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Article
Publication date: 3 May 2019

Refk Selmi, Rangan Gupta, Christos Kollias and Stephanos Papadamou

Portfolio construction and diversification is a prominent challenge for investors. It reflects market agents’ behavior and response to market conditions. This paper aims…

Abstract

Purpose

Portfolio construction and diversification is a prominent challenge for investors. It reflects market agents’ behavior and response to market conditions. This paper aims to investigate the stock-bond nexus in the case of two emerging and two mature markets, India, South Africa, the UK and the USA, using long-term historical monthly data.

Design/methodology/approach

To address the issue at hand, copula quantile-on-quantile regression (C-QQR) is used to model the correlation structure. Although this technique is driven by copula-based quantile regression model, it retains more flexibility and delivers more robust and accurate estimates.

Findings

Results suggest that there is substantial heterogeneity in the bond-stock returns correlation across the countries under study point to different investors’ behavior in the four markets examined. Additionally, the findings reported herein suggest that using C-QQR in portfolio management can enable the formation of tailored response strategies, adapted to the needs and preferences of investors and traders.

Originality/value

To the best of the authors’ knowledge, no previous study has addressed in a comparative setting the stock-bond nexus for the four countries used here using long-term historical data that cover the periods 1920:08-2017:02, 1910:01-2017:02, 1933:01-2017:02 and 1791:09-2017:02 for India, South Africa, the UK and the USA, respectively.

Details

Studies in Economics and Finance, vol. 38 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 19 January 2021

Fatma Alahouel and Nadia Loukil

This study examines co-movements between global Islamic index and heterogeneous rated/maturity sukuk. It tests the impact of financial uncertainty on these movements.

Abstract

Purpose

This study examines co-movements between global Islamic index and heterogeneous rated/maturity sukuk. It tests the impact of financial uncertainty on these movements.

Design/methodology/approach

Firstly, we conduct a bivariate wavelet analysis to assess the co-movements between stocks and sukuk indexes. Secondly, we use General dynamic factor model and stochastic volatility to construct financial uncertainty index from Islamic stock indexes. Finally, we run regression analysis to determine the impact of uncertainty on the obtained correlations.

Findings

Our results suggest the absence of flight to quality phenomenon since correlations are positive especially at a short investment horizon. There is evidence of contagion phenomena across assets. Financial uncertainty may be considered as a determinant of stock-sukuk co-movements. Our results show that a rise in financial uncertainty induces correlation to move in the opposite direction in the short term, (exception for correlation with AA-Rated sukuk). However, the sign of stock market uncertainty becomes positive in the long term, which leads sukuk and stocks to move in the same direction (exception for 1–3 Year and AA Rated sukuk).

Practical implications

Investors may combine sukuk with 1–3 Year maturity and AA Rated when considering long holding periods. Further, all sukuk categories provide diversification benefit in time high financial uncertainty expectation for AA Rated sukuk when considering short holding periods.

Originality/value

To the best of our best knowledge, our study is the first investigation of the impact of financial uncertainty on Stock-sukuk co-movements and provides recommendation considering sukuk with different characteristics.

Details

International Journal of Emerging Markets, vol. 17 no. 8
Type: Research Article
ISSN: 1746-8809

Keywords

Content available
Article
Publication date: 27 July 2021

Wing-Keung Wong

166

Abstract

Details

Studies in Economics and Finance, vol. 38 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Open Access
Article
Publication date: 16 July 2019

Rabia Khatun and Jagadish Prasad Bist

The purpose of this paper is to examine the relationship between financial development, openness in financial services trade and economic growth in BRICS countries for the…

3584

Abstract

Purpose

The purpose of this paper is to examine the relationship between financial development, openness in financial services trade and economic growth in BRICS countries for the period 1990–2012.

Design/methodology/approach

An index for financial development has been constructed using principal component analysis technique by including banking sector development, stock market development, bond market development and insurance sector development. For the robustness of the result, the long-run cointegrating relationship amongst the variables has been analyzed.

Findings

Overall financial development has a positive and significant impact on economic growth. To take the full advantage of openness in financial services trade, countries need to put more emphasis on the development of their stock markets, bond markets and the insurance sector. The result shows that openness in financial services trade has a positive impact on economic growth when the stock market, bond market and insurance sector are included in the system.

Research limitations/implications

The policy implication of the findings is that policymakers should focus more on developing all four areas of finance to get the full benefit of the financial system on the process of economic growth.

Originality/value

The authors have constructed the better indicators of financial development in the case of BRICS economies. Most of the studies in BRICS economies have measured the development of the financial sector as either banking sector development or stock market development. However, the present study includes all four areas of finance (banking sector development, stock market development, insurance sector development and bond market development) into account.

