Pub Date : 2023-01-02DOI: 10.1080/10293523.2022.2155354
Omar Bani-Khalaf, Nigar Taspinar
ABSTRACT This study aimed to explain the relationship between bitcoin and nonfungible tokens (NFTs) to determine if the NFT is an alternative investment to bitcoin or a complement during oil price uncertainty. The results showed a comovement between NFT and bitcoin prices. However, after excluding the effect of oil prices and using the partial wavelet coherence test, the results changed and the comovements disappeared: bitcoin and NFT became two separate assets that are affected by different variables. Moreover, oil price has more impact on bitcoin than NFT in the medium and long run. However, these results indicate that the change in oil prices, to some extent, is not considered a strong influence on the crypto market. Nevertheless, a significant rise in crude oil prices leads to a significant change in the comovement between crypto assets and they become interrelated.
{"title":"The role of oil price in determining the relationship between cryptocurrencies and non-fungible assets","authors":"Omar Bani-Khalaf, Nigar Taspinar","doi":"10.1080/10293523.2022.2155354","DOIUrl":"https://doi.org/10.1080/10293523.2022.2155354","url":null,"abstract":"ABSTRACT This study aimed to explain the relationship between bitcoin and nonfungible tokens (NFTs) to determine if the NFT is an alternative investment to bitcoin or a complement during oil price uncertainty. The results showed a comovement between NFT and bitcoin prices. However, after excluding the effect of oil prices and using the partial wavelet coherence test, the results changed and the comovements disappeared: bitcoin and NFT became two separate assets that are affected by different variables. Moreover, oil price has more impact on bitcoin than NFT in the medium and long run. However, these results indicate that the change in oil prices, to some extent, is not considered a strong influence on the crypto market. Nevertheless, a significant rise in crude oil prices leads to a significant change in the comovement between crypto assets and they become interrelated.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"52 1","pages":"53 - 66"},"PeriodicalIF":0.9,"publicationDate":"2023-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49447404","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 : 2022-11-22DOI: 10.1080/10293523.2022.2142408
C. May, Tatenda Ngandu
ABSTRACT This 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 ‘event study’ approach, a risk augmented generalised autoregressive conditional heteroscedasticity (GARCH-in-mean) model, and high-frequency intra-day 1-minute stock quotes during narrow windows to avert (or minimise) data contamination problems – endogeneity bias and coinciding effects of other exogenous variables on the stock market around the repo rate announcement time. In line with a priori expectations, there is an inverse relationship between stock returns and repo rate surprises (or unexpected repo rate changes). And consistent with findings in developed economies, our econometric results show that the reaction of the South African (SA) stock market to repo rate surprises is swift, indicating a high degree of ‘mechanical efficiency’ in respect to central bank policy rate surprises. But the delayed returns volatility response mirrors that of findings in the scant empirical literature on emerging markets. Evidence of both time-varying risk-return and time-varying degree of ‘informational efficiency’ is consistent with the adaptive market hypothesis (AMH).
{"title":"Central bank policy rate announcements and high-frequency intra-day benchmark stock returns reaction dynamics: Evidence from South Africa","authors":"C. May, Tatenda Ngandu","doi":"10.1080/10293523.2022.2142408","DOIUrl":"https://doi.org/10.1080/10293523.2022.2142408","url":null,"abstract":"ABSTRACT This 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 ‘event study’ approach, a risk augmented generalised autoregressive conditional heteroscedasticity (GARCH-in-mean) model, and high-frequency intra-day 1-minute stock quotes during narrow windows to avert (or minimise) data contamination problems – endogeneity bias and coinciding effects of other exogenous variables on the stock market around the repo rate announcement time. In line with a priori expectations, there is an inverse relationship between stock returns and repo rate surprises (or unexpected repo rate changes). And consistent with findings in developed economies, our econometric results show that the reaction of the South African (SA) stock market to repo rate surprises is swift, indicating a high degree of ‘mechanical efficiency’ in respect to central bank policy rate surprises. But the delayed returns volatility response mirrors that of findings in the scant empirical literature on emerging markets. Evidence of both time-varying risk-return and time-varying degree of ‘informational efficiency’ is consistent with the adaptive market hypothesis (AMH).","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"52 1","pages":"19 - 39"},"PeriodicalIF":0.9,"publicationDate":"2022-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42982409","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 : 2022-10-12DOI: 10.1080/10293523.2022.2125641
Khoa Dang Duong, M. Tran, Qui Nhat Nguyen, H. Le
ABSTRACT This study analyses the MAX anomaly in a frontier market before and during the Covid19 pandemic. Our sample has 39,673 firm-month observations of non-financial firms in Vietnam from 2008 to 2021. Using the Carhart four-factor model augmented with MAX anomaly, Fama-Macbeth two-step estimations, and portfolio analyses, we report the persistence of the MAX puzzle in Vietnam before and during the Covid-19 pandemic. The arbitrary returns between the highest and lowest MAX portfolios are around 1% per month. Finally, our results report that the MAX anomaly is subsumed by the IVOL anomaly, while the skewness fails to explain the MAX anomaly. Our findings align with the anchoring theory, prospect theory, and prior literature. Our findings align with the anchoring theory, prospect theory, and prior literature. Our study suggests that policymakers improve market transparency to protect retail investors.
