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Portfolio rebalancing in South Africa
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: G Sher --- Department of Actuarial Science, G D I Barr --- Department of Economics and Statistical Sciences,The theory of so-called ‘optimal’ portfolio rebalancing has emerged over the last decade in journals and working papers, but this theory has several drawbacks, being based on advanced mathematics and relying on sets of restrictive assumptions. This paper investigates rebalancing... -
Information content in the depth of futures markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: I-Chun Tsai --- Department of Finance, TaiwanThe paper uses open interest as the proxy variable of market depth to estimate its effects on volatility, return, volume and deviations of contract prices from the fundamental level. It adopts open interest from three types of investors, namely, dealers,... -
Convergence to market efficiency: the case of seasoned equity offering stocks
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Han-Ching Huang --- Department of Finance, Business Building 404A, 4/F, Taiwan Yong-Chern Su --- Department of Finance, Taiwan Hsuan-Yin Wang --- Department of Finance, TaiwanThis study examines the relationship between returns and contemporaneous and lagged-order imbalances by regression analysis. Conditional on contemporaneous imbalances, a significantly negative relationship is found between lagged-one imbalances and returns, except for a 10-minute time interval. This suggests that seasoned... -
Trade openness and stock market volatility in the ASEAN-5 countries: New evidence using SUR
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Lida Nikmanesh --- Faculty of Economics and Management, MalaysiaThe present study investigates the relation between trade openness and stock market volatility in the ASEAN-5 countries, using data of the composite price indices and trade openness in these countries from 1990 to 2013. A two-step methodology is employed. Firstly,... -
Relative performance of VIXC vs. GARCH in predicting realised volatility changes
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Young Cheol Jung --- Policy Studies, CanadaThis paper examines the forecasting power of the volatility index of Canada (VIXC) and GARCH-family volatility. Specifically, this paper is motivated by an enquiry into how well volatility estimators predict volatility changes. To this end, we use a daily series... -
Mutual funds and market performance: New evidence from ASEAN markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Fiza Qureshi --- Department of Finance & Banking, Faculty of Business and Accountancy, Malaysia Izlin Ismail --- Department of Finance & Banking, Faculty of Business and Accountancy, Malaysia Sok Gee Chan --- Department of Finance & Banking, Faculty of Business and Accountancy, MalaysiaThe contemporaneous growth in ASEAN financial markets over the last two decades raises empirical questions regarding the role of institutional investors in financial market performance. Our study examines the dynamic relationship of aggregate mutual fund flows with market performance variables,... -
Seasonality in the cross section of factor premia
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adam Zaremba --- Department of Investment and Capital Markets, PolandThis study examines the seasonality effect in the cross section of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigated the cross-sectional seasonality of market, value, size, momentum, quality and low-risk premia... -
Does relative efficiency matter? An analysis of market uncertainty
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Hyoung-joo Lim --- Division of Accounting/Tax and Management Information Systems, South Korea Dafydd Mali --- Sheffield Business School, Sheffield Hallam University, UKIn this paper, we examine whether relative efficiency provides useful information for investment decisions. We find that efficient firms have lower levels of stock price volatility compared to inefficient firms. The results suggest that market participants consider relative efficiency when... -
Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adam Zaremba --- Department of Investment and Capital Markets, Poland Mehmet Umutlu --- Department of International Trade and Finance, Turkey Alina Maydybura --- Dubai Business School, United Arab EmiratesWe offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country indexes and 888... -
The effectiveness of price limits in the South African white maize futures market
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Ayesha Sayed --- Finance Division, South Africa Christo Auret --- Finance Division, South AfricaFutures markets perform two essential functions by creating a platform for price discovery and permitting low cost hedging of risk. Some futures markets impose limits on the amount asset prices can change within a trading day to prevent the market... -
