Volatility of Stock Returns

One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf Co-operation Council, namely, Kuwait, Bahrain, Qatar, Oman, Saudi Arabia, and the United Arab Emirates for the period between January 2009 and December 2020. The national holidays that are considered for the study are New Year’s Day, Mawlid al-Nabi (Prophet birthday), Eid-Al-Isra Wal Miraj, Eid-Al-Fitr, National Day, Hegire Day (Islamic New Year), and Christmas Day. The study employs descriptive statistics and the non-parametric Mann–Whitney U test. The findings of the study disclosed the significant pre-holiday mean returns for ADSMI, BHSEASI, DFMGI, MSM30, TASI and FTDKUW, whereas significant post-holiday mean returns were found only in MSM30 and TASI. The study provided evidence for the presence...

This study explored the impact of financial deepening on manufacturing sector in Nigeria using time series data covering 1990 to 2023. Manufacturing sector performance is expressed by growth in manufacturing with financial access, financial depth and financial efficiency serving as indices of financial deepening. The study adopted the ex-post facto research design because of its unique attribute of being able to deals with outcome of events that have already occurred. The data analysis  was done using the  auto regressive distributed lag technique..The findings shown  that financial access and financial depth have positive and significant impact on growth in the manufacturing sector, while financial efficiency was negative and significant to growth in the sector. The study concludes that financial deepening contributed to growth of the manufacturing sector within the period reviewed. It therefore recommends that monetary authorities especially the CBN should implement policies that promote and increase financial depth in the society. Financial institutions such as commercial banks and micro finance banks should be encouraged to increase lending to both SMEs and manufacturing firms in order to boost productivity in the Nigerian economy.

The objective of this research is to measure and examine volatilities between important emerging and developed stock markets and to ascertain a relationship between volatilities and stock returns. This research paper also analyses the Mean reversion phenomenon in emerging and developed stock markets. For this purpose, seven emerging markets and five developed markets were considered. Descriptive statistics showed that the emerging markets have higher returns with the higher risk-return trade-off. In contrast, developed markets have low annual returns with a low risk-return trade-off. Correlation analysis indicated the significant positive correlation among the developed markets, but emerging and developed markets have shown relatively insignificant correlation. Results of ARCH and GARCH revealed that the value of likelihood statistics ratio is large, that entails the GARCH (1,1) model is a lucrative depiction of daily return pattern, that effectively and efficiently capturing the or...

The study examined the effect of macroeconomic variables on stock market performance in Nigeria. The proxies for the independent variable (macroeconomic variables) were broad money supply, allshare index, financial deepening and interest rate. On the other hand, the proxy for the dependent variable (stock market performance) was total market capitalisation. The study adopted ex-post facto research design. The source of data was time series secondary data collected from the Central Bank of Nigeria (CBN) Statistical Bulletin from 1990-2022. The study has thirty-two (33) observations. The method of data analysis employed in this study includes descriptive statistics and correlation analysis and unit root test. Auto-regressive distributed lag model (ARDL) technique was used to evaluate the relationship between macroeconomic variables on stock market performance. The findings of the study revealed that the lag broad money supply has significant effect on total market capitalization of the stock market. Also, all share index has significant effect on total market capitalization of the stock market. Furthermore, the lagged financial deepening has significant effect on total market capitalization of the stock market; and interest rate has not significant effect on total market capitalization of the stock market. The study recommended that policymakers should closely monitor and manage fluctuations in the money supply to ensure stability and growth in the Nigerian Exchange. Diversification strategies across sectors can help mitigate risks and capitalize on opportunities presented by fluctuations in the Nigerian Exchange. Also, policymakers and financial institutions should prioritize initiatives aimed at deepening the financial sector. Policymakers should carefully consider the potential implications of interest rate changes on investor confidence and market liquidity.

The current study investigates how the recent war between Ukraine and Russia impacted the volatility of G7 economies of the stock markets in major industrialized countries like United States (US), the United Kingdom (UK), Canada, Japan, France, Germany, and Italy. The paper applies EGRACH model to detect the influence of the war on stock markets volatility. EGRACH estimations revealed that there is a direct impact of the information content of the war on the volatility of the majority of the countries under study. More specifically, four countries are negatively influenced by the war, Canada, France, Germany and UK. While three countries are not affected by the news which are Japan, USA and Italy. Granger causality reveals that there is a unidirectional relationship between war news and stock indices of three economies which are Germany, France and Italy. However, other indices did not show any unidirectional relationship (Japan, USA, UK and Canada). To find out if there is a long-term association between indices and the information content of the war, co-integration test was employed. The results showed the long-term association between the two variables.

