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The original Risk-Metrics method is underpinned by the assumption that daily asset returns are conditional Gaussian independently identically distributed (iid) random variables with a mean of zero. In this paper, a new method to calculate Value at Risk (VaR) was suggested to overcome the shortcoming of Risk-Metrics by employing binary response models to compute probability forecasts of the portfolio return by exceeding a grid of candidate quantile values. From those values, the VaR quantile value was selected. The proposed model was called BRV (Binary Response VaR method). Consistent application of BRV to the Dow Jones Industrial Average (INDEXDJX: DJI) and Dow Jones U.S. Marine Transportation Index (DJUSMT) time series proved that it was more accurate than the Risk-Metric system. This method not only worked similar to quantile regression but had the advantage that conventional maximum likelihood methods could be used for parameter estimation and inference. The BRV method was the best performing method for computing the daily VaR at both the 95% and 99% confidence levels over the period 02/01/06–31/12/08. The BRV and the QR (quantile regression) methods performed similarly, but the BRV method had the practical advantage that conventional maximum likelihood (ML) technique could be used for parameter estimation and robust inference. [ABSTRACT FROM AUTHOR]

Copyright of Dilemas Contemporáneos: Educación, Política y Valores is the property of Dilemas Contemporaneos: Educacion, Politica y Valores and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Al Bashaer Economic Journal is the property of Al Bashaer Economic Journal and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Nova Scientia is the property of Nova Scientia and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This study attempts to find out the possible opportunities for the investors of Pakistan Islamic market to maximize the benefits of divergence. Dow Jones Islamic market returns (DJIMR) of four different regions named as Dow Jones Islamic Americas, Dow Jones Islamic European, Dow Jones Islamic Asian Pacific and Dow Jones Islamic Middle East and North Africa Regions across the Pakistan Karachi Meezan Index-30 have been used to capture the approach of diversification benefits. According to objectives, Multivariate GARCH--Dynamic Conditional Correlation (DCC) model is applied and it is suggested that local investors of Pakistan should prefer to invest in Asian pacific region, then to Americas region and further Middle East and North Africa region and least preference should be given to European region to maximize benefits from diversification. In order to capture the change in diversification benefits during various stock holding horizons, Continuous wavelet transformation-CWT is applied and results have indicated insignificant relationship/correlation between two markets (local and international markets of all regions) for short period of holdings rather medium and long term holdings period. Indeed, this study has focused on advance concept of incorporating the role of stock holding horizons while determining the benefits of diversification which has greater implications in the field of portfolio diversification. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Economic Policy Researches / İktisat Politikası Araştırmaları Dergisi is the property of Journal of Economic Policy Researches / Iktisat Politikasi Arastirmalari Dergisi and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

We have investigated the time series of constituents of the Dow Jones Industrial Average (DJIA) for a period of 18 years (2000-2018). DJIA is a dominant stock market index comprising of thirty US based companies. We have applied the Random Matrix Theory (RMT), complex network analysis and hierarchical clustering techniques to extract out the information from the time series of DJIA stocks. The impact of sub-prime crisis of 2008(FC08) on structure and dynamics of network of DJIA stocks is studied by diving the periods under consideration into three distinct periods; pre crisis (PRC), during crisis (DUC) and post crisis (POC) on the basis of volatility. The RMT analysis shows that data analyzed contain important information. Network analysis reveals high correlation among the stocks in the DUC period. The MST and hierarchical clustering techniques support the results of RMT analysis. Degree centralities, closeness centralities and clustering coefficients of DJIA networks increases in DUC period. High correlation and closeness among stocks in DUC period is depicted in various analyses. The dynamic analysis is also carried out which detect various extreme events such as Covid-19. In conclusion, investigation shows that during the period of crisis, there are significant changes in the structure and dynamics of DJIA network. The findings of investigation can be utilized as risk indicator and detection of such crises in future. [ABSTRACT FROM AUTHOR]

This paper analyses the response of stock markets to vaccine availability. The objective of this paper is to examine the differential effect of information about the arrival of COVID vaccine on the stock price performance of five main global stock market indexes. The paper relies on the prior theory of Efficient Market Hypotheses (EMH). Data on stock price performance, seven months before vaccine arrival, and seven months within the vaccination period were from Trading Economics stock indexes archives for five main market indexes namely (Dow Jones, Shanghai, S&P, FTSE, and EURONEXT). The data were analysed using the t-test of mean difference in stock prices before and during vaccine at 5% alpha level. Results for the five indexes analysis show that stock prices during the arrival of vaccine significantly outweigh the stock prices before vaccine arrival at p-values below 0.01. The mean stock price increases during vaccine arrival ranges from 7% to over 20% for the different indexes. The paper provides practical information for investors who need to know how sensitive the various indexes are to vaccine information. The paper also provides an avenue for future research to expand this initial research on vaccine effect on stock prices. Furthermore, the paper presents a veritable case study for economics and finance postgraduate students in the universities. This paper fills existing gap in knowledge by being the first to analyse the effect of COVID vaccine arrival on the stock price of five main global stock indexes and contributes by indicating that stock indexes are sensitive to vaccine production with diverse percentages of sensitivity. [ABSTRACT FROM AUTHOR]

