Predicting financial market returns in the presence of health crisis: evidence from conventional and Islamic stock markets

Tuna, Gülfen

doi:10.1080/1331677x.2021.1922089

Cited by 6 publications

(9 citation statements)

References 54 publications

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“…The result of this study is also not in line with the study conducted by Tuna (2021). He showed that conventional, as well as Sharia stock markets in the period from 19 March 200 to 27 July 2020, were not efficient.…”

Section: Resultscontrasting

confidence: 88%

Comparative Analysis of Efficient Market for Sharia and Conventional Stocks in ASEAN countries

Rodoni

Djauhari

Rahma

et al. 2022

Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah

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This study analyzes and compares the weak forms of Islamic and conventional stock market efficiency in ASEAN countries. The data were taken from BEI Syariah (JKISSI), Jakarta Stock Exchange (JKSE), FTSE Bursa Malaysia EMAS Syariah (FTFBMS), FTSE Malaysia KLCI (KLSE), SET Index (SETI), and FTSE SET Syariah (FTFSTSH) from January 2015 to August 2021. To avoid analytical bias due to the COVID-19 Pandemic, the data is divided into two periods, January 2015 to December 2019 and January 2020 to August 2021. The contribution of this research is to compare the market efficiency of the weak form of Islamic and conventional stocks over two periods with different methods, namely Variance Ratio Test, Run Test, ARIMA Model, and Recurrent Neural Network (RNN). This study shows that Islamic stocks in these countries are more efficient from January 2015 to December 2019. On the other hand, conventional stocks are more efficient from January 2020 to August 2021 (during the COVID-19 Pandemic). Abstrak Penelitian ini menganalisa dan membandingkan bentuk lemah dari efisiensi pasar saham syariah dan konvensional di negara-negara ASEAN. Data berasal dari BEI Syariah (JKISSI), Bursa Efek Jakarta (JKSE), FTSE Bursa Malaysia EMAS Syariah (FTFBMS), FTSE Malaysia KLCI (KLSE), SET Index (SETI), dan FTSE SET Syariah (FTFSTSH) dari Januari 2015 hingga Agustus 2021. Untuk menghindari bias analisa akibat pandemi COVID-19, data dibagi menjadi dua periode, Januari 2015 hingga Desember 2019 dan Januari 2020 hingga Agustus 2021. Penelitian ini membandingkan bentuk lemah dari efisiensi pasar saham syariah dan konvensional selama dua periode waktu dengan metode berbeda, yaitu Variance Ratio Test, Run Test, Model ARIMA, dan Recurrent Neural Network (RNN). Studi menunjukkan bahwa Saham Syariah di negara-negara tersebut lebih efisien pada periode Januari 2015 hingga Desember 2019. Di sisi lain, saham konvensional lebih efisien pada periode Januari 2020 hingga Agustus 2021 (selama pandemi COVID-19).

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Section: Resultscontrasting

confidence: 88%

Comparative Analysis of Efficient Market for Sharia and Conventional Stocks in ASEAN countries

Rodoni

Djauhari

Rahma

et al. 2022

Al-Iqtishad: Jurnal Ilmu Ekonomi Syariah

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“…PAI's impact is stronger in the stock-Ethereum comovements, positive in Canada, the US, France, Germany, and Italy, and negative in the UK stock markets. To a certain extent, the results imply that investor sentiment or fear of the uncertainties triggered by COVID-19 plays a role in their investment decisions, as earlier asserted by [21,33]. In addition, the results also imply that Bitcoin is an investment choice for institutional and high-worth investors who have the resources and reliable sources of information to make longer-term investment decisions.…”

