Annals of Financial Economics

This study investigates the dynamic relationship between exchange rates, oil prices, and stock prices in the Indian market, considering bearish, bullish, and neutral market states. By utilizing the Quantile ARDL method, we explore long- and short-run relationships in differing market states. The variations in sensitivities of oil prices and exchange rates with stock prices across diverse quantiles reflect significant variations in the Indian equity markets. Importantly, our study provides actionable insights for policymakers and stakeholders within India, empowering them with specific strategies for managing currency, stock prices, and oil prices under diverse market states. These insights are not just theoretical but directly applicable to real-world economic and financial decision-making, enhancing the ability of policymakers and stakeholders to navigate the complex Indian market.

Salem Hamad Aldawsari

Wei Shuen Tan

Tarek Abbas Elsherazy

Bisharat Hussain Chang

Haitham M. Alzoubi

Ivana Ognjanović

A Quantile Dependence among Exchange Rate, Stock Prices and Oil Prices: An Empirical Evidence from India

汇率、股价与油价之间的分位数依赖关系：来自印度的实证证据

This paper formulates an informational theory of the evolving value of the firm under uncertainties and unknowns in the future payoff structures. In general, the horizon of business firms would last for an indefinitely long period of time, and events in the considerably far future are intrinsically unknown. The existing study of indefinite horizon firms often relies on the assumption of time-invariant structures for the derivation of an optimal solution. In this paper, information about the firm’s future payoffs will be revealed as time goes by. The firm will revise its strategies accordingly, and the process will continue indefinitely. This new approach for the analysis of infinite horizon firms via information updating provides a more realistic and practical alternative to the study of the dynamic value of the firm. Finally, information-based option pricing formulae and non-random walks and cycles in asset price can also be generated with this theory.

David Yeung

Wing-Keung Wong

An Informational Theory of the Dynamic Value of the Firm

企业动态价值的信息理论

The objective of this study is to explore Roy and Shijin [(2018). A six factor assets pricing model. Borsa Istanbul Review, 18(3), 205–217] six-factor-model of asset pricing by extending Fama and French five-factor model to include human capital as a sixth factor in the context of Pakistan — an emerging country in Asia, and to test the validity of the six-factor asset pricing model in explaining time-series variations in portfolio returns of Pakistan equity market. For this purpose, we use Fama and Macbeth’s two-pass time series regression technique to test the validity and applicability of the six-factor model. The findings indicate that the six factors model is an appropriate asset pricing model for explaining time-series variations in Pakistan. Furthermore, the human capital (labor income growth rate) is significant for most of the portfolios constructed in this study, which implies that the human capital significantly explains time-series variations in portfolio returns. The empirical results encourage all types of investors and academics to incorporate human capital into asset pricing models. It helps in more accurately estimating the required rate of return, which can improve asset pricing models.

NAVEED KHAN

HASSAN ZADA

IMRAN YOUSAF

DOES PREMIUM EXIST IN THE STOCK MARKET FOR LABOR INCOME GROWTH RATE? A SIX-FACTOR-ASSET-PRICING MODEL: EVIDENCE FROM PAKISTAN

劳动力收入增长率在股市中是否存在溢价？六因子资产定价模型：来自巴基斯坦的证据

This study aims to explore dynamic linkages and integration among emerging markets of BRICS, especially comparing the pre- and post-BRICS formation period behaviors and further comment upon the portfolio diversification opportunities available for global investors. Weekly closing indices of BRICS stock markets for the period 2000–2020 have been taken. Considering BRICS formation year, total period is divided into two sub-periods, pre- and post-BRICS periods. Short-run relationship has been measured through Granger causality, VAR, IRF and VDC. For long-run co-movement, Johansen co-integration is applied. To explain asymmetrical response of the market, E-GARCH Model is applied. Both Granger causality and VAR model confirm presence of short-run inter-linkages among BRICS during post-BRICS period. Johansen co-integration test also establishes more co-integrating equations during post-BRICS. E-GARCH result indicates a strong presence of asymmetry effect in the volatility of BRICS stock returns during post-BRICS and concludes the presence of leverage effect in all the BRICS markets. By integrating the findings with relevant literature, authors propose a framework that establishes BRICS formation, trade agreements and collaboration with each other has resulted into a strong relationship among BRICS nations during post-BRICS period and hints a little opportunity to global investors for portfolio diversification in short-run but no opportunity in the long-run.

