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Wyświetlanie 1-10 z 24
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
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:
Reakcja rynku finansowego na wybuch wojny rosyjsko-ukraińskiej w porównaniu do reakcji na wybuch pandemii COVID-19 w Europie
Reaction of the financial market: a comparison of the war in Ukraine and the COVID-19 pandemic in Europe
Autorzy:
Mielus, Piotr
Powiązania:
https://bibliotekanauki.pl/articles/2054040.pdf
Data publikacji:
2022-04-14
Wydawca:
Bankowy Fundusz Gwarancyjny
Tematy:
rynek finansowy
czarny łabędź
rynki wschodzące
zmienność rynkowa
financial market
black swan
emerging markets
market volatility
Opis:
Artykuł wyjaśnia reakcję poszczególnych segmentów rynku finansowego w Europie na agresję rosyjską na Ukrainę. Omówiono trzy grupy rynków, tj. krajów dotkniętych wojną, wybranych krajów CEE pozostających poza strefą euro i strefy euro, a także trzy grupy instrumentów reprezentujących ryzyko walutowe, kredytowe i płynności. Porównano obecną reakcję rynku z reakcją spowodowaną wybuchem pandemii Covid19. Przyjmując sceptycyzm wobec ostrzeżeń ekspertów czy informacji wywiadów niektórych państw oraz skalę zmian cen instrumentów na rynku finansowym można ich wystąpienie tłumaczyć zjawiskiem nazywanym czarnym łabędziem. Jest to szczególnie widoczne w nagłym wzroście zmienności oraz zwiększonej korelacji pomiędzy parametrami poszczególnych segmentów rynku finansowego.
The article explains a reaction of various segments of the financial market on the Russian aggression against Ukraine. Three groups of market segments are described: countries engaged directly in the war, selected European countries outside the Eurozone and the Eurozone ones. The focus is taken on three kinds of instruments representing currency risk, credit risk and liquidity risk. The current market reaction is compared with the one observed after the outbreak of the COVID-19 pandemic. If we assume scepticism about the intelligence warnings, the Russian attack that started on February 24, 2022 can be perceived as a black swan event due to the huge scale of the market reaction. The financial market experienced a volatility rise and an increased correlation between returns recorded on the selected instruments. The aim of this study is to analyse an influence of the military actions on prices recorded on the financial market in a light of a black swan theory.
Źródło:
Bezpieczny Bank; 2022, 86, 1; 80-99
1429-2939
Pojawia się w:
Bezpieczny Bank
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Indeks stresu na rynku zbywalnych instrumentów finansowych w Polsce
Stress Index in the Negotiable Financial Instruments Market in Poland
Autorzy:
Kravchuk, Igor
Powiązania:
https://bibliotekanauki.pl/articles/525928.pdf
Data publikacji:
2017-05-30
Wydawca:
Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:
indeks stresu
rynek zbywalnych instrumentów finansowych
stabilność finansowa
płynność rynkowa
zmienność rynku
stress index
negotiable financial instruments market
financial stability
market liquidity
market volatility
Opis:
Celem badania jest weryfikacja zakłóceń na rynku zbywalnych instrumentów finansowych w Polsce na podstawie szacunków kompozytowego indeksu stresu, który obejmuje wskaźniki dotyczące rynku akcji (zmienność, płynność, CMAX na podstawie indeksu giełdowego WIG), rynku obligacji (zmienność rentowności 10-letnich obligacji skarbowych, ich płynność, spread suwerenny oraz krzywej rentowności) i rynku derywatów (zmiana liczby otwartych pozycji oraz wolumenu na rynku kontraktów terminowych i opcji). Przeprowadzona analiza wartości indeksu w latach 2007–2015 potwierdza skuteczność indeksu stresu (FIMSI) w rozpoznaniu zakłóceń na rynku (kiedy wartość indeksu przekracza trend długoterminowy więcej niż o jedno odchylenie standardowe).
The aim of the study is to verify the turbulence in the negotiable financial instruments market in Poland, by evaluating the composite stress index, which includes indicators concerning the stock market (volatility, liquidity, CMAX based on stock index WIG), the bond market (volatility of 10-year Treasury bonds, their liquidity, the sovereign spread and the yield curve spread) and the derivatives market (the change in the number of open positions and volume in the futures and options market). The analysis of index values for the years 2007–2015 confirms the robustness of the stress index (FIMSI) in the diagnosis of stresses in the market (when the index value exceeds the long-term trend by more than 1 standard deviation).
Źródło:
Problemy Zarządzania; 2017, 1/2017 (66), t.2; 193 - 206
1644-9584
Pojawia się w:
Problemy Zarządzania
Dostawca treści:
Biblioteka Nauki
Artykuł
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:
The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
Autorzy:
Karkowska, Renata
Powiązania:
https://bibliotekanauki.pl/articles/482959.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:
financial market
hedge fund
market instability
volatility
Opis:
Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the dynamic test was presented Granger causality, which allows the statistical analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study was calculated the impact of the hedge fund market development (measured in assets, leverage, the price volatility in various financial markets). Due to data availability study has been limited to 10-year period of analysis (2001-2011). The results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge funds on financial markets.
