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We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis demonstrates that, under these conditions, the perpetual put option consistently commands a higher price during periods of high volatility compared to those of low volatility. Moreover, we establish that the optimal exercise boundary is lower in high-volatility regimes than in low-volatility regimes. Additionally, we develop an analytical framework to describe American puts with an Erlang-distributed random-time horizon, which allows us to propose a numerical technique for approximating the value of American puts with finite expiry. We also show that a combined approach involving randomization and Richardson extrapolation can be a robust numerical algorithm for estimating American put prices with finite expiry.

The purpose of this study is to examine the propagation of consumer and business confidence in the euro area with a particular focus on the global financial crisis (GFC), the European sovereign debt crisis (ESDC) and the COVID-19-induced Great Lockdown.

The authors apply Diebold and Yilmaz’s connectedness framework and the improved method based on the time-varying parameter vector autoregressive model.

The authors find that although the evolution of business confidence marked the GFC and the ESDC the role of consumer confidence (mainly in those countries with stricter containment and closure measures) increased in the COVID-19-induced crisis.

The findings are related to the different origins of the examined crisis periods, and the analysis of their interrelationship is a very relevant topic for future research.

The empirical studies of the options market efficiency have reported contradictory results, which sometimes confuse practitioners and academicians. The aim of this study was to clarify several aspects of options market efficiency by exploring the answers to two main questions: Under what conditions is the options market more efficient? Are the discrepancies in the estimated efficiency due to the reality of efficiency or mismeasurement?

Using a meta-analysis approach, 54 studies have been analyzed, which included 1,315 tests. The sum of the observations for all of the tests is 3.7 m observation sets. The effect size (type r) has been used to compare the different statistics in different studies. The cumulative effect size and its diversification have been calculated by the random effects model and Q statistic, respectively.

The most interesting finding of the study was that the options market, in all circumstances, is significantly inefficient. Another important finding was that the heterogeneity of options market efficiency is due to the complexity of pricing relations, test time, violation index and price type. To overcome this heterogeneity and accuracy, future studies should test the no-arbitrage options pricing relations at different times and by different price types, using complex and simple pricing relations and either mean violation or violation ratio efficiency measures.

Public disagreement about the options market efficiency in past studies means that this variable is heterogeneous in different conditions. As a significant contribution, this study develops the literature by proposing the causes of options market efficiency heterogeneity.

This study aims to identify calendar anomalies that can affect stock returns and asymmetric volatility. Thus, the objective of this study is twofold: on the one hand, it examines the impact of calendar anomalies on the returns of both conventional and Islamic indices in Indonesia, and on the other hand, it analyzes the impact of these anomalies on return volatility and whether this impact differs between the two indices.

The authors apply the GJR-generalized autoregressive conditional heteroskedasticity model to daily data of the Jakarta Composite Index (JCI) and the Jakarta Islamic Index for the period ranging from October 6, 2000 to March 4, 2022.

The authors provide evidence that the turn-of-the-month (TOM) effect is present in both conventional and Islamic indices, whereas the January effect is present only for the conventional index and the Monday effect is present only for the Islamic index. The month of Ramadan exhibits a positive effect for the Islamic index and a negative effect for the conventional index. Conversely, the crisis effect seems to be the same for the two indices. Overall, the results suggest that the impact of market anomalies on returns and volatility differs significantly between conventional and Islamic indices.

This study provides useful information for understanding the characteristics of the Indonesian stock market and can help investors to make their choice between Islamic and conventional equities. Given the presence of some calendar anomalies in the Indonesia stock market, investors could obtain abnormal returns by optimizing an investment strategy based on seasonal return patterns. Regarding the day-of-the-week effect, it is found that Friday’s mean returns are the highest among the weekdays for both indices which implies that investors in the Indonesian stock market should trade more on Fridays. Similarly, the TOM effect is significantly positive for both indices, suggesting that for investors are called to concentrate their transactions from the last day of the month to the fourth day of the following month. The January effect is positive and statistically significant only for the conventional index (JCI) which implies that it is more beneficial for investors to invest only in conventional assets. In contrast, it seems that it is more advantageous for investors to invest only in Islamic assets during Ramadan. In addition, the findings reveal that the two indices exhibit lower returns and higher volatility, which implies that it is recommended for investors to find other assets that can serve as a safe refuge during turbulent periods. Overall, the existence of these calendar anomalies implies that policymakers are called to implement the required measures to increase market efficiency.

