scholarly journals Interdependence between GCC stock market and oil prices and portfolio management strategies under structural breaks

2015 ◽  
Vol 9 (5) ◽  
pp. 233-242
Author(s):  
Harrathi Nizar ◽  
Almohaimeed Ahmed
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Structural Breaks ◽  
Management Strategies ◽  
Oil Prices

scholarly journals Modeling Conditional Volatility of Indian Banking Sector’s Stock Market Returns

2017 ◽  
Vol 64 (3) ◽  
pp. 325-338 ◽  
Author(s):  
Amanjot Singh
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Management Strategies ◽  
Conditional Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Egarch Model ◽  
The Global Financial Crisis

Abstract The study attempts to capture conditional variance of Indian banking sector’s stock market returns across the years 2005 to 2015 by employing different GARCH based symmetric and asymmetric models. The results report existence of persistency as well as leverage effects in the banking sector return volatility. On an expected note, the global financial crisis increased conditional volatility in the Indian banking sector during the years 2007 to 2009; further evidenced from Markov regime switches. The exponential GARCH (EGARCH) model is found to be the best fit model capturing time-varying variance in the banking sector. The results support strong implications for the market participants at the time of devising portfolio management strategies.

scholarly journals Dependence on Oil Prices of Russian Stock Market

2016 ◽  
Author(s):  
Dilek Özdemir ◽  
Özge Buzdağlı ◽  
Murat Akdağ ◽  
Ömer Selçuk Emsen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Structural Breaks ◽  
Oil Prices ◽  
Real Effective Exchange Rate ◽  
Real Money ◽  
Effective Exchange ◽  
Russian Stock Market ◽  
Effective Exchange Rate

In the period after transition, economically full-liberal policy implementations applied by Russia Federation has been taken attention as cyclical movement. No variations of goods are said to be effective about the main reasons about cyclical movement in liberalization. As a kind of indicator of the Russian economy, stock market’s sensitivity to oil prices analyzed. In this context, especially change of oil prices, exchange rate and money supply effects on Russia are analyzed for the period of 1996M1-2015M12. Stationarity of the series is investigated by Lee and Strazicich (2003) unit root test with multiple structural breaks, existence of cointegration relation between series is tested by Maki (2012) method of cointegration with multiple structural break, and cointegration coefficients are predicted with Dynamic Ordinary Learst Square-DOLS method. Furthermore, causality relations between series are investigated by Hacker and Hatemi-J (2012) symmetric causality test. As a result, Russian stock market is positively affected by oil prices, real effective exchange rate and real money supply. Also causality tests showed that bidirectional causality relation found on stock market with oil prices and real effective exchange rate, and unidirectional causality from real money supply to stock market.

scholarly journals The Turkish stock market integration with oil prices: Cointegration analysis with unknown regime shifts

2013 ◽  
Vol 60 (4) ◽  
pp. 499-513 ◽  
Author(s):  
Umut Halaç ◽  
Taşkın Dilvin ◽  
Çağlı Çağlar
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Market Integration ◽  
Structural Breaks ◽  
Emerging Market ◽  
Oil Prices ◽  
Economic Factor ◽  
Cointegration Analysis ◽  
Dynamic Relationship ◽  
Long Run

Oil prices are often considered as a vital economic factor due to the dependence of the world economy on oil. The goal of this paper is to contribute to the literature on the dynamic relationship between oil prices and stock prices under the presence of possible structural breaks in an emerging market, Turkey. The empirical evidence suggests that the oil prices are important in explaining the stock market movements. Stock prices, oil prices and nominal exchange rates are found as cointegrated after taking structural breaks into account. Moreover, results of parameter stability test are consistent with our findings indicating that relationship between series is strong in the long-run. The results are important in the way that they show the global factors are also dominant on the Turkish stock market.

