The aim of this study is to assess and compare changes in regularity in the 36 European and the U.S. stock market indices within major turbulence periods. Two periods are investigated: the Global ...Financial Crisis in 2007–2009 and the COVID-19 pandemic outbreak in 2020–2021. The proposed research hypothesis states that entropy of an equity market index decreases during turbulence periods, which implies that regularity and predictability of a stock market index returns increase in such cases. To capture sequential regularity in daily time series of stock market indices, the Sample Entropy algorithm (SampEn) is used. Changes in the SampEn values before and during the particular turbulence period are estimated. The empirical findings are unambiguous and confirm no reason to reject the research hypothesis. Moreover, additional formal statistical analyses indicate that the SampEn results are similar both for developed and emerging European economies. Furthermore, the rolling-window procedure is utilized to assess the evolution of SampEn over time.
We analyzed data collected from retail investors in the Chinese stock market from a Fintech mobile platform to find evidence of the self-fulfilling prophecy effect. We found a statistically ...significant correlation between the predicted and actual Shanghai Stock Exchange Composite Index (SSECI) as well as non-random deviation patterns. We also analyzed participating investor behaviors and discussed the implications and future research. Keywords: Stock market index, Prediction, Self-fulfilling prophecy effect, Fintech
Accurate financial time series forecasting is important in financial markets. However, for financial time series with low fluctuation, there is an unusual forecasting phenomenon in the popular ...recurrent network model forecasting, with the predictive value lagging the truth value. We call this phenomenon the lagging problem. This study proposes new evaluation measures for assessing the lagging problem, including lagging relative error, lagging value error, and lagging trend error. Moreover, the state analysis method and linear fitting model are developed to explain the causes of the lagging problem. Experimental results show that all popular recurrent network models adopted suffer from the lagging problem. This problem is caused by the failure of the nonlinear function in the prediction model and the linear degeneration of the prediction model thereafter, resulting in the suppression of the nonlinear fitting ability.
Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in ...many fields. For this reason, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this research is to investigate the relationship between the exchange rates of Brent oil, crude oil (WTI), natural gas, the US dollar index, and the Russian ruble. In the study, weekly data between February 6, 2022, and December 25, 2022 were examined. A vector autoregressive model (VAR) was used to examine the relationship between the variables included in the analysis, and the direction of the relationship between the variables was determined by the Granger causality test. According to the results of the VAR model, the WTI price has a significant effect on the USD/RUB rate, but the USD/RUB rate does not have a significant effect on the Brent and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis.
•We examine how stock market associates with cross-currency basis swap spreads in the eurozone.•Results show that positive relationship exists between changes in the basis and stock market index ...returns.•Wider (tighter) CIP deviations go together with declines (increases) in stock market index returns.•And the relation is preserved across specifications, with implications for cross positioning in the financial market.
In recent times, there has been a renewed interest in covered interest parity deviations wherein financial economists have begun to analyze the drivers of cross-currency basis swap spread, a measure of the extent of deviations from covered interest parity (CIP), for different currencies. They have, however, not examined how stock market index returns associate with changes in cross-currency basis swap spreads, especially in the case of the euro basis which is the most liquid among peers. This paper provides an empirical perspective on this new question. Using standard techniques, we examine how stock market index returns relate to changes in cross-currency basis in the eurozone. Consistent with our stylized model, the empirical results show that there is a positive relationship between changes in the basis and stock market index returns whereby wider (tighter) CIP deviations go hand-in-hand with declines (increases) in stock market index returns in the eurozone. This positive relation mostly holds up, though not always statistically significant, and its size varies across different empirical specifications.
