Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble

Leger, Lawrence A.; Leone, Vitor

doi:10.1016/j.rfe.2007.08.001

Cited by 6 publications

(3 citation statements)

References 46 publications

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“…The first racial crisis occurred on May 13th in 1969 which had slow down the private investments and consequently the economic growth in 1971e1972 (Kean, 1986). Other social risks reflected in Malaysian stock market include the Severe Acute Respiratory Syndrome "SARS" (Ali et al, 2010), panic due to terrorism effects (Drakos, 2010;Ramiah, 2012), poor consumer confidence during bubbles (Leger & Leone, 2008), herding contagion during the financial crisis (Khan & Park, 2009) and believe on unlucky numbers (Auer & Rottmann, 2014). All of these factors have psychological connections to investors' sentiment, emotion, and mood that will directly determine their trading strategies.…”

Section: Malaysian Stock Market Performancementioning

confidence: 99%

Behavioural finance perspectives on Malaysian stock market efficiency

Tuyon¹,

Ahmad²

2016

Borsa Istanbul Review

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This paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behaviouralrelated theories. The analyses employed a long span of Bursa Malaysia stock market data from 1977 to 2014 along the different phases of economic development and market states. The tests confirmed the presence of asymmetric dynamic behaviour of prices predictability as well as risk and return relationships across different market states, risk states and quantiles data segments. The efficiency tests show trends of an adaptive pattern of weak market efficiency across various economic phases and market states. Collectively, these evidences lend support to boundedadaptive rational of investors' behaviour, dynamic stock price behaviour, and accordingly forming bounded-adaptive market efficiency.

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Section: Malaysian Stock Market Performancementioning

confidence: 99%

Behavioural finance perspectives on Malaysian stock market efficiency

Tuyon¹,

Ahmad²

2016

Borsa Istanbul Review

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“…At the same time, countries have begun to adopt stricter Internet governance policies, such as the Sarbanes-Oxley Act in the U.S. (Goodnight & Green, 2010) and the Decision on Maintaining Internet Security in China. The implementation of these policies has increased GEPU in 2001:M6-2001:M8, and also changed consumer and investor confidence in stock markets (Leger & Leone, 2008), which has increased the demand for other assets, such as housing and gold. The rise in the price of gold means that it can be used as a hedge under the uncertainty of dot-com bubble.…”

Section: Resultsmentioning

confidence: 99%

Should Gold Be Held Under Global Economic Policy Uncertainty?

Qin

Xiao

et al. 2020

Journal of Business Economics and Management

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This paper investigates the ability of gold to hedge worldwide risks from the perspective of global economic policy uncertainty (GEPU). By applying the full- and sub-sample rolling-window bootstrap causality tests to analyze the dynamic interaction between GEPU and gold price (GP). It can be observed that gold can effectively hedge risks of GEPU during the Asian financial crisis, dot-com bubble and global economic crisis, but this result does not hold in non-crisis period. GEPU manifests two-way impacts on the GP in a few periods, this relationship between GEPU and GP being consistent with the hypothesis in the general equilibrium model, which states that changes in GEPU lead to the fluctuations of GP. In turn, GP has both positive and negative impacts on GEPU. In the current complex economic situation, governments and investors can consider gold to hedge risks of GEPU, especially during the economic crises.

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“…Also, Meric, Leal, Ratner, & Meric (2001) examined the possibilities of international portfolio diversification through investment in the principal capital markets from Latin America. Leger and Leone (2008) analysed the economic variables which could help to explain the principal components in UK stock returns.…”

Section: The Applications Of Multidimensional Data Analysis Techniquesmentioning

confidence: 99%

On the Use of Multidimensional Data Analysis Techniques for Corporate Valuation

Gherghina

2014

MAS

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The aim of this research consists in the investigation of a random sample of companies which belong to five European emerging countries, respectively Hungary, Poland, Russia, Slovakia, and Ukraine, from the valuation perspective, by using multidimensional data analysis techniques. Thus, by employing the principal component analysis, after transforming the initial characteristics there resulted two principal components, also considering the restriction of minimizing the loss of information. Subsequently, by the instrumentality of factor analysis, there resulted two factors required to explain the correlations existing between variables. The usefulness of both multidimensional data analysis techniques emerges from the reduction of the significant number of variables in a lesser number of principal components, respectively factors.

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Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble

Cited by 6 publications

References 46 publications

Behavioural finance perspectives on Malaysian stock market efficiency

Behavioural finance perspectives on Malaysian stock market efficiency

Should Gold Be Held Under Global Economic Policy Uncertainty?

On the Use of Multidimensional Data Analysis Techniques for Corporate Valuation

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