Expiration-Day Effects of Index Futures in a Frontier Market: The Case of Ho Chi Minh Stock Exchange

Nguyen, Anh-Tuan; Truong, Loc Dong; Friday, H. Swint

doi:10.3390/ijfs10010003

Cited by 5 publications

(3 citation statements)

References 19 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Explanations for the asymmetric evolution of share prices in the G7 states can be obtained if their cointegration is considered. Evidence of a heterogeneous response to uncertainty shocks [76], dynamic cointegration [77,78], and repeated disturbance of longterm equilibrium [79] has been demonstrated in the literature, as well as the asymmetric response of stock markets to uncertainty [47]. We consider that through unidirectional or bidirectional connections, changes in uncertainty have an effect on stock prices in the G7 states.…”

Section: Discussionmentioning

confidence: 97%

Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

Panazan,

Gheorghe

2024

Mathematics

View full text Add to dashboard Cite

This study investigates co-movements between the GPR generated by the Crimean Peninsula’s annexation in 2014, the Russia–Ukraine war in 2022, and the volatility of stock markets in the G7 states. Using wavelet analysis, concentrated co-movement was found for all indices in both periods. Contrary to the general perception, we find that the G7 financial market response in 2014 was robust. Using a time-varying parameter vector autoregression (TVP-VAR) test, we found a larger reaction in the amplitude of the G7 financial markets in 2022 than in 2014. The financial markets in France, Germany, and the UK showed a similar reaction in 2022. We have identified some common aspects, even if the political and military contexts of the two studied events were completely different. Our findings offer new and interesting implications for understanding how geopolitical risk affects financial assets for market participants with multiple investment horizons and strategies.

show abstract

Section: Discussionmentioning

confidence: 97%

Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

Panazan,

Gheorghe

2024

Mathematics

View full text Add to dashboard Cite

show abstract

“…Myron Gordon [18] develops one very popular model explicitly relating the market value of the firm to dividend policy. According to this model, the market value of a share is equal to the present value of an infinite stream of dividends received by the shareholders.…”

Section:  Dividend Relevance: Gordon's Modelmentioning

confidence: 99%

“…Argument According to Gordon's model [18], dividend policy is relevant but it may become irrelevant where r=k, when all other assumptions are held valid. But when the simplifying assumptions are modified to conform more closely to reality, Gordon concludes that dividend policy does affect the value of a share even when r=k.…”

Section:  Dividend and Uncertainty: The Bird-in-the-handmentioning

confidence: 99%

Analyzing the Impact of Dividend Policy on the Value of Listed Companies- Insights from India

Rajan

2024

IJIREM

View full text Add to dashboard Cite

The objective of this study is to enrich the literature by investigating the effects of dividend policies on the value of listed companies in India. The data used in this study consists of 596 listed companies on the NSE Stock Exchange for the period 2021 to 2024. Using the Fixed Effects Model (FEM), the empirical findings confirm that the dividend payout ratio has a positive relationship with the value of the listed company. This finding supports the bird-in-hand theory, suggesting that investors prefer to receive dividends in cash rather than capital gains in the future. Additionally, this study finds that dividend payment methods significantly affect the value of listed companies. In fact, cash dividends positively affect the value of the listed company. The evidence is consistent with the signalling theory, indicating that payment for dividends in cash is a good signal from the company.

show abstract

Overreaction in a Frontier Market: Evidence from the Ho Chi Minh Stock Exchange

Truong

Cao

Friday

et al. 2023

IJFS

View full text Add to dashboard Cite

The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% and 2.17% in the second and third month, respectively. In addition, the differences in cumulative abnormal returns between the loser and winner portfolios were significantly positive for almost all tracking periods. These findings support the hypothesis that the Vietnam stock market is inefficient in its weak form. Based on these results, we suggest that investors can earn abnormal returns by using contrarian trading strategies in the Vietnam stock market.

show abstract

Expiration-Day Effects of Index Futures in a Frontier Market: The Case of Ho Chi Minh Stock Exchange

Cited by 5 publications

References 19 publications

Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022

Analyzing the Impact of Dividend Policy on the Value of Listed Companies- Insights from India

Overreaction in a Frontier Market: Evidence from the Ho Chi Minh Stock Exchange

Contact Info

Product

Resources

About