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Immunization strategies for funding multiple inflation-linked retirement income benefits

Simões, Cláudia; Oliveira, Luís; Bravo, Jorge Miguel … - In: Risks : open access journal 9 (2021) 4, pp. 1-28

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies...

Persistent link: https://www.econbiz.de/10012508594

AHP-TOPSIS methodology for stock portfolio investments

Vásquez, Jaime Alberto; Escobar, John Willmer; … - In: Risks : open access journal 10 (2022) 1, pp. 1-20

This paper presents a methodology for making decisions in the stock market using the AHP-TOPSIS multi-criteria technique. The problem is related to the stock market's investment process considering the criteria of liquidity, risk, and profitability. The proposed methodology includes integrating...

Persistent link: https://www.econbiz.de/10012804885

Portfolio construction by using different risk models: a comparison among diverse economic scenarios

Hunjra, Ahmed Imran; Alawi, Suha Mahmoud; Colombage, Sisira - In: Risks : open access journal 8 (2020) 4/126, pp. 1-23

We aim to construct portfolios by employing different risk models and compare their performance in order to understand their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean absolute deviation (MaD) and conditional value at risk...

Persistent link: https://www.econbiz.de/10012390956

Impact of credit risk on momentum and contrarian strategies : evidence from South Asian markets

Hunjra, Ahmed Imran; Tayachi, Tahar; Mehmood, Rashid; … - In: Risks : open access journal 8 (2020) 2/37, pp. 1-14

find that in all three markets, the momentum and contrarian returns are significant for medium and high credit risk … portfolios and no momentum and contrarian returns for low credit risk portfolios. …

Persistent link: https://www.econbiz.de/10012204454

Commodity risk and forecastability of international stock returns : the role of oil returns skewness

Salisu, Afees A.; Gupta, Rangan - In: Risks : open access journal 13 (2025) 3, pp. 1-20

This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a … returns of 10 (8 advanced plus two emerging) countries using long-range monthly data of over a century for each country. Using … returns for equity returns for all the countries across various forecast horizons and the length of out-of-sample periods …

Persistent link: https://www.econbiz.de/10015358919

Inter-market mean and volatility spillover dynamics between cryptocurrencies and an emerging stock market : evidence from Thailand and sectoral analysis

Zhang, Yanjia; Lo, Shih-tse; Sutthiphisal, Dhanoos - In: Risks : open access journal 13 (2025) 4, pp. 1-29

The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility spillovers; however, empirical evidence about sectoral-specific spillover effects in emerging markets is scarce and hard to find. Existing research mainly concentrates on developed...

Persistent link: https://www.econbiz.de/10015408930

Stock indices breakdown during the pandemic as the most dynamic bear market in history : consequences for individual investors

Da̧browski, Piotr - In: Risks : open access journal 10 (2022) 1, pp. 1-12

The breakdown of stock indices is an obvious part of the financial market cycle. A common question about a bear market is the time and the depth of the downtrend, as well as the speed of the following recovery. As the COVID-19 pandemic spread globally, it induced huge price drops in a very short...

Persistent link: https://www.econbiz.de/10012745415

COVID-19 pandemic and investor herding in international stock markets

Bouri, Elie; Demirer, Rıza; Gupta, Rangan; Nel, Jacobus - In: Risks : open access journal 9 (2021) 9, pp. 1-11

The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we examine the association between...

Persistent link: https://www.econbiz.de/10012632020

Equity risk and return across hidden market regimes

Endovitsky, Dmitry A.; Korotkikh, Viacheslav V.; … - In: Risks : open access journal 9 (2021) 11, pp. 1-21

The key to understanding the dynamics of stock markets, particularly the mechanisms of their changes, is in the concept of the market regime. It is regarded as a regular transition from one state to another. Although the market agenda is never the same, its functioning regime allows us to reveal...

Persistent link: https://www.econbiz.de/10012703075

Are investors' attention and uncertainty aversion the risk factors for stock markets? : international evidence from the COVID-19 crisis

Shear, Falik; Ashraf, Badar Nadeem; Sadaqat, Mohsin - In: Risks : open access journal 9 (2021) 1/2, pp. 1-15

In this paper, we examine the impact of investors' attention to COVID-19 on stock market returns and the moderating … find that investors' enhanced attention to the COVID-19 pandemic results in negative stock market returns. Further … market returns is stronger in countries where investors possess higher uncertainty avoidance cultural values. Our findings …

Persistent link: https://www.econbiz.de/10012422883