Źródło:
Faculty of Management Working Paper Series; 2013, WPS 3/2013; 1-13
2300-4371
Pojawia się w:
Faculty of Management Working Paper Series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
CONSTRUCTION AND PROPERTIES OF VOLATILITY INDEX FOR WARSAW STOCK EXCHANGE
Autorzy:
Wiśniewski, Tomasz
Powiązania:
https://bibliotekanauki.pl/articles/453914.pdf
Data publikacji:
2014
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
option
capital market
stock market index
volatility index
Opis:
Volatility indices became a important factors on capital markets and are considered as fear factors. First volatility index VIX, was defined for Chicago Board of Trade in 1993, and was developed in 2003. In next years we observed growing numbers of volatility indices on main capital market around of the world. There were more than 20 volatility indices on capital markets at the end of 2012. The aim of this study is construction of the volatility index considering to Warsaw Stock Exchange trading rules and market participants. We also test the “fear factor” properties of this index.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2014, 15, 1; 218-223
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Volatility Transmission Between Stock and Foreign
Autorzy:
Kalu, Emenike
Powiązania:
https://bibliotekanauki.pl/articles/565715.pdf
Data publikacji:
2014-05-19
Wydawca:
Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:
Stock market
Foreign exchange market
Volatility transmission
BEKK-GARCH-model
Opis:
The direction of volatility transmission between stock and foreign exchange markets is important for hedging strategy, portfolio management and financial market regulation. This paper examines volatility transmission between stock and foreign exchange markets by applying the multivariate GARCH model in the BEKK framework to Nigerian stock returns and the Naira/USD exchange rate data from January 1996 to March 2013. Results of the empirical analysis show evidence of volatility clustering in both stock and foreign exchange markets. The results also show bi-directional shock transmission between stock and foreign exchange markets, suggesting that information flow in the foreign exchange market impact the stock market and vice versa. Finally, the results show evidence of a uni-directional volatility transmission from the foreign exchange market to the stock market. The implication is for investors vigilantly to monitor and dissect all information in the two markets as part of their investment strategy.
Źródło:
Journal of Banking and Financial Economics; 2014, 1(1); 59-72
2353-6845
Pojawia się w:
Journal of Banking and Financial Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Estimation of the price elasticity of petroleum products consumption in Ukraine
Autorzy:
Galchynskyi, Leonid
Powiązania:
https://bibliotekanauki.pl/articles/22444419.pdf
Data publikacji:
2020
Wydawca:
Instytut Badań Gospodarczych
Tematy:
petroleum product market
elasticity
volatility
model
co-integration
Opis:
Research background: The analysts of the petroleum product markets of industrial countries believe that the elasticity of demand varies at different periods, which gave rise to the hypothesis that behavioral and structural factors have changed the consumers? reaction during the last few decades, with a change in prices of petroleum products. Purpose of the article: The purpose of this article is to study the elasticity of demand and prices in order to identify changes in consumer behavior in the oil market after significant socio-economic shocks and to establish a correlation between changes in elasticity and price volatility, with the Ukrainian petroleum products market as an illustrative example. Methods: Based on the time series of the petroleum product market of Ukraine, static and dynamic models for assessing the demand elasticity were constructed. It was found that the time series of demand for petroleum products is non-stationary but then the time series of the first differences is stationary according to the extended Dickey-Fuller test; further, the fact of co-integration between time series of consumption, income, and prices was established by the Johansson test. This made it possible to construct co-integration dependence, allowing, in turn, the development of models for assessing the elasticity of demand for petroleum products, on the basis of which objective assessments of changes in consumer behavior were established. Analysis of the monthly calculation of petroleum products? price volatility during the period 2008 to 2018 has showed that the values of volatility increased abnormally in the period between the beginning of 2014 and the middle of 2015. The estimates of price and demand elasticities obtained for the two periods up to the beginning of 2014 and the second half of 2015 differ significantly from the values of the corresponding elasticities between the beginning of 2014 and the middle of 2015. Findings & Value added: Assessments of income elasticities and price elasticities for petroleum products in the Ukrainian market were obtained by three co-integration models, both short and long term, for each of the three previously defined time intervals. In one of them, characterized by a high level of price volatility conditionally referred to as a crisis, the value of elasticities differed markedly from the corresponding values in the other two periods, in particular, -0.383 for price elasticity and 1.068 for a long-term bond. In the other two periods, these were, respectively, 0.543 for price elasticity and 0.274 for long-term pre-crisis elasticity, and -0.470 for price elasticity and 0.235 for long-term post-crisis elasticity. Appropriate elasticity estimates were obtained for both the short-run and the dynamic model, for the same defined intervals. A comparison of these estimates showed the closeness of the values of elasticities for the pre-crisis and post-crisis intervals and a marked difference from the estimates of the elasticities in the crisis interval. Thus, it was found that a significant change in elasticities is accompanied by an increase in price volatility.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2020, 15, 2; 315-339
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Price volatility on the USD/JPY market as a measure of investors’ attitude towards risk
Autorzy:
Banasiak, Katarzyna
Powiązania:
https://bibliotekanauki.pl/articles/453804.pdf
Data publikacji:
2010
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
risk aversion
USD/JPY market
volatility index VIX
Opis:
The aim of the paper is to show the relationship between the value of Japanese yen and the investors’ risk aversion. The correlation results from the application of carry trade strategies by investors. An increase in Carry trade positions is associated with the decrease in risk aversion. The Japanese yen is one of the most popular carry trade funding currency and therefore the change in the value of this currency reflects the change in the investors’ mood. This paper shows that there is a negative relationship between the USD/JPY and the risk aversion measured by volatility index (VIX).
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2010, 11, 1; 37-44
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-10 z 24

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