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Detecting and analysing possible outliers in global stock market returns

Shehadeh, Ali; Alwadi, Sadam M.; Almaharmeh, Mohammad I. - In: Cogent economics & finance 10 (2022) 1, pp. 1-14

sampled from around the world. The main objective of the paper is to provide an extensive analysis of the main characteristics …

Persistent link: https://www.econbiz.de/10013460047

Determination of the world stock indices' co-movements by association rule mining

Kartal, Burcu; Sert, Mehmet Fatih; Kutlu, Melih - In: Journal of economics, finance & administrative science 27 (2022) 54, pp. 231-246

prices between 2001 and 2019 have been created for 11 stock market indexes in the world. The association rule algorithm, one … of the stock market indexes. It is proof that the world stock indices have co-movement, and this continues as a cycle. …

Persistent link: https://www.econbiz.de/10014339088

The short-term impact of COVID-19 on global stock market indices

Singh, Gurmeet; Shaik, Muneer - In: Contemporary economics 15 (2021) 1, pp. 1-18

The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and … financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global … sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World …

Persistent link: https://www.econbiz.de/10012485328

Does the U.S. extreme indicator matter in stock markets? : international evidence

Jing, Xiaozhen; Xu, Dezhong; Li, Bin; Singh, Tarlok - In: Financial innovation : FIN 10 (2024), pp. 1-27

We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...

Persistent link: https://www.econbiz.de/10015361591

The dynamics of Australian stock indices and commodities based on MGARCH-DCC and wavelet techniques

Ahmad Monir Abdullah; Hishamuddin Abdul Wahab; Mohd … - In: Cogent business & management 17 (2022) 1, pp. 1-29

This paper aims to investigate the extent of hedging and diversification opportunities available for an Australian investor who holds a portfolio consisting of Australian conventional and Islamic indices, crude oil, gold, Bitcoin, and the Australia-US exchange rate of daily data from 2011 to...

Persistent link: https://www.econbiz.de/10014444809

Has COVID-19 changed the correlation between cryptocurrencies and stock markets?

Abdelkafi, Ines; Romdhane, Youssra Ben; Loukil, Sahar - In: European journal of government and economics : EJGE 12 (2023) 2, pp. 139-156

The COVID-19 pandemic has challenged the notion that cryptocurrencies are uncorrelated with traditional asset markets. This study uses VAR-OLS techniques to investigate the time-varying correlation between Bitcoin and three major European stock market indices from January 4, 2016, to February...

Persistent link: https://www.econbiz.de/10014445351

Hedging Dow Jones Islamic and conventional emerging market indices with CDS, oil, gold and the VSTOXX : a comparison between DCC, ADCC and GO-GARCH models

Hachicha, Nejib; Ghorbel, Ahmed; Feki, Mohamed Chiheb; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 209-225

Our goal in this paper is to examine the time-varying optimal hedging ratios for the Dow Jones Islamic and conventional emerging stock market indices, hedged with oil, gold, and the VSTOXX as well as four emerging-country sectoral CDS indices (raw materials, industry, health care, and...

Persistent link: https://www.econbiz.de/10013183878

Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index

Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

Persistent link: https://www.econbiz.de/10014284076

The linkage between Bitcoin and foreign exchanges in developed and emerging markets

BenSaïda, Ahmed - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27

This study investigates the connectedness between Bitcoin and fiat currencies in two groups of countries: the developed G7 and the emerging BRICS. The methodology adopts the regular (R)-vine copula and compares it with two benchmark models: the multivariate t copula and the dynamic conditional...

Persistent link: https://www.econbiz.de/10014288956

Assessing the diversification risk of a single equity market : evidence from the largest European stock indexes

Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International journal of management and economics 58 (2022) 1, pp. 3-16

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs linked to the stock indexes of Germany, Spain,...

Persistent link: https://www.econbiz.de/10013277308