Forthcoming and Online First Articles

International Journal of Financial Markets and Derivatives

International Journal of Financial Markets and Derivatives (IJFMD)

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International Journal of Financial Markets and Derivatives (4 papers in press)

Regular Issues

  • Impact of Economic Policy Uncertainty on Indian Stock Market Returns: Evidence from Large -Cap, Mid-Cap and Small-Cap Stocks   Order a copy of this article
    by Muhammadriyaj Faniband, Pravin Jadhav 
    Abstract: This study examines the impact of economic policy uncertainty (EPU) in the top 10 economies on the large-cap, mid-cap and small-cap (LMS) stock returns in India using a monthly dataset from January 2004 to May 2021. Our outcomes based on the quantile regression approach unveil interesting findings. First, Canada, France, Japan, the UK and the USA do not affect large, mid and small-cap stock returns. Second, Germany, India and Korea are the only countries that have a substantial and negative impact on LMS stock returns. Third, large and mid-cap stock returns are influenced positively only by Chinese EPU. The impact of the top 10 countries EPU is not homogeneous across LMS stock returns in India, implying that uncertainty regarding economic policy in these economies does not uniformly influence Indian LMS stock. The results derived from our study would be of substantial utility for investors, portfolio managers and policymakers.
    Keywords: economic policy uncertainty; EPU; stock market; stock return; large-cap; mid-cap; small-cap; quantile regression; asymmetry dependence; India.
    DOI: 10.1504/IJFMD.2023.10058566
     
  • The Response of Canadian Stocks to the COVID-19 Pandemic: The Case of A Developed Economy   Order a copy of this article
    by Salah U-Din  
    Abstract: The full extent of the COVID-19 pandemic is still unfolding and has evolved from a public health crisis to a major economic crisis. Its impact is felt by most businesses and capital markets worldwide. Canada is one of the G7 economies that felt the enormous economic and social impact of the pandemic. In this study, an ordinary least square (OLS) model is used to assess the impact of the COVID-19 pandemic on the Toronto Stock Exchange during 2020 and 2021. Growth in the confirmed COVID cases, ICU admissions, and government restrictions negatively impacted the Toronto Stock market returns; however, growth in hospitalisations positively impacted them. The sub-sectors of consumer discretionary, industrial, and financial services ranked in the top three positions respectively on the basis of risk-adjusted returns, while healthcare was positioned at the bottom of all ten sub-sectors. Furthermore, small caps outperformed the large caps and TSX composite index.
    Keywords: COVID-19 pandemic; economic crisis; stock market returns; ordinary least square; OLS.
    DOI: 10.1504/IJFMD.2023.10059983
     
  • Decomposition of Tracking Difference Components for Leveraged Exchange Traded Products   Order a copy of this article
    by Fatollah Salimian, Herman Manakyan 
    Abstract: The tracking difference is arguably the gold standard of measuring the performance of leveraged exchange traded products. The objective of this research is to identify the elements that give rise to the formation of tracking differences and pinpoint the relative importance of these elements under different financial environments. In this study, we analysed the tracking differences of both unleveraged and leveraged ETPs in different asset categories. Specifically, we used daily values for the Standard and Poor’s 500 total return index (S&P 500 TR) and the price of West Texas Intermediate (WTI) crude as benchmarks for two different asset categories of ETPs. The tracking differences for each of these selected leveraged and unleveraged ETPs were decomposed using classical additive time series model.
    Keywords: market returns; leveraged exchange traded products; LETPs; tracking difference; additive time series model; beta slippage; additive time series model.
    DOI: 10.1504/IJFMD.2023.10062031
     
  • Earnings expectations and accrual anomalies: reassessing stock market behaviours in the time of COVID-19   Order a copy of this article
    by Abdullah Alawadhi 
    Abstract: The COVID-19 pandemic disrupted stock market norms, prompting a reassessment of how stock prices reflect key financial data, especially accruals and cash flows of current earnings. Using data spanning from January 2019 to June 2021, this study examines the pandemic’s impact on accrual anomalies within stock prices. Despite prevailing beliefs favouring the reliability of accrual-basis accounting, our results reveal a tighter link between higher cash profits and steady earnings than with accrual profits. Surprisingly, the pandemic highlighted stock price inconsistencies, hinting at potential inefficiencies even when they are expected to perfectly capture financial distinctions. Investors, in the turmoil, remained disproportionately fixated on earnings, often overlooking the crucial differences between accrual and cash flow facets. These anomalies present potential avenues for abnormal returns. By bridging these insights, our study provides a comprehensive view of the multifaceted implications of global crises on stock price predictability and financial projections.
    Keywords: COVID-19; pandemic; stock prices; earnings; accruals; cash flows; accrual anomaly; stock market; future earnings; market efficiency.
    DOI: 10.1504/IJFMD.2023.10063215
     

 

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