Section: Seemingly Unrelated Regression (Sur)supporting

confidence: 54%

“…In a period of heightened market uncertainties, investors make irrational decisions driven by their appetite for risk-taking and loss aversion. Investors are not always rational in making decisions because they are social creatures whose judgment and behavior are influenced by their surroundings and social circles [25,33]. Herding, irrational judgments, and fear of future uncertainties result in excessive trading that causes market volatilities.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Tuna [33] examined investor attention toward COVID-19 news by segregating negative and positive content by using the search terms, such as "health news", "COVID-19 cases", and "COVID-19 death" on Google Trends. Their study reveals that the COVID-19-related news is significant in predicting sector returns, but the asymmetric effect is present due to relatively stronger negative contents.…”

Section: Literature Reviewmentioning

confidence: 99%

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Exploring the Driving Forces of Stock-Cryptocurrency Comovements during COVID-19 Pandemic: An Analysis Using Wavelet Coherence and Seemingly Unrelated Regression

et al. 2022

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This paper estimates the comovement between two leading cryptocurrencies and the G7 stock markets. It then attempts to explain the comovement with the rational investment theory by examining whether it is driven by market uncertainty measures, public attention to COVID-19, and the government’s containment and health responses to COVID-19. Wavelet Coherence heatmaps show that the stock-cryptocurrency comovements increase significantly and positively during the pandemic, indicating that cryptocurrencies lose their safe haven properties against stocks during the heightened market uncertainties. Over the longer investment horizons, Bitcoin reemerges as a safe haven or strong hedger while Ethereum’s properties weaken. Seemingly Unrelated Regression results reveal that the stock-cryptocurrency comovements are rationally explained by market uncertainties, government responses to COVID-19, and market fundamentals. However, the comovements are also driven by the fear of COVID-19 to a certain extent. Our findings offer valuable insights for investors considering cryptocurrencies to rebalance their equity portfolios during market distress. For policymakers, the Economic Policy Uncertainty (EPU) results suggest that government policies and regulatory frameworks can be used to regulate speculation and investment activities in the cryptocurrency market.

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“…To solve this problem, this chapter introduces the "value function" of the state in the MDP model. Reference [26]. Its function is mainly to evaluate the benefits brought by the current decision and the impact on the subsequent income acquisition trend, so as to quantitatively evaluate the potential benefits under each system state.…”

Section: Joint Optimization Problem Modeling Based On Markovmentioning

confidence: 99%

Regulatory Mechanism of Financial Market Resource Management Driven by Big Data

Xie

Chen

2022

Mobile Information Systems

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In order to further understand the current situation of the financial market and better supervise the resource management of the financial market, combined with big data and cloud computing technology, through the construction of big data cloud platform resource management system and the integration of various technical computing frameworks, we can realize the effective supervision of big data resources in the financial market. Using J2EE technology, this paper analyzes, designs, implements, and tests the investment data management system, analyzes the content of the software engineering subject, and obtains the demand function description of the business. According to the software development process and the actual situation of enterprise investment, this paper expounds the basic requirements of the investment data management business, system architecture requirements, user use case status, and the operation and configuration environment of the investment data management system. This paper analyzes the technical characteristics and operation indicators of the software, and establishes the data flow for the data related to investment data management, such as information statistics, data query, information classification and so on. Finally, the system is verified, operated and tested, and the business use cases and parameters of the system are tested according to the two indicators of software testing. The basic functions of the investment data management realized by the system are correct, the design is reasonable, the operation is stable, the operation response time is short, the operation accuracy is high, and the data access efficiency is good.

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Predicting financial market returns in the presence of health crisis: evidence from conventional and Islamic stock markets

Cited by 6 publications

References 54 publications

Comparative Analysis of Efficient Market for Sharia and Conventional Stocks in ASEAN countries

Comparative Analysis of Efficient Market for Sharia and Conventional Stocks in ASEAN countries

Exploring the Driving Forces of Stock-Cryptocurrency Comovements during COVID-19 Pandemic: An Analysis Using Wavelet Coherence and Seemingly Unrelated Regression

Regulatory Mechanism of Financial Market Resource Management Driven by Big Data

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