Search Results - subject_exact:"Stock index"

Impact of geopolitical turmoil in the developing European stock markets vs. the global benchmark indices : an event study analysis of the Russo-Ukrainian war

Grinius, Meinardas; Baležentis, Tomas - 2025

The capital markets are sensitive to geopolitical events. It is important to provide evidence of reactions to specific geopolitical events in order to identify general patterns and effective risk management strategies. This study follows the event study approach to assess the reactions of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338641

Drivers of S&P 500's profitability : implications for investment strategy and risk management

Nagy, Marek; Valaskova, Katarina; Kovalova, Erika; … - 2024

The financial markets, shaped by dynamic forces, including macroeconomic trends and technological advancements, are influenced by a multitude of factors impacting the S&P 500 stock index, a pivotal indicator in the US equity markets. This paper highlights the significance of understanding the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014635954

Probability distributions for modeling stock market returns : an empirical inquiry

Pokharel, Jayanta K.; Aryal, Gokarna; Khanal, Netra; … - 2024

Investing in stocks and shares is a common strategy to pursue potential gains while considering future financial needs, such as retirement and children's education. Effectively managing investment risk requires thoroughly analyzing stock market returns and making informed predictions....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636305

A predictive analytics approach for forecasting global stock index returns using deep learning techniques

Hu, Liang; Shen, Yinru - 2026

Accurately predicting stock index returns remains a critical yet complex task due to the inherent volatility of financial markets and the intricate temporal dependencies within financial time series. This study presents a robust machine learning framework to forecast the relative returns of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654339

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - 2026

This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and the US Equity Index (S&P500). The study...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591162

Macroeconomic indicators and market index interactions in the United States : an empirical analysis

Ahmad Monir Abdullah; Syahidah Hanis Meor Rithuan; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620142

Initiating electric vehicle price index and its economic factors : evidence from the stock exchange of Thailand

Aleenajitpong, Natdanai; Kaewpunpong, Karn - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620165

Examining the volatility spillover between the fear index and the magnificent seven technology stocks

Koycu, Erol; Nur, Tugba - 2026

This study investigates the volatility spillover dynamics between the VIX fear index and the Magnificent Seven technology stocks - namely Microsoft, Apple, Nvidia, Amazon, Alphabet, Meta Platforms, and Tesla - over the period of June 2012 to March 2024. To achieve this objective, the variance...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620965

Cryptocurrencies in a sustainable era : analyzing the influence of environmental innovation and US stock indices on bitcoin and Ethereum returns

Mhamid, Imen; Hajji, Asma - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015621679

Empirical analysis of the dogs of the dow trading strategy : Polish evidence

Ziarko-Siwek, Urszula - 2026

This study examines how effective the Dogs of the Dow (DoD) investment strategy, popular in the USA, was for the Polish blue-chip stock market between 2002-2023. This strategy involves investing the same amount of funds each year in shares of ten companies called Dogs of Dow with the highest...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625934

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627081

The OECD.AI Index

2026

The OECD.AI Index provides governments with a robust framework to measure national AI capabilities and track progress in implementing the OECD AI Recommendation. Using a composite measurement framework, the Index combines existing AI-specific indicators from the OECD.AI Policy Observatory with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015630421

The dynamics between dividends and index value in South Africa

Akilo, Olushola Christy; Wet, Milan C. de - 2026

Optimal dividend policy remains a key topic of debate in corporate finance, particularly in emerging markets where investor preferences and macroeconomic volatility affect decision making. This study therefore examines the relationship between dividend policy and the Johannesburg Stock Exchange...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639165

Copula Asymmetry Index (CAI++) : measuring asymmetric equity-volatility tail dependence for defensive allocation

Hatzopoulos, Peter; Statiou, Anastasios D. - 2026

This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of joint "equity-down & volatility-up" tail events and that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640224

Double-edged sword of diversification : commodities and African equity indices in robust vs. optimal portfolio strategies

Kitenge, Anaclet K.; Muteba Mwamba, John; Mba, Jules C. - 2026

This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framework, we compare the performance of three...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640563

Chaotic scaling and network turbulence in crude oil-equity systems using a Coupled Multiscale Chaos Index

Khoojine, Arash Sioofy; Xiao, Lin; Chen, Hao; Wang, Congyin - 2026

Financial markets often display nonlinear and turbulent dynamics during periods of stress, and crude-oil and global equity systems frequently demonstrate closely connected forms of instability. Earlier studies report multifractality, chaotic features and regime-dependent spillovers across...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643357

