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Magnolia Miriam Sosa Castro,Christian Bucio Pacheco,Alejandra Cabello Rosales
This paper aims to analyze the contagion effect among the stock markets of the BRIC+M block (Brazil, Russia, India, China plus Mexico). The contagion effect is proved through increases on dependence parameters during crisis periods. The dependence parame...
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Caston Sigauke, Rosinah Mukhodobwane, Wilbert Chagwiza and Winston Garira
With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity in...
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Fabrizio Durante, Enrico Foscolo and Alex Weissensteiner
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Yolanda Stander,Daniël Marais,Ilse Botha
AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop...
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Benjamin Mudiangombe Mudiangombe and John Weirstrass Muteba Mwamba
This paper examines the effects of the Standard and Poor?s 500 (SP500) stock index crash during the global financial crisis and the COVID-19 pandemic periods on the South African top sector indices (basic materials, consumer goods, consumer services, fin...
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Deyan Radev
Pág. 407 - 420
This paper adapts and extends switching copula models to investigate whether financial contagion occurred between Western stock markets and their Central and Eastern European counterparts during the Global Financial Crisis. Our methodology focuses on tai...
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Rim Ammar Lamouchi
Pág. 29 - 34
This paper examines the market efficiency of Saudi Arabia stock exchange market namely Tadawul All Share Index, TASI, for the period from 1998 to 2020. To test the efficiency of stock market, we analyze the dependence structure of stock market index retu...
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Joel Hinaunye Eita and Charles Raoul Tchuinkam Djemo
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets wit...
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Leon M. Brummer,Pieter J. Jacobs
AbstractThe Johannesburg Stock Exchange as an efficient market. Finality has not yet been reached on the question whether the Johannesburg Stock Exchange complies with the requirements of the efficient market hypothesis. The results of the research that ...
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Leon M. Brummer,Pieter J. Jacobs
AbstractThe Johannesburg Stock Exchange as an efficient market. Finality has not yet been reached on the question whether the Johannesburg Stock Exchange complies with the requirements of the efficient market hypothesis. The results of the research that ...
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Xiaolu Tang, Mingpeng Xia, Fengying Guan and Shaohui Fan
Moso bamboo is famous for fast growth and biomass accumulation, as well as high annual output for timber and bamboo shoots. These high outputs require high nutrient inputs to maintain and improve stand productivity. Soil nitrogen (N), phosphorus (P), and...
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S. V. Kalambet,O. V. Chornovil,V. A. Voropay
Pág. 274 - 280
In this work the urgent issues of ensuring the economic security are considered for the Ukrainian Railways, which presently are in the crisis state. The process chart of ensuring the economic security of enterprise is offered with performers for a railwa...
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Mohamed Beraich, Karim Amzile, Jaouad Laamire, Omar Zirari and Mohamed Amine Fadali
The present study aims to investigate the volatility spillover effects in the international financial markets before and during the Russia?Ukraine conflict. The subject of this paper is the study of the influence of the recent war between Russia and Ukra...
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John Weirstrass Muteba Mwamba and Ehounou Serge Eloge Florentin Angaman
In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between ...
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Leandro Maciel,Rosangela Ballini
Pág. 80 - 99
Stock exchange automation, characterized by the replacement of floor trading systems by electronic trading systems, is one of the main restructuring processes observed in global capital markets in recent decades. This paper investigates the effects of au...
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Luís Ángel Meneses Cerón,Ronald Alejandro Macuacé Otero
Pág. 51 - 62
This paper studies the relationships of dependence between financial markets, particularly the investigation of the effect of financial contagion between two sets of returns of stock indices: Dow Jones (DJ) and the General Index of the Stock Exchange of ...
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Mustafa Özyesil
Pág. 38 - 43
In this study, the effect of brand value and asset size on stock price performance is examined. For this purpose, data of 7 listed companies that operate in the retail and sports sectors whose shares have been traded on the Borsa Istanbul (BIST) during t...
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Budi Setyo Utomo,Syamsul Maarif,Surjono Hadi Sutjahjo,Sumardjo Sumardjo
Pág. 56
As a company engaged in the industrial sector by producing certain components and localized in an industrial area, there will be an impact on the environment. These impacts can be positive in the form of employment, reducing dependence on imported heavy ...
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John Weirstrass Muteba Mwamba and Sutene Mwambetania Mwambi
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purp...
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Roman Kovalenko,Andrii Kalynovskyi,Sergii Nazarenko,Borys Kryvoshei,Evgen Grinchenko,Zakhar Demydov,Mykola Mordvyntsev,Ruslan Kaidalov
Pág. 54 - 62
The study considers the process of response of emergency rescue units to emergencies and hazardous events occurring on the territory of a city with a population of more than one million people. It has been determined that the flow of calls to the departm...
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