Stock market efficiency: An intraday case of study about the G-20 group

Zebende, Gilney Figueira; Dias, Rui; Aguiar, L.C. de

doi:10.1016/j.heliyon.2022.e08808

Cited by 21 publications

(19 citation statements)

References 51 publications

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“…Considering the above, and accordingly to the authors Silva et al (2020), Zebende et al (2022) understanding the degree of linkages and correlations of the assets markets, as well as evaluating the co-movements degree can help the investors to diversify their asset portfolio and consequently reduce their risk exposure, as well as leverage their earnings, since the diagnosis of the degree of the integration will allow the identification of whether the assets have similar returns, if they are assets belonging to integrated markets, or if, due to their exposure to different sources of risk, they have differentiated returns and, therefore, constitute assets that are part of the segmented market. This article will analyze the co-movements between the G7 stock market, such as DJ index, S&P500 (representing the USA stock market), FTSE 100 (United Kingdom), S&P/TSX (Canada), DAX 30 (Germany), CAC 40 (France), Nikkei 225 (Japan), Italy Ds market (Italy) and the cryptocurrencies Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) and Crypto 10.…”

Section: Introductionmentioning

confidence: 95%

Spillover and Quantitative Link Between Cryptocurrency Shocks and Stock Returns: New Evidence From G7 Countries

Horta¹,

Dias²,

Revez³

et al. 2022

Balkans JETSS

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The objective of this article is to analyze the co-movements in the G7 stock markets, such as DJ index, S&P500 (representing the USA stock market), FTSE 100 (United Kingdom), S&P/TSX (Canada), DAX 30 (Germany), CAC 40 (France), Nikkei 225 (Japan), Italy Ds market (Italy) and the cryptocurrencies Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) and Crypto 10, during the period of February of 2018 to November of 2021. The results show that the cryptocurrencies BTC, ETH, and LTC increase the co-movements between their pairs, while the Crypto 10 index reduces the number of shocks when compared with the sub-period before COVID-19. Regarding the stock markets, DJ index kept the same level of shocks, whereas the Nikkei 225 decreased. For Germany (DAX), EUA (S&P500), Canada (S&P/TSX), United Kingdom (FTSE 100), France (CAC40), and Italy (Italy Ds Market) markets the results show an increase in movements during the global pandemic period. It is then possible to conclude the existence of evidence regarding synchronization and high co-movements, the results put at risk the implementation of efficient portfolio diversification strategies. These conclusions also open space for the market regulators to take steps to ensure better information on the dynamics of the international financial markets.

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Section: Introductionmentioning

confidence: 95%

Spillover and Quantitative Link Between Cryptocurrency Shocks and Stock Returns: New Evidence From G7 Countries

Horta¹,

Dias²,

Revez³

et al. 2022

Balkans JETSS

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confidence: 95%

“…The effects of the global pandemic of 2020 (COVID-19) have been affecting negatively the economy on a global scale, originating very significant impacts on the financial market across the world, causing significant losses to the investors in a short period of time. In line with all the negative effects, it seems inevitable that the stock market, economic growth, and exchange rates had also been affected in the same way (Dias et al, 2021c;Vasco et al, 2021;Zebende et al, 2022).…”

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confidence: 99%

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2022

Balkans JETSS

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Aims and ScopeThe mission of Balkans JETSS is to publish peer-review empirical research papers that test, extend or build theory and contribute to practice. All empirical methods -including, but not limited to, qualitative, quantitative, field, laboratory, and combination methods are welcome. Empirical, theoretical and methodological articles from all major fields of economics, management, tourism, law and the like are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are also encouraged.To be published in the Balkans JETSS, a manuscript must take strong empirical and/or theoretical contributions to the subject field. Consequently, preference is given to submissions that test, extend or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice.The journal is not tied to any particular discipline, level of analysis, or national context. Although, it focuses on Balkans region, all papers from related fields on any region or country are highly encouraged. Single country studies, multi-country or regional studies can be submitted.Manuscripts should not exceed 16 pages (450 word per page). This page limit includes all figures, tables, appendices and references. Copyright information For AuthorsAs soon as an article is accepted for publication, authors will be requested to assign copyright of the article (or to grant exclusive publication and dissemination rights) to the publisher. This will ensure the widest possible protection and dissemination of information under copyright laws. For ReadersWhile the advice and information in this journal is believed to be true and accurate at the date of its publication, neither the authors, the editors, nor the publisher can accept any legal responsibility for any errors or omissions that may have been made. The publisher makes no warranty, express or implied, with respect to the material contained herein.All articles published in this journal are protected by copyright, which covers the exclusive right to reproduce and distribute the article, as well as all translation rights. The use of general descriptive names, trade names, trademarks, etc., in this publication even if not specifically identified, does not imply that these names are not protected by the relevant laws and regulations.

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Section: Literature Reviewmentioning

confidence: 99%

“…In more recent studies, Zebende et al (2022), andDias et al (2022) measured the efficiency of several financial markets, to check whether returns followed a random walk process, that is, whether there was evidence that returns were autocorrelated over time. Zebende et al (2022) used intraday data to measure market efficiency, in its weak form, in G20 capital markets. For this purpose, the entire analysis was divided into two different time scales: Period I, with a time scale of less than five days and Period II, with a time scale of more than ten days.…”

Section: Literature Reviewmentioning

confidence: 99%

International Scientific Conference EMAN – Economics and Management: How to Cope with Disrupted Times

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The purpose of the annual EMAN conference is to support the power of scientific research and dissemination of the research results with the objective to enhance society by advancing knowledge; policy-making change, lives, and ultimately, the world. Our objective is to continue to be the foremost annual conference on cutting-edge theory and practice of economics, management, law, tourism, environment, technology through encouraging advancement via excellence, and interaction.EMAN conference aims to bring together the international academic community (experts, scientists, engineers, researchers, students, and others) and enable interactive discussions and other forms of interpersonal exchange of experiences and popularization of science and personal and collective affirmation.The annual EMAN conference is committed to the highest standards of publishing integrity and academic honesty ensuring ethics in all its publications. Conformance to standards of ethical behavior is therefore expected of all parties involved: authors, editors, reviewers, and the publisher. The conference organizer follows the Committee on Publication Ethics (COPE) guidelines on how to deal with potential acts of misconduct.All received full papers prior peer review process are subject to plagiarism check with iThenticate by Turnitin software. Any identified plagiarism automatically disqualifies a paper. Afterward, all full papers are double-blind peer-reviewed by the reviewers drawn from the editorial committee or external reviewers depending on the topic, title, and the subject matter of the paper. Peer reviewers provide a critical assessment of the paper and may recommend improvements. Although the author may choose not to take this advice, editors highly recommend that the author address any issues, explaining why their research process or conclusions are correct.

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Stock market efficiency: An intraday case of study about the G-20 group

Cited by 21 publications

References 51 publications

Spillover and Quantitative Link Between Cryptocurrency Shocks and Stock Returns: New Evidence From G7 Countries

Spillover and Quantitative Link Between Cryptocurrency Shocks and Stock Returns: New Evidence From G7 Countries

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International Scientific Conference EMAN – Economics and Management: How to Cope with Disrupted Times

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