|
|
|
|
|
Raymundo Díaz, Efrain Solares, Victor de-León-Gómez and Francisco G. Salas
Stock portfolio management consists of defining how some investment resources should be allocated to a set of stocks. It is an important component in the functioning of modern societies throughout the world. However, it faces important theoretical and pr...
ver más
|
|
|
|
|
|
|
|
|
|
|
Suramaya Suci Kewal, Universitas Katolik Musi Charitas Palembang Yohanes Andri Putranto, Universitas Katolik Musi Charitas Palembang, Indonesia 10.21831/economia.v19i1.43957
Pág. 13 - 24
This study examines the comparison of stock performance as measured using the return and risk of stock portfolios of ethical and non-ethical companies on the Indonesia Stock Exchange. Portfolio formation using a single index model during 2016-2019. The d...
ver más
|
|
|
|
|
|
|
|
|
|
|
R. van der Merwe,J. D. Krige
AbstractThe main aim of this study was to determine the effect of unanticipated information, or noise, on the returns of cap-weighted portfolios in various segments of the JSE for the period 1995 to 2014. According to Fuller, Han and Tung (2012), al...
ver más
|
|
|
|
|
|
|
|
|
|
|
Ricardo Pereira Câmara Leal,Carlos Heitor Campani
Pág. 45 - 64
This article presents a literature review that justified the creation of the equally weighed and minimum variance Valor-Coppead stock indices and offers details about its calculation. There was no Brazilian stock index with these simple portfolio formati...
ver más
|
|
|
|
|
|
|
|
|
|
|
Loc Dong Truong, Giang Ngan Cao, H. Swint Friday and Nhien Tuyet Doan
The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5...
ver más
|
|
|
|
|
|
|
|
|
|
|
Gaye Gencer,Zafer Musoglu
Pág. 705 - 713
This paper examines the volatility transmission mechanisms bivariately, between gold prices and alternatively, Turkish stock market and government bond indices. We employ the BEKK-GARCH model for evaluating the volatility linkages, as a robust technique....
ver más
|
|
|
|
|
|
|
|
|
|
|
Luciano Martin Rostagno,Gilberto de Oliveira Kloeckner,João Luiz Becker
Pág. pp. 183 - 206
This paper examines the hypothesis of asst return predictability in the Brazilian Stock Market (Bovespa). Evidence suggests that seven factors explain most of the monthly differential returns of the stocks included in the sample. Within the factors that ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Marco Bonomo,Ivana Dall'Agnol
Pág. pp. 165 - 215
We test the hypothesis that strategies which are long on portfolios of looser stocks and short on portfolios of winner stocks generate abnormal returns in Brazil. This type of evidence for the US stock market was interpreted by The Bondt and Thaler (1985...
ver más
|
|
|
|
|
|
|
|
|
|
|
Nassar S. Al-Nassar
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,...
ver más
|
|
|
|
|
|
|
|
|
|
|
Suramaya Suci Kewal 10.21831/economia.v9i1.1378
Pág. 81 - 91
Abstrak: Pembentukan Portofolio Optimal Saham-Saham Pada Periode Bullish Di Bursa Efek Indonesia. Penelitian ini dilakukan dengan tujuan untuk menyusun portofolio optimal saham yang tercatat di Bursa Efek Indonesia dengan menggunakan model indeks tunggal...
ver más
|
|
|
|
|
|
|
|
|
|
|
Jieting Chen and Yuichiro Kawaguchi
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a per...
ver más
|
|
|
|
|
|
|
|
|
|
|
Aekkachai Nittayagasetwat,Jiroj Buranasiri
Pág. 562 - 567
This research paper investigates the benefit of risk diversification under the increase in the integration of AEC countries? capital markets during 1999 and 2016. The evidences from the correlation and mean-variance analysis confirm the higher stock mark...
ver más
|
|
|
|
|
|
|
|
|
|
|
Jacek Lipiec
In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the performance of two portfolios composed of construction firms: family-controlled and nonfamily controlled. These portfolios were selected f...
ver más
|
|
|
|
|
|
|
|
|
|
|
Regis Augusto Ely
Pág. 571 - 584
This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates th...
ver más
|
|
|
|
|
|
|
|
|
|
|
Branimir Mocic
Pág. 65 - 78
Research Question: This paper investigates the performances of six portfolios constructed using robust optimization methods in the Serbian stock market. Motivation: Motivated by the lack of research that analyses the allocation strategies based on robust...
ver más
|
|
|
|
|
|
|
|
|
|
|
Johannes P. Steyn,Suzette Viviers
AbstractOrientation: Investors are increasingly weighing up the cost of investing in companies with adverse impacts on society and the natural environment.Research purpose: In light of the shift to responsible investing, this study compared the risk-adju...
ver más
|
|
|
|
|
|
|
|
|
|
|
Gerardo ?Gerry? Alfonso Perez
Value investment and growth investment have attracted a large amount of research in recent decades, but most of this research focuses on the U.S. and Europe. This article covers the Thai stock market which has very different characteristics compared to w...
ver más
|
|
|
|
|
|
|
|
|
|
|
Antonio Jaramillo Dayag, Fernando L. Trinidad, Dr.
Pág. 51 - 57
Universal banks combine commercial loan services and public deposit functions with investment, and other services such as home and auto financing, mutual funds, pension and insurance to name a few. The importance of universal banks have been recognized i...
ver más
|
|
|
|
|
|
|
|
|
|
|
Nursel Selver Ruzgar and Clare Chua-Chow
Countries are drastically impacted by financial and fiscal crises. Financial crises have the worst impact on not only society, but also the economy. The Canadian economy underwent financial crises and recessions several times during the last century. In ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Ali Küçükçolak,Figen Büyükakin,Necla Ilter Kucukcolak
Pág. 32 - 40
Gold has been an investment vehicle over the ages and helped investors to mitigate risks arise due to market fluctuations. In order to improve financial inclusion level and increase added value of the idle gold held by investors, there have been va...
ver más
|
|
|
|
|
|