This paper uses qualitative data analysis to examine the impact of global factors on the performance of Asian stock market returns and performance of Asian business enterprises. This study investigates the interaction between international trade and regional economic outcomes using a variety of theoretical frameworks and empirical studies. A review of the research literature on the role of international trade and financial integration in shaping the risk profile of Asian businesses. It also analyses various global factors such as financial crises, trade tensions and geopolitical risks, explaining their transmission mechanisms and their impact on market volatility, returns and replicating the character of investors. By combining existing knowledge and identifying gaps in the literature, this paper contributes to a deeper understanding of the linkages between global and regional economies, provides insights for future research, and informs investors, policymakers, and business stakeholders about the true impact.

Abstract:
The study aimed to measure production efficiency in cement factories in the Kingdom of Saudi Arabia using the Data Envelopment Analysis (DEA) method over an extended time period from January 1, 2022, to December 31, 2022. The model was constructed based on net profit as the output, while fixed assets and liabilities associated with assets were represented as inputs, in order to test their impact on the production efficiency of the cement industry in Saudi Arabia.The study results revealed the presence of efficient factories that could serve as benchmarks for the inefficient factories identified in the study. Furthermore, areas for improvement were identified in alignment with available resources, technical needs, and economic considerations.
Keywords: Productivity, efficiency, data envelopment, cement industry.

This study employs the recent and powerful measure of large foreign ownership suggested by Li, Nguyen, Pham, and Wei (2010) to investigate the impact of foreign investors on stock return volatility of companies listed on the Stock Exchange of Thailand. Our results show the stabilizing role of foreign investors in the market, presenting a significant and negative relationship between foreign investment and stock market volatility. The evidence is consistent across industries. This effect is most evident among foreign investors with a controlling stake, and who are non-financial entities. In general, our results confirm previous findings on the role of foreign investment on stock market volatility in developed and developing countries.

The objective of this research is to measure and examine volatilities between important emerging and developed stock markets and to ascertain a relationship between volatilities and stock returns. This research paper also analyses the Mean reversion phenomenon in emerging and developed stock markets. For this purpose, seven emerging markets and five developed markets were considered. Descriptive statistics showed that the emerging markets have higher returns with the higher risk-return trade-off. In contrast, developed markets have low annual returns with a low risk-return trade-off. Correlation analysis indicated the significant positive correlation among the developed markets, but emerging and developed markets have shown relatively insignificant correlation. Results of ARCH and GARCH revealed that the value of likelihood statistics ratio is large, that entails the GARCH (1,1) model is a lucrative depiction of daily return pattern, that effectively and efficiently capturing the or...

The objective of this research is to examine and compare the mean reversion phenomenon in developed and emerging stock markets. An important aim is to measure and compare the speed of mean reversion and half-life of volatility shocks of emerging and developed markets. For this purpose, we have selected five developed and seven emerging markets, and used daily market indices for the period of 1 January 2000 to 30 June 2016. We employed autoregressive conditional heteroskedasticity-Lagrange multiplier (A.R.C.H.-L.M.), generalised autoregressive conditional heteroskedasticity (G.A.R.C.H.) (1, 1), and half-life volatility shock techniques to carry out this research. The results of the study confirmed the mean-reverting process in developed and emerging markets. The South Korean market has the slowest mean reversion, and thus has the highest comparative volatility over a longer period of time. However, the Pakistan stock exchange exhibited the fastest mean reverting process. It is also concluded that the relative volatilities are higher in emerging markets, whereas the comparative volatilities are higher in developed markets. Therefore, it is further concluded that the mean reversion process is much faster in emerging indices except the South Korean and Chinese markets. The study recommends that if investors want higher returns in a shorter period of time then they should invest in emerging markets.

Hinging on the recently established relevance of tail thickness information, we examine the predictability of fifteen major stocks in the Asia-Pacific region using conditional autoregressive value at risk (CAViaR) model estimates of tail risks. We used a Westerlund and Narayan–type distributed lag model to examine the nexus between returns and tail risk under controlled global and US stocks spillover effects. Country-specific tail risks induce a near-term rise (completely disappears) in returns on “bad” (“good”) days. Our results are robust.

