Search results

1 – 4 of 4
Article
Publication date: 14 January 2022

Sitara Karim, Muhammad Abubakr Naeem, Nawazish Mirza and Jessica Paule-Vianez

This study quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets…

Abstract

Purpose

This study quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer hedging facilities to uncertainty indices of cryptocurrencies.

Design/methodology/approach

The authors employed the methodology of Baur and McDermott (2010) and AGDCC-GARCH model to measure the hedge and safe-haven characteristics of three bond markets (BBGT, SPGB and SKUK) for three uncertainty indexes of cryptocurrencies (UCRPR, UCRPO and ICEA).

Findings

The authors find that bond markets are neither hedge nor safe havens except for SKUK which is a safe haven investment for cryptocurrency indices and offers substantial diversification during the periods of economic fragility. In addition, the hedge effectiveness of SPGB outperforms other bonds during crisis periods and provides sufficient diversification potential for cryptocurrency indices.

Practical implications

The findings are important for policymakers, regulatory bodies, financial firms and investors in assessing hedge and safe haven characteristics of bond markets against cryptocurrency indices.

Originality/value

Employing the novel methodology of AGDCC-GARCH with three different bond markets and three uncertainty indices of cryptocurrencies, the current study adds to the existing strand of literature in terms of quantifying hedge and safe-haven attributes of bond markets for cryptocurrency uncertainty indexes.

Details

The Journal of Risk Finance, vol. 23 no. 2
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 26 September 2022

Larisa Yarovaya and Nawazish Mirza

The purpose of this paper is to assess the impact of the Ukraine–Russia military conflict on the returns and investment flows of equity funds across multiple countries.

Abstract

Purpose

The purpose of this paper is to assess the impact of the Ukraine–Russia military conflict on the returns and investment flows of equity funds across multiple countries.

Design/methodology/approach

Using a comprehensive sample of 1,281 equity funds in 40 countries. The countries were segregated into conflict states, members of NATO, and those which abstained from voting on the UN resolution on March 2, 2022. The authors employ a GARCH-based event study and estimate CARs for t−5, t−3, t, t + 3, and t + 5 event windows. Further, the authors use panel estimation to assess the link between the CARs and the investment exposure of the sample funds.

Findings

The findings highlight an adverse reaction of mutual funds in Russia, Ukraine, and the NATO States. On the contrary, the mutual funds in the countries that abstained during the voting on the UN resolution on March 2nd posted positive abnormal returns. Similarly, the investment exposure towards the conflicted countries and NATO states is unfavorable except for the abstained countries.

Originality/value

This is the primary study to evaluate the impact of the recent geopolitical tensions on mutual funds domiciled across various geographical locations.

Details

The Journal of Risk Finance, vol. 23 no. 5
Type: Research Article
ISSN: 1526-5943

Keywords

Article
Publication date: 24 August 2020

Krishna Reddy, Muhammad Ali Jibran Qamar, Nawazish Mirza and Fangwei Shi

The purpose of the study is to examine overreaction effect in the Chinese stock market after the global financial crisis (GFC) of 2007 for all the stocks listed in…

Abstract

Purpose

The purpose of the study is to examine overreaction effect in the Chinese stock market after the global financial crisis (GFC) of 2007 for all the stocks listed in Shanghai Stock Exchange (SSE) Composite 50 index.

Design/methodology/approach

To capture overreaction effect in the stock listed at SSE 50 Index, a time series analysis of average cumulative abnormal return within a unified framework is applied for the period of January 2009 to December 2015. From these loser and winner portfolios, contrarian strategy is applied to build arbitrage portfolio, which is the difference of mean reversions between loser and winner portfolios. The portfolio construction is based on a 12-month formation period and 6-month testing period for intermediate-term analysis and. for short-term analysis, 6 month formation and 3 month testing periods. The authors also applied regression analysis to test a return reversal effect for the sampled period.

Findings

Results show that contrarian strategy yields positive excess returns for the arbitrage portfolio for most of the testing periods. The intermediate baseline case shows the arbitrage portfolio producing an average excess return of 14.1%, while even the short-term one produces 4%, which is statistically significant at the 5% level. The study finds asymmetrical overreactions in the SSE especially for loser portfolios. The biggest winner and loser portfolios follow the mean reversal effect. Moreover, before-after test for the biggest winner and loser portfolios shows that the losers recovered and beat the market immediately.

Practical implications

The study could benefit government, policy makers and regulators by studying how presence of more individual investors than institutional investors of China stock market leads to more irrational decisions giving rise to volatility. The regulators could build favourable policies for institutional investors to give them incentive to invest more than individual investors through which market volatility could be controlled.

Originality/value

This research contributes to market behaviour research, showing how working under hypotheses of overreaction; gains can be made with contrarian investment strategy through arbitrage portfolios. The authors provide specific additional support for the short and medium-term overreaction in the SSE for the period 2009–2015 using regression analysis.

Contribution to Impact

This research contributes to market behaviour research, showing how working under hypotheses of overreaction; gains can be made with contrarian investment strategy through arbitrage portfolios. We provide specific additional support for the short and medium-term overreaction in the SSE for the period 2009–2015 using regression analysis.

Details

International Journal of Managerial Finance, vol. 17 no. 3
Type: Research Article
ISSN: 1743-9132

Keywords

Article
Publication date: 3 May 2022

Amine Ben Amar, Mondher Bouattour and Jean-Etienne Carlotti

This study aims to investigate the time-frequency comovement between wheat futures traded on three US markets (Chicago Board of Trade (CBOT), Kansas City Board of Trade…

Abstract

Purpose

This study aims to investigate the time-frequency comovement between wheat futures traded on three US markets (Chicago Board of Trade (CBOT), Kansas City Board of Trade (KCBOT) and Minneapolis Grain Exchange (MGE)) at different maturities and a global equity index.

Design/methodology/approach

As they allow to trace transitional shifts over time and across different frequency bands, this paper relies on continuous wavelet tools to investigate the time-frequency comovement among wheat and global stock markets.

Findings

The results show an increase in wheat futures prices at all maturities and a weak integration level within each wheat market during the subprime crisis. Moreover, the wavelet power spectra maps show high wheat and equity price volatility at different time scales and for various subperiods. Furthermore, the continuous wavelet coherence highlights time-frequency-varying comovements between the markets considered, which become particularly high during times of crisis.

Practical implications

The results provide market participants with a better understanding of the nature as well as the magnitude of the relationship between the global financial market and different wheat markets at different maturities and during tranquil and crisis periods. Indeed, from investors' perspective it is important to understand how markets are segmented or integrated during tranquil and crisis periods in order to better assess risks, diversify portfolios and implement more effective hedging strategies. As for regulators, a better understanding of the level of integration of different markets would further help refine macroprudential policies, and thus strengthen financial stability and resilience.

Originality/value

This paper enriches the existing literature by investigating the time-frequency comovement between wheat and a global equity market. Indeed, the dynamics between stock and wheat markets across different nearest to maturities have not been widely explored by previous studies.

Details

The Journal of Risk Finance, vol. 23 no. 4
Type: Research Article
ISSN: 1526-5943

Keywords

1 – 4 of 4