Is portfolio diversification possible in integrated markets? Evidence from South Eastern Europe

Pirgaip, Burak; Ertuğrul, Hasan Murat; Ulussever, Talat

doi:10.1016/j.ribaf.2021.101384

Cited by 4 publications

(3 citation statements)

References 33 publications

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“…More recently, Nguyen and Nguyen (2021) adopt a two-state regime to predict global economic indicators and find the model superior to relying on the benchmarked all-country-word-index (ACWI). Pirgaip et al (2021) find higher spillover effects in the higher volatility regime. While there are some Markov applications in healthcare interventions (Briggs and Sculpher, 1998), to our knowledge, there are no study which looks at switching regimes during the Covid-19 era for the Italian health-care sector.…”

Section: Regime Shifts In Financial Marketsmentioning

confidence: 75%

Early COVID-19 policy response on healthcare equity prices

Gurrib

2021

SEF

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Purpose This paper aims to investigate the implementation of the short selling ban policy imposed by the Italian stock exchange on health-care stock prices, as a tool to mitigate COVID-19 price effects. Important contributions are in terms of assessing the effect of the temporary short selling ban on restricted health-care stocks; the effect of COVID-19 cases and crude oil price volatility onto health-care stocks; and whether COVID-19 resulted in a change in the risk and average stock price of health-care stocks. Design/methodology/approach The methodology involves impulse responses to capture the shock of the short selling ban onto health-care stocks, and Markov switching regimes to capture the effect of COVID-19 onto the risk and prices in the health-care industry. Daily data from 9 November 2018 till 23 December 2020 is used. Findings Findings suggest there were significant changes in average prices in health-care technology and health-care services stocks before, during and after the short selling ban. Shocks to the number of COVID-19 cases and crude oil price volatility impacted health-care stocks but lasted only for a few days. While daily changes in the number of COVID-19 cases impacted some health-care stocks in the presence of a two-state Markov regime, insignificant coefficients and relatively low duration suggest that the short selling policy did not significantly change the average price and risk in health-care stocks to explain a two-state regime in the health-care industry. Research limitations/implications Insignificant coefficients in a two-state Markov regime reinforce that short-selling policies have a short-lasting effect onto health-care equity prices. The findings are limited by the duration of the short selling policy, the pandemic event and the health-care industry. Originality/value This is the first study to look at the impact of early COVID-19 and short selling ban policy on health-care stocks.

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Section: Regime Shifts In Financial Marketsmentioning

confidence: 75%

Early COVID-19 policy response on healthcare equity prices

Gurrib

2021

SEF

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“…This result reflects earlier findings and suggestions made in the extant literature. In the works of Ansari, Haider, and Khan (2020); Pirgaip, Ertuğrul, and Ulussever (2021) they contend that while mankind, in general, places stress on the environment, poverty in particular has played a major role in environmental sustainability across the world. The results of this paper support this position.…”

Section: Resultsmentioning

confidence: 99%

Revisiting the Relationship between Poverty and Environmental Sustainability in Sub-Saharan African Countries using Dynamic Econometric Models

Mensah

Chen

Chuambo

et al. 2021

Economy

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Sustainable development remains an important issue in the quest to achieve a safe and a better world. The expansion of the 8 millennium development goals into the 17 sustainable development goals is a testament of the conscious desire to improve the human environment to ensure better quality of life for its citizens. This study assembles a collection of four sophisticated econometric models to determine the impact of poverty and other variables on two indicators of environmental sustainability. Beside, economic development, the study confirmed the negative impact of poverty on both indicators of sustainable development. The results prove that poverty in sub-Saharan Africa is a threat to environmental quality and its consequential challenges. The call to promote environmentally responsible behaviours should not be focused on developed countries alone. Poverty is also associated with high levels of pollution and poor countries including countries in sub-Saharan Africa contributes must equally restrategise for effective environmental goals. The study further discloses that poverty is one of the strongest factors that affect environmental sustainability. This observation is not a contradiction to the well-established fact that prosperity or economic growth is a major precursor of unsustainable environment. On the contrary the evidence in this paper amplifies a consequence of a social crisis if they fester at both ends. In one breath, whereas economic growth or economic prosperity can compromise the quality of the environment. In conclusion, this result implies that African countries in their pursuit of economic growth, education and effective healthcare to ameliorate poverty must incorporate other aggressive strategies to hasten poverty reduction.

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“…Over recent decades, financial market integration among developed and emerging markets has occurred, with rapid improvements in technology and intense global competition being two of the many contributing factors (Pirgaip et al, 2021). The integration of financial markets can strongly impact financial and economic stability.…”

Section: Introductionmentioning

confidence: 99%

The use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crises

Ferreira

Almeida

Dionísio

et al. 2022

RGE

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Understanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering the integration of international stock markets and given they are complex systems, it is important to understand how they are related and how they influence each other. Studying data from 25 European Union stock market indices, this piece of research aims to evaluate the dynamics of influence among them. In terms of method, a non-linear approach has been applied, based on transfer entropy with static and dynamic analysis. As the main finding, a strongly influential relationship between some indices should be highlighted. The static analysis allows us to infer that central and western European Union countries are the main influencers, while the dynamic analysis leads us to the conclusion that the relationships between the stock markets have changed over time, revealing their dynamism. The results obtained have several implications. For instance, for investors and portfolio managers, the information about comovements is relevant for diversification purposes and for their decisions on where to make their investments, build portfolio strategies and manage risks; however, for policymakers, the constant monitoring of stock markets may detect increases in the connection between markets, which could be understood as signs of instability.

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Is portfolio diversification possible in integrated markets? Evidence from South Eastern Europe

Cited by 4 publications

References 33 publications

Early COVID-19 policy response on healthcare equity prices

Early COVID-19 policy response on healthcare equity prices

Revisiting the Relationship between Poverty and Environmental Sustainability in Sub-Saharan African Countries using Dynamic Econometric Models

The use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crises

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