Do emerging stock markets offer an illiquidity premium for local or global investors?

Butt, Hilal Anwar; Demirer, Rıza; Sadaqat, Mohsin; Suleman, Muhammad Tahir

doi:10.1016/j.qref.2022.05.002

Cited by 3 publications

(1 citation statement)

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“…Moreover, most scholarly research focuses on stock markets in developed economies (Guo and Zhou 2021), with limited attention given to emerging markets. However, as globalization progresses, international investors are increasingly turning their focus to emerging markets (Butt et al 2022;Boufounou and Tinos 2023). Hence, it remains a relatively unexplored research problem about whether various risks asymmetrically impact asset return volatility and what distinctions are in correlation and risk management between developed and emerging countries' stock markets and these assets.…”

Section: Introductionmentioning

confidence: 99%

Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China

Yu,

Xu,

Chen

2024

JRFM

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Extreme shocks, including climate change, economic sanctions, geopolitical conflicts, etc., are significant and complex issues currently confronting the global world. From the US–China perspective, this paper employs the DCC-DAGM model to investigate how diverse market risks asymmetrically affect return volatility, and extract correlations between stock indices and hedging assets. Then, diversified and hedging portfolios, constructed by optimal weight and hedge ratio, are investigated using multiple risk reduction measures. The empirical results highlight that, first, diverse risks exhibit an asymmetric effect on the return volatility in the long term, while in the short term, the US stock market is more sensitive to negative return shocks than the Chinese market. Second, risks impact correlations differently across time horizons and countries. Short-term correlations are stronger than long-term ones for the US market, with the Chinese stock market displaying more stable correlations. Third, the hedging strategy is more effective in reducing volatility and risk for US stocks, while the diversification strategy proves more effective for Chinese stocks. These findings have implications for market participants striving to make their portfolios robust during turbulent times.

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Section: Introductionmentioning

confidence: 99%

Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China

Yu,

Xu,

Chen

2024

JRFM

View full text Add to dashboard Cite

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Contrasting the Performance of Active and Passive Unit Trusts under Normal Market Conditions: Is the Experience of Emerging Markets Different?

Gopane,

Ravhura

2024

OMEE

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The predominant tradition in the literature is to scrutinise the competitive performance of passive and active investment strategies with less regard to the prevailing market climate. The thesis of this paper is that volatile market conditions may necessitate investment strategy adjustments. Such readjustments may confound empirical comparison of passive and active investing if econometric models do not adapt accordingly. Currently, the literature cannot give a stylised fact of whether the historical claims of passive–active relationships relate to normal market conditions or not, which is a flaw. The present study reduces the flagged knowledge gap by answering the question whether passive investment outperforms active investing under normal market conditions. The study applies the parametric and non-parametric risk-adjusted models of the Jensen alpha and Sharpe index. The empirical analysis is based on the weekly returns of 16 unit trusts listed on South Africa’s Johannesburg Stock Exchange for ten years (between 2009 and 2019). Consistent with the hypothesis of inefficient capital markets in developing economies, the study finds that active investing significantly outperforms passive investment strategy under normal market conditions. The results should benefit investors and policymakers in the era of increasing competitiveness, digitalisation, and globalisation.

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Trends and Challenges after the Impact of COVID-19 and the Energy Crisis on Financial Markets

Basdekis,

Christopoulos,

Katsampoxakis

et al. 2024

Energies

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This review aims to examine the impact of increasing energy costs on the global economy, social cohesion, economic growth, and capital markets, with a particular focus on the consequences of the COVID-19 pandemic and the energy crisis intensified by the war in Ukraine. The methodology involves an extensive review of recent academic literature to cast light on these impacts. The study identifies significant disruptions in supply chains and heightened volatility in international capital markets due to these crises. Furthermore, the findings highlight the resulting challenges for policymakers, academics, market analysts, and professionals in addressing corporate sustainability in an increasingly uncertain environment. This paper underscores the continued relevance of energy issues as a central concern, both independently and in connection with broader economic sectors. Additionally, it discusses the importance of policy measures to enhance energy security and the transition towards sustainable energy solutions to mitigate these challenges and foster economic resilience.

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Do emerging stock markets offer an illiquidity premium for local or global investors?

Cited by 3 publications

References 50 publications

Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China

Double Asymmetric Impacts, Dynamic Correlations, and Risk Management Amidst Market Risks: A Comparative Study between the US and China

Contrasting the Performance of Active and Passive Unit Trusts under Normal Market Conditions: Is the Experience of Emerging Markets Different?

Trends and Challenges after the Impact of COVID-19 and the Energy Crisis on Financial Markets

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