The widely perceived and primarily important achievement in a company's life cycle is the Initial public offering otherwise known as IPO. This landmark achievement sanctions a company to gain entry to financial markets for supplemental capital compulsory to fund future magnification; while concurrently providing a venue for disposal of shares by investors. The study aimed at investigating the documented association of initial public offer pricing and stock returns. Empirical evidence suggests that IPOs have adverse eccentric returns over holding duration after the IPO issue date. From the empirical findings, it was noted that at the initial stage of trading, the pricing of Initial public offers at their fundamental value is unlikely to happen but ultimately the real value is mirrored in the IPOs pricing. The empirical review on the topic concludes that even though the assessment of the IPO is an important subject, only constricted extant research has addressed it. Findings revealed that within the context of developing countries with a number of theories being advanced to echo that IPO underpricing is an equilibrium phenomenon in an efficient capital market. Currently there is scarce literature proof to hypothesize to IPO pricing resolution is the central clarifying reason for long-run performance of stock returns. The present empirical studies on the link between IPO pricing and stock returns still present conflicting results, hence calls for more studies to be conducted on the topic in order to bring harmony to the work. Furthermore, most of the studies conducted on the topic have been on a global perspective and few empirical works exist in the developing economies. This is despite the importance of the topic to these economies. The paper recommends that as future scholars try to establish the effect of IPO pricing on stock returns, there should be an inclusion of an intervening variable as well as moderating variable. Further, there is a recommendation that apart from the intervening variables of firm characteristics reviewed in this paper, other variables could be used so as to compare the results. Furthermore, other moderating variables not reviewed in this paper can also be used.

We examined volatility spillover effects from five prominent global stock markets to India’s stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital markets. The structural breakpoint was identified as 23 March 2020, as per the breakpoint unit root test, to examine and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period’s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan, and Germany) to the Indian stock market, and that spillover continues in the post-COVID period. There is a positive significant return and volatility spillover from the US market to the Indian stock market in the post-COVID-19 period. The results of our study wi...

1,2 Lecturers, Department Of Economics, School Of Management and Information Technology, Modibbo Adama University of Technology, Yola,Adamawa State, Nigeria. 3 Lecturer Department Of Accountancy, School Of Management and Information Technology, Modibbo Adama University of Technology, Yola,Adamawa State, Nigeria. 4 Department Of Management Technology School Of Management and Information Technology, Modibbo Adama University of Technology, Yola,Adamawa State, Nigeria. Corresponding Author Email: [email protected]

The stock market is the main channel of financial integration for emerging economies like India. Globalization, deregulation of the market, capital account convertibility, and information and technology are the key factors contributing to the integration of the world markets. However, linkages of the financial markets are associated with risk and volatility. The ripple effects of volatility in one market can be seen in the stock markets of other countries. The ability of the country to absorb external shock depends upon the financial integration of the economy. The purpose of the paper is to analyze the degree of financial integration by estimating the volatility interdependence of stock indices of countries like India, China, USA, Germany, Japan, and UK. Time-varying correlation and volatilities among the stock market are studied using Dynamic Conditional Covariance (DCC)-Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) model and Baba , Engle, Kraft, Kroner BEKK model while the flow of information is determined through Granger Causality test. The study analyzes daily returns of SENSEX, Shanghai Stock Exchange, Dow Jones, NIKKEI, DAX and Financial Times Stock Exchange (FTSE) from 2008-2020. The study documents that the unconditional volatility is maximum in China, followed by Japan, Germany, India, USA, and UK. The financial integration of the Indian market is highest with China, followed by the USA. The policymakers can use the research findings in developing the lead-lag relation of the Indian stock market with the rest of the world. It will enable the investor to diversify their international portfolio by investing in the markets which are not correlated.

The stock market is the main channel of financial integration for emerging economies like India. Globalization, deregulation of the market, capital account convertibility, and information and technology are the key factors contributing to the integration of the world markets. However, linkages of the financial markets are associated with risk and volatility. The ripple effects of volatility in one market can be seen in the stock markets of other countries. The ability of the country to absorb external shock depends upon the financial integration of the economy. The purpose of the paper is to analyze the degree of financial integration by estimating the volatility interdependence of stock indices of countries like India, China, USA, Germany, Japan, and UK. Time-varying correlation and volatilities among the stock market are studied using Dynamic Conditional Covariance (DCC)-Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) model and Baba , Engle, Kraft, Kroner BEKK model while the flow of information is determined through Granger Causality test. The study analyzes daily returns of SENSEX, Shanghai Stock Exchange, Dow Jones, NIKKEI, DAX and Financial Times Stock Exchange (FTSE) from 2008-2020. The study documents that the unconditional volatility is maximum in China, followed by Japan, Germany, India, USA, and UK. The financial integration of the Indian market is highest with China, followed by the USA. The policymakers can use the research findings in developing the lead-lag relation of the Indian stock market with the rest of the world. It will enable the investor to diversify their international portfolio by investing in the markets which are not correlated.

