Global Risk Factors and Stock Returns during Bull and Bear Market Conditions: Evidence from Emerging Economies in Europe

Demiralay, Sercan

doi:10.18267/j.pep.680

Cited by 5 publications

(4 citation statements)

References 38 publications

(55 reference statements)

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“…Quantile regression is employed to uncover more meaningful predictive correlations between macroeconomic variables (Konstantopoulos et al, 2019). The intricacy of relationships between different macroeconomic variables resulting in data with an uneven variation of one variable for distinct ranges of another variable has been ascribed to the necessity for and effectiveness of Quantile regression (Demiralay, 2019).…”

Section: Quantile Regressionmentioning

confidence: 99%

The Impact of Macroeconomic Variables on Stock Market Performance in Ghana

Abdullai,

Twumasi,

Addo

et al. 2023

JPOME

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The study used monthly data from 2010 to 2021 to consider the impact of macroeconomic variables on stock market performance in Ghana. Inflation rates, interest rates, exchange rates, and global economic policy uncertainty were the macroeconomic variables studied. Because the study was based on numerical secondary data, the study used a quantitative research approach. The study employed a correlation test to determine the relationship between variables. Only two of the four macroeconomic variables studied (interest rates and global economic policy uncertainty) had an impact on Ghanaian stock performance, according to the study. The study revealed that Ghana's stock market performance is unaffected by inflation or the exchange rate. Global Economic Policy Uncertainty, Interest Rate, and Inflation had a negative relationship with stock returns and were not statistically significant, however, Exchange Rate was statistically significant and positively correlated with stock returns. The study recommends maintenance and implementation of conservative macroeconomic policies, as changes in macroeconomic variables have an impact on stock returns, to strengthen support from stock actions.

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Section: Quantile Regressionmentioning

confidence: 99%

The Impact of Macroeconomic Variables on Stock Market Performance in Ghana

Abdullai,

Twumasi,

Addo

et al. 2023

JPOME

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“…Then, we follow the quantile regression approach of Koenker and Bassett (1978), Koenker and Hallock (2001), and re-formulated Equation (1) as below. This regression captures the picture of the conditional distribution and allows for the observation of asymmetric linear dependency through several distribution quantities (Mensi et al 2014;Demiralay 2019;Hoque et al 2021).…”

Section: Empirical Modelsmentioning

confidence: 99%

“…where 0 < τ < 1, τ-th conditional quantile of Y i and β(τ) is the model parameter to be estimated in the QR model. As the return structures are dependent on some external factors (Mensi et al 2014;Demiralay 2019;Hoque et al 2021), in this study, we consider it the subject of financial stress. It can be (1) constant if the β(τ) coefficients do not vary across quantiles; (2) monotonically declining (increasing) if the β(τ) coefficients decline (rise) across quantiles; and (3) symmetric (asymmetric) if the β(τ) coefficients are the same (different) for low and high quantiles.…”

Section: Empirical Modelsmentioning

confidence: 99%

Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation

Hoque

Low

2022

Risks

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This study examines the responses of Bitcoin and gold to categorical financial stress and compares the responses before and during the COVID-19 pandemic. The OLS and Quantile regression estimations revealed that gold and Bitcoin exhibit similar reactions in full and pre COVID-19 samples. Gold and Bitcoin respond positively to equity valuation and safe assets categories of financial stress. Gold also reacts positively to the credit category of financial stress suggesting that widening credit spreads are bullish for gold. Bitcoin and gold respond differently in the funding category, and there is no significant reaction to volatility-related financial stress. Overall, the effects of categorical financial stress on gold and Bitcoin are similar in the full sample and sub-sample before COVID-19, but the effects are heterogeneous. Interestingly, during the pandemic, the reactions of gold and Bitcoin to categorical financial stress have changed. Gold only reacts positively to the credit category of financial stress across quantiles. Bitcoin reacts positively to credit and safe asset categories but not across all quantiles. The findings offer insights into the effects of several systemic financial stress on the value of safe haven assets.

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“…Literature review Preconditions and perspectives of creation of the social market economy and the accumulated practical experience are discussed in the works of Agunovich et al (2018), Andronova andRiazantsev (2006), D'Aleo and, Goyal and Sergi (2015a), Goyal and Sergi (2015b), Goyal et al (2015), Goyal et al (2017), Haabazoka et al (2019), Ivanov et al (2019), Pichkov (2016), Popkova and French (2017), Popkova and Sergi (2020), , , Popkova et al (2018), Popkova and Zmiyak (2019), Pritvorova et al (2018), Qerimi and Sergi (2015), Ragulina (2019), Sergi et al (2019), Shevyakova and Petrenko (2018), Shevyakova et al (2019) and Zavyalova et al (2018). Risk management and related crisis management of market economy ("pure" market) are described in the works of Adetiloye et al (2017), Amin (2019), Apergis (2015), Balima et al (2017), Benda et al (2019), Bertolini and Goglio (2019), Boonman (2019), Bouri (2015), Br€ ulle et al (2019), Deb et al (2020), Demiralay (2019), Floyd (2019), Gencer and Demiralay (2016), Ha-Huy et al (2016), Jiang et al (2017), Kourachanis (2019), Laitsou et al (2017), Matsuoka (2018), Mul e (2019), Naess and B ardsen (2015), ...…”

Section: Managing Social Market Economymentioning

confidence: 99%

Risk-oriented approach to managing the social market economy

Krishtaleva

Gureeva

Kripakova

et al. 2020

IJSSP

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PurposeThe purpose of the paper is to develop a risk-oriented approach to managing the social market economy.Design/methodology/approachThe first task is to determine the differences in susceptibility to the risk of the social market economy as compared to “pure” market economy. The authors use comparative analysis, variation analysis and correlation analysis for determining the dependence between quality of life in 2020 and variation of quality of life in 2012–2020, as well as variation of gross domestic product per capita in 2012–2020. The second task is to determine the perspectives of risk management of the social market economy in view of the specifics of the risk component of its functioning and development. Regression analysis is used for determining the dependence of quality of life in top ten countries with the social market economy in 2020 in the key risk factors that are peculiar for market economy and that lead to its destabilization: globalization, innovations and digitization.FindingsIt is substantiated that the unique economic and social environment predetermines the specific influence of the factors that are peculiar for the modern market economy. It is proved – by the example of top ten social market economies in 2020 – that social factors are more important for provision of stability of the social market economy than economic factors.Originality/valueA risk-oriented approach to managing the social market economy is developed; it takes into account the specifics of the risk component of its functioning and development. The offered approach showed that the social market economy requires indirect regulation of risks through correction of institutions.

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Global Risk Factors and Stock Returns during Bull and Bear Market Conditions: Evidence from Emerging Economies in Europe

Abstract: This paper explores the dependence of emerging European stock markets

Cited by 5 publications

References 38 publications

The Impact of Macroeconomic Variables on Stock Market Performance in Ghana

The Impact of Macroeconomic Variables on Stock Market Performance in Ghana

Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation

Risk-oriented approach to managing the social market economy

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