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    Wyświetlanie 1-3 z 3
    Tytuł:
    Cryptocurrency volatility and Egyptian stock market indexes: A note
    Autorzy:
    Eldomiaty, Tarek
    Mohab, Nada
    Powiązania:
    https://bibliotekanauki.pl/articles/36100713.pdf
    Data publikacji:
    2024
    Wydawca:
    Fundacja Naukowa Instytut Współczesnych Finansów
    Tematy:
    value at risk
    VaR
    cryptocurrencies volatility
    stock market index volatility
    behavioral intention
    EGX30
    EGX70
    EGX100
    robustness
    structural break
    Egypt
    Opis:
    This paper examines the effect of the riskiness of the top four cryptocurrencies on the riskiness of stock market indexes in Egypt, being recognized as a developing country. The analysis uses daily data on cryptocurrencies and the three stock market indexes covering January 2020 to January 2023. The risk is measured using the holding period Value at Risk (VaR). The GMM results show that (a) cryptocurrency volatility is negatively associated with the volatility of stock market indexes. That is, the higher the investors’ interest in trading cryptocurrencies, the lower the volatility of stock market indexes as investors trade stocks less frequently, (b) cryptocurrencies can provide hedge and diversification benefits, and (c) the relationship between volatilities of cryptocurrencies and stock market indexes varies across indexes, therefore, contingent.
    Źródło:
    Modern Finance; 2024, 2, 1; 121-130
    2956-7742
    Pojawia się w:
    Modern Finance
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Should risk-averse investors target the portfolios of socially responsible companies?
    Autorzy:
    Valls Martínez, María del Carmen
    Soriano Román, Rafael
    Martín Cervantes, Pedro Antonio
    Powiązania:
    https://bibliotekanauki.pl/articles/19322539.pdf
    Data publikacji:
    2022
    Wydawca:
    Instytut Badań Gospodarczych
    Tematy:
    corporate social responsibility
    stock market volatility
    market risk
    beta
    risk-averse investors
    Opis:
    Research background: Companies are required to implement Corporate Social Responsibility (CSR) policies to mitigate the adverse social and environmental effects of their activities and gain legitimacy in the eyes of society. Sustainability initiatives are costly for companies but, at the same time, they are important value-creation drivers. Retail and institutional investors are increasingly choosing portfolios based on CSR performance. However, the relationship between CSR and market beta has hardly been studied at all in the literature, and no direct comparison of the U.S. and European markets has been conducted. Purpose of the article: The two fundamental variables that define an investment are return and risk, and the appropriate risk-return combination depends on the profile of the investors. This research aims to analyze the relationship between CSR and market risk, understood as price volatility and measured by market beta in the U.S. and European markets. Methods: Companies listed in the S&P 500 and Euro Stoxx 300 indexes from 2015 to 2019 were examined using OLS regressions with instrumental variables (IV) and fixed effects panel data. Findings & value added: The results show that those companies with higher CSR have betas below the market index in the U.S. market as well as lower volatility, and are, therefore, more appropriate choices for risk-averse investors. However, this relationship was not confirmed in the European market. This difference may be justified by two reasons: 1) The non-adherence of the United States to the Kyoto Protocol, resulting in less strict legal regulations than in Europe; 2) In the U.S. market, betas are more aggressive, while in the European market they are more defensive, with little margin for reduction. This research contributes to the current state of knowledge by providing empirical evidence that social, environmental, and corporate governance sustainability practices reduce stock volatility in the U.S. capital market, which is highly relevant for private and institutional investors who make their investments based on moral criteria. The results are current and reliable since they cover a broad and recent period for two of the most important stock market indexes.
    Źródło:
    Oeconomia Copernicana; 2022, 13, 2; 439-474
    2083-1277
    Pojawia się w:
    Oeconomia Copernicana
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The effect of inflation on stock prices of listed companies in Tehran stock exchange
    Autorzy:
    Ahmadi, Freyedon
    Powiązania:
    https://bibliotekanauki.pl/articles/1191472.pdf
    Data publikacji:
    2016
    Wydawca:
    Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
    Tematy:
    EGARCH-M; Time series analysis
    Stock market; Volatility; Risk
    Opis:
    Iranian, in the recent history, faced two major economic crises which were in April 2005 and February 2014. In this paper, we examine whether the risk return relationship as well as the effects of two macroeconomic variables, output growth and inflation, on real stock returns and volatility changed or not due to these crises using three different monthly indices of the Tehran Stock Exchange. We study the effects both for the whole period and the subperiods that we determine regarding the times of the crises using EGARCH-M framework. Our results show that the risk-return relationship changes as the economy moves from one regime to another. Moreover, the crises cause some changes on the relationships between stock returns and macroeconomic variables. The greatest impact of the crisis is seen in the Financial Sector.
    Źródło:
    World Scientific News; 2016, 40; 235-247
    2392-2192
    Pojawia się w:
    World Scientific News
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-3 z 3

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