The stock market is the main channel of financial integration for emerging economies like India. Globalization, deregulation of the market, capital account convertibility, and information and technology are the key factors contributing to the integration of the world markets. However, linkages of the financial markets are associated with risk and volatility. The ripple effects of volatility in one market can be seen in the stock markets of other countries. The ability of the country to absorb external shock depends upon the financial integration of the economy. The purpose of the paper is to analyze the degree of financial integration by estimating the volatility interdependence of stock indices of countries like India, China, USA, Germany, Japan, and UK. Time-varying correlation and volatilities among the stock market are studied using Dynamic Conditional Covariance (DCC)-Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) model and Baba , Engle, Kraft, Kroner BEKK model while the flow of information is determined through Granger Causality test. The study analyzes daily returns of SENSEX, Shanghai Stock Exchange, Dow Jones, NIKKEI, DAX and Financial Times Stock Exchange (FTSE) from 2008-2020. The study documents that the unconditional volatility is maximum in China, followed by Japan, Germany, India, USA, and UK. The financial integration of the Indian market is highest with China, followed by the USA. The policymakers can use the research findings in developing the lead-lag relation of the Indian stock market with the rest of the world. It will enable the investor to diversify their international portfolio by investing in the markets which are not correlated.

The stock market is the main channel of financial integration for emerging economies like India. Globalization, deregulation of the market, capital account convertibility, and information and technology are the key factors contributing to the integration of the world markets. However, linkages of the financial markets are associated with risk and volatility. The ripple effects of volatility in one market can be seen in the stock markets of other countries. The ability of the country to absorb external shock depends upon the financial integration of the economy. The purpose of the paper is to analyze the degree of financial integration by estimating the volatility interdependence of stock indices of countries like India, China, USA, Germany, Japan, and UK. Time-varying correlation and volatilities among the stock market are studied using Dynamic Conditional Covariance (DCC)-Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) model and Baba , Engle, Kraft, Kroner BEKK model while the flow of information is determined through Granger Causality test. The study analyzes daily returns of SENSEX, Shanghai Stock Exchange, Dow Jones, NIKKEI, DAX and Financial Times Stock Exchange (FTSE) from 2008-2020. The study documents that the unconditional volatility is maximum in China, followed by Japan, Germany, India, USA, and UK. The financial integration of the Indian market is highest with China, followed by the USA. The policymakers can use the research findings in developing the lead-lag relation of the Indian stock market with the rest of the world. It will enable the investor to diversify their international portfolio by investing in the markets which are not correlated.

This paper examines the mean return and volatility spillover effects from the three influential stock markets of the US, Japan, and China to the two emerging stock markets of Indonesia and Malaysia over the sample period from 2005 to 2007. By analyzing GARCH models, we verify that there are significant mean spillover effects from the three major markets to the two emerging markets. The magnitude of the mean spillover from the US market is the most significant compared to the Japanese and Chinese markets. This would be consistent with the conventional wisdom in which the US market is believed to be the most influential market in the world. In terms of the volatility spillover, the empirical results reveal that the US market is more influential to Indonesia, but less to Malaysia, and recently growing Chinese market has a significant influence to both of the two emerging markets.

The objective of this research is to examine and compare the mean reversion phenomenon in developed and emerging stock markets. An important aim is to measure and compare the speed of mean reversion and half-life of volatility shocks of emerging and developed markets. For this purpose, we have selected five developed and seven emerging markets, and used daily market indices for the period of 1 January 2000 to 30 June 2016. We employed autoregressive conditional heteroskedasticity-Lagrange multiplier (A.R.C.H.-L.M.), generalised autoregressive conditional heteroskedasticity (G.A.R.C.H.) (1, 1), and half-life volatility shock techniques to carry out this research. The results of the study confirmed the mean-reverting process in developed and emerging markets. The South Korean market has the slowest mean reversion, and thus has the highest comparative volatility over a longer period of time. However, the Pakistan stock exchange exhibited the fastest mean reverting process. It is also concluded that the relative volatilities are higher in emerging markets, whereas the comparative volatilities are higher in developed markets. Therefore, it is further concluded that the mean reversion process is much faster in emerging indices except the South Korean and Chinese markets. The study recommends that if investors want higher returns in a shorter period of time then they should invest in emerging markets.

In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-varying parameter. The model captures the stochastic exponential tail, which generates the volatility smile effect and volatility term structure in option pricing. Moreover, the model describes the time-varying volatility of volatility. We empirically show the stochastic skewness and stochastic kurtosis by applying the model to analyze S\&P 500 index return data. We present the Monte-Carlo simulation technique for the parameter calibration of the model for the S\&P 500 option prices. We can see that the stochastic exponential tail makes the model better to analyze the market option prices by the calibration.

The International Financial Reporting Standards (IFRS) initiated by International Accounting Standard Board are principle-based standard that require extensive disclosure of financial statements and accounting information as compared to prior standard that is the generally accepted accounting principles to better reflect the overall quality of company's performance. Therefore, the IFRS convergence is expected to improve the reliability of financial reporting by limiting opportunistic managerial discretion. The conjecture is the mandatory adoption of IFRS will reduce the managerial discretionary behaviors to engage in earnings management practices, thus improving earnings quality and value relevance of accounting quality information. High quality of accounting information in terms of earnings quality and value relevance can stimulate investors' behavior in the stock market exchange. This study utilises a sample of 110 manufacturing sector companies for the years 2009-2014, to...

