Expiration-Day Effects of Index Futures in a Frontier Market: The Case of Ho Chi Minh Stock Exchange

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period from 10August 2017 through 30 June 2020. The results derived from GARCH(1,1) and EGARCH(1,1) models consistently confirm that Index futures expiration-day effects on market returns exists in the HOSE. Specifically, the average market return for expiration days is significantly lower than other trading days, by 0.13% at the 5% level of significance. However, the results obtained from the regression models indicate that the expiration-day has no impact on market volatility and trading volume.

The Determinants of Gold Price in Malaysia

The purpose of this paper is to look into the linkage between inflation rate, exchange rate, stock market return with price of gold. The sample collected for this empirical study covered 30 years of data from 1991 to 2020. The secondary data was collected annually and total 30 observations are taken for each variable. Multiple Linear Regression model is developed to find out the linkage between variables chosen with gold prices. The independent variables included Inflation rate (Consumer Price Index), exchange rate (Malaysia to USD), stock market return (FTSE Bursa Malaysia Kuala Lumpur Composite Index) and dependent variable is Price of Gold. Besides that, several tests are used including Unit Root Test (Augmented Dickey-Fuller Test), Jarque-Bera Normality Test, Breusch-Godfrey Serial Correlation LM Test, Heteroscedasticity-White Test, Ramsey Regression Equation Specification Error (RESET) Test and Granger Causality Test. The time series analysis used as the methodology by using Eview 11 to proceed all the test. The result showed that inflation rate and exchange rate have strong positive link to gold price while stock market return does not have significant relationship with gold price. In summary, this research can provide reference for other investors.

The Skewness Risk in the Energy Market

In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock returns and risk-neutral skewness evaluated from the options market. We find a significant positive relationship between one-month-ahead market return and average realized skewness in the energy market. This unique feature should be noted by investors and carefully considered by energy policymakers.

CAPITAL MARKET INTEGRATION OF ASEAN-5 COUNTRIES : AN EMPIRICAL ANALYSIS

The financial integration of South East Asian markets has been an important research topic. Due to the recent global developments in financial markets, the behaviours of these emerging markets are gaining much interest. This research paper empirically analyzes stock market integration of international portfolio diversification across the South East Asian countries, namely Indonesia, Malaysia, Philippines, Singapore and Thailand. The Augmented Dickey-Fuller unit root test has been used to verify the static properties of the market return of ASEAN countries. An analysis of the co-integration among these countries' market return has been done using the Johansen Co-integration Approach. The co-movements between the ASEAN economies were analyzed through the Granger Causality test. The results of the Granger causality tests indicate the interdependence between ASEAN-5 market returns. This suggests a co-movement among ASEAN capital markets, but not all of these ASEAN capital markets were fully integrated. This study also found that the Malaysia Stock Exchange, the Stock Exchange of Thailand, the Singapore Stock Exchange and the Philippines Stock Exchange were fully integrated, but Indonesia Stock Exchange was not. Essentially, this study provides insight for policymakers, portfolio managers, domestic and international investors, risk analysts, and financial researchers to diversify their investment portfolios by combining assets from each ASEAN-5 country.

Nexus Between COVID-19 Infections, Exchange Rates, Stock Market Return, and Temperature in G7 Countries: Novel Insights From Partial and Multiple Wavelet Coherence

This study attempts to analyze the time-varying pattern between the exchange rates, stock market return, temperature, and number of confirmed COVID-19 cases in G7 countries caused by the COVID-19 pandemic. We have implemented our analysis using wavelet coherence and partial wavelet coherence (PWC) on independent variables from January 4, 2021 to July 31, 2021. This paper contributes to the earlier work on the same subject by employing wavelet coherence to analyze the effect of the sudden upsurge of the COVID-19 pandemic on exchange rates, stock market returns, and temperature to sustain and improve previous results regarding correlation analysis between the above-mentioned variables. We arrived at the following results: 1) temperature levels and confirmed COVID-19 cases are cyclical indicating daily temperatures have a material bearing on propagating the novel coronavirus in G7 nations; 2) noteworthy correlations at truncated frequencies show that a material long-term impact has been observed on exchange rates and stock market returns of G7 and confirmed COVID-19 cases; 3) accounting for impact of temperature and equity market returns, a more robust co-movement is observed between the exchange rate returns of the respective nations and the surge in COVID-19 cases; and 4) accounting for the influence of temperature and exchange rate returns and the increase in the confirmed number of coronavirus-infected cases and equity returns, co-movements are more pronounced. Besides academic contributions, this paper offers insight for policymakers and investment managers alike in their attempt to navigate the impediments created by the coronavirus in their already arduous task of shaping the economy and predicting stock market patterns.

Impact of the Covid-19 pandemic on stock market return volatility of Gulf Cooperation Council countries

This study examined the asymmetric impact of the COVID-19 pandemic on the Gulf Cooperation Council (GCC) stock market return volatility. The data included daily closing prices of the GCC stock market from the day of the acknowledgment of the first case of COVID-19 in each country to March 6, 2021. In addition, the study employed generalized autoregressive conditional heteroscedasticity (GARCH) family models. According to the Akaike information criterion, GARCH and exponential GARCH (EGARCH) were the most accurate models. The findings of the GARCH model indicate that the COVID-19 pandemic affected the GCC stock markets. The EGARCH model also confirmed the impact of the COVID-19 pandemic on the GCC stock markets, confirming that the COVID-19 negatively affected GCC stock market returns. The value of the persistence of this volatility continued over a long period. This study has potential implications for investors and policymakers in diversifying investment portfolios and adopting strategies to maintain investor confidence during such crises. Moreover, mechanisms must be developed for reducing risks in financial markets in times of crisis, and central banks should take financial measures to mitigate risks to capital markets. AcknowledgmentsThis achievement was made with the aid of my family’s support, thank you all.