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The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

Bakshi, Gurdip - 2012

The goal of this paper is to show that the growth rate of the Baltic Dry Index (BDI) has predictive ability for a range of stock markets, which is demonstrated through in-sample tests and out-of-sample statistics.The documented stock return predictability is also of economic significance, as...

Persistent link: https://www.econbiz.de/10013115046

Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns

Bakshi, Gurdip - 2017

We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/or carry factors are rejected. To provide...

Persistent link: https://www.econbiz.de/10012971927

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

Risk-Adjusted Performances of World Equity Indices

Atilgan, Yigit - 2016

This paper investigates whether equity indices of 24 emerging and 28 developed markets compensate their investors equally after taking risk into account, and examines the predictive power of reward-to-risk ratios for expected market returns. We place special emphasis on downside risk by...

Persistent link: https://www.econbiz.de/10013007882

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10003891679

Hybrid Historical Simulation VaR and ES : Performance in Developed and Emerging Markets

Zikovic, Sasa - 2009

Persistent link: https://www.econbiz.de/10013155427

Can sustainable investment yield better financial returns : a comparative study of ESG indices and MSCI indices

Jain, Mansi; Sharma, Gagan Deep; Srivastava, Mrinalini - In: Risks : open access journal 7 (2019) 1/15, pp. 1-18

the usual markets, namely MSCI world index (MSCI W), MSCI All Country World Equity index (MSCI ACWI), MSCI USA index (MSCI …

Persistent link: https://www.econbiz.de/10012016034

Infrastructure indices : comparative analysis of performance, risk and representation of global listed proxies

Lambrev, Dimitar - In: Naše gospodarstvo : NG 65 (2019) 3, pp. 23-39

. For the purpose of the market beta analysis, the MSCI World index is also used as a global equities proxy in a linear … benchmarking infrastructure. The high correlation of the main listed infrastructure indices with the broad equity index MSCI World …

Persistent link: https://www.econbiz.de/10012105600

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

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