This study sought to analyze the nature of the causal relationship that prevails in the two largest economies in Sub-Saharan Africa-Nigeria and South Africa between 1996 and 2020. The study follows the recommendations of the World Bank Global Financial Development index, to measure financial development from its four dimensions, by institutions and markets. These include depth (money supply and stock market capitalization), access (bank branches and value of stocks outside top ten), efficiency (interest rate spread and stock turnover), and stability (capital to asset ratio and stock price volatility). These served as the explanatory variables. The explained variable is gross domestic product growth rate as a measure of economic growth. The Granger causality test is employed for analysis. The results reveal that only in South Africa did a unidirectional causal relationship exist, flowing from economic growth to financial stability (stock price volatility). In the case of Nigeria, no causal relationship was found. The study concluded that demand-following financial development was what prevailed in South Africa, while the Independent stage hypothesis holds in Nigeria. The study recommended that more financial instruments and products such as mobile banking schemes be created and made available to help mop more cash in circulation into the formal financial system. Also, growth board schemes initiated to encourage the listing of companies with high growth potential on the exchange must be enhanced.

The objective of this research is to measure and examine volatilities between important emerging and developed stock markets and to ascertain a relationship between volatilities and stock returns. This research paper also analyses the Mean reversion phenomenon in emerging and developed stock markets. For this purpose, seven emerging markets and five developed markets were considered. Descriptive statistics showed that the emerging markets have higher returns with the higher risk-return trade-off. In contrast, developed markets have low annual returns with a low risk-return trade-off. Correlation analysis indicated the significant positive correlation among the developed markets, but emerging and developed markets have shown relatively insignificant correlation. Results of ARCH and GARCH revealed that the value of likelihood statistics ratio is large, that entails the GARCH (1,1) model is a lucrative depiction of daily return pattern, that effectively and efficiently capturing the orderly reliance of volatility. The findings of the study showed that the estimate 'β' coefficients given in conditional variance equation are significantly higher than the 'α' , this state of affair entails that bigger market surprises tempt comparatively small revision in future volatility. Lastly, the diligence of the conditional variance estimated by α + β is significant and proximate to integrated GARCH (1,1) model, thus, this indicates, the existing evidence is also pertinent in order to forecast the future volatility. The results signified that the sum of GARCH (1,1) coefficients for all the equity returns' is less than 1 that is an important condition for mean reversion, as the sum gets closer to 1, hence the Mean reversion process gets slower for all the emerging and developed stock markets.

With a view to explaining various seemingly-contrasting results often reported in financial linkages literature, the study investigates the possibility of the existence of more than one unique relationship among stock, oil and currency markets. It also quantified the impact of selected macroeconomic variables on these relationships. Three prominent markets of stock, oil and exchange rates were examined from the United States, United Kingdom and Nigeria. The model adopted was the canonical correlation specification. Canonical solution identified two significant unique association patterns each among US, UK and Nigerian markets, indicating that their linkages vary with time. We also observed that the effect of macroeconomic variables on the link among financial markets vary by country and data frequency. Overall, inflation rates played the most significant role in the linkages among financial markets. The study concluded that the previous results on interdependence among financial mar...

The present study demonstrates modelling of conditional volatility of NIFTY 50 using GARCH (1,1) model. The daily returns data of the Indian stock market index NIFTY 50 is used for the period ranging from April 2010-March 2020. The data has been subjected to analysis using R software. The study estimates and interprets the results arrived in the summary output of the R environment and demonstrates how to forecast the volatility of the returns based on the estimated parameters. Extracting the time series of conditional volatilities is also demonstrated in the study.

This paper features an analysis of volatility spillover eects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These markets are represented by the following major indices: The Shanghai composite and the Hangseng. (in the case of China, as both China and Hong Kong appear in Australian trade statistics), the S&P500 index, the Nikkei225 and the Kospi index. We apply the Diebold and Yilmaz (2009) Spillover Index, constructed in a VAR framework, to assess spillovers across these markets in returns and in volatilities. The analysis conrms that the US and Hong Kong markets have the greatest inuence on the Australian one. We then move to a GARCH framework to apply further analysis and apply a tri-variate Cholesky-GARCH model to explore the eects from the US and Chinese market, as represented by the Hang Seng Index.

This study investigated the macroeconomic determinants of stock market performance in Nigeria between 1985 and 2018. The source of the data for the study were from World Bank Development Indicator, 2020 edition and Central Bank of Nigeria statistical bulletin. The study employed ARDL co-integration approach as estimation technique. Findings from the study showed that inflation rate, real interest rate, real effective exchange rate and world oil price were the major determinants of Nigeria stock market performance during the study period. Based on these findings, the study therefore concludes that both endogeneous and exogeneous macroeconomic variables determine Nigeria stock market performance. Hence, the activities in the global oil market should be monitored in formulating policies to enhance stock market performance in Nigeria.