The existing literature on calendar anomalies is abundant, but it is mostly focused on conventional stocks and has not been sufficiently extended to address the presence of these anomalies in Shariah-compliant stocks. To the best of the authors’ knowledge, no study to date has examined the presence of calendar anomalies and asymmetric volatility in both Islamic and conventional stock indices in Indonesia.

Given the dearth of thorough summaries in the literature, this systematic review and bibliometric analysis attempt to take a meticulous approach meant to present knowledge on the constantly developing subject of stock market volatility during crises. In outline, this study aims to map the extant literature available on stock market volatility during crisis periods.

The present study reviews 1,283 journal articles from the Scopus database published between 1994 and 2022, using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) 2020 flow diagram. Bibliometric analysis through software like R studio and VOSviewer has been performed, that is, annual publication trend analysis, journal analysis, citation analysis, author influence analysis, analysis of affiliations, analysis of countries and regions, keyword analysis, thematic mapping, co-occurrence analysis, bibliographic coupling, co-citation analysis, Bradford’s law and Lotka’s law, to map the existing literature and identify the gaps.

The literature on the effects of crises on volatility in financial markets has grown in recent years. It was discovered that volatility intensified during crises. This increased volatility can be linked to COVID-19 and the global financial crisis of 2008, as both had massive effects on the world economy. Moreover, we identify specific patterns and factors contributing to increased volatility, providing valuable insights for further research and decision-making.

The present study is confined to the areas of economics, econometrics and finance, business, management and accounting and social sciences. Future studies could be conducted considering a broader perspective.

Most of the available literature has focused on the impact of some particular crises on the volatility of financial markets. The present study is not limited to some specific crises, and the suggested research directions will serve as a guide for future research.

This study examines the value implications of oil price uncertainty for investors in diversified firms using a sample of 922 USA firms from 2001 to 2019.

Our study employs a panel dataset to examine the value implications of oil price uncertainty for diversified firm investors. We consider several alternative specifications to account for unobserved factors and measurement errors that could potentially bias our results. In particular, we use alternative measures of the excess value of diversified firms and oil price uncertainty, additional control variables, fixed-effects models, the Oster test, impact threshold for confounding variable (ITCV) analysis, two-stage least square instrumental variable (2SLS-IV) analysis and the system-GMM model.

We find that the excess value of diversified firms, relative to a benchmark portfolio of single-segment firms, increases with high oil price uncertainty. The impact of oil price uncertainty is asymmetric, as corporate diversification is value-increasing for diversified firm investors only when the volatility is due to positive oil price changes and amidst supply-driven oil price shocks. The excess value increases irrespective of diversified firms’ financial constraints and oil usage. Diversified firms become conservative in their internal capital allocations with high oil price uncertainty. Such conservatism is value-increasing for diversified firm investors, as it supports higher performance in response to oil price uncertainty.

Our study has three important implications: first, they are relevant to investors in understanding the portfolio value implications of oil price uncertainty. Second, they are helpful for firm managers while comprehending the value-relevant implications of internal capital allocations. Finally, our findings are policy relevant in the context of the future of diversified firms in developed markets.

This study seeks to examine the relationship between macroeconomic shock indicators, namely geopolitical risk (GPR), global economic policy uncertainty (GEPU) and financial stress (FS), and returns as well as volatilities on seven carefully selected stock markets in Africa. Specifically, the study intends to unravel the co-movement and interdependence between the respective macroeconomic shock indicators and each of the stock markets under consideration across time and frequency.

This study employed wavelet coherence approach to examine the strength and stability of the relationships across different time scales and frequency components, thereby providing valuable insights into specific periods and frequency ranges where the relationships are particularly pronounced.

The study found that GEPU, Financial Stress (FS) and GPR failed to induce significant influence on African stock market returns in the short term (0–4 months band), but tend to intensify in the long-term band (after 6th month). On the contrary, stock market volatilities exhibited strong coherence and interdependence with GEPU, FSI and GPR in the short-term band.

