Purpose: The article aims to study the impact of public governance on the relationship between consumer confidence and the stock market index.
Theoretical framework: The concept of consumer ...confidence index: According to consumer confidence, and stock market index is a way to measure expected changes in income. Katona also argues that consumer trust includes emotional and intellectual factors.
Design/methodology/approach: Data is collected from 2012 to 2021 from 10 middle-income countries. The public governance variable is measured by 6 component variables, including (1) Voice and accountability, (2) Political stability, (3) Government efficiency, (4) Regulatory quality, (5) the rule of law, and (6) Control of corruption. Consumer confidence is measured by the consumer confidence index (CCI) and the stock market index (SMI). The authors use P. VAR model to solve the set goal.
Findings: The research results show that public governance positively affects the relationship between consumer confidence and the stock market price index in high-middle-income countries. In contrast, public administration does not influence the relationship between consumer confidence and the stock market index in low-income countries.
Research, Practical & Social implications: Based on the research results, the authors propose policy implications for middle-income countries for investors' confidence and investment activities on the stock market, contributing to boosting capital in the future more efficient circular economy.
Originality/value: Government must increase its accountability to the people and investors for all activities and decisions of the Government. Creating a stable political environment, prioritizing dispute settlement by peaceful negotiations.
Applying deep learning, especially time series neural network, to stock market prediction, has become one of the important applications in the quantitative finance field. However, due to the ...multi-correlation and volatility of the stock market, how to timely and accurately predict it has become a challenging issue. In order to cope with this challenge, a news-driven stock market index prediction model based on TrellisNet and a sentiment attention mechanism (SA-TrellisNet) is proposed. A sentiment analysis model based on CNN and LSTM is presented to obtain the sentiment index of massive news crawled from authoritative financial websites. Furthermore, a sentiment attention mechanism is designed for data fusion of stock data and news sentiment index as the input of the simple and efficient TrellisNet network for model training and prediction. The performance of our model is systematically evaluated using seven major international stock market indices including S&P500, NYSE, DJI, NASDAQ, FTSE 100, Nikkei 225 and SSE, and comparative experiments demonstrate that SA-TrellisNet is competitive to the other state-of-the-art methods in predicting stock market indices.
The constantly increasing utilization of social media as the alternative information channel, e.g., Twitter, provides us a unique opportunity to investigate the dynamics of the financial market. In ...this paper, we employ the daily happiness sentiment extracted from Twitter as the proxy for the online sentiment dynamics and investigate its association with the skewness of stock returns of 26 international stock market index returns. The empirical results show that: (1) by dividing the daily happiness sentiment into quintiles from the least to the most happiness days, the skewness of the Most-happiness subgroup is significantly larger than that of the Least-happiness subgroup. Besides, there exist significant differences in any pair of subgroups; (2) in an event study methodology, we further show that the skewness around the highest happiness days is significantly larger than the skewness around the lowest happiness days.
•Daily happiness sentiment (DHS) extracted from Twitter is investigated.•The relationship between DHS and skewness of stock returns is investigated.•Skewness of the Most-happiness subgroup is significantly larger than that of the Least-happiness subgroup.•Skewness around the HHD is significantly larger than that of the LHD.
Purpose: To establish the possibility of using the indicator of the inversion of the difference in the yield curve of 10-year and 2-year US Treasury bonds to determine the current phase of the stock ...market, predict the future direction of market movement and improve the efficiency of managerial investment decisions.
Design/Method/Approach: The following methods were used when writing the paper: empirical – to carry out experimental checks of the revealed regularities; graphic - for a visual presentation of research results; systematization and generalization - for generalization of scientific concepts, developments, and proposals; statistical - to implement a quantitative approach to studying data. The US stock market was chosen as the base for research. The research was carried out by statistical processing of data on the value of the indicator of the inversion of the yield curve difference of 10-year and 2-year US Treasury bonds and the Standard & Poor's stock market index - 500 for the period from 1989 to 2022.
Findings: It has been established that the indicator of the difference of the yield curve of 2-year and 10-year US Treasury bonds is a fairly reliable tool for determining the approaching recession in the economy, but at the same time it is not possible to determine the exact time of the recession. It is shown that this indicator is expedient to use for early warning about a possible fall in international stock markets. At the same time, it was found that not every inversion of the yield curve is followed by a fall in the stock market, but every fall is preceded by an inversion. It was noted that the current dynamics of the yield curve are signaling a possible significant drop in the US stock market in the near future.
Theoretical Implications: Establishing the peculiarities of the indicator of the inversion of the yield curve difference of 10-year and 2-year US Treasury bonds in the conditions of the modern economy.
Practical Implications: The practical application of the research results will allow us to more accurately determine the current phase of the international stock markets and receive early signals about the future decline of the markets, which will contribute to increasing investment efficiency.
Originality/Value: This study expands knowledge about the peculiarities of the use of the indicator of the yield curve difference of 2-year and 10-year US Treasury bonds when determining the likely onset of a recession in the economy and the possibility of a fall in international stock markets, offers an updated model of the use of this indicator when forecasting the direction of movement of international stock markets. The results of the research may be of interest to specialists who work in the field of investing in international financial markets.
Research Limitations/Future Research: The results of the work presented in this article create a basis for conducting similar research on the possibility of using other indicators in order to increase the accuracy of establishing the moment of recession in the economy or the beginning of a fall in international financial markets. From the author's point of view, first of all, such indicators as the movement of gold prices, the dynamics of changes in the Fed's discount rate, and Buffett’s indicator should be studied. This will make it possible to develop an effective application mechanism for making investment decisions and will contribute to increasing investment efficiency.