Capital market integration is basically a concept explaining that all capital markets are related each other. Due to the fact, if one market experiences a shock, it will easily transferred to other capital markets. This phenomenon is sometimes called as contagion effect. Contagion effect theories try to answer the question of whether the shock in a capital market will be transferred onto other capital markets. The logic behind the contagion theories is simple. The effect from a market to others will happen if there are connections among them. The connection shows a special relation among them, and by some specific relation the effect will be transmitted. The connection will act as the channel of transmission. Many studies 1-5 have discussed channels where contagion effect usually takes place.

This study aimed at comparing the variance structure of high (daily) and low (weekly, monthly) frequencies of data. By employing ARCH (1) and GARCH (1, 1) models, the study found that the intensity of the shocks was not equal for all the series. The study found that statistical properties of the three data series of returns were substantially different from one another and the persistence of conditional volatility was also different for the three series. The presence of persistency was more in the daily stock returns as compared to other data sets, which showed that the volatility models were sensitive to the frequencies of data series. In simple, the results revealed that the variance structure of high-frequency data were dissimilar from the low frequencies of data, and variance structure in the daily data were more linked with the stylized facts associated with stock returns volatility as compared to other data series.

The study uses wavelet power spectrum and wavelet coherence transformation methodologies to examine how geopolitical risk affected the returns on stocks, oil, and gold during the GFC, COVID-19, and Russia-Ukraine war-three disruptive events that affected the world’s financial markets. For better diversification benefits during the turbulent times, we further investigate the degree of co movement in frequency and time domains. We observe that GPR has high variations during Russia-Ukraine war period compared to COVID-19 period and is shown to have least variation during the GFC period. WTI crude oil and DJGI indexes are observed to have high variations during GFC, and COVID-19 periods followed by Russia-Ukraine war. We further observe that GOLD offers better diversification opportunity as well as leading movement against WTI and DJGI during disruptive events in financial markets. The results provide new understanding of how geopolitical
risk affects financial assets for international investors, fund managers, and
regulators, which would further aid to find risky and safer haven possibilities during the turmoil periods.

This study investigated the macroeconomic determinants of stock market performance in Nigeria between 1985 and 2018. The source of the data for the study were from World Bank Development Indicator, 2020 edition and Central Bank of Nigeria statistical bulletin. The study employed ARDL co-integration approach as estimation technique. Findings from the study showed that inflation rate, real interest rate, real effective exchange rate and world oil price were the major determinants of Nigeria stock market performance during the study period. Based on these findings, the study therefore concludes that both endogeneous and exogeneous macroeconomic variables determine Nigeria stock market performance. Hence, the activities in the global oil market should be monitored in formulating policies to enhance stock market performance in Nigeria.

One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf Co-operation Council, namely, Kuwait, Bahrain, Qatar, Oman, Saudi Arabia, and the United Arab Emirates for the period between January 2009 and December 2020. The national holidays that are considered for the study are New Year’s Day, Mawlid al-Nabi (Prophet birthday), Eid-Al-Isra Wal Miraj, Eid-Al-Fitr, National Day, Hegire Day (Islamic New Year), and Christmas Day. The study employs descriptive statistics and the non-parametric Mann–Whitney U test. The findings of the study disclosed the significant pre-holiday mean returns for ADSMI, BHSEASI, DFMGI, MSM30, TASI and FTDKUW, whereas significant post-holiday mean returns were found only in MSM30 and TASI. The study provided evidence for the presence...

The objective of this research is to measure and examine volatilities between important emerging and developed stock markets and to ascertain a relationship between volatilities and stock returns. This research paper also analyses the Mean reversion phenomenon in emerging and developed stock markets. For this purpose, seven emerging markets and five developed markets were considered. Descriptive statistics showed that the emerging markets have higher returns with the higher risk-return trade-off. In contrast, developed markets have low annual returns with a low risk-return trade-off. Correlation analysis indicated the significant positive correlation among the developed markets, but emerging and developed markets have shown relatively insignificant correlation. Results of ARCH and GARCH revealed that the value of likelihood statistics ratio is large, that entails the GARCH (1,1) model is a lucrative depiction of daily return pattern, that effectively and efficiently capturing the or...

