study makes use of daily adjusted closing prices and volume of the broad market indices of 46 global stock markets over a period ranging from July 2015 till June 2020. The sample period is split into pre COVID-19 and COVID-19 phases. In order to test the overconfidence fallacy in the chosen stock markets, bivariate market-wide vector auto regression (VAR) models and impulse response functions (IRFs) have been employed in both phases.FindingsA highly significant contemporaneous relationship between market return and volume appears to be more pronounced in the Japanese, US, Chinese and Vietnamese stock markets in the pre COVID-19 era for the relevant coefficients are positive and highly significant for most lags. Coming to the period of turbulence, the present study discovers strong overconfident behavior in the Chinese, Taiwanese, Turkish, Jordanian and Vietnamese stock markets during COVID-19 phase.Practical implicationsA stark finding is that none of the developed stock markets reveal strong overconfidence bias during pandemic, suggesting a loss or decline in the investors' confidence. Therefore, the regulators should try to regain the investors' trust and confidence in the markets by ensuring honest, fair and transparent practices. The money managers should reduce the transaction cost to encourage trading and educate investors to hold a well-diversified portfolio to mitigate risk in the long run. The governments may launch recovery packages focusing on sustaining and improving economic activities. Finally, a better investment culture may be built by the corporate houses through good corporate governance practices to regain lost trust.Originality/valueThe present study appears to be the very first attempt to gauge overconfidence bias in the wake of a recent COVID-19 pandemic.

Analyzing Dynamic Causal Linkages Between Developed Stock Markets of Spain and Canada

2019 ◽  
pp. 282-293
Keyword(s):  
Stock Markets ◽  
Unit Root Test ◽  
Causality Test ◽  
International Portfolio Diversification ◽  
Long Run ◽  
International Portfolio ◽  
Stationary Test ◽  
Augmented Dickey Fuller ◽  
Developed Stock Markets ◽  
Bds Test

The main objective of this chapter involves analyzing dynamic causal linkages between developed stock markets of Spain and Canada. The long-run dynamic causal linkages between international stock markets highlight the importance of a functional and stable financial environment. As an explanation based on chaos theory, seemingly insignificant structural imbalances can easily generate dramatic consequences in the context of a globalized and integrated worldwide financial structure. The empirical analysis is based on daily log-returns of selected developed stock markets major indices during the sample period between June 1993 and December 2013. The financial econometrics empirical research includes the Unit Root Test, the Augmented Dickey-Fuller stationary test, the BDS test and the Granger causality test. The empirical results provide a useful framework on international portfolio diversification and risk management.

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.

Comovement Dynamics between Central and Eastern European and Developed European Stock Markets during European Integration and Amid Financial Crises – A Wavelet Analysis

2012 ◽  
Vol 23 (1) ◽  
pp. 22-32 ◽  
Author(s):  
Silvo Dajcman ◽  
Mejra Festic ◽  
Alenka Kavkler
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Financial Crises ◽  
Eastern European ◽  
Short Term ◽  
Market Return ◽  
Stock Market Return ◽  
Time Period ◽  
Developed Stock Markets ◽  
European Stock Markets

