scholarly journals Dynamic correlation between selected world major stock markets and commodity markets.

2015 ◽  
Author(s):  
Yongbo Qiao
Keyword(s):  
Stock Markets ◽  
Commodity Markets ◽  
Dynamic Correlation

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.

Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach

2016 ◽  
Vol 03 (04) ◽  
pp. 1650033 ◽  
Author(s):  
Adil Yilmaz ◽  
Gazanfer Unal
Keyword(s):  
Stock Markets ◽  
Movement Analysis ◽  
Point Of View ◽  
Wavelet Coherence ◽  
Short Term ◽  
Middle Term ◽  
Frequency Space ◽  
Time Frequency ◽  
Dynamic Correlation ◽  
Over Time

Wavelet coherence of time series provide valuable information about dynamic correlation and its impact on time scales. Here we analyze the wavelet coherence of FTSE100 and S&P 500 with selected Asian markets of S&P/ASX 200 (Australia), S&P/ASX200 A-REIT (Australia), BIST (Turkey), HIS (Hong Kong), IDX (Indonesia), KLSE (Malaysia), KOSPI (Korea), N225 (Japan), RTS (Russia), Shenzhen (China), 0050.TW (Taiwan). Wavelet coherence results revealed interconnected relationships between stock markets and how these relationships vary in the time–frequency space. We conclude that developed economy stock markets have strong influences over Asian stock markets, although market dependencies vary by country and change over time. We also suggested that because co-movements shift over time, short term and middle term diversification could be more beneficial taking into account the degree of interrelations. From investors point of view, these relationships provides beneficial information, especially for portfolio diversification and risk elimination.

IS THERE A FRIDAY EFFECT IN FINANCIAL MARKETS?

2018 ◽  
Vol 11 (2) ◽  
pp. 38-59
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Commodity Markets ◽  
Market Returns ◽  
Gold Market ◽  
Average Analysis ◽  
Day Of The Week ◽  
Student’S T ◽  
Abnormal Profits ◽  
Student’S T Test

This paper tests for the presence of the Friday effect in various financial markets (stock markets, FOREX, and commodity markets) by using a number of statistical techniques (average analysis, parametric tests such as Student's t-test and ANOVA analysis, non-parametric ones such as the Kruskal-Wallis test, regression analysis with dummy variables). The evidence suggests that stock markets are immune to Friday effects, whilst in the FOREX Fridays exhibit higher volatility, and in the Gold market returns are higher on this day of the week. Using a trading robot approach we show that the latter anomaly can be exploited to make abnormal profits. 

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