Details

International Trade, Politics and Development, vol. 3 no. 2
Type: Research Article
ISSN: 2586-3932

Keywords

Article
Publication date: 28 September 2022

Ameet Kumar Banerjee

This paper investigates the influence of three different sentiment indicators on the time-varying stock–bond correlation of 15 countries during the global crisis period of…

Abstract

Purpose

This paper investigates the influence of three different sentiment indicators on the time-varying stock–bond correlation of 15 countries during the global crisis period of the coronavirus disease 2019 (COVID-19) pandemic.

Design/methodology/approach

The author uses the time-varying correlation estimated using the autoregressive moving average -dynamic conditional correlation - generalised autoregressive conditional heteroskedasticity (ARMA-DCC-GARCH) model to achieve this aim. The impact of investor sentiment on the stock–bond correlation was analysed using the Markov regime-switching regression.

Findings

The study results show that the sentiment indicators of fear, uncertainty and distress have a pronounced negative impact on the stock–bond correlation. They further provide evidence of a strong regime effect on the stock–bond correlation with sentiment indicators.

Practical implications

The paper has a relevant impact on policymakers and fund managers. First, the policymakers now have more insightful evidence of how the stock and bond markets react during crises. Second, the fund managers need to focus on behavioural variables as they may be driving factors in crisis periods that may impair portfolio management.

Originality/value

To the best of my knowledge, the paper is the first to throw light on the behaviour of the stock–bond correlation for 15 countries during the COVID-19 period.

Details

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

Keywords

Open Access
Article
Publication date: 5 May 2020

Abdelkader Derbali, Shan Wu and Lamia Jamel

This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production…

Abstract

Purpose

This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock for oxygen blending (RBOB), Brent oil, London gas oil, natural gas and heating oil) market returns and volatilities.

Design/methodology/approach

To examine the impact of OPEC news on energy futures market returns and volatilities, the authors use a conditional quantile regression methodology during the period from April 01, 2013 to June 30, 2017.

Findings

From the empirical findings, the authors show a conditional dependence between energy futures returns and OPEC-based predictors; hence, the authors can find clear the significance of relationship in the process of financialization of the OPEC announcements and energy futures in the case of this paper. From the quantile-causality test, the authors find that the effect of OPEC news is important to energy futures. Specifically, OPEC announcements dates predict the quantiles of the conditional distribution of energy futures market returns.

Originality/value

The authors confirm the presence of unidirectional nexus between OPEC news and energy commodities futures in the long term.

Details

Journal of Economics, Finance and Administrative Science, vol. 25 no. 50
Type: Research Article
ISSN: 2077-1886

Keywords

Article
Publication date: 15 June 2020

Sruti Mundra and Motilal Bicchal

The purpose of this study is to assess alternative financial stress indicators for India in terms of tracing crisis events, mapping with the business cycle and the…

Abstract

Purpose

The purpose of this study is to assess alternative financial stress indicators for India in terms of tracing crisis events, mapping with the business cycle and the macroeconomic effect of stress indices.

Design/methodology/approach

The study constructs the composite indicator of systemic stress of Hollo, Kremer and Lo Duca (2012) for India using two different methods for computing time-varying cross-correlation matrix, namely, exponentially weighted moving average (EWMA) and dynamic conditional correlation-generalized autoregressive conditional heteroscedasticity (DCC-GARCH). The derived indices are evaluated with widely used, equal variance and principal component weighting indices in terms of tracing stress events, mapping with the business cycles and the macroeconomic effect. For this purpose, the study identifies various episodes of financial stress and uses the business cycle dates in the sample covering from January 2001 to October 2018.

Findings

The results suggest that stress indices based on EWMA and DCC-GARCH accurately identify the well-known stress periods and capture the recession dates and show an adverse effect on economic activity. Primarily, the DCC-GARCH-based stress index emerges as a better indicator of stress because it efficiently locates all the major-minor events, traces the build-up of stress and reverts to the normal level during stable times.

Practical implications

The DCC-GARCH-based stress index is a very useful indicator for policymakers in regularly monitoring India’s financial conditions and providing timely identification of systemic stress to avoid adverse repercussion effects of the financial crisis.

Originality/value

The 2007–2008 financial crisis and subsequent recurrent instability in the financial markets highlighted the requirement for an appropriate financial stress indicator for a timely assessment of the system-wide financial stress. To the authors’ knowledge, this is the first study that incorporates the systemic nature of financial stress in the construction of stress indices for India and provides a holistic evaluation of the financial stress from an emerging country’s perspective.

Details

Journal of Financial Economic Policy, vol. 13 no. 1
Type: Research Article
ISSN: 1757-6385

Keywords

Article
Publication date: 10 March 2022

Rizwan Ali, Rai Imtiaz Hussain and Dr Shahbaz Hussain

The present research study aims to explore the impact of renewable energy (RE) on investors willing to invest. This current study also investigates the mediation role of…

Abstract

Purpose

The present research study aims to explore the impact of renewable energy (RE) on investors willing to invest. This current study also investigates the mediation role of perceived benefit (PB) and living creature’s development (LCD) among RE and investors willing to invest.