Financial performance, risk, and market integration of sustainability-oriented equity indices : implications for the sustainability transition (2010-2025)

Kaspard, Jeanne; Kamel, Cesar; Khalil, Fleur; Beainy, … - 2026

The present study provides a high-frequency empirical assessment of the financial performance, volatility, and market integration of thematic sustainability-oriented equity funds, focusing on clean energy and environmental innovation indices. Specifically, the study compares the financial...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656147

Predicting the volatility of cryptocurrencies' returns using high-frequency data : a comparative analysis of GARCH, EGARCH, IGARCH, GJR-GARCH, LRE, and HAR models

Alsamaani, Abdulrahman; Aldhahi, Huda - 2026

This study provides a comprehensive evaluation of six volatility forecasting models applied to twelve dominant and less dominant cryptocurrencies across multiple time horizons using high-frequency intraday data. The exponential generalized autoregressive conditional heteroskedastic (EGARCH),...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652166

Machine learning-driven portfolio optimization using Money Flow Index-based sentiment signals

Singsiri, Prapassara; Jiraphat Yokrattanasak - 2026

Market indices serve as a benchmark for performance comparison, guide asset allocation decisions, and reflect overall market sentiment and economic conditions, thereby influencing investment strategies by representing a segment of the market. Unquestionably, investor sentiment impacts price...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653551

A comparative APARCH volatility study of international markets

Madega, Fhulufhedzani Justice; Tshisikhawe, T. H.; … - 2026

This paper compares the daily return volatility by four leading international indices: JSE Top 40, FTSE 100, Nikkei 225 and S&P/ASX 200. The return series are modelled in ARMA process, where ARMA(1,3) values are taken for JSE Top 40 and S&P/ASX 200, ARMA(0,0) for FTSE 100, and ARMA(1,2) for...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633278

Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting

Liu, Xiaochun; Luger, Richard - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668493

The relationship between spot and future cryptocurrencies : a VECM and GARCH approaches

Amamou, Souhir Amri; Ali, Balkissa Hassane - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664986

Financial markets and the economic development index in South Africa : an econometric approach

Kgomo, Dintuku Maggie; Ncanywa, Thobeka - 2026

Economic development is a phenomenon that involves the financial stability and standard of living of a nation's population. To achieve economic prosperity, sound financial development, as a fundamental basis for economic development, is important. The effect of financial markets on economic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015671908

Mean reversion lessens mean blur : evidence from the S&P composite index

Buzzacchi, Luigi; Ghezzi, Luca - 2023

This study makes use of a very long time series of the S&P Composite Index, checking once more that the rates of return benefit from aggregational normality. It performs unit root tests as well as elementary statistical tests that take advantage of normality. It finds that mean blur is not...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013549738

Impact of geopolitical turmoil in the developing European stock markets vs. the global benchmark indices: An event study analysis of the Russo-Ukrainian war

Grinius, Meinardas; Baležentis, Tomas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372998

A general randomized test for alpha

Massacci, Daniele; Sarno, Lucio; Trapani, Lorenzo; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015532307

Contemporaneous and lagged R² decomposed connectedness : evidence for stock market indices, thematic ETFs, bitcoin, brent crude oil and geopolitical risks

Belhouichet, Fekria; Caporale, Guglielmo Maria; … - 2025

This paper applies the R² connectedness method proposed by Balli et al. (2023) to analyse contemporaneous and lagged connectedness between returns on several asset classes (sector ETFs, Bitcoin, stock market indices, Brent crude oil) over the period 1 January 2023 – 22 September 2025, in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015547417

Cointegration-based pairs trading : identifying and exploiting similar exchange-traded funds

Chen, Kezhong; Alexiou, Constantinos - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015485829

Integrating macroeconomic and technical indicators into forecasting the stock market : a data-driven approach

Latif, Saima; Aslam, Faheem; Ferreira, Paulo; Iqbal, Sohail - 2025

Forecasting stock markets is challenging due to the influence of various internal and external factors compounded by the effects of globalization. This study introduces a data-driven approach to forecast S&P 500 returns by incorporating macroeconomic indicators including gold and oil prices, the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015207282

Does the VIX act as the main transmitter of mispricing in index futures markets? : insights from European and American regions

Samarakoon, S. M. R. K.; Pradhan, Rudra Prakash; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371777

Characterization and prediction of the Ghana stock exchange composite index utilizing Bayesian stochastic volatility models

