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A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (31 March 2021) | Viewed by 50548

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Dr. Andreia Dionísio

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Guest Editor

Center for Advanced Studies in Management and Economics (CEFAGE), Department of Management, University of Évora, Largo dos Colegiais, 2, 7004- 516 Évora, Portugal
Interests: econophysics; data analysis; nonlinear dependence; maximum entropy estimation; non-linear time series; financial markets behaviour
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Special Issue Information

Dear Colleagues,

Stock markets are currently one of the main drivers of the economy, the financial growth of societies, and technological advancement, and their "ups and downs" influence business cycles.

In this context, it is important to assess the impact of financial crises on stock markets and those that have emerged on the stock markets themselves. Market efficiency remains a current theme, as does speculation and information asymmetry. What influences the behavior of markets, and how they influence economics and societies, are themes that continue to fascinate us. Do these impacts call into question the efficient market hypothesis? Is it possible to predict the behavior of a stock market in the long, medium, or short term, based on existing economic information? Do economic cycles dictate the behavior of markets? In this Issue, we try to get answers to these and other questions. In essence, the aim of this Special Issue is to understand, to explore, and to try to explain stock markets’ behavior.

We invite investigators to contribute original research articles in theory, practice, and applications on stock markets’ behavior. All submissions must contain original unpublished work not being considered for publication elsewhere.

Prof. Dr. Andreia Dionísio
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

Stock markets
Efficient market hypothesis
Investors’ behavior
Financial crisis

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Published Papers (11 papers)

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Research

18 pages, 2411 KiB

Open AccessArticle

Spillovers of the COVID-19 Pandemic: Impact on Global Economic Activity, the Stock Market, and the Energy Sector

by Md. Bokhtiar Hasan, Masnun Mahi, Tapan Sarker and Md. Ruhul Amin

J. Risk Financial Manag. 2021, 14(5), 200; https://doi.org/10.3390/jrfm14050200 - 1 May 2021

Cited by 48 | Viewed by 7268

Abstract

In this study, we examine the effect of the COVID-19 pandemic on global economic activity, the stock market, and the energy sector considering the sizable damaging impacts in these crucial aspects. Our results, based on the structural vector autoregression (SVAR) model for the data from 21 January 2020, to 26 February 2021, indicate that the COVID-19 cases significantly and negatively impact all the endogenous variables such as Baltic dry index (BDI), MSCI world index (MSCI), and MSCI world energy index (MSCIE). Our results also reveal that of the three variables, the stock markets indices (MSCI and MSCIE) are comparatively more affected by COVID-19 cases. The findings imply that the stock markets are more sensitive to the COVID-19 pandemic than the real economy. The results further indicate that of the three variables, the MSCIE index is the most affected by COVID-19 due to two factors: one is the dwindling power consumption caused by COVID-19 and the other is the decline in oil price because of the Russia–OPEC price war. Our findings enhance the understanding of the spillover impacts of the global health crisis on economic activity, the stock market, and the energy sector. Moreover, our study offers insights for policymakers and governments into the relationship dynamics of COVID-19 that would help them be more cautious in taking preventive measures against the health crisis to save the economy, the stock market, and the energy sector from falling into a more deepened crisis. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

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23 pages, 400 KiB

Open AccessArticle

Choosing Factors for the Vietnamese Stock Market

by Nina Ryan, Xinfeng Ruan, Jin E. Zhang and Jing A. Zhang

J. Risk Financial Manag. 2021, 14(3), 96; https://doi.org/10.3390/jrfm14030096 - 28 Feb 2021

Cited by 7 | Viewed by 3586

Abstract

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

16 pages, 541 KiB

Open AccessArticle

Does the Croatian Stock Market Have Seasonal Affective Disorder?

by Tihana Škrinjarić, Branka Marasović and Boško Šego

J. Risk Financial Manag. 2021, 14(2), 89; https://doi.org/10.3390/jrfm14020089 - 21 Feb 2021

Cited by 1 | Viewed by 2713

Abstract

This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights into the investors’ sentiment regarding SAD effects. The purpose of the research is to observe how investors’ sentiment affects the return and risk series on ZSE and if this could be exploitable. Using daily data on stock market return CROBEX for the period January 2010—February 2021, SAD effects are tested to explore if seasonal changes affect the stock returns and risk. Besides the SAD variable in the model, some control variables are included as well: Monday, tax, and COVID-19 effect. The results indicate that SAD effects exist on ZSE, even with controlling for mentioned effects; and asymmetries around winter solstice exist. Implications of such findings can be found in simulating trading strategies, which could incorporate such information to gain profits. Limitations of the research focus on one market, observing static parameters of the estimated models, and observing simple trading strategies. Thus, future research should focus on international diversification possibilities, time-varying models, and fully exploring the exploitation possibilities of such findings. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

