Similar Search Results

Equity market contagion in return volatility during Euro Zone and global financial crises: Evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-18

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market … squared stock returns of all 35 stock indices studied. Empirical findings show the evidence of contagion during the global … financial crisis (GFC) and Euro Zone crisis (EZC). The intensity of contagion varies depending on its sources. This implies that …

Persistent link: https://www.econbiz.de/10012611104

Financial risk and better returns through smart beta exchange-traded funds?

Bowes, Jordan; Ausloos, Marcel - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-30

Smart beta exchange-traded funds (SB ETFs) have caught the attention of investors due to their supposed ability to offer a better risk-return trade-off than traditionally structured passive indices. Yet, research covering the performance of SB ETFs benchmarked to traditional cap-weighted market...

Persistent link: https://www.econbiz.de/10013200967

Pricing product options and using them to complete markets for functions of two underlying asset prices

Madan, Dilip B.; Wang, King - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-19

Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...

Persistent link: https://www.econbiz.de/10013201039

Oil market factors as a source of commonality in liquidity in international equity markets

Alhassan, Abdulrahman; Naka, Atsuyuki; Noman, Abdullah - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-33

When stock markets are less liquid or illiquid, investors are expected to require compensation for taking the risk of not being able to sell quickly. Many studies have documented the existence of the co-movements (commonality) of market liquidity in equity markets as a priced factor. The primary...

Persistent link: https://www.econbiz.de/10013201056

Hedging long-dated oil futures and options using short-dated securities: Revisiting Metallgesellschaft

Doran, James S.; Ronn, Ehud I. - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-10

Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper identifies a model-free non-parametric approach to...

Persistent link: https://www.econbiz.de/10013201063

An equilibrium-based measure of systemic risk

Ivanov, Katerina; Schulte, James; Tian, Weidong; Tseng, … - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-24

This paper develops and implements an equilibrium model of systemic risk. The model derives a systemic risk measure, loss beta, in characterizing all too-big-to-fail banks using a capital insurance equilibrium. By constructing each bank's loss portfolio with a recent accounting approach, we...

Persistent link: https://www.econbiz.de/10013201098

The optimal spending rate versus the expected real return of a sovereign wealth fund

Aase, Knut K.; Bjerksund, Petter - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-35

We consider a sovereign wealth fund that invests broadly in the international financial markets. The influx to the fund has stopped. We adopt the life cycle model and demonstrate that the optimal spending rate from the fund is significantly less than the fund's expected real rate of return. The...

Persistent link: https://www.econbiz.de/10013201109

Time-varying risk and the relation between idiosyncratic risk and stock return

Fu, Chengbo - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-16

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in...

Persistent link: https://www.econbiz.de/10013201116

Expectations concordance and stock market volatility: Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

Persistent link: https://www.econbiz.de/10013201204

Volatility spillover dynamics between large-, mid-, and small-cap stocks in the time-frequency domain: Implications for portfolio management

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Dash, Ashutosh - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-22

The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error variance decomposition (FEVD) spillover framework of Diebold and Yilmaz in the time-frequency domain. Total volatility spillover (i.e., connectedness) is elevated between large-,...

Persistent link: https://www.econbiz.de/10013201214