This study happens to be the first of its kind to comprehensively consider how the aforementioned macro-economic shock indicators impact stock markets returns and volatilities over time and frequency. Further, none of the earlier studies has attempted to examine the relationship between macro-economic shocks, stock returns and volatilities in different crisis periods. This study is the first of its kind in to employ data spanning from May 2007 to April 2023, thereby covering notable crisis periods such as global financial crisis (GFC) and the COVID-19 pandemic episodes.

The study evaluates the influence of human capital efficiency (HCE) and market power on bank performance.

The study employs two measures of bank performance: profitability and stability. Unbalanced panel data of 35 banks operating in Kenya for 2005–2020 collected from published financial statements is utilized. The study employs the feasible generalized least squares (FGLS) method in the analysis and the two-step system generalized method of moments (GMM) for robustness check.

The study affirms an inverted U-shaped relationship between market power and bank performance. The effect of market power on bank profitability is enhanced when a bank has highly efficient human capital. Further, HCE significantly impacts bank stability for banks with low HCE. Interestingly, a further increase in HCE narrows the net interest margins for banks with high HCE, conferring welfare benefits to customers as interest rate spreads shrink.

This study provides important insights into the role of human capital in bank performance. First, banks ought to invest in promoting HCE through training and development. As regulators root for bank consolidation, attention to HCE is imperative for fostering profitability and stability.

The study fills an essential gap in the literature by evaluating the effect of firm-level market power on bank performance in an emerging market. We adopt a novel stochastic frontier estimator to generate the Lerner index. Further, this is the first study known to the authors to evaluate the effect of market power on bank performance in the context of human capital efficiency variations.

This study analyzes the impact of COVID-19 on agricultural production in South India by evaluating the influence of market channels and socioeconomic conditions on the production decisions of farmers during two key cropping seasons. We base our analysis on primary data from 200 marginal, small and medium farmers, primarily focusing on the key seasonal crops, namely paddy and black gram.

We studied the downstream supply chains of paddy and black gram crops in the district of Villupuram, situated in the South Indian state of Tamil Nadu. Using a Bi-Probit model, we analyzed the production decisions of marginal, small and medium farmers engaged in paddy and black gram cultivation. Various factors are considered, including farmers’ socioeconomic characteristics, gender, market channels accessed and the coping strategies employed.

After the easing of lockdown measures in June 2020, our research revealed substantial disruptions in agricultural production during the critical Kharif and Rabi seasons. Most farmers refrained from returning to their fields during the Kharif season; those who did produced millet as the main crop. Factors such as choice of market channels in previous seasons, economic status, access to all-weather roads, labor availability, gender and coping strategies played an important role in the return to production in the subsequent Kharif and Rabi seasons.

Our data revealed several interesting threads related to price volatility, irrigation and access to markets and their impact on food security. The role of intermediaries and market channels in providing liquidity emerges as an important aspect of farmers' choice of markets. The pandemic impacted all these factors, but a detailed analysis was beyond the scope of this study.

We also find that resilience to economic shocks varies not only by economic status but also by gender and social groups. Farmers with female members are more likely to be resilient, and marginal and small farmers primarily belong to social groups that are economically less developed.

This study contributes to the literature on factors influencing farmer choice and decision-making and provides nuances to discussions by analyzing crop-specific supply chains, highlighting the critical role of socioeconomic factors. It also highlights the role of demographics and infrastructural factors like access to all-weather roads and access to markets that influence farmers’ production decisions.

The primary objective of this study is to analyze the performance and risk characteristics of portfolios composed of Spanish family businesses (FBs) when sustainability and quality factors are taken into account. By comparing different portfolio compositions against a benchmark, the study aims to provide insights into the impact of these factors on portfolio performance.

This study employs an empirical approach to evaluate the performance and risk of portfolios consisting of Spanish family businesses (FBs) by incorporating sustainability and quality factors. It compares the results of various portfolios against a benchmark, utilizing GARCH models and the extended six-factor model of Fama and French for the period 2018–2023.

The findings reveal that investing in Spanish family businesses (FBs) yields higher returns compared to the index, with portfolios incorporating quality factors demonstrating superior performance. However, the inclusion of sustainability factors negatively affects portfolio performance. These results highlight the significance of considering sustainability and quality factors in portfolio construction and investment decisions.

This study contributes to the existing literature by examining the performance and risk implications of incorporating sustainability and quality factors into portfolios of family businesses. The findings offer valuable insights for investors and managers interested in constructing portfolios or developing financial products that balance risk and return effectively.