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13 pages, 870 KiB

Open AccessArticle

Investigating the Dynamic Interlinkages between Exchange Rates and the NSE NIFTY Index

by Vijay Victor, Dibin K K, Meenu Bhaskar and Farheen Naz

J. Risk Financial Manag. 2021, 14(1), 20; https://doi.org/10.3390/jrfm14010020 - 5 Jan 2021

Cited by 7 | Viewed by 4030

Abstract

This study aims at examining the short-run and long-run dynamic linkages among exchange rates and stock market index in India through a structured cointegration and Granger causality tests. Daily exchange rates of USD, EUR, CNY, JPY, and GBP to INR along with the daily movement of NSE NIFTY for a period spanning 13 years from 6 September 2005 to 31 December 2018 were used for the analysis. The results reveal that there is no evidence for a stable long-run relationship between NSE NIFTY and the exchange rates under study. However, the VAR-based Granger causality test shows that USD, JPY, and CNY have short-run causal relationship with NSE NIFTY. The NSE NIFTY also seemed to have an influence on USD expressed in terms of Indian rupee. The impulse response analysis further supports the results of the Granger causality test and provides information on the time required for the NSE NIFTY index to recover from a shock caused by the fluctuation in exchange rates. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

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28 pages, 3720 KiB

Open AccessArticle

Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach

by Geoffrey M. Ngene, Catherine Anitha Manohar and Ivan F. Julio

J. Risk Financial Manag. 2020, 13(11), 282; https://doi.org/10.3390/jrfm13110282 - 15 Nov 2020

Cited by 6 | Viewed by 3117

Abstract

Real estate investment trusts (REITs) provide portfolio diversification and tax benefits, a stable stream of income, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence structures of REITs’ returns across quantiles and return frequencies. This approach permits investigation of the marginal and aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market state is characterized by either positive or weakly negative dependence, while a good market state is generally marked by negative dependence on past returns. The results are consistent with under-reaction to good news in a bad state and overreaction to bad news in a good state. Past negative returns increase and decrease the predictability of REIT returns at lower and upper quantiles, respectively. Extreme positive returns in the lower (upper) quantiles dampen (amplify) autocorrelation of daily, weekly, and monthly REIT returns. The previous day’s REIT returns dampen autoregression more during recession periods than during non-recession periods. The marginal impact of the high volatility of daily returns supports a positive feedback trading strategy. The marginal impact of the Vintage REIT era on monthly return autocorrelation is higher than the New REIT era, suggesting that increased participation of retail and institutional investors improves market efficiency by reducing REITs’ returns predictability. Overall, the evidence supports the time-varying efficiency of the REITs markets and adaptive market hypothesis. The predictability of REIT returns is driven by the state of the market, sign, size, volatility, and frequency of returns. The results have implications for trading strategies, policies for the real estate securitization process, and investment decisions. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

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19 pages, 770 KiB

Open AccessArticle

Effects of IPO Offer Price Ranges on Initial Subscription, Initial Turnover and Ownership Structure—Evidence from Indian IPO Market

by Harsimran Sandhu and Kousik Guhathakurta

J. Risk Financial Manag. 2020, 13(11), 279; https://doi.org/10.3390/jrfm13110279 - 13 Nov 2020

Cited by 8 | Viewed by 6358

Abstract

In this paper, we establish the significance and effects of initial public offer (IPO) offer price ranges on subscription, initial trading, and post-IPO ownership structures. The primary market in India provides a unique setting for estimating the effect of various initial public offer (IPO) price ranges and IPO issue factors on the initial demand for an IPO among investors, measured by full IPO subscription/oversubscription, initial turnover (liquidity), and the post-IPO listing ownership structure among investors (ownership). For the IPO pre-listing stage, this study uses firth logistic regression to estimate the effect of various IPO offer price ranges (low to high) and various IPO issue factors on the full subscription/oversubscription of an IPO in each investor category. For the post-IPO listing stage, the study uses OLS regression to estimate the effect of various IPO offer price ranges (low to high) and various IPO issue factors on the initial trading ratio (IPO listing day trading) and the ownership percentage between institutional and individual investors. We find that all investor categories show a lesser likelihood for full subscription or oversubscription of an IPO issue at the lowest range of IPO offer prices. At the post-listing stage, the results indicate a diverse IPO offer price range in which individuals and institutions maximize their respective ownership holdings after the IPO listing. The results further show that lower promoter holdings diffuse higher ownership among individual shareholders by targeting lower IPO offer prices, thus increasing control. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

