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Article
Publication date: 20 April 2022

Nenavath Sreenu and Ashis Kumar Pradhan

The stock market has shown fluctuating degrees of volatility because of the recent COVID-19 pandemic in India. The present research aims to investigate the effect of the…

Abstract

Purpose

The stock market has shown fluctuating degrees of volatility because of the recent COVID-19 pandemic in India. The present research aims to investigate the effect of the COVID-19 on the stock market volatility, and whether the economic package can control the market volatility or not, measured by a set of certain sector-level economic features and factors such as resilience variables.

Design/methodology/approach

We examine the correlation matrix, basic volatility model and robustness tests to determine the sector-level economic features and macroeconomic factors helpful in diminishing the volatility rising because of the COVID-19.

Findings

The outcomes of this study are significant as policymakers and financial analysts can apply these economic factors to set policy replies to handle the unexpected fluctuation in the stock market in sequence to circumvent any thinkable future financial crisis.

Originality/value

The originality of the paper is to measure the variables affecting the stock market volatility due to COVID-19, and understand the impact of capital market macroeconomic variables and dummy variables to theoretically explain the COVID-19 impact on stock market volatility.

Details

Journal of Facilities Management , vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1472-5967

Keywords

Article
Publication date: 7 December 2021

Saji Thazhungal Govindan Nair

Equity research in experimental psychology reveals investors' overreactions to bad news events. This study of asymmetric price structures in equity markets investigates…

Abstract

Purpose

Equity research in experimental psychology reveals investors' overreactions to bad news events. This study of asymmetric price structures in equity markets investigates whether such behavior predicts stock returns in an emerging market of India.

Design/methodology/approach

The research decomposes Bombay Stock Exchange (BSE) Sensex returns into Extremely Positive Returns (EPR) and Extremely Negative Returns (ENR) based on extreme values at first and then tests their lead–lag relations.

Findings

The empirical finding is consistent with the existing evidence of asymmetric news effects on stock returns in India. In precise, ENR robustly predicts one-month-ahead EPR for the sample period from January 1991 to March 2020. This predictive power persists even in the presence of popular valuation ratios and business cycle variables.

Practical implications

The paper explains the rationale of extreme value modeling in price forecasting. Investors can find additional utility gains from market cycle information while predicting extreme returns in Indian stock market.

Originality/value

The paper is unique to understand business cycle effects in extreme return reversals in emerging markets.

Details

Journal of Economic Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0144-3585

Keywords

Open Access
Article
Publication date: 28 July 2021

Emna Mnif and Anis Jarboui

After the COVID-19 outbreak, the Federal Reserve has undertaken several monetary policies to alleviate the pandemic consequences on the stock markets leading to a…

Abstract

Purpose

After the COVID-19 outbreak, the Federal Reserve has undertaken several monetary policies to alleviate the pandemic consequences on the stock markets leading to a misunderstanding on the cryptocurrency market response. This paper aims to evaluate the effects of the Federal Reserve monetary policy on the Islamic and conventional cryptocurrency dynamics during the COVID-19 pandemic. We, specifically, examine the associate bubbles and feedbacks effects.

Design/methodology/approach

This paper developed a novel methodology that detects market bubbles using the statistical indicators defined by Psychological (PSY) tests. It also investigated the effect of the Federal Open Market Committee (FOMC) announcements on conventional and Islamic cryptocurrencies compatible with Islamic laws “Shari’ah” by using the event-driven regression.

Findings

The empirical results show that the FOMC announcements have a positive significant effect after one day of the event and a negative effect before two days of the announcement on the conventional cryptocurrency markets. However, the reaction of Islamic cryptocurrencies to these events is not significant except for Hello Gold after one day of the announcement. Besides, the Hello Gold and X8X cryptocurrencies present no bubbles during this period. However, Bitcoin and Ethereum markets have short-lived bubbles.

Research limitations/implications

The main contribution of this study is the investigation of the response and vulnerability to pandemic shocks of a new category of cryptocurrencies backed by tangible assets. This work has practical implications as it provides new insights into trading opportunities and market reactions.