{"title":"The MAX puzzle in a frontier market before and during the Covid-19 pandemic","authors":"Khoa Dang Duong, M. Tran, Qui Nhat Nguyen, H. Le","doi":"10.1080/10293523.2022.2125641","DOIUrl":"https://doi.org/10.1080/10293523.2022.2125641","url":null,"abstract":"ABSTRACT This study analyses the MAX anomaly in a frontier market before and during the Covid19 pandemic. Our sample has 39,673 firm-month observations of non-financial firms in Vietnam from 2008 to 2021. Using the Carhart four-factor model augmented with MAX anomaly, Fama-Macbeth two-step estimations, and portfolio analyses, we report the persistence of the MAX puzzle in Vietnam before and during the Covid-19 pandemic. The arbitrary returns between the highest and lowest MAX portfolios are around 1% per month. Finally, our results report that the MAX anomaly is subsumed by the IVOL anomaly, while the skewness fails to explain the MAX anomaly. Our findings align with the anchoring theory, prospect theory, and prior literature. Our findings align with the anchoring theory, prospect theory, and prior literature. Our study suggests that policymakers improve market transparency to protect retail investors.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"52 1","pages":"4 - 18"},"PeriodicalIF":0.9,"publicationDate":"2022-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49132390","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 : 2022-10-02DOI: 10.1080/10293523.2022.2115603
Yaoyao Fu, Peng Hua, Qijie Chen, Si Zhou
ABSTRACT In this paper, we investigate the information sharing within an organisation and its consequences on mutual fund performance. Using a sample from the US open-end mutual fund industry, information sharing inside an organisation is quantified via the dependence of individual funds from the fund family joint information set. The findings indicate a positive relationship between the degree of information sharing and the resulting fund performance. This remains robust across different performance evaluation metrics and various model specifications. Such superior performance can be attributed to the quality of information shared across affiliated fund members and timely information diffusion within the fund family.
{"title":"Information sharing and fund performance: Evidence from the US mutual fund family","authors":"Yaoyao Fu, Peng Hua, Qijie Chen, Si Zhou","doi":"10.1080/10293523.2022.2115603","DOIUrl":"https://doi.org/10.1080/10293523.2022.2115603","url":null,"abstract":"ABSTRACT In this paper, we investigate the information sharing within an organisation and its consequences on mutual fund performance. Using a sample from the US open-end mutual fund industry, information sharing inside an organisation is quantified via the dependence of individual funds from the fund family joint information set. The findings indicate a positive relationship between the degree of information sharing and the resulting fund performance. This remains robust across different performance evaluation metrics and various model specifications. Such superior performance can be attributed to the quality of information shared across affiliated fund members and timely information diffusion within the fund family.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"301 - 318"},"PeriodicalIF":0.9,"publicationDate":"2022-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42374840","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 : 2022-09-26DOI: 10.1080/10293523.2022.2112665
Mohammad Abdullah, G. M. W. Ullah, M. Ashraful, Ferdous Chowdhury
ABSTRACT We examine the asymmetric effect of COVID-19 government interventions on global stock markets using a sample of 61 countries over the period of January 2020 to December 2021, applying Quantile ARDL (QARDL) and panel threshold regressions. The QARDL results show a heterogenous effect of government interventions on stock markets which varies along with country income level and stock market size. Additionally, the panel threshold regression reveals a positive effect before and a negative effect after the threshold level of government interventions. Our findings can assist policymakers to formulate intervention plans in limiting financial turbulence.
