In recent time, the two significant events; Coronavirus epidemic and Russian invasion are effecting all over the world in various aspects; healthily, economically, environmentally, and socially, etc. ...The first event has brought uncertainties to the economic situation in most countries based on the epidemic transmission. In addition to that, on 24th February 2022 the Russian invasion of Ukraine affected negatively almost all stock markets all over the world, but the effects are heterogeneous across countries according to their economic-political relationship or neighbourhood, etc. Due to that, the stock market price in Turkey has been affected dramatically over that period. This empirical study is the first attempts to explore the impact of Coronavirus epidemic and Russian invasion on the stock market index XU100 in Turkey by applying the developed statistical method namely elastic-net regression based on empirical mode decomposition which can precisely tackle the nonstationary and nonlinearity data. Then we performed the robustness check by applying a nonlinear techniques Markov switching regression. The data are collected from the beginning of the epidemic in Turkey from March 11, 2020 until May 31, 2022. The finding reveals that there is significant effect of the Coronavirus spreading on the Turkish stock market index, particularly during the first wave. Then after the Russian Invasion the XU100 index is effected more negatively. As the credit default swap and TL reference interest rate have a negative impact but the foreigner exchange rate has a positive significant impact on the XU100 index, and it varies according to the period of short term and long term. Moreover, the results obtained by using the robustness check shows a robust and consistent finding. In conclusion, understanding the impact of Coronavirus pandemic and Russian invasion on the Turkish stock market can provide important implications for investors, financial sectors, and policymakers.
This article examines cross-market volatility linkages among the fear index (VIX), the developed-market index (VXEFA), and the emerging-market index (VXEEM). Analysis on the first moments of ...volatilities reveals that the fear index has a leading role and has information content for VXEFA and VXEEM. A shock to the fear index spillovers to VXEFA and VXEEM and contributes 57.07% and 63.77% to their shocks, respectively. Further analysis on the second moments of volatilities confirms that the volatility indices are highly dynamically correlated while the fear index drives the correlation dynamics with the VXEEM. Correlations increase in turbulent periods and decrease in tranquil periods.
Ovationes Anni Salutis MMXIX White, David J
The Classical journal (Classical Association of the Middle West and South),
12/2019, Volume:
115, Issue:
2
Journal Article
Peer reviewed
"2 Congregamur quoque in hac urbe-capite huius civitatis-Lincolnia, quae nomen ex eo praeside fere clarissimo huius patriae duxit, qui rem publicam nostram-ut quondam res publica Romana-bello civili ...paene confectam tritamque et conservavit et confirmavit, ne res publica e populo, a populo, pro populo de terra tolleretur.3 Invitaverunt nos collegae nostri huius universitatis celeberrimae, Litteris Dedicatae et Omnibus Artibus, condita annis vix duobus actis post terram hanc ipsam civitatem rei publicae nostrae factam, ubi turma ea illustrissima, illi notissimi Detractores Aristarum, vel, ut ita dicam, Gluptores Glumarum, ludit-et studiose atque clarissime celebratur:4 Aequalis non est Nebrascae, Quae carissima habetur, Cum pulcherrimis Et acerrimis; Non similis mi videtur! Lincolnra though not one of the variants included in Orbis Latinus, is the form used in the Annuorío Pontiűcio, the yearly directory of the dioceses and departments of the Catholic Church, which includes Latin renderings of the names of cities with dioceses. ears. 5 To be sung to the tune of the University ofNebraska fight song, There is no place like Nebraska. 6 I want to acknowledge and thank Tal Ish-Shalom, a graduate student in Classical Studies at Columbia University, for pointing out to me an error in usage I originally made in this sentence.
This paper provides a general equilibrium approach to pricing volatility. Existing models (e.g., ARCH/GARCH, stochastic volatility) take a statistical approach to estimating volatility, volatility ...indices (e.g., CBOE VIX) use a weighted combination of options, and utility based models assume a specific type of preferences. In contrast we treat volatility as an asset and price it using the general equilibrium state pricing framework. Our results show that the general equilibrium volatility method developed in this paper provides superior forecasting ability for realized volatility and serves as an effective fear gauge. We demonstrate the flexibility and generality of our approach by pricing downside risk and upside opportunity. Finally, we show that the superior forecasting ability of our approach generates significant economic value through volatility timing.
The volatility of the stock market is related to the vital interests of stockholders and is essential for maintaining a stable financial environment. Through the analysis of data changes, excellent ...professional traders can extract information about the direction of stock changes, whether it is worth investing, and long-term or short-term trading. This article aims to study the forecasting methods of stock market volatility, by integrating multiparty data, in-depth analysis of the direction of data changes, predicting the price changes of the stock market, and better guiding stockholders’ investment. This paper proposes a multisource data fusion method to analyze the stock market price changes and find the best risk prediction method. The experimental results in this paper show that multisource data fusion can better help the stock market predict stock changes and reduce financial investment risks by 20%. Comparing the obtained prediction results with the real data, the MSE predicted by the ARIMA model is calculated to be 2.35. It provides a new idea for effectively analyzing nonstationary time series data with complex trend fusion characteristics by rationally screening feature signals and trend signals and modeling probability distribution.