Traditional finance explains all human activity on the ground of rationality and suggests all decisions are rational because all current information is reflected in the prices of goods. Unfortunately, the development of information technology and a growth of demand for new, attractive possibilities of investment caused the process of searching new, unique signals supporting investment decisions. Such a situation is similar to risk-taking, so it must elicit the emotional reactions of individual traders.The paper aims to verify the question that the market risk may be the determinant of traders’ emotions, and if volatility is a useful tool during the investment process as the measure of traders’ optimism, similarly to Majewski’s work (2019). Likewise, various econometric types of models of estimation of the risk parameter were used in the research: classical linear using OLS, general linear using FGLS, and GARCH(p, q) models using maximum likelihood method. Hypotheses were verified us...

The stock market is the main channel of financial integration for emerging economies like India. Globalization, deregulation of the market, capital account convertibility, and information and technology are the key factors contributing to the integration of the world markets. However, linkages of the financial markets are associated with risk and volatility. The ripple effects of volatility in one market can be seen in the stock markets of other countries. The ability of the country to absorb external shock depends upon the financial integration of the economy. The purpose of the paper is to analyze the degree of financial integration by estimating the volatility interdependence of stock indices of countries like India, China, USA, Germany, Japan, and UK. Time-varying correlation and volatilities among the stock market are studied using Dynamic Conditional Covariance (DCC)-Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) model and Baba , Engle, Kraft, Kroner BEKK model while the flow of information is determined through Granger Causality test. The study analyzes daily returns of SENSEX, Shanghai Stock Exchange, Dow Jones, NIKKEI, DAX and Financial Times Stock Exchange (FTSE) from 2008-2020. The study documents that the unconditional volatility is maximum in China, followed by Japan, Germany, India, USA, and UK. The financial integration of the Indian market is highest with China, followed by the USA. The policymakers can use the research findings in developing the lead-lag relation of the Indian stock market with the rest of the world. It will enable the investor to diversify their international portfolio by investing in the markets which are not correlated.

One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf Co-operation Council, namely, Kuwait, Bahrain, Qatar, Oman, Saudi Arabia, and the United Arab Emirates for the period between January 2009 and December 2020. The national holidays that are considered for the study are New Year’s Day, Mawlid al-Nabi (Prophet birthday), Eid-Al-Isra Wal Miraj, Eid-Al-Fitr, National Day, Hegire Day (Islamic New Year), and Christmas Day. The study employs descriptive statistics and the non-parametric Mann–Whitney U test. The findings of the study disclosed the significant pre-holiday mean returns for ADSMI, BHSEASI, DFMGI, MSM30, TASI and FTDKUW, whereas significant post-holiday mean returns were found only in MSM30 and TASI. The study provided evidence for the presence...

This paper examines the contemporaneous and dynamic relationships among trading volumes, stock returns and return volatility for three emerging markets in Southeast Asia, which are Malaysia, Indonesia and Singapore. Tests on both intra- and intermarket relationships between the variables are conducted to determine whether they are interrelated within the same market and across the markets. The paper also applies GARCH technique to model the volatility of returns for the three stock markets of concern. The study finds strong evidence of asymmetry in the relationship between the stock returns and trading volume; whereby returns are significant in predicting their future dynamics, as well as, the trading volume. However, trading volume has a very limited power on the future dynamics of stock returns. The study also finds bidirectional causality between trading volume and volatility of returns in Malaysia and Singapore. In particular, Singapore market can be perceived as the focal stock...

One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf Co-operation Council, namely, Kuwait, Bahrain, Qatar, Oman, Saudi Arabia, and the United Arab Emirates for the period between January 2009 and December 2020. The national holidays that are considered for the study are New Year’s Day, Mawlid al-Nabi (Prophet birthday), Eid-Al-Isra Wal Miraj, Eid-Al-Fitr, National Day, Hegire Day (Islamic New Year), and Christmas Day. The study employs descriptive statistics and the non-parametric Mann–Whitney U test. The findings of the study disclosed the significant pre-holiday mean returns for ADSMI, BHSEASI, DFMGI, MSM30, TASI and FTDKUW, whereas significant post-holiday mean returns were found only in MSM30 and TASI. The study provided evidence for the presence...

The purpose of this research is to models daily returns with conditional heterocedasticity to investigate the volatility of returns by using mean process model of AR(1) and comparing two conditional variance model EGARCH and GARCH (1,1) of Indonesia and Malaysia stock index market. The result of the research are EGARCH are a better predictor for return volatility of Indonesia and Malaysia.

Value at Risk merupakan suatu alat yang dipakai untuk mengukur risiko investasi. Value at Risk menjelaskan besarnya kerugian terburuk yang terjadi pada investasi dalam produk finansial dengan tingkat kepercayaan tertentu dan dalam interval waktu tertentu. Beberapa metode telah dikembangkan untuk menaksir Value at Risk, seperti simulasi data historis, simulasi Monte Carlo, GARCH(1,1), EWMA, dan lain-lain. Namun, metode-metode tersebut masih dianggap tidak dapat menjelaskan struktur keterkaitan masing-masing variabel random yang membentuk portofolio tersebut. Dengan menggunakan fungsi copula, keterkaitan masing-masing saham dalam distribusi gabungannya dapat dimodelkan sehingga prilaku distribusi marginalnya dapat diamati dengan lebih detail. Pada makalah ini t-copula digunakan untuk memodelkan struktur kebergantungan (dependence) pada distribusi gabungan tingkat pengembalian portofolio. Fungsi t-copula adalah bentuk umum dari fungsi distribusi multivariat t-student, dimana t-copula d...