An analysis of short put strategies and their role in asset allocation
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: João Bruno Meneses Schwalbach --- 1st Fusion, South Africa David McClelland --- School of Economic and Business Sciences, South AfricaFully-collateralised short put strategies have been found by Ungar and Moran (2009) to have similar return and improved risk characteristics when compared to broad market ETF equity exposure, resulting in an improved risk-return relationship. This paper analyses the risk and... -
Time-dependent volatility in futures contract options
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Jilong Chen --- International Business School, School of Finance, China Christian Ewald --- University of Glasgow, UK Ali M. Kutan --- Business School, Department of Economics and Finance, USAThe Schwartz (1997) two-factor model is the benchmark model for pricing futures options, and the volatility is constant, which is similar to the Black-Scholes model. In this paper, we use a similar method which can make the Black-Scholes model be... -
A new sentiment index for the Islamic stock market
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Muhammad Asif Khan --- Faculty of Business and Accountancy, Malaysia Rubi Ahmad --- Faculty of Business and Accountancy, Malaysia Anna Azmi --- Faculty of Business and Accountancy, Malaysia Muhammad Akbar --- Birmingham City Business School, UKThis study attempts to examine the predictability of Google search volume (GSV) and to construct an appropriate investor sentiment index for Islamic stock markets for seven United States (US) Islamic stock indices. Using principal component analysis, we construct an appropriate... -
Volatility transmission in maize futures markets of major exporters
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Ayesha Sayed --- Lecturer of Finance, School of Economic and Business Sciences, South Africa Christo Auret --- Head of Finance Division, School of Economic and Business Sciences, South AfricaThe United States, Brazil, Argentina and South Africa are the largest exporters of maize. This paper examines volatility transmission in maize futures listed on SAFEX, CBOT, MATBA (Argentina) and BMF (Brazil). Four multivariate GARCH models are employed to investigate the... -
The firm’s asset volatility, effective tax rate and leverage effect: Evidence from Taiwan
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: An-Sing Chen --- Department of Finance, Taiwan Pham Tuan Anh --- National Chung Cheng University, Taiwan and Nguyen Tat Thanh University, VietnamThis paper examines firms’ asset volatility across a broad cross-section of publicly traded Taiwanese listed nonfinancial firms and its relationship with effective tax rate and equity volatility under the capital structure framework. By analysing the leverage effect hypothesis of firms... -
Real options and asymmetric volatility in light of the firm’s growth opportunities
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Sagi Akron --- , Israel Ender Demir --- , Turkey Roi D. Taussig --- , IsraelThis study proposes a real options exercise mechanism as a novel explanation for the asymmetric volatility phenomenon. We suggest that asymmetric volatility stems from the exercise of real call options following positive shocks and the exercise of real put options... -
Expected option returns during the post-GFC era
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Cheng Yan --- , PRC Xiaoli Wu --- , UKWe investigate whether the option implied volatility predicts the future realised volatility of the underlying securities and whether volatility risk factors exploited from options are pricing factors. Our sample includes six popular stock indices such as the S&P 500 and... -
Modelling spillover effects between the UK and the US stock markets over the period 1935–2020
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Olalekan Aladesanmi --- , United KingdomThis study investigates the spillovers of shocks and volatilities between the UK and the US stock markets over the period 1935–2020. The empirical analysis is carried out for the full sample and four subsample periods by applying the asymmetric GARCH-BEKK... -
Time dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap rates
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Okan Aybar --- , France Mehmet Huseyin Bilgin --- , Turkey Serda Selin Öztürk --- , TurkeyGlobalisation and financial liberalisation have made financial markets more correlated and connected. In this context, it has become extremely important to understand the connectedness and correlation among different financial markets and commodities. This paper attempts to extend applicable empirical studies... -
Risk of investing in volatility products: A regime-switching approach
