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...

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...

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...

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...

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...

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...

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...

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...

Investor sentiment is the result of irrational speculations about the future asset values driven by the market participants. Though scholarly works on investor sentiment are evolving in both developed and emerging markets, the literature in the Indian context is relatively modest. To fill this...

The economic growth and development of a country are reflected in many aspects, one of them being the stock market indices. The purpose of the article is to examine and determine the relationship between selected macroeconomic variables and stock market indices in Bosnia and Herzegovina (BiH)....

This paper aims to investigate the main mineral exchange-traded funds (ETFs) in terms of trading volumes on the New York Stock Exchange by measuring the volatility transmission among them and the connectivity of this market. Daily closing ETF data from 2019 to 2023 for platinum, silver, copper,...

The consideration of environmental, social, and governance (ESG) aspects has become an integral part of investment decisions for individual and institutional investors. Most recently, corporate leaders recognized the core value of the ESG framework in fulfilling their environmental and social...

We used daily return series for three pairs of datasets from the crude oil markets (WTI and Brent), stock indices (the Dow Jones Industrial Average and S&P 500), and benchmark cryptocurrencies (Bitcoin and Ethereum) to examine the connections between various data during the COVID-19 pandemic. We...

This study empirically investigates the volatility spillover among the sectors of emerging markets, that is, India and China and developed markets, that is, the United Kingdom (UK) and the United States (US). Focusing on financial services, auto, oil and gas, Information Technology (IT),...

This study uses a unique dataset of transactions at the account level to construct investor networks. These networks are then analyzed to examine the role of the network centralization index in identifying the stock momentum stages. The empirical results demonstrate that the early stage strategy...

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...

In this study, we delve into the financial market to compare the performance of prominent AI and robotics-related stocks against traditional IT indices, such as the Nasdaq, and specialized AI and robotics ETFs. We evaluate the role of these stocks in diversifying portfolios, analyzing their...

This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address uncertainties arising from diferent estimation models and...

In the evolving global economic landscape marked by technological advancements, liberalized markets, and the ascent of multinational corporations, Islamic banks have emerged as pivotal entities within the new economic paradigm, addressing the financial needs of societies eschewing Riba...