Tweneboah, Osei Kofi; Ohene-Obeng, Kwesi A.; Mariani, … - 2025

This study delves into the dynamics of the Ghana Stock Exchange Composite Index (GSE-CI) over the period from 2011 to 2022, a symbolic emerging market index that presents unique challenges and opportunities for financial analysis. We characterize the GSE-CI using advanced analytical tools such...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331109

Extreme dependence, connectedness, and causality between US sector stocks and oil shocks

Mensi, Walid; Gök, Remzi; Gemici, Eray; Vo Xuan Vinh; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333022

Climate policies, energy shocks and spillovers between green and brown stock price indices

Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2025

This paper examines the effects of climate policies and energy shocks on mean and volatility spillovers between green and brown stock price indices in five countries (Canada, India, Japan, the UK and the US). More specifically, bivariate GARCH-BEKK models including dummy variables controlling...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333280

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - 2025

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333723

Investor attention and its impact on portfolio volatility and sectoral risk spillovers in Borsa Istanbul

Özdemir, Müge; Taş, Oktay - 2025

This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze daily data from January 2004 to June 2024. We find that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334500

Dynamic dependence between sectoral indexes of BRIC countries and the baltic dirty tanker index : an investigation using the generalized R2 approach

Tok, Şerife Akıncı; Tarkun, Savaş - 2025

This study analyzes the dynamic connectedness between the Baltic Dirty Tanker Index (BDTI) and sector indexes in the stock exchanges of the BRIC countries, focusing on the chemical, oil, and raw materials sectors. Using daily data from January 1, 2015, to September 30, 2024, the analysis reveals...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334626

Impact of indices on stock price volatility of BRICS countries during crises : comparative study

Ruzgar, Nursel Selver - 2025

This study aims to identify the common indices having an impact on the SPV of BRICS countries during crises. To address this, the monthly data retrieved from the database of the Global Economic Monitor (GEM), World Bank, IMF International Financial Statistics data, and OECD in the period of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338400

ESG-firm performance nexus : evidence from an emerging economy

Biju, Ajithakumari Vijayappan Nair; Geetha, Sreelekshmi; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358140

Spatial linkages of positive feedback trading among the stock index futures markets

Tian, Shuxi; Liu, Shuyi; Mu, Lijie - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359879

On the return distributions of a basket of cryptocurrencies and subsequent implications

Börner, Christoph J.; Hoffmann, Ingo; Kürzinger, Lars; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325813

Unveiling true connectedness in US state-level stock markets : the role of common factors

Caporin, Massimiliano; Cepni, Oguzhan; Gupta, Rangan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015326254

Resilience or returns : assessing green equity index performance across market regimes

An Thi Thuy Duong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015327258

Do investors tend to overreact when investing in clean energy stock indices?

Dias, Rui; Galvão, Rosa Morgado; Cruz, Sandra; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015416376

Volatility analysis of the Indian stock market : insights from Bank Nifty Index and futures trading

Paientko, Tetiana; Pundir, Rashmi Ravindra Kumar - 2025

Objective To diagnose the relationship between futures contract trading and the volatility of stocks in the Bank Nifty Index. Methodology Time series analysis and the GARCH model are employed to study the interaction between futures trading and spot market volatility. Findings The analysis...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417101

Investigating the impact of energy price volatility on Borsa Istanbul chemical petroleum plastic index returns

Kandır, Serkan Yilmaz; Mermer, Gozde Elbir - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418798

A benchmark-asset principal component factorization for index tracking on large investment universes

Cesarone, Francesco; Di Paolo, Alessio; Bufalo, Michele; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015420449

Comovement and S&P 500 membership

DeCoste, Joseph - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425029

Pricing VXX options with observable volatility dynamics from high-frequency VIX index

Lu, Shan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464863

Volatility risk and volatility-of-volatility risk : state-dependent correlations between vix and the S&P 500 stock index and hedging effectiveness

Li, Leon; Chen, Carl R. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015465763

Connectedness and investment strategies of volatile assets : DCC-GARCH R2 analysis ofcryptocurrencies and emerging market sectors

Aslam, Adnan; Brahmana, Rayenda Khresna - 2025

This study investigates the return propagation dynamics between cryptocurrencies and emerging market sectoral indices (EMSI), focusing on portfolio impact from Bitcoin, Ethereum, and two gold-backed cryptocurrencies (PAXG and X8X). Using data from 2019 to 2024, we apply a novel DCC-GARCH-based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471424