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Leon Li --- , New ZealandVolatility indexes provide a tool for investors to speculate and trade on market sentiment regarding future volatility. The risk of trading on volatility indexes can be measured by their second moments, namely, variance and correlation. This study considers the four... -
Analysis of farmers’ food price volatility and Nigeria’s growth enhancement support scheme
Item type: Journal Article • Journal: African Journal of Science, Technology, Innovation and Development • Authors: Joseph I. Uduji --- , Nigeria Elda Nduka Okolo-Obasi --- , Nigeria Simplice Anutechia Asongu --- , CameroonFood prices in Nigeria have become significantly higher and more volatile since 2012. The purpose of this research was to find out what affects farmers’ participation in the growth enhancement support scheme (GESS) in the country. We determined the effect... -
Quantifying the sources of volatility in the IFRS 9 impairments
Item type: Journal Article • Journal: South African Journal of Accounting Research • Authors: Yolanda S. Stander --- , South AfricaThe International Financial Reporting Standards (IFRS) 9 accounting standard gives rise to impairments that are sensitive to the economic cycle. Rules around stage migration and the incorporation of forward-looking information lead to volatility in the impairments that is not always... -
The asymmetric relationship between volatility index and volatility-of-volatility index
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Adian McFarlane --- , Ontario Canada Anupam Das --- , Canada Young Cheol Jung --- , CanadaWe use the nonlinear autoregressive distributed lag model to assess the asymmetric relationship between the Chicago Board Options Exchange’s volatility index (VIX) and volatility-of-volatility index (VVIX) over the period January 2007 to March 2020. To control for potentially confounding factors,... -
The impact of algorithmic trading on market quality: Evidence from the Johannesburg Stock Exchange
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Aurélie Courdent --- , David McClelland --- ,High-frequency trading (HFT) is a trading method that relies on sophisticated algorithms to analyse markets and execute large numbers of orders within milliseconds. In the last two decades, this new technology has gained traction globally and now accounts for the... -
Is the rand a commodity currency? A volatility spillover analysis
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Ayesha Sayed --- , South Africa Ailie Charteris --- , South AfricaSouth Africa is a major commodity exporter, yet it is not clear what impact volatility in commodity prices has on the volatility of its currency. In this study, we examine whether a comprehensive sample of commodities (metals, grains and energy)... -
Central bank policy rate announcements and high-frequency intra-day benchmark stock returns reaction dynamics: Evidence from South Africa
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Cyril May --- University of the Witwatersrand, South Africa Tatenda Ngandu --- University of the Witwatersrand, South AfricaThis paper investigates the chronological impact of South African Reserve Bank (SARB) repo rate announcements on the Financial Times Stock Exchange/Johannesburg Securities Exchange (FTSE/JSE) All Share Index (ALSI) returns and returns volatility. Covering the period 2012–2021, the study employs the... -
Volatility spillover and connectedness among REITs, NFTs, cryptocurrencies and other assets: Portfolio implications
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Masud Alam --- , Bangladesh Mohammad Ashraful Ferdous Chowdhury --- , Mohammad Abdullah --- Universiti Sultan Zainal Abidin, Malaysia Mansur Masih --- Finance/Islamic Finance, UniKL Business School, MalaysiaWe investigate the return and volatility spillovers among NFTs, REITs, and other major financial assets from January 2019 to November 2022, using connectedness approaches. The findings indicate that total return and volatility connectedness increased during the COVID-19 and the Russia–Ukraine... -
A quantile-based analysis of risk-return dynamics in the South African equity market
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Munyaradzi Chawana --- , South Africa Ilse Botha --- School of Accounting, College of Business and Economics, University of Johannesburg, South Africa Yolanda Stander --- Investec, Senior research associate at University of Johannesburg, South AfricaThis paper employs quantile autoregression to investigate the influence of ‘market size’ and ‘industry’ effects on the South African equity market volatility response to return shocks. It is now well documented that equity market volatility exhibits asymmetric response to positive... -
Tracking error volatility and relative risk budgets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Aron Gottesman --- Pace University,This paper uses a pooled cross-sectional sample of actively managed US equity mutual funds from 1991–2022 to show that tracking error volatility (TEV) is characterised by reversion. Mutual funds with relatively high (low) TEV tend to reduce (increase) their TEV... -