This article reviews numerous arguments Austrian scholars have made against the efficient market hypothesis and asserts that these arguments are sufficient grounds for dismissal of many of the ...theoretical justifications which have been advanced in favor of passive investing, and in favor of the traditional value-weighted index fund in particular. In the absence of theoretical justification, empirical test results are the primary evidence to substantiate passive investing’s claim to superiority relative to alternative investment strategies—results which, this article contends, are insufficient grounds for acceptance of the claim. Finally, it is argued that the much-emphasized contradistinction between active and passive investing is lacking in substance. The passive portfolio’s construction is the product of subjective human judgment just as the actively managed portfolio is; passive investing merely involves a different kind of judgment.
Purpose
This study aims to investigate the determinants of Islamic stock returns listed on Jakarta Islamic Index (Indonesia) between 2008 and 2018.
Design/methodology/approach
This study uses a ...quantile bounded autoregressive distributed lag (QBARDL) model to uncover relevant relationships.
Findings
This study finds that the Dow Jones Islamic Market Index, gold returns, world oil prices and exchange rates are the determinants of the Indonesia’s Islamic stock returns. However, the relationship is time varying developing intra-/inter-quantile bounded.
Practical implications
Integration of the Islamic stock returns with the real economic indicators changes over time. The findings have important implications for the policymakers, the fund managers and the investors to anticipate consequences when considering the macroeconomic conditions before participating in the Indonesian Islamic stock market.
Originality/value
Using a QBARDL, this study finds that the Islamic stock returns have on net and “time-varying intra-/inter-quantile developing” relationship with its determinants as data quantiles progressed from 25% to 75%.
We study, using a structural vector autoregressive (SVAR) model, the relationship between oil price shocks and the Japanese stock market. We find that oil price shocks that arise from changes in ...aggregate global demand are positively correlated to returns on the Japanese stock market. Thus, in contrast to the conventional wisdom, a rise in oil price is not always bad news for the Japanese stock market. On the other hand, the Japanese stock market reacts negatively to oil price increases related to oil-market specific demand shocks. Finally, different from prior research using U.S. stock market data, we find that supply and demand shocks in the global crude oil market affect returns to the Japanese stock market index through changes to expected real cash flows rather than to changes to expected returns.
Purpose
– This paper aims to examine if certain board characteristics have an impact on the corporate social responsibility (CSR) score of corporations.
Design/methodology/approach
– The authors’ ...paper analyzes the link between the ratings of CSR of the largest publicly traded Canadian firms (i.e. those included in the S&P/TSX 60 index) and the traits of their boards.
Findings
– The authors’ examination concludes that the CSR score is positively linked with the percentages of women and independent directors. The study did not find a link in the cases of board characteristics, namely, director’s remuneration, director’s tenure and director’s ownership.
Research limitations/implications
– The study focuses on the 60 largest public Canadian firms, which are strongly scrutinized. An analysis that includes smaller firms as well may show different results.
Practical implications
– To improve the ability of boards of directors to deal with CSR, the appointment of women and independent directors should be given greater emphasis. Data show that all boards in their sample are composed of at least 50 per cent of independent directors, with an average of 80 per cent. Thus, there is a more limited room to ameliorate CSR by adding independent directors. In contrast, women represented, on average, only 14.25 per cent of all directors. Companies wanting to improve their CSR should consider appointing more female participation in their boards.
Originality/value
– The paper contributes to the extant literature on corporate governance by presenting evidence of a link between CSR and certain board characteristics.
This study formulates and corroborates the hypothesis that investors' appetite for risk and the prices of precious metals are tightly linked. To assess this appetite for risk, the VIX index, commonly ...called the fear index, is decomposed into two components: the physical volatility in stock returns (used to reflect economic uncertainty) and the volatility risk premium (a proxy for implied risk appetite). Using the GJR-GARCH and causality models, the study establishes that the prices of precious metals and their volatility are driven by shocks originating in the economic uncertainty and risk appetite of investors that prevail in the equity market. The contribution of shocks to investors’ appetite for risk to price fluctuations in these commodities has become particularly remarkable since the mid-2000s – a leading indication of the financialization of natural resources.
⁃VIX is decomposed into physical variance and variance risk premium components.⁃The latter (VP) serves as a proxy for the implied risk appetite/aversion.⁃VP drives the prices of precious metals mainly since the mid-2000s.⁃VP drives the implied volatility of precious metals.⁃Economic uncertainty significantly affects precious metals price variability.
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