Originality/value

To our knowledge, this work is the first study that compares the response of Islamic and conventional cryptocurrency markets to FOMC announcements during the COVID-19 pandemic and examines the presence of bubbles in these markets. Besides, the originality of this work is derived from the novelty of the data employed and the method used (PSY tests) in this study.

Details

Asian Journal of Accounting Research, vol. 7 no. 1
Type: Research Article
ISSN: 2443-4175

Keywords

Article
Publication date: 30 November 2020

Natalia V. Trusova, Inna Ye. Yakusheva, Yuliia M. Zavoloka, Alina H. Yefremenko, Yuliia A. Malashenko and Maryna V. Sidnenko

The article deals with the imperatives of functioning of the financial market of Ukraine in the global space of debt loading.

Abstract

Purpose

The article deals with the imperatives of functioning of the financial market of Ukraine in the global space of debt loading.

Design/methodology/approach

Within the Laffer debt curve model, the dependence of gross domestic product (GDP) change on the level of debt of the financial system for countries that form the economic core in the global financial space and well control the level of the indicator, as well as new member states that have a different level of secure debt loading and affect the portion of the financial market that forms a portfolio of securities to cover the cost of nonperforming government securities is mentioned.

Findings

It has been shown that stock indices, as constituent indicators of changes in the price environment of a certain group of securities in time space, allow to estimate the general direction of the market movement even when prices within the index basket change in different directions.

Originality/value

The dynamics of changing the debt loading of the financial system of Ukraine in the current, medium-term perspective is analyzed. The amount of the fixed and floating rate debt of the government internal securities is determined to ensure the diversification of interest rate risk. Using the parameters of the model of approximation functions of dimensionless quantities, the corridor of a safe level of general government debt in the country was determined.

Details

Journal of Economic Studies, vol. 48 no. 8
Type: Research Article
ISSN: 0144-3585

Keywords

Open Access
Article
Publication date: 6 November 2018

Imtiaz Sifat, Azhar Mohamad and Zarinah Hamid

Magnet effect entails a hypothesis in market microstructure entailing a systemic likelihood of prices being sucked toward the theoretical threshold. The purpose of this…

Abstract

Purpose

Magnet effect entails a hypothesis in market microstructure entailing a systemic likelihood of prices being sucked toward the theoretical threshold. The purpose of this paper is to investigate the existence of magnet effect in Bursa Malaysia via overnight returns.

Design/methodology/approach

This study investigates the existence of magnet effect via overnight returns in Bursa Malaysia by utilizing historical daily price data from 1994 to 2017 by probabilistic regression approaches. The authors divide the study period into three distinct regimes based on regulatory limit mechanisms.

Findings

Based on demarcated regimes, the authors find evidence of magnet effect in Bursa Malaysia throughout all regimes, with a heightened magnitude detected between 2002 and 2013. Moreover, upper limit scenarios exhibit a greater propensity for magnet effect. The authors end the paper with implications of the findings for portfolio managers, intraday traders, and policymakers.

Originality/value

The research is the first of its kind in attempting to measure the magnet effect in Malaysia via overnight jumps.

Details

Journal of Capital Markets Studies, vol. 2 no. 2
Type: Research Article
ISSN: 2514-4774

Keywords

Article
Publication date: 2 July 2019

Laila Memdani and Guruprasad Shenoy

The purpose of this paper is to study the following: short-run and long-run associations between the terror-affected country’s stock market index and other global…

Abstract

Purpose

The purpose of this paper is to study the following: short-run and long-run associations between the terror-affected country’s stock market index and other global countries’ equity indices and gold; the volatility of stock market indices when one of the countries is affected by a terrorist attack; and the linkages between terrorism and the returns in the selected stock markets.

Design/methodology/approach

To study the impact of the Taj attack on other global indices, the authors selected top five countries’ stock market indices, namely, FTSE, DJI, NIKKEI, SSEC and DAX. The short-run and long-run associations are also compared with gold. The authors used the autoregressive distributed lag model, LM test and bounds test for analyzing the short-run and long-run impact; ARCH family models to study the volatility impact; and the MAR model to study the impact on returns.

