Banks, non-bank companies and stock exchange: do we know the relationship?

This paper investigates the role played by the banking sector in founding, sustaining and developing stock exchange markets. The paper has constructed data on market capitalisation separately for banks and non-bank companies. We apply cointegration techniques developed by Engle and Granger [1987] and Johansen [1988] and we bootstrap the variables to examine the nature of relationship between the banks and stock markets. We found that banks have played an important role in the development of stock exchanges. Further, the empirical analysis made amongst ten developed and developing exchanges suggests a listing of non-bank companies important for development of stock markets. These findings have also been verified by analysing the data of an exchange not included in the test

Efficient scholars: academic attention and the disappearance of anomalies

This study examines the dynamics of ten most notable stock market anomalies through 1926–2018 and assesses the joint impact of academic attention, post-publication decay, data-snooping bias, institutional trading, and time trend on their disappearance. It proposes new and simple measures of academic attention attracted by stock market anomalies using the number of articles published on the relevant topic available via Google Scholar or respective citation counts. The study finds that academic attention is the most dominant factor explaining the diminishing abnormal returns of anomaly-exploiting strategies. The approach developed by this study can also be useful in determining whether a stock return regularity is a behavioural anomaly or a systematic risk factor

Socially responsible investment and market performance: the case of energy and resource companies.

Do financial markets reward the energy and resource companies for adopting socially responsible practices? In this study, we investigate the stock market performance of major international energy and resource firms, classified within the socially responsible investment (SRI) category, from 2005 to 2016. We simulate investments in the portfolios of the SRI energy and resource companies stocks during this 11-year period and we further assess their risk-adjusted performance. The returns of the energy and resource SRI portfolio as a whole were neither consistently superior nor inferior to those of the benchmark indices. However, there exist substantial differences across the individual sub-sectors. The overall results show that markets do not reward or penalize the energy and resource firms for their SRI attitudes. We also find that the crude oil price consistently had a significant influence on the stock returns of the SRI energy and resource companies

Analyst herding-whether, why, and when? Two new tests for herding detection in target forecast prices.

This study proposes two novel tests for security analyst herding based on binomial correlation and forecast error volatility scaling and applies it to investigate herding patterns in analyst target prices in 2008-2020 in the UK. Analysts robustly herd in their valuations, with results consistent across years, sectors, in panel fixed effect, quantile, instrumental variable regressions, and when controlled for optimism and conservatism. Herding becomes prominent for stocks followed by at least five analysts and towards the long sides of Fama-French sorts, reinforcing its non-spurious and behavioral nature. Analyst herd more strongly subject to low volatility and uncertainty

Taming the blockchain beast? Regulatory implications for the cryptocurrency Market

This paper uses a unique dataset of 120 regulatory events from five classes to test the relevance of the regulatory framework for cryptocurrency value. Time-series market-wide estimates and panel estimates for 300 individual coins and tokens show statistically and economically significant impact of anti-money laundering and issuance regulation. Tighter regulation and more active role of government decrease cryptocurrency prices, evidencing that potentially lower risks and wider adoption commonly attributed to the establishment of the regulatory framework do not compensate for respective efficiency and consumer utility losses. The market is generally efficient in reflecting regulatory information in cryptocurrency prices

Essays on financial development and economic growth

EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Essays on financial development and economic growth

EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Is all politics local? Regional political risk in Russia and the panel of stock returns

This study investigates the presence of political risk premia among 298 listed companies from 59 Russian regions over a five-year period (10/2012–09/2017). Using a regional political stability score not available in the literature, this paper applies panel data approach to evidence the pricing of regional political risk in forms of long-term political instability premium (up to 2.20% monthly) and short-term impact-shock premium. The findings indicate that regional political risk is more impactful than countrywide or international risk and that regional political processes are crucial for the understanding of the synchronisation of stock returns with broader markets

A generalised seasonality test and applications for cryptocurrency and stock market seasonality

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows to test for existence of any seasonal patterns against the broad null hypothesis of no seasonality and to isolate most prominent seasonal cycles while using harmonic mean p-values to control for multiple testing. The proposed test has numerous applications in time series analysis. As an example, it is applied to identify seasonal patterns in 76 national stock markets and 772 cryptocurrency markets to detect trading cycles, determine their length, and test the weak-form efficient market hypothesis. Cryptocurrency markets are shown to be less efficient than national stock markets, with predominantly irregular seasonality periodicity that cannot be reduced to conventional weekly, monthly, or annual cycles

Testing the Weak-Form Efficiency of Agriculture’s Capital Markets

This paper investigates the empirical validity of the weak-form Efficient Market Hypothesis (EMH) in the global equity markets for agriculture. We also examine whether developed agriculture markets are more efficient than emerging agriculture markets. We test six agriculture and food chain indices over the period of time between 2010 and 2013. We applied a cross-sectional as well as longitudinal study approach. The weak EMH was tested using the parametric Augmented Dickey-Fuller test as well as the non-parametric Runs test and Autocorrelation function test. The parametric test suggested some evidence for the existence of the weak-form EMH for all six indices in at least some of the five tested periods. However, the non-parametric tests clearly proved the inefficiency of all indices during all periods. Thus, we rejected the null hypothesis for all indices in all periods eventually. Accordingly, agriculture’s developed markets are equally inefficient and predictable as its emerging markets. The results of this work suggest that investors can achieve superior returns by investing in agriculture’s equity markets following a technical analysis and active portfolio approach. Thus, this work is in great interest for investors and portfolio managers following an agriculture strategy. The study adds value to current research into market efficiency in developed as well as emerging markets