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An empirical assessment of fintechs heterogeneous transmission channels to financial development among African economies

Okoli, Tochukwu Timothy; Tewari, Devi D. - In: Cogent economics & finance 8 (2020) 1, pp. 1-18

The poor use of innovations for financial service delivery among African banks has limited the extent of financial development in the continent. Consequently, financial authorities seeks for a technology-enabled financial solution; an area not well covered in literature. This study therefore,...

Persistent link: https://www.econbiz.de/10013179597

Conditional skewness of stock market returns in developed and emerging markets and its economic fundamentals

Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen I. - 2011

We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore particularly suited for recalcitrant series such as emerging market returns. Our study is on the following portfolio returns: developed markets, emerging markets, the world, and...

Persistent link: https://www.econbiz.de/10009009566

Does the pricing kernel anomaly reflect forward looking beliefs?

Sala, Carlo - 2015

We propose a nonparametric Bayesian approach for the estimation of the pricing kernel. Historical stock returns and option market data are combined through the Dirichlet Process (DP) to construct an option-adjusted physical measure. The precision parameter of the DP process is calibrated to the...

Persistent link: https://www.econbiz.de/10011506354

Calendar anomalies in African stock markets

Ferrouhi, El Mehdi; Kharbouch, Omar; Aguenaou, Samir; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-17

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...

Persistent link: https://www.econbiz.de/10013184417

Real estate performance, the macroeconomy and leverage

Delfim, Jean-Christophe; Hoesli, Martin - 2019

performance of the various types of real estate exposure (direct, non-listed, and listed). The response of core funds to economic … risk factors is akin to that of direct investments; however, real estate fund and direct investment performance are less … tightly related as more aggressive (i.e., value-added and opportunistic) strategies are envisaged. Only REIT performance is …

Persistent link: https://www.econbiz.de/10012052154

Liquidity-adjusted CAPM : an empirical analysis on Indian stock market

Kumar, Gaurav; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-15

This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market. The study tested the liquidity-adjusted capital asset pricing model (LCAPM) which is previously tested on developed markets....

Persistent link: https://www.econbiz.de/10012023356

Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures using Autoregressive Distributed-lag (ARDL) Bounds Testing Approach. We consider depth, breadth, tightness, immediacy and resiliency dimensions of market liquidity using suitable...

Persistent link: https://www.econbiz.de/10012023365

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

Implied volatility changes and corporate bond returns

Cao, Jie; Goyal, Amit; Ke, Sai; Zhan, Xintong - 2019

Corporate bonds with large increases in implied volatility over the past month underperform those with large decreases in implied volatility by 0.6% per month. In contrast to An, Ang, Bali, and Cakici (2014) who show that implied volatility changes carry information about fundamental news, our...

Persistent link: https://www.econbiz.de/10012179498

The impact of investor sentiment on sectoral returns and volatility : evidence from the Johannesburg Stock Exchange

Muguto, Hilary Tinotenda; Muguto, Lorraine; Bhayat, Azra; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-24

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the Johannesburg Stock Exchange using a proxy-based composite investor sentiment index and generalised autoregressive conditional heteroscedasticity models. Overall, findings showed a...

Persistent link: https://www.econbiz.de/10014500435