Copyright of Econder International Academic Journal is the property of Econder International Academic Journal and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

The aim of this study is to demonstrate the relationship between Participation-30 index in Turkey and commodity markets, national, international indexes. Islamic finance is increasingly being the research subject of finance literature. Islamic finance shaped by religious principles and prohibits investing areas that the religion doesn't consider appropriate. In 2011, the Participation-30 index consisting of stocks in accordance with the participation banking principles was created in Turkey. The participation index is a stock exchange index in which stock selections are made based on index rules. Then, in 2014, the Participation-50 index and Model Portfolio index were created, and three participation indexes were started to be calculated. Islamic finance mainly operates on the basis of profit and loss sharing and supports the real sector. In this context the activity fields of the companies which are operating in participation indexes are based on production of goods and services so that the indexes have a special importance for commodity markets and commodity indexes. As the results of our research, one-way causality between Participation-30 index and Dow Jones Islamic Market was determined. However, we determined bi-directional causality between Participation-30 index and BIST 100 index. [ABSTRACT FROM AUTHOR]

This paper presents a current analysis of the effect of coronavirus pandemic on select global stock indexes (SSE Composite Index [China], Euronext 100 [Europe], Dow Jones Industrial Average [United States of America]. The objective of the paper is to evaluate the extent and direction of the differential effect of COVID-19 pandemic on select world stock index. The data on stock value performance were gathered for fifty days before and fifty days within the Coronavirus epidemic; data were analysed using the paired t-test of difference in mean stock values at an alpha level of 0.05(5%). The results reveal that the COVID-19 pandemic has different effects on the stock markets. Dow Jones Industrial Average showed a significant reduction in mean stock value during the coronavirus period, Chinese Stock Exchange Composite Index experienced a significant increase in mean stock values during epidemic higher than before the epidemic. On the contrary, the S&P 500 and the Euronext 100 indexes show a non-significant difference in mean stock price. The paper provides direction to stock market participants, investors and speculators regarding a safer investment destination during this time of COVID-19 pandemic; the paper serves a good case study for class room teaching and also provides direction for further research. This paper provides the first empirical research on the early effect of COVID-19 pandemic on three global important regional stock indexes, which finds that some stock markets such as the Shanghai Composite Index is resilient to COVID-19 pandemic. [ABSTRACT FROM AUTHOR]

An array of measures aimed at relaxation of the restrictions on international flow of capital markets and trade have been taken in most of the developed and developing countries. The worldwide policy changes and initiatives are expected to display a deep impact on the capital market indices such that their movements must be in tandem. The study closely examines the extent of integration of capital market indices across the major countries of the world. Main findings: While S&P 500, Nasdaq, Dow Jones, Dax Index, BSE 30 and CAC 40 index have shown strong positive co relationship among themselves, indices like Shanghai, TSXE and Nikkei have displayed almost nonexistent coherency with other stock indices. Bovespa, Hang Seng, BSE 30 and DAX index seems to have a tangent influence on each other's stock prices. RTSI has portrayed certain movements in tandem with Hang Seng and Bovespa but no relationship with other indices. Thus, the study concluded safely that the markets do react to global cues and any happening in the global scenario be it macroeconomic or country specific (foreign trade channel) affect the various markets. [ABSTRACT FROM AUTHOR]

Corporate Sustainability Performance Measurement along with Corporate Environmental Sustainability aims to address the social and economic aspects. Concerns emerging from the three dimensions are being reduced to a single dimension of them. Multi-criteria decisionmaking methods, suggests a useful framework for assessing the variables together. Corporate sustainability and economic business activities are focused on the social and environmental impacts. In this sense, the economic activity established by the businesses do follow social and environmental impacts, therefore the generation of related information of these effects is being considered essential on the structure formation on a sustainable business. In this study, it has been used Dow Jones Sustainability Index monthly data from 2009 to 2015 in a range of 12 months to help investors to make decisions. The comparison of ARIMA and Exponential Smoothing models has been conducted, wherein the results showed that ARIMA model provided better estimates meantime those who invested in a stock portfolio with the same composition as the DJSI proved to ensure positive earnings. The purpose of the essay is to give a conclusion to the future of the practice. [ABSTRACT FROM AUTHOR]

The purpose of financial reporting is to help users make informed decisions. Over time the reporting process has become more and more complex. Reporting standards and rules have increased both in terms of quantity and sophistication. Because of this, it is important to ask the question about the basic premise of financial reporting - is the information being reported by companies useful to its intended users? This study examines the financial statement notes of the 30 companies that comprise the Dow Jones Industrial Average. Readability tests are performed on the financial statement notes for the years 2000, 2010 and 2015 to determine if the information being reported can be used by the average user and if the level of complexity has changed over time. The results revealed that the use of the passive voice in financial statement note disclosures has not changed over time. However, based on the Flesch Reading Ease score, the results revealed that over time the readability of disclosures notes has decreased. The declining trend in readability of financial statement note disclosures is a cause for concern because it is important the users of these statements are able to understand the information provided to them so they can make the best decisions. [ABSTRACT FROM AUTHOR]