Return and volatility connectedness across stock markets: A global perspective
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Huifu Nong --- School of Economics, Guangxi Minzu University, ChinaThe connectedness of stock markets is inevitable because of the rapid increases in global financialisation, financial liberalisation, and integration of national economies. This study therefore increases the number of stock markets included in the LASSO-VAR model to separately estimate the... -
The low-volatility effect in African frontier equity markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Johannes Petrus Steyn --- Stellenbosch University, South Africa Evan Gilbert --- Stellenbosch University, South Africa Suzette Viviers --- Stellenbosch University, South AfricaThis study investigated the extent to which the low-risk anomaly is present in a pooled sample of nine African frontier equity markets from March 2004 to July 2023. Portfolio-level analysis was used to investigate the total stock returns of equally... -
Investor sentiments and performance of selected ESG indices in BRICS markets during bull and bear conditions
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Damilola Aboluwodi --- Finance, University of KwaZulu-Natal, South Africa Paul-Francois Muzindutsi --- Finance, University of KwaZulu-Natal, South Africa Bomi Nomlala --- Accounting, University of KwaZulu-Natal, South AfricaSustainability concerns are increasingly shaping global investment decisions, prioritising sustainable impacts over mere profit-making. This study examines the performance of Environmental, Social, and Governance (ESG) funds in emerging markets, focusing on bull and bear market scenarios. A Markov Regime Switching... -
Volatility and return spillovers between private equity buyout, venture capital and major financial markets
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Korhan K. Gokmenoglu --- Ankara HBV University, Turkey Efe Altingunes --- Department of Banking and Finance, Eastern Mediterranean University, CyprusThis study investigates the volatility and return spillovers between Private Equity Buyouts (PE) and Venture Capital (VC), the equity market, precious metals, real estate, and the Dollar index, which has been widely ignored in the literature. We analysed daily data... -
An empirical investigation of return spillover and volatility dynamics of Indian sectoral indices
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Barkha Dhingra --- Maharshi Dayanand University, India Mohit Saini --- Maharshi Dayanand University, India Mohamed Fakhfekh --- Higher Institute of Business and Administration of Sfax, Tunisia Mahender Yadav --- Maharshi Dayanand University, IndiaThis research delves into the interconnectedness and volatility dynamics within sectoral indices amid the COVID-19 pandemic, to determine the most appropriate model for elucidating these dynamics. It addresses the burgeoning interest among investors in comprehending sectoral dynamics within India’s stock... -
Public attention, investor sentiment and stock markets: Evidence from Chinese listed firms
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Renbo Shi --- School of Economics and Management, Beihang University, China Wei Shan --- School of Economics and Management, Beihang University, China Junguang Gao --- , China Changfeng Cheng --- School of Economics and Management, Beihang University, ChinaThe COVID-19 pandemic’s onset introduced unforeseen disruptions to the Chinese stock market. This study uses all A-share companies from 20 January to 26 April 2020, as research samples to explore the impact of public attention on investor sentiment and the... -
Unintended consequences of market-wide circuit breakers in China
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Xinru Wang --- University of Wollongong, Australia Maria H. Kim --- University of Wollongong, Australia Sandy Suardi --- University of Wollongong, Australia Jing Zhao --- La Trobe University, AustraliaThis study examines the effectiveness of market-wide circuit breakers in China, specifically on January 4 and 7, 2016, focusing on their impact on price discovery, volatility, and trader behaviour. Unlike previous research, it explores the broader implications of market-wide halts,... -
Spillovers, correlations and hedging among green bonds, clean energy stocks and fossil fuels: The effects of four turmoils
Item type: Journal Article • Journal: Investment Analysts Journal • Authors: Foday Joof --- Eastern Mediterranean University, Turkey Cahit Adaoglu --- Eastern Mediterranean University, Turkey Nigar Taspinar --- Eastern Mediterranean University, TurkeyThis study investigates the volatility spillovers and the hedging among green bonds, clean energy stocks, and fossil fuels markets. During the ten-year sample period between 2012 and 2022, four major turmoils are observed chronologically: The oil price plunge of 2014–2016,...