Findings

The authors found that all the global indices had a short-run association with the terror-affected country’s benchmark index, i.e. BSE. Gold moved as expected, with it having a short-run impact on the terror-affected country. All the global indices except DJI have volatility of share price movement either positively or negatively. As the benchmark of the terror-affected country fell, NIKKEI, HSI, IXIC, DAX and CAC also fell; that is, it had a positive influence on the terror-affected country’s index. Post the Mumbai attacks, DJI, NIKKEI, SSEC, DAX, BSE and CAC performed well in performance measure returns compared with the pre-attack period. Whereas, FTSE and GOLD performed well in performance measure returns in the pre-attack period compared with the post-attack period. GOLD proved that it is the best avenue to invest in, as it has only a short-term association with the terror-affected country’s index.

Research limitations/implications

The authors studied the short-run and long-run associations with only five countries’ benchmark indices.

Practical implications

The authors found that all the global indices had long- and short-run associations with the terror-affected country’s benchmark index, i.e. BSE. Global indices like DJI, NIKKEI, SSEC, DAX and FTSE had a short-term association with the affected country’s index. Gold moved as expected, with it having a short-run impact on the terror-affected country. All the global indices except DJI have volatility of share price movement either positively or negatively. As the benchmark of the terror-affected country fell, NIKKEI, HSI, IXIC, DAX, TSX, BVSP and CAC also fell; i.e., it had a positive influence on the terror-affected country’s index. Post the Mumbai attacks, DJI, NIKKEI, SSEC, DAX, BSE and CAC performed well in performance measure returns compared with the pre-attack period. Whereas, FTSE and GOLD performed well in performance measure returns in the pre-attack period compared with the post-attack period. GOLD proved that it is the best avenue to invest in, as it has only a short-term association with the terror-affected country’s index. In all the relationships were mixed with respect to terror attacks, and GOLD took the lead run out of all the associations it had in the 16-year time span from 2000 to 2016.

Social implications

The research has got an important implication to the investors. It shows that patience is the key, as all the indices had only short-term associations with the BSE. It implies that investors’ returns will be negative in the short run, but if they continue investing, in the long run, the impact of terrorism tapers out and the returns will increase.

Originality/value

There is a lot of research done on the impact of the US attacks on the stock markets of other countries, but on the impact of the Taj attack in India, there is hardly any research.

Details

Journal of Financial Crime, vol. 26 no. 3
Type: Research Article
ISSN: 1359-0790

Keywords

Article
Publication date: 9 January 2019

Eliud Moyi

The study aims to pose the question: Has lending to small businesses been a source of increased risk in microfinance institutions (MFIs)? This question is pertinent given…

Abstract

Purpose

The study aims to pose the question: Has lending to small businesses been a source of increased risk in microfinance institutions (MFIs)? This question is pertinent given the higher levels of perceived riskiness of lending to small business operators owing to their opacity.

Design/methodology/approach

The study accommodates panel bias by using system generalised method of moments (GMM) estimators on micro-level data from 2004 to 2014.

Findings

Study findings indicate that lending to small businesses by MFIs does not affect credit and insolvency risk in these institutions. However, using disaggregated data, there is evidence that lending to small businesses by cooperatives significantly reduces their insolvency risk exposure. Conversely, lending to small business by micro-banks, cooperatives, non-bank financial institutions and non-governmental organizations does not significantly affect their risk exposure.

Practical implications

These findings imply that the technologies that have been used by MFIs in lending to small enterprises have helped them mitigate the problems of adverse selection and moral hazard.

Originality/value

Information economics theory postulates that small firms are excluded from formal financial markets owing to their opacity. The hypothesis has not attracted much empirical research interest; hence, this study aims to bridge this gap in knowledge.

