Pub Date : 2024-08-21DOI: 10.1080/10293523.2024.2375818
Aayush Poddar, Sujoy Bhattacharya, R Rathish Bhatt
This study uses behavioural portfolio theory (BPT) within the Markowitz Portfolio Theory framework to enhance portfolio management by focusing on sustainability and risk mitigation during market do...
{"title":"Employing behavioural portfolio theory for sustainable investment: Examining drawdown risks and ESG factors","authors":"Aayush Poddar, Sujoy Bhattacharya, R Rathish Bhatt","doi":"10.1080/10293523.2024.2375818","DOIUrl":"https://doi.org/10.1080/10293523.2024.2375818","url":null,"abstract":"This study uses behavioural portfolio theory (BPT) within the Markowitz Portfolio Theory framework to enhance portfolio management by focusing on sustainability and risk mitigation during market do...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"173 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142181798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-08-21DOI: 10.1080/10293523.2024.2379097
Sabbor Hussain, Jo-Hui Chen
This paper explores the spillover and leverage effects, as well as trading volume dynamics, of Financial, Technology, and FinTech Exchange-Traded Funds (ETFs) using ARMA-GARCH and ARMA-EGARCH model...
{"title":"The spillover and leverage effects and trading volume of FinTech Exchange-Traded Funds","authors":"Sabbor Hussain, Jo-Hui Chen","doi":"10.1080/10293523.2024.2379097","DOIUrl":"https://doi.org/10.1080/10293523.2024.2379097","url":null,"abstract":"This paper explores the spillover and leverage effects, as well as trading volume dynamics, of Financial, Technology, and FinTech Exchange-Traded Funds (ETFs) using ARMA-GARCH and ARMA-EGARCH model...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"26 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142181799","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-04DOI: 10.1080/10293523.2024.2347714
Oluwasegun B. Adekoya, Johnson A. Oliyide, Ademola B. Akinseye, Mamdouh A. S. Al-Faryan
This study examines the risk spillovers among the world’s top oil & gas firms, accounting for the role of environmental fiscal policies, economic policy uncertainty (EPU), and regulatory quality. W...
{"title":"Risk spillovers among global oil & gas firms","authors":"Oluwasegun B. Adekoya, Johnson A. Oliyide, Ademola B. Akinseye, Mamdouh A. S. Al-Faryan","doi":"10.1080/10293523.2024.2347714","DOIUrl":"https://doi.org/10.1080/10293523.2024.2347714","url":null,"abstract":"This study examines the risk spillovers among the world’s top oil & gas firms, accounting for the role of environmental fiscal policies, economic policy uncertainty (EPU), and regulatory quality. W...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"30 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141612912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
After the collapse of the equity market in the early 2000s, the question of the drivers of financial assets returns preoccupied the interest of investors and policymakers in financial markets. Thus...
{"title":"The time-frequency-quantile causal impact of Cable News-based Economic Policy Uncertainty on major assets returns","authors":"Tomiwa Sunday Adebayo, Oktay Özkan, Emrah Sofuoğlu, Ojonugwa Usman","doi":"10.1080/10293523.2024.2358589","DOIUrl":"https://doi.org/10.1080/10293523.2024.2358589","url":null,"abstract":"After the collapse of the equity market in the early 2000s, the question of the drivers of financial assets returns preoccupied the interest of investors and policymakers in financial markets. Thus...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"76 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141502359","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-20DOI: 10.1080/10293523.2024.2354586
Baki Cem Şahin
This study explores the momentum trading behaviours across different investor segments in the Turkish stock market. The empirical analysis confirms the positive return of the momentum strategy both...
本研究探讨了土耳其股市中不同投资者群体的动量交易行为。实证分析证实了动量策略的正收益。
{"title":"Momentum trading: How it differs among investor segments","authors":"Baki Cem Şahin","doi":"10.1080/10293523.2024.2354586","DOIUrl":"https://doi.org/10.1080/10293523.2024.2354586","url":null,"abstract":"This study explores the momentum trading behaviours across different investor segments in the Turkish stock market. The empirical analysis confirms the positive return of the momentum strategy both...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"3 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141502358","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-04-15DOI: 10.1080/10293523.2024.2333069
Andrew Phiri, Izunna Anyikwa
Since the onset of the COVID-19 pandemic, leading cryptocurrencies have undergone significant price fluctuations, prompting widespread interest in the interdependence and spillover effects among cr...
{"title":"A multiscale analysis of returns and volatility spillovers in cryptocurrency markets: A post-COVID perspective","authors":"Andrew Phiri, Izunna Anyikwa","doi":"10.1080/10293523.2024.2333069","DOIUrl":"https://doi.org/10.1080/10293523.2024.2333069","url":null,"abstract":"Since the onset of the COVID-19 pandemic, leading cryptocurrencies have undergone significant price fluctuations, prompting widespread interest in the interdependence and spillover effects among cr...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"23 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140571442","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-26DOI: 10.1080/10293523.2024.2312714
Xiaojun Chu, Shuang Song
Motivated by literature on heterogeneous investors, we use the difference between the highest and lowest prices to proxy the intensity of competition among bullish-bearish investors and investigate...
{"title":"The highest-lowest price range and the cross-sectional returns predictability","authors":"Xiaojun Chu, Shuang Song","doi":"10.1080/10293523.2024.2312714","DOIUrl":"https://doi.org/10.1080/10293523.2024.2312714","url":null,"abstract":"Motivated by literature on heterogeneous investors, we use the difference between the highest and lowest prices to proxy the intensity of competition among bullish-bearish investors and investigate...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"8 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140302847","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-18DOI: 10.1080/10293523.2024.2312712
Nelson Kyakutwika, Bruce Bartlett
Cross-series dependencies are crucial in obtaining accurate forecasts when forecasting a multivariate time series. Simultaneous Graphical Dynamic Linear Models (SGDLMs) are Bayesian models that ele...
{"title":"Bayesian forecasting of stock returns on the JSE using simultaneous graphical dynamic linear models*","authors":"Nelson Kyakutwika, Bruce Bartlett","doi":"10.1080/10293523.2024.2312712","DOIUrl":"https://doi.org/10.1080/10293523.2024.2312712","url":null,"abstract":"Cross-series dependencies are crucial in obtaining accurate forecasts when forecasting a multivariate time series. Simultaneous Graphical Dynamic Linear Models (SGDLMs) are Bayesian models that ele...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"19 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140168973","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-11DOI: 10.1080/10293523.2024.2312707
Amit Pandey, Anil Kumar Sharma
This study is the first to examine the efficacy of the Cumulative Prospect Theory value of the past return (CPTV) to explain fund flow in emerging markets funds by considering the impact of fund ma...
{"title":"The cumulative prospect theory and fund flows in emerging markets","authors":"Amit Pandey, Anil Kumar Sharma","doi":"10.1080/10293523.2024.2312707","DOIUrl":"https://doi.org/10.1080/10293523.2024.2312707","url":null,"abstract":"This study is the first to examine the efficacy of the Cumulative Prospect Theory value of the past return (CPTV) to explain fund flow in emerging markets funds by considering the impact of fund ma...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"33 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140098836","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-11DOI: 10.1080/10293523.2024.2312708
Korhan K. Gokmenoglu, Efe Altingunes
This 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, whi...
{"title":"Volatility and return spillovers between private equity buyout, venture capital and major financial markets","authors":"Korhan K. Gokmenoglu, Efe Altingunes","doi":"10.1080/10293523.2024.2312708","DOIUrl":"https://doi.org/10.1080/10293523.2024.2312708","url":null,"abstract":"This 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, whi...","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140098842","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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