Template-Type: ReDIF-Article 1.0 Author-Name: Muneer Shaik Author-X-Name-First: Muneer Author-X-Name-Last: Shaik Title: Do shocks to Islamic stock index prices have transitory effects? Abstract: The primary objective of this study is to investigate whether shocks to Islamic stock index prices have transitory or permanent effects by means of structural break unit root tests. The study conducts a comprehensive empirical work on weekly and monthly frequency data of 12 major global Islamic stock indices spread across developed and emerging nations like the USA, Turkey, Qatar, Oman, Indonesia, Malaysia, Thailand, India, Taiwan, China, World and Asia Pacific index. Overall, our study finds that the shocks to Islamic stock index prices have only transitory effects for both monthly and weekly data except for the Thailand sharia stock index which has a permanent effect only in the case of weekly data. We also associate the identified break dates with major global economic, political and financial events. The study is particularly essential for risk management and practitioners who develop forecast models based on Islamic indices. Journal: Int. J. of Financial Markets and Derivatives Pages: 336-358 Issue: 4 Volume: 8 Year: 2022 Keywords: unit root tests; structural breaks; permanent effects; transitory effects; weak form efficiency; Islamic shariah stock index. File-URL: http://www.inderscience.com/link.php?id=126009 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:4:p:336-358 Template-Type: ReDIF-Article 1.0 Author-Name: Alireza Rokhsari Author-X-Name-First: Alireza Author-X-Name-Last: Rokhsari Author-Name: Neda Doodman Author-X-Name-First: Neda Author-X-Name-Last: Doodman Author-Name: Akbar Esfahanipour Author-X-Name-First: Akbar Author-X-Name-Last: Esfahanipour Title: Investigation of financial markets performance due to coronavirus outbreak: EGARCH and bivariate regression approach Abstract: The emergence of COVID-19 since December 2019 has dramatically affected financial markets and economies across the world. This paper aims to investigate the detrimental effect of COVID-19, which caused the financial crisis worldwide. The returns and volatilities of some major capital markets of different countries have been calculated and examined by the EGARCH method along with some principal commodities such as oil, gold, and bitcoin. We also examine the relationship between different financial securities and the number of cases of COVID-19 in the world using the bivariate regression model. We perform this study at 6-time intervals before and after the pandemic. Our findings demonstrate that some countries have taken the best policies to contain the virus. Several others have taken some measures and initiatives to uphold the businesses and their markets, which will alleviate the negative impact of the outbreak on their economy. Journal: Int. J. of Financial Markets and Derivatives Pages: 315-335 Issue: 4 Volume: 8 Year: 2022 Keywords: financial crisis; financial securities; COVID-19; EGARCH; bivariate regression model. File-URL: http://www.inderscience.com/link.php?id=126010 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:4:p:315-335 Template-Type: ReDIF-Article 1.0 Author-Name: Sunrita Chaudhuri Author-X-Name-First: Sunrita Author-X-Name-Last: Chaudhuri Author-Name: Alok Pandey Author-X-Name-First: Alok Author-X-Name-Last: Pandey Title: Pricing of bond options in India Abstract: Bond options are widely used for managing interest rate risks. Bond options were introduced in India in December 2019. Various bond option pricing models are used by practitioners in the market. This study prices a European call option on 10-Year G-Sec using three models, the Jamshidian's option pricing formula based on Vasicek's model, the Black's option pricing model and Black, Derman and Toy's no arbitrage model. The results show that the option prices are different for different models. The study concludes that volatility of interest rates is an important consideration in each of the models and needs to be standardised to get comparable results. Journal: Int. J. of Financial Markets and Derivatives Pages: 359-383 Issue: 4 Volume: 8 Year: 2022 Keywords: bond option pricing; Jamshidian's option pricing formula; Black's option pricing model; Black; Derman and Toy model. File-URL: http://www.inderscience.com/link.php?id=126011 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:4:p:359-383 Template-Type: ReDIF-Article 1.0 Author-Name: G.S. David Sam Jayakumar Author-X-Name-First: G.S. David Sam Author-X-Name-Last: Jayakumar Author-Name: W. Samuel Author-X-Name-First: W. Author-X-Name-Last: Samuel Author-Name: A. Sulthan Author-X-Name-First: A. Author-X-Name-Last: Sulthan Title: Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio Abstract: This article introduces a modified version of rescaling the scale and shape parameters of McKay's bivariate gamma distribution and this considered to be the McKay's bivariate chi-square distribution (MBCHSQD). The marginals are univariate chi-square distribution with different degrees of freedom. Furthermore, conditional distributions and constants of the conditionals, generating functions are also derived. The distribution of correlated F-ratio is derived and the percentage points are computed at 5% and 1% level. Two-dimensional smooth curves are used to visualise the shape of derived densities graphically. The proposed F-distribution is applied in testing the equality of variances between two correlated Nifty 50 stocks when the Government of India in 2016 announced the scheme of demonetisation, in which the financial institutions with diverse industrial background in India got affected. Therefore, in order to test the equality of variance, the returns of Nifty 50 stocks are considered during pre and post-demonetisation periods in India. Journal: Int. J. of Financial Markets and Derivatives Pages: 384-409 Issue: 4 Volume: 8 Year: 2022 Keywords: McKay's bivariate gamma distribution; McKay's bivariate chi-square distribution; moments; characteristic functions; entropy; Pearson's correlation; correlated F-ratio. File-URL: http://www.inderscience.com/link.php?id=126012 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:4:p:384-409 Template-Type: ReDIF-Article 1.0 Author-Name: Saji George Author-X-Name-First: Saji Author-X-Name-Last: George Author-Name: P. Srinivasa Suresh Author-X-Name-First: P. Srinivasa Author-X-Name-Last: Suresh Title: Does behavioural risk explain the value premium? A study of Indian equity market Abstract: This paper, in light of irrational behavioural sentiments, examined value premium anomaly across price to earnings ratio-based portfolios over a period from 2004 to 2016 in the Indian equity market. The study observed excess premium in value stocks with high statistical significance along with higher market portfolio risk in the growth stock portfolios. It refuted the argument of value premium as a compensation for recession related fundamental risk. Sensitivity to behavioural risk found to be negative across both portfolios with lesser impact on the value stocks' excess returns. It observed positive overreaction of trading in the growth stock portfolios and negative overreaction of trading in the value stocks portfolios and also found mispricing both in information day and non information day trading. Erroneous contrarian trading strategies and extent of noise in the prices of stocks of each portfolio cause differences in their behavioural risk exposure, thereby, results in value effect. Journal: Int. J. of Financial Markets and Derivatives Pages: 205-222 Issue: 3 Volume: 8 Year: 2022 Keywords: asset pricing; value premium; market risk; behavioural risk; behavioural error; overreaction; under-reaction; information day trading. File-URL: http://www.inderscience.com/link.php?id=122348 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:3:p:205-222 Template-Type: ReDIF-Article 1.0 Author-Name: P. Lakshmi Author-X-Name-First: P. Author-X-Name-Last: Lakshmi Author-Name: S. Visalakshmi Author-X-Name-First: S. Author-X-Name-Last: Visalakshmi Author-Name: Jeevananthan Manickavasagam Author-X-Name-First: Jeevananthan Author-X-Name-Last: Manickavasagam Title: Analysing time varying co-movements among the US and BRICS stock markets Abstract: We perform a three dimensional analysis of the co-movements between developed US market and the emerging BRICS markets through wavelet coherence. This analysis identifies the extent to which each of the BRICS markets provide portfolio diversification opportunities for international investors. We find evidence of a highly heterogeneous degree of co-movement of the US and each of the BRICS markets that vary based on investment horizon. Our findings reveal that Brazil and South Africa have the highest degree of co-movement at higher frequencies or trading period up to a week followed by India (above one month) and Russia (above four months). China has the least co-movement for duration less than a year. The results indicate that effective portfolio diversification decisions are sensitive to both frequency and duration. The strong co-movement at a particular time scale implies that investors must make optimal trade-offs to reap the benefits of portfolio diversification and duration diversification. Journal: Int. J. of Financial Markets and Derivatives Pages: 275-289 Issue: 3 Volume: 8 Year: 2022 Keywords: BRICS Stock market; co-movement; continuous wavelet transform; CWT; wavelet coherence; WTC; time scales. File-URL: http://www.inderscience.com/link.php?id=122354 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:3:p:275-289 Template-Type: ReDIF-Article 1.0 Author-Name: Laurel Pasricha Author-X-Name-First: Laurel Author-X-Name-Last: Pasricha Author-Name: Neelam Dhanda Author-X-Name-First: Neelam Author-X-Name-Last: Dhanda Title: Performance measures and investment decisions: evidence from international stock markets Abstract: This article