Die Verwendbarkeit der ZEW-Aktienindex-Prognosen für aktive Portfoliomanagement-Strategien / The Usefulness of ZEW Stock Market Forecasts for Active Portfolio Management Strategies

2004 ◽  
Vol 224 (5) ◽  
Author(s):  
Markus Spiwoks
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Management Strategies ◽  
Active Portfolio Management

ZusammenfassungEinzeltitelempfehlungen von Banken oder Fachzeitschriften treffen in den vergangenen Jahren bei der Investorenschaft immer häufiger auf Misstrauen. Zunehmende Aufmerksamkeit wird hingegen indexbasierten aktiven Portfoliomanagement-Strategien gewidmet. Trotzdem werden nur selten Prognosen zur Entwicklung von Aktienindizes veröffentlicht. Im deutschsprachigen Raum publiziert lediglich das Zentrum für Europäische Wirtschaftsforschung (ZEW) regelmäßig Prognosen zu wichtigen internationalen Aktienindizes. Im vorliegenden Aufsatz wird der Frage nachgegangen, ob diese Prognosen geeignet sind, um darauf aktive Portfoliomanagement-Strategien aufzubauen. Neben der grafischen Gegenüberstellung von Prognosedaten und tatsächlichen Marktdaten werden die einschlägigen Wendepunktfehlerquoten, der Theilsche Ungleichheitskoeffizient „neuer Art“ (U

Analyzing the efficiency of portfolio strategies based on the dividend yield concept: Evidence from the Russian stock market

2021 ◽  
Vol 14 (3) ◽  
pp. 323-346
Author(s):  
Natal'ya A. KHUTOROVA ◽  
Nikita A. NAZIN
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Foreign Currency ◽  
Management Strategies ◽  
Dividend Yield ◽  
Developed Economies ◽  
Portfolio Strategies ◽  
Portfolio Balance ◽  
Portfolio Managers ◽  
Russian Stock Market

Subject. The article focuses on the formation and management of the securities portfolio. In developed economies, various strategies are used to manage portfolios. The tendencies permeate the practice of portfolio managers and in the domestic market. Objectives. We analyze the efficiency of portfolio management strategies based on the dividend yield concept in order to find the most appropriate one for the Russian market for mid-term investment. Methods. The study is based on general methods of logic, comparative and statistical analysis, graphical and indicative comparative analysis. Results. Having tested strategies based on the dividend yield concept, we suggested using an improved mid-term strategy, which may suit many investors, including institutional ones. The article presents our suggestions on the improvement of a strategy for creating and managing a securities portfolio in the Russian stock market, which is based on the Dogs-of-the-Do principle. Conclusions and Relevance. Drawing upon the dividend yield concept, the proposed strategy ensures the average yield exceeding those of DOW 5 and DOW 10 strategies, bank deposit and investment in federal loan bonds. However, it is inferior to IMOEX and MOEXBS due to the lose of the portfolio balance once a year. Securities within the strategy make up ETF to lure more investors. The inclusion of FXUS increased the average annual yield by 2.45 percent. The addition of FXMM significantly reduces foreign currency risks. To optimize the strategy, there should be REPO with the central counterpart and CCP-cleared REPO, which raises its yield through arbitrage transactions.

scholarly journals An Empirical Analysis of the Relationship between Oil Prices and Stock Markets

2016 ◽  
Vol 8 (12) ◽  
pp. 120 ◽  
Author(s):  
S. N. Markoulis ◽  
N. Neofytou
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Stock Markets ◽  
Oil Prices ◽  
Stock Market Index ◽  
Stock Market Returns ◽  
Bric Countries ◽  
Market Index ◽  
Long Run ◽  
The Relationship

This paper investigates the relationship between oil prices and stock market returns for the G7 and the BRIC countries for the period 1991-2016 using cointegration and a vector error correction model. Results reveal that there is no long-run relationship between oil prices and the stock market indices of the G7 countries. However, they also reveal that there is a long-run relationship between oil prices and the stock market indices of three out of the four BRIC countries (Brazil, China and Russia). This result appears to be broadly aligned with the idea that over the past quarter of a century emerging countries have been more exposed to oil prices (either as producers or consumers) than developed ones. Furthermore, from an investments’ and international portfolio management perspective, it seems that there might be benefits from diversification when holding the stock market index of a G7 country or India and oil assets since these appear to be segmented. On the other hand, such benefits might not be applicable in the case of the stock markets of Brazil, China or Russia and oil assets as these seem to be integrated.

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