The stock market is viewed as a complex dynamic system, and investor sentiment has an important impact on index fluctuation. This study constructs investor sentiment from margin trading business ...perspective and investigates its impact on the Chinese stock market index fluctuation in multiple time scales. First, we utilize 12 indicators and two-stage PCA to construct a composite investor sentiment index of the margin trading business(ISMT). Second, based on TEI@I complex system theory, we use the VMD algorithm to decompose and reconstruct the ISMT, Shanghai Securities Composite Index(SSEC), and Shenzhen Securities Component Index(SZI), and obtain multiple time scale measurement sequences that reflect short-term, medium-term, and long-term fluctuation of each index, respectively. We provide evidence that the ISMT has an asymmetric impact on stock market index fluctuations. Specifically, for long-term trend, the ISMT has a significant positive impact on the SSEC, and a significant negative impact on the SZI. For medium and short-term trends, the ISMT has a significant positive impact on both the fluctuations of SSEC and SZI, and the impact degree on SSEC is greater than SZI. We also find that the impact degree of ISMT on SSEC and SZI decreases from short to long-term trend. In addition, we measure the fluctuation periodicity of ISMT in multiple time scales based on Fast Fourier Transformation, investigate the impact result during the COVID-19 pandemic, discuss the impact of ISMT on the other nine indexes commonly used in the Chinese stock market, and evaluate the predictive power of ISMT for 11 stock market index returns. This paper takes a new perspective and technology to investor sentiment research, and the results enrich relevant financial theories. The findings are crucial for investor decision-making and financial department regulation.
•Extend the research scenario about investor sentiment to the margin trading business, and construct corresponding sentiment index(ISMT).•Investigate the impact of ISMT on index fluctuation in multiple time scales.•Measure the fluctuation periodicity of ISMT in multiple time scales, discuss the results during the COVID-19 pandemic, and analyze the impact on more stock market indexes.•Evaluate the predictive power of ISMT for 11 stock market index returns.
In this paper, we study the power of moment‐based normality tests which include Jarque Bera (JB) test and D′Agostino and Pearson (DP) omnibus tests. Power comparison were obtained via Monte Carlo ...simulation of sample data generated from four alternative distributions like Uniform, Logistic, Student t and Gamma distribution. Our simulation results show that for Uniform distribution, DP test has better power compared to JB test. For Logistic, Student t and Gamma distributions, we find JB normality test to be powerful compared to DP test. We further apply the moment‐based normality tests empirically on the Indian stock market indices (NSE Nifty 50 and BSE Sensex) for different frequencies (daily, weekly, monthly and quarterly) during the period from 2010 to 2020. We find that daily returns of Indian stock indices are non‐normal whereas weekly, monthly and quarterly returns are normally distributed.
The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and financial impact on every economy around the world. This paper aims to analyze ...the short-term impact of COVID-19 on global financial stock market indices. We study the impact of six different WHO announcements regarding COVID-19 on five different sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World, Developed and Emerging economy). We also study the movement of stock prices and volume of nine different global stock market indices (classified as developed & emerging) based on the number of new cases and deaths due to COVID-19. The study’s findings suggest that there is a significant effect of COVID-19 on global financial stock markets. However, the effect is varied for developed and emerging economies.
Kredi temerrüt takasları (CDS), kredi riskinin borç veren tarafından daha düşük bir maliyetle karşılanmasını sağlamaktadır. Yüksek CDS primleri beraberinde yüksek borçlanma maliyetlerini ...getirmektedir. Yükselen maliyetler ise risklerin artmasına neden olacaktır. Bu nedenle temerrüt riski hakkında bilgi sunan CDS primleri, yatırımcılara riskten korunmada yardımcı bir unsur olmaktadır. Bu çalışmanın amacı, BRICS (Brezilya, Rusya, Hindistan, Çin, Güney Afrika) ülkelerine ait CDS’lerle yine ilgili ülkelere ait belirlenmiş borsa endeks değerleri (Sao Paulo SE Bovespa, RTS, Nifty 500, Shanghai SE Composite, FTSE / JSE SA Top 40 Companies) arasında bir ilişki olup olmadığının tespit edilmesidir. BRICS, küresel ekonomik büyümeye etki eden yükselen ekonomilerin bir araya getirildiği önemli bir topluluktur. Bu kapsamda seçilen BRICS ülkelerine ait 5 yıllık CDS primleri ile borsa endeks değerleri arasındaki ilişki panel veri analizi yardımıyla incelenmiştir. Analiz sonucunda elde edilen bulgulara göre değişkenler arasında negatif yönlü, anlamlı bir ilişki olduğu sonucuna ulaşılmıştır. Bu da CDS primlerinde meydana gelen düşüşlerin borsa endeks değerlerini artırdığını göstermektedir.
PDF