Design/methodology/approach

Pakistani per capita income level is low; usually, the population lives hand to mouth. Only 10% to 15% of the population has been saving and is willing to invest in different sectors. To meet the aim of this study, data were collected from 300 individuals with a 40% response rate investors, equity fund managers and Pakistani stock exchanges using a nonprobability convenient sampling approach. The partial least square structural equation modeling technique and Smart partial least squares 3.0 were used to determine the primary and medicating effects of the variables.

Findings

The analysis shows that RE and investor willing to invest strongly linked each other directly and indirectly. PB and LCD significantly partial mediate the connection among RE and investor willing to invest. Hence, the results suggest that RE has more sustainable development goals with using and accessing affordable green and reliable energy.

Originality/value

The present study narrows the research gap by examining the effect of RE on investor willing to invest via PB and LCD. Also, it provides essential information for effective energy policies contributed to the sustainable development goals and gives valuable suggestions for policymaker and government.

Details

International Journal of Energy Sector Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1750-6220

Keywords

Content available
Article
Publication date: 13 July 2021

Taicir Mezghani, Mouna Boujelbène and Mariam Elbayar

The main objective of this paper is to investigate whether the investors' behavior under optimistic (pessimistic) conditions has an impact on risk transmission between the…

1585

Abstract

Purpose

The main objective of this paper is to investigate whether the investors' behavior under optimistic (pessimistic) conditions has an impact on risk transmission between the Chinese stock and bond markets and the sector indices mainly during the COVID-19 pandemic.

Design/methodology/approach

This study uses a new measure of the investor's sentiment based on Google trend to construct a Chinese investor's sentiment index and a quantile causal approach to examine the causal relationship between googling investor's sentiment and the Chinese stock and bond markets as well as the sector indices. On the other hand, the network connectedness is used to estimate the spillover effect on the investor's sentiment and index returns. To check the robustness of the study results, the authors employed the Chinese VIX, as another measure of the investor's sentiment using daily data from May 2019 to December 2020.

Findings

In fact, the authors found a dual causality between the investor's sentiment and the financial market indices in optimistic or pessimistic situations, which indicates that positive and negative financial market returns may have an effect on the Chinese investor's sentiment. In addition, the results indicated that a pessimistic investor's sentiment has a negative impact on the banking, healthcare and utility sectors. In fact, the study results provide a significant peak of connectivity between the investor's sentiment, the stock market and the sector indices during the 2015–2016 and 2019–2020 turmoil periods that coincide respectively with the 2015 recession of the Chinese economy and the COVID-19 pandemic.

Originality/value

This finding suggests that the Chinese googling investor's sentiment is considered as a prominent channel of shock spillovers during the coronavirus crisis, which confirms the behavioral contagion. This study also identifies the contribution of a particular interest for portfolio managers and investors, which helps them to accordingly design their portfolio strategy.

Details

China Finance Review International, vol. 11 no. 3
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 18 May 2015

Niklas Kreander, Ken McPhail and Vivien Beattie

The purpose of this paper is to explore whether, how and why ethical investment practices of charities differ between two countries with quite different ideological and…

1672

Abstract

Purpose

The purpose of this paper is to explore whether, how and why ethical investment practices of charities differ between two countries with quite different ideological and institutional frameworks – Norway and the UK.

Design/methodology/approach

The paper uses mixed methods and a cross-sectional field study design to explore the ethical investment practices of 300 of the largest charities by investments in the UK and Norway. Practices are theorized using the dual lens of institutional theory and social origins theory.

Findings

The paper provides evidence on why charities established the practice of ethical investment. The results show that large charities were more likely to have an ethical policy; that charities with moderate public sector funding were more likely to have an ethical policy. In line with institutional theory some Norwegian charities with public sector funding mimic the policy of the Government Pension Fund, and the ethical investment policy of Norwegian charities was more influenced by donors. Institutional entrepreneurs (charity founders) had a more prominent influence in UK charities.

Research limitations/implications

The paper highlights that more research is needed on sovereign wealth funds, their investment practices and how they affect charities.

Practical implications

The findings of this paper highlight the potential role that the ethical investment practices of sovereign can play a soft regulatory function in changing the behaviour of other investors.

Social implications

To the extent that ethical investment practices are construed as having a positive social impact, then this study shows how a government sovereign wealth fund can influence the spread of ethical investment practices.

Originality/value

This paper, which sits at the nexus of the charity and corporate social responsibility (CSR) literatures, contributes by responding to calls for more research on charity practices in different countries and CSR practices in different countries. This comparison also contributes to the development of institutional theory by shedding light on the institutional influence of a sovereign wealth fund and its impact on others. The paper will be of value to academics, policy setters and regulators.

Details

Accounting, Auditing & Accountability Journal, vol. 28 no. 4
Type: Research Article
ISSN: 0951-3574

Keywords

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