investigates the efficacy of various selection criteria to refine the stocks with the best characteristics out of a big pool to facilitate investment decisions. It utilises the performance ratios, namely, the Sharpe ratio, Sortino ratio, and Rachev ratio, as selection criteria to shortlist the assets with the maximum value of these ratios in the in-sample period. We constitute a naive (equal-weighted) portfolio from the shortlisted stocks and analyse their out-of-sample performance across different sizes of the in-sample and out-of-sample periods. The study carries out several experiments on eight stock market datasets selected across the globe. The empirical findings suggest that these selection criteria are relevant because they dominate the benchmark index when their out-of-sample returns are analysed based on several performance measures. The Rachev ratio-based shortlisting criterion outperforms the portfolios obtained from the other performance measures-based selection strategy and the index returns. Journal: Int. J. of Financial Markets and Derivatives Pages: 290-313 Issue: 3 Volume: 8 Year: 2022 Keywords: performance measures; portfolio selection; naive portfolio; international stock markets. File-URL: http://www.inderscience.com/link.php?id=122355 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:3:p:290-313 Template-Type: ReDIF-Article 1.0 Author-Name: Satrajit Mandal Author-X-Name-First: Satrajit Author-X-Name-Last: Mandal Author-Name: Sujoy Bhattacharya Author-X-Name-First: Sujoy Author-X-Name-Last: Bhattacharya Title: A directional movement trading strategy using jump-diffusion price dynamics Abstract: The purpose of this paper is to forecast stock prices using Merton's jump-diffusion model and develop a directional movement (DM) trading strategy based on the price forecasts. The formula for the probability density function of Merton's daily logarithmic stock return has been simplified. Stock price dynamics of ten companies listed in Bombay Stock Exchange are studied. Both the Black-Scholes and Merton models are compared to fit the historical stock data as well as forecasting stock prices and it is found that the Merton model gives superior in-sample and out-of-sample performances. The adaptive barrier algorithm of Lange is used to find the maximum likelihood estimates of the Merton parameters. Finally, two trading strategies - the buy-and-hold (BH) strategy and the DM strategy are compared. The DM strategy outperforms the BH strategy for most of these ten stocks as well as when traded with a Markowitz minimum variance portfolio of these stocks. Journal: Int. J. of Financial Markets and Derivatives Pages: 223-243 Issue: 3 Volume: 8 Year: 2022 Keywords: jump-diffusion; directional movement; Black-Scholes; adaptive barrier; buy-and-hold; Markowitz. File-URL: http://www.inderscience.com/link.php?id=122357 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:3:p:223-243 Template-Type: ReDIF-Article 1.0 Author-Name: Prince Hikouatcha Author-X-Name-First: Prince Author-X-Name-Last: Hikouatcha Author-Name: Hans Patrick Menik Bidias Author-X-Name-First: Hans Patrick Menik Author-X-Name-Last: Bidias Author-Name: David Kamdem Author-X-Name-First: David Author-X-Name-Last: Kamdem Title: The price of microstructure risk on emerging stock markets: towards an integration of African financial markets Abstract: African stock markets have particular characteristics, chiefly the extreme volatility of their returns, which would imply a significant risk premium. Very few studies attempted to investigate the existence of this risk premium for some return determinants on these markets. The purpose of this article is to evaluate the price of the microstructure risk on some selected African emerging stock markets, including JSE, NSE and BRVM. The data used is from these stock markets databases and ranges from 2000 to 2014. Generalised least square and generalised estimating equations methods are used at the last step of a modified version of Fama and Macbeth's (1973) sequential estimation technique, on a set of portfolio formed based on two different strategies. The results show that microstructure risk is not significantly priced on individual stock markets. However, it is better priced when portfolios are constituted with stocks of several financial markets. Indeed, except the liquidity, all considered microstructure risk factors are significantly and consistently priced. This highlights the fact that the risk premium is more attractive when markets are integrated. The study points out the need for the globalisation of African stock markets and a necessity to facilitate information flow. Journal: Int. J. of Financial Markets and Derivatives Pages: 244-274 Issue: 3 Volume: 8 Year: 2022 Keywords: emerging stock markets; international portfolio management; microstructure risk. File-URL: http://www.inderscience.com/link.php?id=122358 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijfmkd:v:8:y:2022:i:3:p:244-274