AMIT KUMAR SINGH

ROHIT KUMAR SHRIVASTAV

AMIYA KUMAR MOHAPATRA

DYNAMIC LINKAGES AND INTEGRATION AMONG FIVE EMERGING BRICS MARKETS: PRE- AND POST-BRICS PERIOD ANALYSIS

五个新兴金砖市场之间的动态联系与整合：金砖时期前后的分析

Stock indices are key indicators of the economy since they indicate the strength of a country’s stock market. For this reason, causality, information flow and co-movement analysis of stock indices gain importance in comparing countries’ economies. Here, we apply a novel approach by analyzing the results of two different methodologies; in wavelet coherence (WTC) analysis, the co-movement between stock indices provided and coherent areas can be shown, and information flow is indicated for five-year periods, especially on coherent zones by Transfer Entropy (TE), which detects cause-and-effect relations. This paper analyzed the information flow and co-movement among FTSE100 in the United Kingdom, the DAX in Germany and S&amp;P500 Index in the United States stock indices. Three different results are obtained as follows: (1) DAX is on the leading side in general for five-year periods, (2) bidirectional information flows arise for every pair in the coherent periods and (3) TE-guided WTC analysis shows that TE sign change can be explained by phase angle direction obtained with WTC. These results indicate that both the methods yield proper outcomes in coherent time zones and during financial crisis like the COVID period, which we have faced for two years; for this reason, the results were also obtained for the COVID period, and in general, that shows DAX dominated other indices. We published this study to help researchers understand the connectedness between stock indices and investors avoiding risk in their stock portfolios, especially during financial crisis periods.

CENGIZ KARATAS

GAZANFER UNAL

CAUSALITY, INFORMATION FLOW, AND CO-MOVEMENT ANALYSIS OF MAJOR STOCK INDICES

主要股票指数的因果关系、信息流动与联动分析

Using data for the United States (US) stock market covering the sample period from 2008:06 to 2020:12, we study the incremental predictive value of employee sentiment for the realized volatility of stock returns. In doing so, we control four different measures of investor sentiment and various macroeconomic and financial factors and uncertainties. We report results for several combinations of forecast horizons and estimation windows and find that employee sentiment contributes to forecast accuracy for several combinations.

Rangan Gupta

Savanah Hall

Christian Pierdzioch

Realized Stock Market Volatility of the United States: The Role of Employee Sentiment

美国股市实际波动性：员工情绪的作用

This paper considers an epidemiological model, referred to as SEIDRS disease model design for a communicable disease insurance policy. Epidemiologically, the individual population has five demographic groups, which includes: susceptibles (S), exposed (E), infectives undergoing treatments (I), infectives but dead (D) and (R) infectives but recovered from the communicable disease as stipulated in the insurance policy. The latter rejoined the susceptible group and then, continues with the insurance company by paying premium until such insured becomes infected again. The class of infectives comprises a union of those groups that are under treatment and the dead policy holders (PHs). The susceptible and exposed individuals constantly face the risks of being infected by the disease, while the infective class faces the risks of death resulting from the disease. Again, the probability function of a PH to remain susceptible under the SEIDRS disease model is considered, in this paper. Consequently, we obtain, for the insurance policy, the probability density function and cumulative distribution function under the SEIDRS disease model. Using the actuarial principles and techniques, we determine the parties’ insurance financial obligations as well as the insurance quantities. Some empirical results arising from the model analyses, in this paper are considered.