One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf

The growing influence of technology in business activities is driving many firms to devote a greater amount of resources to research and development. It is therefore crucial to understand how the stock market evaluates the benefits of R&D. In this paper, our aim is to investigate whether Japanese investors have rewarded firms that heavily invest in R&D. We first document that R&D expenses have remained fairly stable relative to sales in the past eight years, but with large variations within and between industries. We then show that R&Dfirms have achieved a higher return relative to non-R&D firms. However, our regressions and investment simulations indicate that the relation between R&D intensity and stock returns is not significant, suggesting that the Japanese stock market is semi-strong efficient.

The wider scope of the economy in most cases subjects every movement of economic activities to follow its direction and dictates. In such case, the operation of the macroeconomic factors cobwebs the independence of other economic properties to their tides. We examine in sequence, the first-day, monthly and yearly initial returns volatility of IPOs of the Nigerian stock Exchange (NSE) and the Colombo Stock Exchange (CSE) with sample of 166 and 144IPO stocks, respectively, in the light of shocks exerted by economic-wide/firm-specific variables. IPOs initial returns is conveyed as a function of the selected variables and used to observe the relationship and influence of the macroeconomic/firm-specific factors and further determination of the volatility and shocks via the GARCH and VAR models. The result is robust such that macroeconomic/firm-specific variables primarily exert shocks and generate volatile IPO returns in first-day, monthly and yearly trades. In that sense, we find that i...

The purpose of this paper is to study the volatility comparison and volatility spillover effects in India and major global indices. The analysis used a vector autoregression model with various GARCH models in order to measure conditional volatility (GARCH), asymmetric effect in the conditional volatility (T-GARCH), volatility persistence in conditional volatility (E-GARCH), impact of conditional volatility on conditional returns (M-GARCH), and volatility spillover (GARCH (1, 1) with exogenous variable) for the period 2005 to 2018. The major results regarding volatility spillover posit that the Indian stock market had a strong impact on selected global indices. Volatility spillover was found to be in existence from the Indian stock market to the global indices, and vice-versa. These findings have substantial inferences and repercussions for portfolio managers, analysts, and investors for investment assessments and decisions regarding asset allocations. Higher volatility will lead to higher level of fretfulness among market participants and investors, which will push them to be more risk-averse. The results of the study also have pertinent effects for policy makers with respect to the Indian stock market and the global countries. This paper would support the existing literature by studying how the Indian index has an impact on global indices like the USA, Brazil, Japan, Russia, China, Hong Kong, South Korea, France, Germany, the United Kingdom, and Eurozone. The author considers that these results would magnify the volatility comparisons and volatility spillovers between the Indian index and global indices.

The purpose of this paper is to investigate the efficiency of the Egyptian stock market. The paper is concerned with the weak form test of the efficient market hypothesis. If the evidence fails to pass the weak form test, there is no reason to examine strong forms before declaring the market inefficient on such evidence. In order to capture the institutional features of such a growing market (i.e., thin trading, low liquidity, and possibly less informed investors), a non-linear GARCH model is estimated. In addition, by investigating efficiency on a yearly basis we are able to examine impact of the market maturing and regulatory changes on the trading behavior and efficiency of that market. The results show that up to 1996 the market was inefficient, but the inefficiency manifested itself through non-linear behavior However, the results show that in 1997 the market is not characterized by predictability and is therefore informationally efficient.

Given the desirability of efficient capital markets in aiding optimal resource mobilization and allocation in the financial system, this paper is an attempt to investigate the efficiency level of the Nigerian Stock Exchange (NSE) across different data estimation intervals with reference to the weak-form variant of the Efficient Market Hypothesis (EMH). The paper employed daily, weekly, monthly and quarterly aggregate stock price data using the NSE All Share Index series from 4 January, 1999 to 31 December, 2013 to test for the weak-form efficiency of the NSE using a combination of seven (7) statistical and parametric tools namelyAutocorrelation tests, the ADF and P-P unit root tests, Variance Ratio tests, the Normality/Random Walk tests, the Granger Causality test, the ARCH-GARCH test and Regression rest. The empirical results of the investigation indicate that on balance the NSE is weak-form inefficient when daily, weekly, monthly and quarterly prices are examined irrespective of t...