Stock market comovements between developed (represented in the article by markets of Austria, France, Germany, and the UK) and developing stock markets (represented here by three Central and Eastern European (CEE) markets of Slovenia, the Czech Republic, and Hungary) are of great importance for the financial decisions of international investors. From the point of view of portfolio diversification, short-term investors are more interested in the comovements of stock returns at higher frequencies (short-term movements), while long-term investors focus on lower frequencies comovements. As such, one has to resort to a time-frequency domain analysis to obtain insight about comovements at the particular time-frequency (scale) level. The empirical literature on the CEE and developed stock markets interdependence predominantly apply simple (Pearsons) correlation analysis, Granger causality tests, cointegration analysis, and GARCH modeling. None of the existent empirical studies examine time-scale comovements between CEE and developed stock market returns. By applying a maximal overlap discrete wavelet transform correlation estimator and a running correlation technique, we investigated the dynamics of stock market return comovements between individual Central and Eastern European countries and developed European stock markets in the period from 1997-2010. By analyzing the time-varying dynamics of stock market comovements on a scale-by-scale basis, we also examined how major events (financial crises in the investigated time period and entrance to the European Union) affected the comovement of CEE stock markets with developed European stock markets. The results of the unconditional correlation analysis show that the developed European stock markets of France, the UK, Germany and Austria were more interdependent in the observed period than the CEEs stock markets. The later group of countries exhibited a lower degree of comovement between themselves as well as with the developed European stock markets during all the observed time period. The Slovenian stock market was the least correlated with other stock markets. By using the rolling wavelet correlation technique, we wanted to answer the question as to how the correlation between CEE and developed stock markets changed over the observed period. In particular, we wanted to examine whether major economic (financial) and political events in the world and European economies (the Russian financial crisis, the dot-com financial crisis, the attack on the WTC, the CEE countries joining the European union, and the recent global financial crisis) have influenced the dynamics of CEE stock market comovements with developed European stock markets. The results show that stock market return comovements between CEE and developed European stock markets varied over time scales and time. At all scales and during the entire observed time period the Hungarian and Czech stock markets were more interconnected to developed European stock markets than the Slovenian stock market was. The highest comovement between the investigated CEE and developed European stock market returns was normally observed at the highest scales (scale 5, corresponding to stock market return dynamics over 32-64 days, and scale 6, corresponding to stock market return dynamics over 32-64 and 64-128 days). At all scales the Hungarian and Czech stock markets were more connected to developed European stock markets than the Slovenian stock market. We found that European integration lead to increased comovement between CEE and developed stock markets, while the financial crises in the observed period led only to short-term increases in stock market return comovements.DOI: http://dx.doi.org/10.5755/j01.ee.23.1.1221

scholarly journals How to Measure Illiquidity on European Emerging Stock Markets?

2014 ◽  
Vol 5 (3) ◽  
pp. 67-81
Author(s):  
Jelena Vidović ◽  
Tea Poklepović ◽  
Zdravka Aljinović
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Portfolio Investment ◽  
Turn On ◽  
Emerging Stock Markets ◽  
Illiquid Markets ◽  
Developed Stock Markets ◽  
Relative Change ◽  
Real Challenge ◽  
Daily Returns

Abstract Background: Liquidity is, in practice of portfolio investment, an important attribute of stocks and measuring illiquidity presents a real challenge for researchers, primarily on developed stock markets. Moreover, there is a lack of research dealing with (il)liquidity on emerging markets. In the paper, the problem of applicability and validity of two well-known illiquidity measures, ILLIQ and TURN, on European emerging markets is observed. Objectives: The paper has two main purposes. The first is to test the relative performance of the two selected illiquidity measures in terms of their validity on European emerging stock markets. The second is to propose a new and improved illiquidity measure named Relative Change in Volume (RCV). Methods/Approach: Using daily returns and traded volumes for 12 stocks which are constituents of stock indices on seven observed markets, ILLIQ and TURN along with the new proposed measure are calculated and tested based on correlation with return. All measures are tested and proposed using the single stock approach. Results: It is shown that ILLIQ and TURN are not appropriate for seven observed markets. The measures do not follow the obligatory request that returns increase in illiquidity while RCV has the ability of taking into account the pressure of big differences in volume on return. RCV gives satisfactory results, making clear the distinction between liquid and illiquid stocks and between liquid and illiquid markets. Conclusions: The proposed measure potentially has important implications in illiquidity measurement in general, and not only for investors on emerging stock markets.

scholarly journals Price jumps in developed stock markets: the role of monetary policy committee meetings

2018 ◽  
Vol 43 (2) ◽  
pp. 298-312 ◽  
Author(s):  
Rangan Gupta ◽  
Chi Keng Marco Lau ◽  
Ruipeng Liu ◽  
Hardik A. Marfatia
Keyword(s):  
Monetary Policy ◽  
Stock Markets ◽  
Monetary Policy Committee ◽  
Developed Stock Markets ◽  
Policy Committee
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