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Article
Publication date: 23 January 2007

Soo‐Wah Low and Noor Azlan Ghazali

The primary objective of the paper is to examine the short and long run price linkages between Malaysian unit trust funds and the stock market index as proxied by the…

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Abstract

Purpose

The primary objective of the paper is to examine the short and long run price linkages between Malaysian unit trust funds and the stock market index as proxied by the Kuala Lumpur composite index (KLCI) over the period 1996‐2000.

Design/methodology/approach

Cointegration analyses are used to identify the long run relationship between unit trust funds and the stock market index while Granger causality tests are used to measure the short run price linkages.

Findings

Cointegration results show that the long run pricing performance of the unit trust funds differs significantly from that of the KLCI. Interestingly, the findings also reveal that two index funds are found not to be cointegrated with the stock market index. In the short run, one‐way Granger causality test shows that changes in the KLCI Granger causes changes in the unit trust funds. This suggests that fund managers are responding to the past changes in the stock market index over the short run.

Research limitations/implications

The findings of non‐cointegration between passively managed funds and the KLCI are restricted to only two index funds in the sample among other actively managed funds. Since there were not enough index funds available over the study period, future research should include more index funds in the analysis.

Practical implications

In the short run, investors may gather information on the changes in their portfolio composition by observing the movement in the KLCI.

Originality/value

The paper represents the first evidence on the pricing relationships between unit trust funds and the local stock market index and the findings are important to investors in terms of their investment strategies.

Details

Managerial Finance, vol. 33 no. 2
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 1 May 1994

Christos Negakis and Dimitris Kambouris

This paper explores some institutional aspects of the Athens Stock Exchange (ASE) and investigates the time‐series properties of three major ASE stock indices. The results…

Abstract

This paper explores some institutional aspects of the Athens Stock Exchange (ASE) and investigates the time‐series properties of three major ASE stock indices. The results depict that future returns on these indices are difficult to predict. However, volatility in these indices can be predictable using the GARCH models. Various models for predicting volatility patterns are presented.

Details

Managerial Finance, vol. 20 no. 5
Type: Research Article
ISSN: 0307-4358

Article
Publication date: 6 May 2022

Niaz Ahmed Bhutto, Shabeer Khan, Uzair Abdullah Khan and Anjlee Matlani

The purpose of this study is to investigate the impact of COVID-19 on conventional and Islamic stocks by using the data spanning from February 25, 2020, to February 3…

Abstract

Purpose

The purpose of this study is to investigate the impact of COVID-19 on conventional and Islamic stocks by using the data spanning from February 25, 2020, to February 3, 2021, and employing a panel regression approach.

Design/methodology/approach

In this study a panel regression approach has been used.

Findings

The study finds a negative association between COVID-19 and stock (both Islamic and conventional). After splitting the data into 1st and 2nd waves, the relationship between COVID-19 and stock (both Islamic and conventional) remains the same (negative) in the case of the 1st wave. In contrast, in the case of the 2nd wave, the relationship turned out to be positive. During both waves of the pandemic, the magnitude of the effect is found to be higher for conventional stocks. Additionally, the study also analyzes the aggregate influence of COVID-19 on different sectors and finds that commercial banks, oil and gas exploration and marketing companies are the most influenced sectors. At the same time, automobiles and pharma are the least affected sectors.

Practical implications

The study suggests that markets start gaining momentum to reach their prepandemic level after absorbing the initial shock (emergence of a pandemic). The study also provides thorough insights for market regulators and policymakers by implying the dynamic relations between markets (conventional and Islamic) and financial crisis, which would allow them more effective control of crisis in future endeavors.

Originality/value

This is one of the first studies to investigate the impact of COVID-19 on both conventional and Islamic stocks, especially in the context of Pakistan.

Details

Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1026-4116

Keywords

Book part
Publication date: 24 June 2017

Adrian Zicari

The chapter describes the recent history of Sustainability Indices in three Latin American countries: Brazil, Mexico, and Chile. In these countries, local Stock Exchanges…

Abstract

The chapter describes the recent history of Sustainability Indices in three Latin American countries: Brazil, Mexico, and Chile. In these countries, local Stock Exchanges have been recently launching their own Sustainability Indices. This ongoing trend may indicate a particular way of addressing Socially Responsible Investment (SRI) in the region. The chapter relies on secondary data, mainly documents published by the Stock Exchanges themselves, and on some selected academic and practitioner oriented articles. All three countries present some common features. In all cases, local stock markets launched Sustainability Indices, and their composition has been publicly available from the beginning. Consequently, SRI is now developing in the region in a different way from that of developed markets. The chapter is based on secondary data only. Further research may involve interviews and surveys with different stakeholders (i.e., investors, quoted companies, public officials). The illustration of a different way of developing an SRI market may help public officials and investors from other countries, either in Latin America or elsewhere, who intend to promote SRI. There are few studies on SRI in Latin America, and comparative research between different countries in the region is still rare.