{"title":"The asymmetric effect of COVID-19 government interventions on global stock markets: New evidence from QARDL and threshold regression approaches","authors":"Mohammad Abdullah, G. M. W. Ullah, M. Ashraful, Ferdous Chowdhury","doi":"10.1080/10293523.2022.2112665","DOIUrl":"https://doi.org/10.1080/10293523.2022.2112665","url":null,"abstract":"ABSTRACT We examine the asymmetric effect of COVID-19 government interventions on global stock markets using a sample of 61 countries over the period of January 2020 to December 2021, applying Quantile ARDL (QARDL) and panel threshold regressions. The QARDL results show a heterogenous effect of government interventions on stock markets which varies along with country income level and stock market size. Additionally, the panel threshold regression reveals a positive effect before and a negative effect after the threshold level of government interventions. Our findings can assist policymakers to formulate intervention plans in limiting financial turbulence.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"268 - 288"},"PeriodicalIF":0.9,"publicationDate":"2022-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45451454","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 : 2022-09-25DOI: 10.1080/10293523.2022.2108651
John Garcia
ABSTRACT This study investigates the relationship between the stock ratings of professional analysts and company-level sentiment. I find that investor sentiment expressed in tweets and news articles displays a positive relationship with professional analysts’ stock ratings and that the sentiment conveyed through tweets has a stronger effect than the sentiment from conventional news articles. Furthermore, the effect of sentiment derived from tweets and news articles on analysts’ ratings is stronger when the sentiment valence is the same (negative or positive) and weaker when the sentiment valence differs. The findings shed light on the link between investor sentiment and analysts’ stock ratings by demonstrating that analysts’ stock ratings are influenced by investor sentiment.
{"title":"Analysts’ stock ratings and the predictive value of news and Twitter sentiment","authors":"John Garcia","doi":"10.1080/10293523.2022.2108651","DOIUrl":"https://doi.org/10.1080/10293523.2022.2108651","url":null,"abstract":"ABSTRACT This study investigates the relationship between the stock ratings of professional analysts and company-level sentiment. I find that investor sentiment expressed in tweets and news articles displays a positive relationship with professional analysts’ stock ratings and that the sentiment conveyed through tweets has a stronger effect than the sentiment from conventional news articles. Furthermore, the effect of sentiment derived from tweets and news articles on analysts’ ratings is stronger when the sentiment valence is the same (negative or positive) and weaker when the sentiment valence differs. The findings shed light on the link between investor sentiment and analysts’ stock ratings by demonstrating that analysts’ stock ratings are influenced by investor sentiment.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"236 - 252"},"PeriodicalIF":0.9,"publicationDate":"2022-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44063008","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 : 2022-09-18DOI: 10.1080/10293523.2022.2112822
Heejin Yang, D. Ryu
ABSTRACT This study examines differences in insider groups’ trading behaviours based on their characteristics. We use data on high-frequency insider trading and Korean bond rating change announcements. We find that insiders actively exploit their information advantage, and their transaction behaviour differs based on their position (e.g., blockholders, executives, or largest shareholders). In particular, the largest shareholders are usually the most informed traders among insiders. Our results indicate that market participants can use insider trading as an informative signal to make investment decisions.
{"title":"The information content of bond rating changes and insider trading in Korea","authors":"Heejin Yang, D. Ryu","doi":"10.1080/10293523.2022.2112822","DOIUrl":"https://doi.org/10.1080/10293523.2022.2112822","url":null,"abstract":"ABSTRACT This study examines differences in insider groups’ trading behaviours based on their characteristics. We use data on high-frequency insider trading and Korean bond rating change announcements. We find that insiders actively exploit their information advantage, and their transaction behaviour differs based on their position (e.g., blockholders, executives, or largest shareholders). In particular, the largest shareholders are usually the most informed traders among insiders. Our results indicate that market participants can use insider trading as an informative signal to make investment decisions.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"289 - 300"},"PeriodicalIF":0.9,"publicationDate":"2022-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45154093","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 : 2022-09-08DOI: 10.1080/10293523.2022.2110651
Hyejin Park, Minki Kim, Doojin Ryu
ABSTRACT The COVID-19 pandemic has led global investors to draw a parallel between pandemics and climate risk, focusing their attention on climate risk. We examine COVID-19’s effect on investors’ awareness of climate risk by analysing novel trading data for Korean-listed firms that include investor information. We observe that institutional investors divest from high-emission firms during the market crash induced by the COVID-19 pandemic, whereas individual investors do not, suggesting that investor attention to climate risk is heterogeneous.