Paper Type: Empirical
JEL Classification: E44, F21, G15
In this paper, we contribute to the old debate on the dynamic correlation between gold and stock markets by considering a spectral approach within the framework of portfolio hedging. Specifically, we ...consider eight MENA stock markets (Tunisia, Egypt, Morocco, Jordan, UAE, Saudi Arabia, Qatar, and Oman) and examine the optimal composition between gold and the stock market index, with a minimum portfolio risk and a high expected return. Based on the spectral approach, we propose seven portfolio structures and evaluate them through a comparison with the conventional DCC-GARCH method and the most best 10 portfolios constructed by using wavelet approach. The main results show that the spectral-based approach outperforms the DCC-GARCH and the wavelet methods. In fact, the optimal gold-stock composition depends on the spectral density of each stock market index, where a stock market index with a stable spectral density requires more investments in gold than a stock market index with an unstable spectral density.
Following the trend of granting autonomy to monetary authorities around the world beginning from the mid-1900s, the Central Bank of Nigeria had its share of gradual autonomy from 1991 culminating in ...the 2007 legislation. This study investigated the effect of central bank autonomy (CBA) on the stock market index (SMI) in Nigeria with data on market index, foreign direct investment (FDI), gross domestic product per capita, inflation rate, terms of trade, trade openness and effective central bank autonomy index from 1985 to 2018. The study adopted the autoregressive distributed lag and Toda–Yamamoto and Dolado–Lutkepohl approach to Granger causality. The study finds that there is no long-run relationship between the variables estimated, though short-run relationships exist. CBA has a statistically negative impact on the SMI, while FDI has a positive significant relationship with the SMI only in the short run. The only significant causality runs from FDI to SMI. The study, therefore, recommends that the Central Bank of Nigeria should have a higher level of instrument autonomy and should endeavour to come out with monetary policies that encourage diversification of the economy and engender growth in the capital market.
This paper examines the effect of the riskiness of the top four cryptocurrencies on the riskiness of stock market indexes in Egypt, being recognized as a developing country. The analysis uses daily ...data on cryptocurrencies and the three stock market indexes covering January 2020 to January 2023. The risk is measured using the holding period Value at Risk (VaR). The GMM results show that (a) cryptocurrency volatility is negatively associated with the volatility of stock market indexes. That is, the higher the investors’ interest in trading cryptocurrencies, the lower the volatility of stock market indexes as investors trade stocks less frequently, (b) cryptocurrencies can provide hedge and diversification benefits, and (c) the relationship between volatilities of cryptocurrencies and stock market indexes varies across indexes, therefore, contingent.
The aim of the study is to analyze the effects of changes in oil prices, which have an important place among energy resources, on the stock market indices of G7 countries. Since they can be ...considered as a barometer of the macroeconomic indicators of the G7 countries, the stock market indices of these countries were included in this study and their impact on the fluctuations in oil prices was examined. G7 countries produce 85% of the world's production and constitute 66% of the world's population. 75% of international trade is carried out by the member countries of this group. The share of these countries in international investment is 80%. In this study, the impact of oil price changes on G7 country stock market indices was investigated with monthly frequency data between January 2010 and December 2023. This effect was tried to be found by applying Granger causality test and cointegration test. According to the findings obtained in this study, it was understood that there was no cointegration and the variables did not balance in the long run. On the other hand, according to the Granger causality test, it was determined that the crude oil price was the cause of the stock markets of G7 countries with a significance of 10%.
We study auto-correlations and cross-correlations of daily price changes and daily volume changes of thirteen global stock market indices, using multifractal detrended fluctuation analysis (MF-DFA) ...and multifractal detrended cross-correlation analysis (MF-DXA). We find rather distinct multifractal behavior of price and volume changes. Our results indicate that the time series of price changes are more complex than those of volume changes, and that large fluctuations dominate multifractal behavior of price changes, while small fluctuations dominate multifractal behavior of volume changes. We also find that there is an absence of correlations in price changes, there are anti-persistent long-term correlations in volume changes, and there are anti-persistent long-term cross-correlations between price and volume changes. Shuffling the series reveals that multifractality of both price changes and volume changes arises from a broad probability density function.
Objectives ─ This research aims to examine the long-term and short-term dynamic relationships of the major stock market indices in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia ...(TASI), and Indonesia (IHSG) due to the impact of the ammonium nitrate explosion. (NH4NO3) in Beirut, Lebanon. Method ─ This research used samples after the explosion of ammonium nitrate (NH4NO3) in Beirut, Lebanon, from 10 August 2020 to 17 December 2020. Long-term and short-term dynamic relationships due to the impact of the ammonium nitrate (NH4NO3) explosion in Beirut, Lebanon were tested using the Johansen Cointegration Test and Granger Causality Test methods. Findings ─ The results show that: (1) There is a cointegration relationship in the return of the country stock market index in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) after the explosion; (2) there is no bi-directional causality relationship or unidirectional relationship between benchmark variables, that is Return BLOM Stock Index (BLSI) with the Return TA-35 (TA35), Return Amman SE General (AMGNRLX), Return Tadawul All Share Index (TASI), and Return Indeks Harga Saham Gabungan (IHSG) variable after the explosion event. Originality ─ This paper presents a novelty with a study of events that link human events and capital market indices.
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