Details

Corporate Social Responsibility and Corporate Governance
Type: Book
ISBN: 978-1-78714-411-8

Keywords

Book part
Publication date: 23 March 2017

Patrícia Lacerda de Carvalho and Orleans Silva Martins

Corporate social responsibility (CSR) and corporate sustainability have gained prominence in the major capital markets. In Brazil, the São Paulo Stock Exchange…

Abstract

Corporate social responsibility (CSR) and corporate sustainability have gained prominence in the major capital markets. In Brazil, the São Paulo Stock Exchange (BM&FBovespa) has created the Corporate Sustainability Index (ISE) and the Carbon Efficient Index (ICO2), responsible for indicating the performance of sustainable companies. Therefore, this study proposes to examine and compare the stock returns of the sustainability index member companies with the returns of companies out of these indexes. In this methodology we selected the two principal negotiability indexes of that market (IBOV and IBrX50), which are indexes that meet the most traded stocks of BM&FBovespa, and calculated the average daily returns of the four indexes in order to make performance comparisons over the period 2005–2014, based on nonparametric statistical tests. Our findings indicate that the average returns of sustainability indexes were higher, but these differences were not statistically significant, confirming previous evidence. Additionally, by means of a cointegration test, we found that the indexes are cointegrated in the long term. These findings are limited to the analyzed emerging market and are also subject to the limitations of the estimated models. Thus, we can infer that presence in the sustainability indexes does not indicate statistically significant higher returns, which means that companies with sustainable practices in Brazil are not only concerned with economic performance, but also with social, cultural, and environmental issues. The main findings are aligned with the concept of triple bottom line, even in the case of an emerging market.

Details

Advances in Environmental Accounting & Management: Social and Environmental Accounting in Brazil
Type: Book
ISBN: 978-1-78635-376-4

Keywords

Book part
Publication date: 24 January 2022

Münevvere Yıldız and Letife Özdemir

Purpose: Investors and portfolio managers can earn profitably when they correctly predict when stock prices will go up or down. For this reason, it is crucial to know the…

Abstract

Purpose: Investors and portfolio managers can earn profitably when they correctly predict when stock prices will go up or down. For this reason, it is crucial to know the effect levels of the factors that affect stock prices. In addition to macroeconomic factors, the psychological behavior of investors also affects stock prices. Therefore, the study aims to reveal the different sensitivity levels of the stock index against macroeconomic and psychological factors.

Design/Methodology/Approach: In this study, dollar rate (USD), euro rate (EURO), time deposit interest rate (IR), gold price (GOLD), industrial production index (IPI), and consumer price index (CPI) (inflation (INF)) were used as macroeconomic factors, while Consumer Confidence Index (CCI) and VIX Fear Index (VIX) were used as psychological factors. In addition, the BIST-100 index, which is listed in Borsa Istanbul, was used as the stock index. The sensitivity of the stock index to macroeconomic and psychological factors was investigated using the Multivariate Adaptive Regression Spline (MARS) method using data from January 2012 to October 2020.

Findings: In the analyses performed using the MARS method, the coefficients of INF, USD, EURO, IR, CCI, and VIX Index were found to be statistically significant and effective on the stock index. Among these variables, INF has the highest effect on stocks. It is followed by USD, IR, EURO, CCI, and VIX. GOLD and IPI variables did not show statistical significance in the model. The most important difference of the MARS model from other regressions is that each factor’s effect on the stock index is analyzed by separating it according to the value of the factor. According to the results obtained from the MARS model: (1) it has been determined that USD, EURO, IR, and CPI have both positive and negative effects on the stock market index and (2) CCI and VIX have been found to have negative effects on stocks. These results provide essential information about how investors who plan to invest in the stock index should take into consideration different macroeconomic and psychological values.

Originality/value: This study contributes to the literature as it is one of the first studies to examine the effects of factors affecting the stock index by decomposing it according to the values it takes. Also, this study provides additional information by listing the factors affecting the stock index in order of importance. These results will help investors, portfolio managers, company executives, and policy-makers understand the stock markets.