C. I. Nkeki

E. H. Iroh

Epidemiological and Health Insurance Models for a Communicable Disease

传染病流行病学与医疗保险模型

This paper models the dynamics of Chilean interest rate swap yields. It examines whether the change in the short-term interest rate exerts a decisive influence on the change in long-term swap yields after controlling key macroeconomic and financial variables, such as inflation, the growth in industrial production, the percentage change in the equity price index and the percentage change in the exchange rate of the Chilean peso (CLP). It applies the generalized autoregressive conditional heteroskedasticity (GARCH) approach to econometrically model the dynamics of the long-term swap yield to mitigate the variation in volatility exhibited in the financial markets. The results of the estimated GARCH models show that the change in the short-term interest rate has an economically and statistically significant effect on the change in the swap yield after controlling for key macroeconomic and financial factors. These findings imply that the monetary policy of the country’s central bank, the Banco Central de Chile (BCCH), has an important influence on swap yields in Chile through its effect on the short-term interest rate.

Tanweer Akram

Khawaja Mamun

Modeling Chilean Long-Term Swap Yields Based on the Short-Term Interest Rate: A Garch Approach

基于短期利率的智利长期互换收益率建模：一种GARCH方法

Principal component analysis (PCA) is one of the most important methods in analyzing and forecasting the term structure of interest rates. However, there are strong indications that it is not adequate to estimate interest rate factors by traditional PCA when there is time dependence and measurement errors. To correct these problems, it is recommended to use the long-run covariance matrix to estimate the principal components, extracting the correct covariance structure present in these processes. In this work, we show that out-of-sample forecasts for the term structure of interest rates constructed with the PCA using long-run covariance matrices appear to be more accurate compared to predictions based on static covariance matrices.

Hugo Hissinaga

Márcio Laurini

Interest Rate Forecasting with Principal Component Analysis Based on Long-Run Covariance Matrix

基于长期协方差矩阵的主成分分析利率预测

ISSN	2010-4952, 2010-4960
h-index	17

Publication Information	Publisher: World Scientific，Publishing cycle: ，Journal Type: journal，Open Access Journals: No
Basic data	Year of publication: 2011，Proportion of original research papers: 100.00%，Self Citation Rate:N.A.， Gold OA Rate: 0.00%

Annals of Financial Economics

Journal Citation Format

A journal article with 1 author

A journal article with 2 authors

A journal article with 3 authors

A journal article with 5 or more authors

Books Citation Format

Thesis Citation Format

Web sites Citation Format

Patent Citation Format

Staying up late manually editing references? ivySCI automatically matches journals and helps you generate references with a single click.

Share Submission Experience

A Quantile Dependence among Exchange Rate, Stock Prices and Oil Prices: An Empirical Evidence from India

An Informational Theory of the Dynamic Value of the Firm

DOES PREMIUM EXIST IN THE STOCK MARKET FOR LABOR INCOME GROWTH RATE? A SIX-FACTOR-ASSET-PRICING MODEL: EVIDENCE FROM PAKISTAN

DYNAMIC LINKAGES AND INTEGRATION AMONG FIVE EMERGING BRICS MARKETS: PRE- AND POST-BRICS PERIOD ANALYSIS

CAUSALITY, INFORMATION FLOW, AND CO-MOVEMENT ANALYSIS OF MAJOR STOCK INDICES

A Quantile Dependence among Exchange Rate, Stock Prices and Oil Prices: An Empirical Evidence from India

Realized Stock Market Volatility of the United States: The Role of Employee Sentiment

Epidemiological and Health Insurance Models for a Communicable Disease

Modeling Chilean Long-Term Swap Yields Based on the Short-Term Interest Rate: A Garch Approach

Interest Rate Forecasting with Principal Component Analysis Based on Long-Run Covariance Matrix