Details

The Journal of Risk Finance, vol. 20 no. 1
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 10 November 2014

Soheil Kazemian, Rashidah Abdul Rahman and Zuraeda Ibrahim

This study aims to evaluate the current practices conducted based on in-depth interviews with 16 Amanah Ikhtiar Malaysia (AIM) medium-level managers who were selected…

Abstract

Design/methodology/approach

This study aims to evaluate the current practices conducted based on in-depth interviews with 16 Amanah Ikhtiar Malaysia (AIM) medium-level managers who were selected randomly, including branch managers and operational officers. All of the interviewees have two characteristics; they face customers directly and influence their decision-making.

Findings

Based on the findings of this study, AIM has a high level of customer orientation and inter-function coordination and a middle level in competitor orientation.

Originality/value

This paper initially presents the definition of a unique concept, namely, Islamic market orientation, which is defined based on the incorporation of Islamic concepts and market orientation by discussing the characteristics of Islamic market-oriented organisations. Then, an empirical discussion for evaluating market orientation in a microfinance provider is presented. The paper uses the synthesis of different real positions for developing discussions on whether AIM is following market orientation strategies, and, if so, at which level it is located from each dimension’s point of view.

Details

Qualitative Research in Financial Markets, vol. 6 no. 3
Type: Research Article
ISSN: 1755-4179

Keywords

Article
Publication date: 9 March 2020

Imtiaz Sifat and Azhar Mohamad

Despite regulatory claims of straitening volatility and preventing crashes, evidences on circuit breakers' ability to achieve so are nonconclusive. While previous scholars…

Abstract

Purpose

Despite regulatory claims of straitening volatility and preventing crashes, evidences on circuit breakers' ability to achieve so are nonconclusive. While previous scholars studies general performances of circuit breakers, the authors examine whether Malaysian price limits aggravate volatility, impede price discovery, and interfere with trading activities in both tranquil and stressful periods.

Design/methodology/approach

The study uses a combination of parametric and nonparametric techniques consistent with Kim and Rhee (1997) to examine the major ex-post hypotheses in circuit breaker research.

Findings

For calm markets, the authors find significant success of upper limits in tempering volatility with low trading interference. Lower limits show mixed results. Conversely, in crisis markets limits fare poorly in nearly all aspects, particularly for lower limits.

Practical implications

Ramifications of the paper's findings are discussed through highlighting the asymmetric nature of price limits' ex-post effects. The paper also contributes to regulatory debate surrounding the quest for an optimal price limit.

Originality/value

The paper is the first of its kind in documenting long-horizon evidence of ex-post effects of a wide-band price limit. Moreover, the paper is unique in its approach in bifurcating circuit breaker performance along the line of market stability periods.

Details

Journal of Economic Studies, vol. 47 no. 2
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 6 March 2017

Madhu Sehrawat and A.K. Giri

The purpose of this paper is to investigate the relationship between financial development indicators and human capital for Asian countries using the annual data from 1984-2013.

Abstract

Purpose

The purpose of this paper is to investigate the relationship between financial development indicators and human capital for Asian countries using the annual data from 1984-2013.

Design/methodology/approach

The stationarity of the variables are checked by Levin-Lin-Chu, Im-Pesaran-Shin, Fisher-type augmented Dickey-Fuller and Philips-Perron panel unit-root tests. The Pedroni’s and Kao’s panel co-integration approaches are employed to examine the long-run relationship among the variables. To estimate the coefficients of co-integrating vectors, both panel dynamic ordinary least squares (PDOLS) and fully modified ordinary least squares (FMOLS) techniques are used. The short-term and long-run causality is examined by panel granger causality.

Findings

The Pedroni’s and Kao’s co-integration approaches support the existence of the long-run relationship among the indicators of financial development, economic growth and human capital. The PDOLS and FMOLS estimators revealed that both financial development indicators and economic growth variable act as an important driver for the increase in human capital. The results of panel granger causality indicate that causality runs from indicators of financial development, economic growth and public spending on education to human capital.

Originality/value

There is hardly any study that examine the impact of financial development indicators and economic growth on human capital in Asian economies, therefore the present study fill the research gap in the literature.

Details

International Journal of Social Economics, vol. 44 no. 3
Type: Research Article
ISSN: 0306-8293

Keywords

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