Purpose The purpose of this paper is to ascertain whether weather variables can explain the stock return reaction on the Dow Jones Sustainability Europe Index by employing a number of macroeconomic indicators as control variables.Design/methodology/approach The authors incorporate the generalized autogressive conditional heteroskeasticity model in methodology for the period August 26, 2009 to May 30, 2014 using daily data.Findings The empirical results indicate that not only do changes in humidity and wind levels seem to affect positively the European stock market but changes in returns oil and gold prices as well. However, the results show that the volatility of the US dollar/Yen exchange rate and ten-year bond value exerts significant negative impact on companies’ stock returns.Originality/value This study adds to the international literature by documenting the impact of weather variables on socially responsible companies. [ABSTRACT FROM AUTHOR]

Investment in various assets is associated with returns and risks. Especially precious metals are considered profitable and safe. Our analysis for the United States in 2005 – Q2 2015 demonstrates that it is very questionable. In this period, which included the US financial crisis, precious metals were coupled with a greater price volatility and lower real income than was the case with stocks in the DJIA index. Even over a sufficiently long period, gold and silver were not a good store of value with positive real returns. Moreover, demand deposits were also more profitable than gold in the longer term after 1980. In the long run, contrary to the beliefs, precious metals may not to keep good value in the physical form or in the form of securities linked to the price development of these assets. Commemorative and historical coins with a numismatic value are the most appropriate investment in precious metals. However, this investment is also associated with some risk. [ABSTRACT FROM AUTHOR]

To create efficient funds appealing to a sector of bank clients, the objective of minimizing downside risk is relevant to managers of funds offered by the banks. In this paper, a case focusing on this objective is developed. More precisely, the scope and purpose of the paper is to apply the mean-semivariance efficient frontier model, which is a recent approach to portfolio selection of stocks when the investor is especially interested in the constrained minimization of downside risk measured by the portfolio semivariance. Concerning the opportunity set and observation period, the mean-semivariance efficient frontier model is applied to an actual case of portfolio choice from Dow Jones stocks with daily prices observed over the period 2005-2009. From these daily prices, time series of returns (capital gains weekly computed) are obtained as a piece of basic information. Diversification constraints are established so that each portfolio weight cannot exceed 5 per cent. The results show significant differences between the portfolios obtained by mean-semivariance efficient frontier model and those portfolios of equal expected returns obtained by classical Markowitz mean-variance efficient frontier model. Precise comparisons between them are made, leading to the conclusion that the results are consistent with the objective of reflecting downside risk. [ABSTRACT FROM AUTHOR]

During the last decade the Internet has become an increasingly important source for gathering company related information. We employ Wikipedia editing frequency as an instrument that captures the degree in which the population is engaged with the processing of company-related information. We find that firms whose information is processed by the population more frequently are associated with lower analysts' forecast errors, smaller analysts' forecast dispersions, and significant changes in bid-ask spreads on analysts' recommendation days. These results indicate that information processing over the Internet is related to the degree to which investors and analysts are informed about companies. [ABSTRACT FROM AUTHOR]

The relationship between global economic indicators and kidney allograft and patient survival is unknown. To investigate possible relationships between the two, we analyzed kidney transplant recipients receiving transplants between January of 1995 and December of 2002 (n = 105 181) in the USA using Cox regression models. We found that: The Dow Jones Industrial Average had a negative association with outcome at one year post-transplant (HR 1.03 and 1.06, p < 0.001 for graft and recipient survival, respectively) but changed to a protective effect in the late period (HR 0.77, p < 0.001, and HR 0.83, p < 0.001 for graft and recipient survival, respectively, five yr after transplantation). Unemployment rate had a protective effect at the time of transplantation (HR 0.97, p < 0.005) and at one year after transplantation (HR 0.95, p < 0.005) but changed to the opposite in the late period at the fifth post-transplant year (HR 1.35, p < 0.001, and HR 1.20, p < 0.001, for graft and recipient survival respectively). The Consumer Price Index measured at different post-transplant time points seems to have had a protective effect on the graft (HR 0.77, p < 0.001 at five yr) and recipient (HR 0.83, p < 0.001 at five yr) survival. Beyond three yr after transplantation, when some of the recipients lose Medicare benefits, economic downturns might have a negative association with the kidney graft and recipient survival. [ABSTRACT FROM AUTHOR]

The outcomes of near simultaneous bids for the news organizations Reuters Group plc and Dow Jones & Co. Inc. in 2007 hinged on mechanisms of corporate governance put in place at each company to protect the integrity and independence of the editorial operations. Neither company is a particularly good model of good governance, since the restrictions — super-voting shares at Dow Jones, veto-power by the trustees of the Founders Share Company at Reuters — almost completely rule out an open market for corporate control. This article looks at Reuters — and in even greater detail at Dow Jones, where the private actions of the board and shareholders came into rare public view. It suggests that stewardship theory plays a large role in protecting a perceived social value of the integrity of the news, figuring more heavily in crucial board decision-making than shareholder value. But the outcome of both cases means that the tension between the two is not easily resolved. [ABSTRACT FROM AUTHOR]