Determinants of equity return correlations: a case study of the Amman Stock Exchange

Alomari, Mohammad Kamel; Power, David; Tantisantiwong, Nongnuch

doi:10.1007/s11156-017-0622-4

Cited by 16 publications

(10 citation statements)

References 66 publications

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“…In order to find a representative factor for each criterion, we employ a nonparametric method, so-called Principal Component Analysis (PCA), to reduce the dimensional space of data, collapsing the dataset into a smaller number of uncorrelated factors (Jolliffe 2002;Shlens 2009). Two main advantages of this factor analysis method are that: (i) It analyses the co-movement of variables (see, for example, Abhakorn and Tantisantiwong 2012); and (ii) Provides loadings that can be used to construct principal factors representing the movement of variables considered (see, for example, Alomari et al 2018). To avoid the overloading or underloading problem due to different units and sizes of variables, we first transform the variables to be unitless by standardizing the data.…”

Section: Index Constructionmentioning

confidence: 99%

Comparing SRI funds to conventional funds using a PCA methodology

2022

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In this paper, we investigate characteristic differences between Socially Responsible Investment (SRI) funds and conventional funds across 35 different categories, including previously unexplored areas, such as fund manager skills and investment strategies. Further, we examine SRI and conventional funds globally rather than from just one country (e.g., US) or one region (e.g., Europe), covering funds listed in 22 different countries. We also adopt a new Principal Component Analysis (PCA) methodology for matching SRI funds against their conventional counterparts that significantly increases the sample size from previous studies, reducing selection bias and possibly explaining contradictory findings in the prior literature. Contributing to the literature, our findings show that: (i) SRI funds have more diversified portfolios than conventional funds; (ii) SRI funds have lower cash holdings while investing more in US equities; and (iii) SRI fund managers charge a smaller fee and are more successful in managing their portfolios. This is reassuring for investors who invest in SRI funds and for the future health and sustainability of the planet.

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Section: Index Constructionmentioning

confidence: 99%

Comparing SRI funds to conventional funds using a PCA methodology

2022

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“…Some researches have linked growth to a contagion. Economies could grow by associating with larger economies since there is evidence of spillovers from the developed to emerging economies (Alomari et al, 2017). It has been discovered that, African economies are not highly correlated with global markets, this disconnectedness has been blamed for their underdevelopment (Agyei-Ampomah, 2017).…”

Section: Economic Growth Is Represented By the Gross Domestic Product...mentioning

confidence: 99%

The relationship between globalisation and economic growth in West Africa

Wanger

2022

JGSS

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Economic integration among countries, as a result of globalisation, could be beneficial to trading partners if properly handled through appropriate regulation of production, distribution, and consumption. However, it appears developing countries often do not benefit from their economic relations with other countries at advanced stages of developed. It is in view of this that this research was conducted with concentration on West Africa. In this study Panel Cointegration Techniques including Fully Modified Ordinary Least Squares, Dynamic Ordinary Least Squares and Dumitrescu-Hurlin Panel Causality Test were applied using time series on Gross Domestic Product, Exports, Imports and Foreign Direct Investment of eight West African countries from 1960–2019. While a positive and significant long run causal relationship was found between Exports, Imports as aspects of globalisation and Gross Domestic Product, there was an observed negative long run relationship between Foreign Direct Investment and Gross Domestic Product. Export promotion, hight import tariffs, the local content initiative, liberal migration policies and strong regulatory machinery were recommended.

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“…Clearly analyzing the interdependence structure of the stock market is not only of great significance for investors to diversify investment and build investment portfolios during the pandemic, but also is conducive to risk management of the financial market by the regulatory authorities. In recent years, there has been a certain amount of researches on the subject of interdependence among stock markets [18][19][20][21][22][23][24][25]; in these studies, GARCH model, Copula model, Granger causality test, DCC model, and other methods are used to study the interdependence structure between various stock sectors in different countries.…”

Section: Introductionmentioning

confidence: 99%

The Impact of COVID-19 on the Dependence of Chinese Stock Market

Xia

2021

Discrete Dynamics in Nature and Society

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By calculating the mutual information of stock indexes of 10 primary industry sectors in China, this paper analyzes the dependence relationship among Chinese stock sectors during the COVID-19 and the dynamic evolution of the relationship by using the sliding window method. According to the actual situation of the development of COVID-19 in China, the samples were divided into three stages, namely, calm period, pandemic period, and post-pandemic period. The results show that the dependence relationship among Chinese stock sectors is significantly enhanced in the pandemic period, but it decreases in the post-pandemic period and the dependence structure is similar to that in the calm period. The industrials sector is most closely connected with other sectors in the pandemic period. The information technology sector and telecommunication services sector maintain strong dependence in the three periods and share little contact with other sectors. In the pandemic period, the dependence between the consumer staples sector and other sectors is significantly enhanced, and consumer staples sector and health care sector maintain a strong dependence. From the results of the sliding window, the Chinese stock market is sensitive to the impact of COVID-19, but the duration of the impact on the dependence among the stock sectors is not long.

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Determinants of equity return correlations: a case study of the Amman Stock Exchange

Cited by 16 publications

References 66 publications

Comparing SRI funds to conventional funds using a PCA methodology

Comparing SRI funds to conventional funds using a PCA methodology

The relationship between globalisation and economic growth in West Africa

The Impact of COVID-19 on the Dependence of Chinese Stock Market

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