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17 pages, 778 KiB

Open AccessArticle

The Unusual Trading Volume and Earnings Surprises in China’s Market

by Terence Tai Leung Chong, Yueer Wu and Jue Su

J. Risk Financial Manag. 2020, 13(10), 244; https://doi.org/10.3390/jrfm13100244 - 16 Oct 2020

Cited by 6 | Viewed by 2882

Abstract

This study examines the empirical relationship between unusual trading volume and earnings surprises in China’s A-share market. We provide evidence that an unusually low trading volume can signify negative information about firm fundamentals. Moreover, unusual trading volumes could predict abnormal returns close to the earnings announcement date. The degree of, and changes in, divergence of opinion could explain this result. Our study provides an insight into China’s market, where short sales are strictly forbidden. We report a strong relationship that is quite different from that described in most studies on the United States market. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

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15 pages, 343 KiB

Open AccessArticle

Corporate Governance and Dividend Policy in the Presence of Controlling Shareholders

by Ricardo Rodrigues, J. Augusto Felício and Pedro Verga Matos

J. Risk Financial Manag. 2020, 13(8), 162; https://doi.org/10.3390/jrfm13080162 - 26 Jul 2020

Cited by 7 | Viewed by 6070

Abstract

Based on agency theory, we focused on the influence of corporate governance in the dividend policy of large listed firms with headquarters in continental Europe countries. Previous research focused on the influence of corporate governance on the performance and risk of listed firms, but the influence of corporate governance on the dividend policy has rarely been addressed despite the importance of dividends for shareholders and the implications on the free cash-flow, whose application may be a source of conflicts between managers and shareholders. In this paper, we study the influence of a set of governance mechanisms on the dividend policy over 12 years (2002 to 2013). The results, based on a panel data analysis, support the importance of governance mechanisms toward the protection of shareholders’ interests, and reveal that the decisions on whether to pay dividends and how much to pay are grounded on different antecedents. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

15 pages, 254 KiB

Open AccessArticle

Marketability Discount in Various Economic Environments. Comparison of Developed and Emerging Markets on the Example of the USA and Poland

by Radosław Pastusiak, Jakub Keller and Michał Radke

J. Risk Financial Manag. 2020, 13(6), 132; https://doi.org/10.3390/jrfm13060132 - 20 Jun 2020

Cited by 2 | Viewed by 4803

Abstract

The aim of the presented article is to compare and evaluate the occurrence and level of marketability discount in developed and emerging markets in the example of the United States of America (USA) and Poland. According to the hypothesis put forward in the article, due to the smaller degree of development and depth of emerging markets, the marketability discount obtained in the context of the initial public offering (IPO) is lesser in its extent, as compared to the case when the IPO takes place in the developed market. The authors have made a statistic and econometric analysis based on a sample of nearly 200 IPOs in Poland and 1200 IPOs in the USA. The study used an analysis of the statistical differences between the groups (t-test), and also a linear modelling of the determinants of liquidity discount volume. The obtained results show that the stated hypothesis was correct, and that there are significant differences between the studied markets in reference to the marketability discount. The authors also concluded that the discount is not related to the condition of the company. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

23 pages, 10345 KiB

Open AccessArticle

EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients

by Oussama Tilfani, Paulo Ferreira, Andreia Dionisio and My Youssef El Boukfaoui

J. Risk Financial Manag. 2020, 13(5), 91; https://doi.org/10.3390/jrfm13050091 - 7 May 2020

Cited by 10 | Viewed by 4829

Abstract

For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the objective of performing a dynamic analysis, sliding windows were used in an attempt to represent short and long-term analyses. Critical moments in financial markets worldwide were also taken into account, namely the subprime debt crisis, the sovereign debt crisis, and Brexit. The results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the Brexit decision reduced those connections. The subprime crisis also increases comovements among markets. Full article

(This article belongs to the Special Issue Stock Markets Behavior)

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11 pages, 237 KiB

Open AccessArticle

The Impact of Tax Preferences on the Investment Attractiveness of Bonds for Retail Investors: The Case of Russia

by Natalia B. Boldyreva, Liudmila G. Reshetnikova, Elena A. Tarkhanova, Zhanna V. Pisarenko and Svetlana A. Kalayda

J. Risk Financial Manag. 2020, 13(4), 72; https://doi.org/10.3390/jrfm13040072 - 13 Apr 2020

Cited by 3 | Viewed by 3290

Abstract

The impact of tax incentives on the investment attractiveness of bonds for retail investors is assessed in the article. The paper presents a comparative empirical analysis of investment attractiveness of Russian bonds and bank deposits for domestic retail investors. We identify investment preferences of retail investors in Russia, analyze investment characteristics of deposits in Russian banks and a variety of bonds available for retail investors. Given the tax benefits of the recently introduced Individual Investment Account, we show that the real yield of investment in government bonds is over eight times higher than the yield of bank deposits. Despite higher risks of investing in bonds, we conclude that government bonds taking into account the tax benefits of the Individual Investment Account could be a realistic alternative to bank deposits for Russian retail investors. Full article

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