Search results for "Stock market index"
showing 10 items of 35 documents
The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence
2021
This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed using a vector autoregressive model (VAR) and dynamically applying the Granger causality test. The conditional volatility of the stock market has been obtained through various univariate GARCH models. This methodology allows us to study the information transmissions, both unidirectional and bidirectional, that occur between CDS spreads and stock volatility between 2004 and 2020. We conclude that CDS spread returns cause (in the Granger sense) conditional stock volatility, m…
Econophysics: Scaling and its breakdown in finance
1997
We discuss recent empirical results obtained by analyzing high-frequency data of a stock market index, the Standard and Poor’s 500. We focus on the scaling properties and on its breakdown of the index dynamics. A simple stochastic model, the truncated Levy flight, is illustrated. Successes and limitations of this model are presented. A discussion about similarities and differences between the scaling properties observed in financial markets and in fully developed turbulence is also provided.
The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices
2019
Social rating agencies implement complex filters to identify the companies with the best sustainable and social performance and help investors select the companies for their sustainable portfolios. This study analysed whether companies that are defined as ethical, sustainable and socially responsible by those agencies actually deserve this label. More specifically, the inclusion in the prestigious Dow Jones Sustainability Index (DJSI) World of companies that have been involved in controversies according to the Thomson Reuters Eikon database was studied. The results show that the inclusion of irresponsible companies in the DJSI Index is a fact. This outcome is in line with previous studies t…
Do irresponsible corporate activities prevent membership in sustainable stock indices? The case of the Dow Jones Sustainability Index world
2021
Abstract The study analyses the real-life results from the DJSI World selection process and investigates whether companies are treated differently because of sectoral or geographical diversification needs of the index; furthermore, the question whether its methodology penalises ESG-related irresponsible corporate activities is investigated. The last is an important issue, as it is not unusual to find constituents of sustainable indices implicated in corporate scandals. This is a striking fact, contradicting the ethical and sustainable imperative such companies are supposed to comply with. The authors scrutinise data from a data panel containing 2872 firms between 2011 and 2016 and estimate …
On survivor stocks in the S&P 500 stock index
2021
This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be small value stocks that exhibit high profitability and invest conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses show that the volatility of the survivor stocks portfolio is less exposed to tail risks and responds less to shocks in the innovation process.
Information Flows Among the Major Stock Market Areas
2001
The relationship between the index returns of the major stock markets has been analysed in many papers. These studies usually examine lead–lag relationships between markets, without distinguishing the influencing ability and the sensitivity of each of the markets. Additionally, these studies use indices that are not directly comparable — either because of the way the indices are calculated or because of the number of companies and sectors used to construct them. This paper addresses both points. First, all the analyses have been made using homogeneous indices designed by Morgan Stanley Capital International. Secondly, the information flow has been studied by applying the model proposed by P…
Synergistic Information Transfer in the Global System of Financial Markets.
2020
Uncovering dynamic information flow between stock market indices has been the topic of several studies which exploited the notion of transfer entropy or Granger causality, its linear version. The output of the transfer entropy approach is a directed weighted graph measuring the information about the future state of each target provided by the knowledge of the state of each driving stock market index. In order to go beyond the pairwise description of the information flow, thus looking at higher order informational circuits, here we apply the partial information decomposition to triplets consisting of a pair of driving markets (belonging to America or Europe) and a target market in Asia. Our …
Consumer confidence: Causality links with subjective and objective information sources
2020
Abstract This study analyses the relationship of causality between consumer confidence and the economic information ecosystem from subjective (i.e., business sentiment) and objective sources (financial information from listed companies and the stock index). Our sample covers Spain from June 2011 to December 2018. Our results show that consumer confidence and economic information can exert a causality influence on each other. The results show Granger causality from IBEX35 and total assets in the financial sector and leverage of the companies in the energy sector to the consumer confidence index (CCI), in the first lag: from operating income in the telecommunications sector to the CCI in the …
Analysis of B-2-C Social Media Communication in Germany
2018
In this research paper, social media marketing activities of social media accounts from German business are analyzed for the social networks Facebook, Twitter, Instagram, Xing and LinkedIn. As research objects were the context of the interaction, the used and targeted social network functionalities and the behavior of the companies selected. The selection of social media accounts for the research included companies which are currently member from the stock market indices DAX and MDAX, additional online and offline retail business, successful German sports clubs, celebrities and others businesses. Also and to be sure to evaluate high-class social media marketing, the German social media awar…
Spanish Stock Returns: Rational or Weather-Influenced?
2002
Psychological studies support the existence of an influence of weather on mood. It could affect the behaviour of market traders, as suggested by some authors, and this should be reflected by the stock returns. This paper investigates the possible relation between weather and market index returns in the context of the Spanish market, in order to test the above hypothesis. In 1989, this market changed its open outcry trading system into a computerised and decentralised trading system. Therefore, it is possible to check the influence of weather variables (sunshine hours and humidity levels) on index returns in an open outcry trading system, and to compare it with a screen traded environment. T…