Details

Insurance and Risk Management for Disruptions in Social, Economic and Environmental Systems: Decision and Control Allocations within New Domains of Risk
Type: Book
ISBN: 978-1-80117-140-3

Keywords

Book part
Publication date: 2 December 2003

Y.Peter Chung, Jun-Koo Kang and S.Ghon Rhee

We examine the impact of the unique Japanese stock market microstructure on the pricing of stock index futures contracts. We use intraday transactions data for the Nikkei…

Abstract

We examine the impact of the unique Japanese stock market microstructure on the pricing of stock index futures contracts. We use intraday transactions data for the Nikkei 225 Futures contracts in Osaka and the corresponding Nikkei 225 Index in Tokyo. Incorporating more realistic transaction-cost estimates and various institutional impediments in Japan, we find that the time-varying liquidity of some component shares of the index in Tokyo represents the most critical impediment to intraday arbitrage and often causes futures prices in Osaka to deviate significantly and persistently from their no-arbitrage boundary, especially for longer-lived contracts.

Details

The Japanese Finance: Corporate Finance and Capital Markets in ...
Type: Book
ISBN: 978-1-84950-246-7

Article
Publication date: 24 December 2021

Yang Gao, Yangyang Li and Yaojun Wang

This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.

Abstract

Purpose

This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.

Design/methodology/approach

This study takes the Baidu index of “green finance” as the proxy for investor attention and constructs several generalized prediction error variance decomposition models to investigate the interdependence. It further analyzes the dynamic interaction between investor attention and the return and volatility of green security markets using the rolling time window.

Findings

The empirical analysis and robustness test results reveal that the spillovers between investor attention and the return and volatility of the green bond market are relatively stable. In contrast, the spillover level between investor attention and the green stock market displays significant time-varying and asymmetric effects. Moreover, the volatility spillover between investor attention and green securities is vulnerable to major financial events, while the return spillover is extremely sensitive to market performance.

Originality/value

The conclusion further expands the practical application and theoretical framework of behavioral finance in green finance and provides a new reference for investors and regulators. Besides, this study also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management in green securities.

Details

China Finance Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 1 January 1998

Michael E. Parker and Tammy Rapp

The various stock market indexes are interrelated due to the similar fundamentals which determine the movement in the respective markets. Applying the efficient market…

Abstract

The various stock market indexes are interrelated due to the similar fundamentals which determine the movement in the respective markets. Applying the efficient market hypothesis, an investor should not be able to predict the movement of one index based on the past movement of another index. If the stock markets are efficient, then no long term comovement should exist between stock market indexes. The existence of a long term relation can be tested by use of cointegration tests and common serial correlation feature tests. If no cointegration exists and if no common serial correlation feature exists, then we would not be rejecting efficiency of the stock markets. Using the S&P 500 stock index, the Wilshire 5000 index, and the NASDAQ index, the Hang Seng index, the Footsie index, and the Nikkei index to proxy world stock market indexes, the empirical results of the cointegration and common feature test support the efficiency of the stock markets in most instances. However, the Footsie index consistently demonstrated a relation with the three US stock market indexes included in the study.

Details

Studies in Economics and Finance, vol. 19 no. 1/2
Type: Research Article
ISSN: 1086-7376

Article
Publication date: 4 November 2021

Chiraz Labidi, Dorra Laribi and Loredana Ureche-Rangau

This study explores the price and trading volume effects around the quarterly Dow Jones Islamic Market-GCC index (DJIM-GCC) revisions and investigates whether these…

Abstract

Purpose

This study explores the price and trading volume effects around the quarterly Dow Jones Islamic Market-GCC index (DJIM-GCC) revisions and investigates whether these reactions are driven by firms' fundamentals or by investors' perception of ethical screening.

Design/methodology/approach

The authors adopt an event study methodology to analyze the price and volume effects of Islamic indices redefinitions.

Findings

The results exhibit a positive (negative) price reaction for added (deleted) stocks. The authors also document an asymmetric volume response for index additions and deletions. The multivariate analysis of the cumulative abnormal returns reveals that the documented market reaction around Islamic index revisions is mainly related to the compliance attribution (withdrawal).

Originality/value

The approach allows to separate the market reaction arising from changes in firms' fundamentals from that induced by investors' perception of the attribution or withdrawal of a compliance certification. Moreover, the focus on the GCC region, where countries share the same cultural traits and perceive Islamic law identically excludes any social effect that would influence the market reaction due to cultural differences between countries.

Details

Managerial Finance, vol. 48 no. 2
Type: Research Article
ISSN: 0307-4358

Keywords

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