{"title":"Heterogeneous investor attention to climate risk: Evidence from a unique dataset","authors":"Hyejin Park, Minki Kim, Doojin Ryu","doi":"10.1080/10293523.2022.2110651","DOIUrl":"https://doi.org/10.1080/10293523.2022.2110651","url":null,"abstract":"ABSTRACT The COVID-19 pandemic has led global investors to draw a parallel between pandemics and climate risk, focusing their attention on climate risk. We examine COVID-19’s effect on investors’ awareness of climate risk by analysing novel trading data for Korean-listed firms that include investor information. We observe that institutional investors divest from high-emission firms during the market crash induced by the COVID-19 pandemic, whereas individual investors do not, suggesting that investor attention to climate risk is heterogeneous.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"253 - 267"},"PeriodicalIF":0.9,"publicationDate":"2022-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44866734","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 : 2022-07-21DOI: 10.1080/10293523.2022.2090078
Xiaoyu Chen, Bin Li, A. Worthington
ABSTRACT Motivated by the demonstrated profitability of industry momentum strategies and the established explanatory power of higher moments for momentum returns at the firm level, we investigate the relation between higher moments and industry momentum returns. We use January 1970 to December 2021 data on 48 US industry return series from Kenneth French’s data library to calculate realised skewness and kurtosis and to construct double-sort trading strategies over dynamic trading horizons up to 24 months. The results reveal that the lowest-skewness group earns the strongest industry momentum returns over most trading horizons, while kurtosis is positively related to industry momentum returns. Additional testing reveals that these relations are uncaptured by the market, size, value, investment, profitability, and firm-level momentum risk factors in common asset pricing models.
{"title":"Higher moments and industry momentum returns","authors":"Xiaoyu Chen, Bin Li, A. Worthington","doi":"10.1080/10293523.2022.2090078","DOIUrl":"https://doi.org/10.1080/10293523.2022.2090078","url":null,"abstract":"ABSTRACT Motivated by the demonstrated profitability of industry momentum strategies and the established explanatory power of higher moments for momentum returns at the firm level, we investigate the relation between higher moments and industry momentum returns. We use January 1970 to December 2021 data on 48 US industry return series from Kenneth French’s data library to calculate realised skewness and kurtosis and to construct double-sort trading strategies over dynamic trading horizons up to 24 months. The results reveal that the lowest-skewness group earns the strongest industry momentum returns over most trading horizons, while kurtosis is positively related to industry momentum returns. Additional testing reveals that these relations are uncaptured by the market, size, value, investment, profitability, and firm-level momentum risk factors in common asset pricing models.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"217 - 235"},"PeriodicalIF":0.9,"publicationDate":"2022-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47649548","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 : 2022-07-03DOI: 10.1080/10293523.2022.2090087
Reder van Rooyen, G. V. Van Vuuren
ABSTRACT Tactical asset allocation (TAA) is a dynamic investment strategy which seeks actively to adjust fund allocation to a variety of asset classes by systematically exploiting inefficiencies and temporary imbalances in equilibrium values. This approach contrasts with strategic asset allocation (SAA) in which a long-term investment view target allocation is established using a combination of target return and risk tolerance. Asset returns are forecasted using the Capital Asset Pricing Model (CAPM), complemented with results obtained from the Kalman filter. Performance of TAA and SAA approaches are compared using several diagnostic metrics. The TAA approach outperforms its SAA counterpart for most of these metrics for the period under consideration, showing some potential benefits of using this approach.
{"title":"Tactical asset allocation using the Kalman filter","authors":"Reder van Rooyen, G. V. Van Vuuren","doi":"10.1080/10293523.2022.2090087","DOIUrl":"https://doi.org/10.1080/10293523.2022.2090087","url":null,"abstract":"ABSTRACT Tactical asset allocation (TAA) is a dynamic investment strategy which seeks actively to adjust fund allocation to a variety of asset classes by systematically exploiting inefficiencies and temporary imbalances in equilibrium values. This approach contrasts with strategic asset allocation (SAA) in which a long-term investment view target allocation is established using a combination of target return and risk tolerance. Asset returns are forecasted using the Capital Asset Pricing Model (CAPM), complemented with results obtained from the Kalman filter. Performance of TAA and SAA approaches are compared using several diagnostic metrics. The TAA approach outperforms its SAA counterpart for most of these metrics for the period under consideration, showing some potential benefits of using this approach.","PeriodicalId":44496,"journal":{"name":"Investment Analysts Journal","volume":"51 1","pages":"202 - 215"},"PeriodicalIF":0.9,"publicationDate":"2022-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49648578","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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