Risk-Return Relationship in the Nigerian Stock Market During Pandemic Covid-19: Sectoral Panel Garch Approach

Nageri, Kamaldeen Ibraheem

doi:10.12775/cjfa.2021.017

Cited by 5 publications

(4 citation statements)

References 21 publications

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“…Aside from the foregoing, some other strands of research have considered disease pandemic as another form of disaster that may affect stock markets. These research include amongst others the recent research appearing in the Copernican Journal of Finance and Accounting, which analysed COVID-19 pandemic effect on stock market herding and attendant stock price fluctuations (Abd-Alla, 2020), and the effect of COVID-19 disaster on the stock market volatility and risk-return through the lens of GARCH-in-mean and Threshold GARCH (Nageri, 2021).…”

Section: Literature Review Literature Reviewmentioning

confidence: 99%

A Review of Stock Market Impact of Environmental Cataclysms and Lessons for Investors

Ngwakwe

2023

CJFA

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The objective of this paper is to present a review analysis of stock market impact of environmental disaster with the factors that orchestrate the impact, and to offer a novel framework for investors and managers. The paper applied an in-depth empirical review and synthesis method. Findings from the review and synthesis of empirical literature provide strong evidence that environmental disasters have diverse effects on the stock markets with majority of the literature reporting adverse effects on the stock markets. Additionally, findings are more preponderant on short run impact than on long run effects. Findings also show that environmental disasters may offer unique arbitrage opportunities for short-selling investors. The paper concludes by highlighting the capacity of environmental finance as one of the catalysts to bolster corporate adaptive capacity to environmental disaster. Furthermore, the degree of environmental disaster impact on stock market may depend on factors such as the type of environmental disaster, geographical location of environmental disaster, economic sector, stage of economic development, length of disaster and intensity of disaster. Accordingly, the paper develops a framework, which is recommended as a model for further research agenda on environmental disaster effect on stock markets.

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Section: Literature Review Literature Reviewmentioning

confidence: 99%

A Review of Stock Market Impact of Environmental Cataclysms and Lessons for Investors

Ngwakwe

2023

CJFA

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“…There is a variety of risk measures based on profit and loss distribution to quantify the different types of risk; examples include the variance, the Value-at-Risk, and the Conditional Value-at-Risk; see McNeil et al (2015), Wagalath and Zubelli (2018), Arias-Serna et al (2021), Faroni et al (2022), Nageri (2022), and references there, for a detailed review of the investment-portfolio-risk nexus. Perhaps the most commonly used risk measure in finance is the Value-at-Risk (VaR), which has received the honor of being utilized in industry regulations.…”

Section: Introductionmentioning

confidence: 99%

“…Explicitly, we researched the impact of the COVID-19 pandemic on the 2020 Stock Market Crash, measured in terms of the Wall Street indices of NASDAQ Composite, S&P500, and Dow Jones Industrial Average. These indices reported historical loss levels, only otherwise registered during the financial crisis of 2008; see González and Gallizo (2021), Song et al (2022), Nageri (2022), , and Athari and Thai Hung (2022). As usual, the complete data set was split into sample and test periods.…”

mentioning

confidence: 99%

Multi-Variate Risk Measures under Wasserstein Barycenter

Serna

Loubes

Caro-Lopera

2022

Risks

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When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the internal models used by financial institutions are more precise. For this task, we propose a novel multi-variate risk measure, based on the notion of the Wasserstein barycenter. The proposed approach robustly characterizes the company’s exposure, filtering the partial information available from individual sources into an aggregate risk measure, providing an easily computable estimation of the total risk incurred. The new approach allows effective computation of Wasserstein barycenter risk measures in any location–scatter family, including the Gaussian case. In such cases, the Wasserstein barycenter Value-at-Risk belongs to the same family, thus it is characterized just by its mean and deviation. It is important to highlight that the proposed risk measure is expressed in closed analytic forms which facilitate its use in day-to-day risk management. The performance of the new multi-variate risk measures is illustrated in United States market indices of high volatility during the global financial crisis (2008) and during the COVID-19 pandemic situation, showing that the proposed approach provides the best forecasts of risk measures not only for “normal periods”, but also for periods of high volatility.

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“…Dentro de sus hallazgos, resalta la relación inversa entre creación de valor y volatilidad, es decir, a menor valor, mayor volatilidad. Otro de los indicadores ampliamente investigado es la relación riesgo-rendimiento, para ello se han empleado diversas aproximaciones GARCH, permitiendo medir el movimiento dinámico entre el riesgo y rendimiento en diversos mercados emergentes tales como Sudáfrica(Morahanye, 2019;Dwarika, Moores-Pitt y Chifurira, 2021), India(Patel, 2021), Nigeria(Nageri, 2021), China(Zhao y Wen, 2022), Hong Kong(Wang y Hartzell, 2021), por mencionar algunos de ellos.…”

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Construcción de portafolios condicionales vs tradicionales: aplicación al Mercado Integrado Latinoamericano (MILA)

Sosa Castro,

Cabello Rosales,

Ortiz Calisto

2023

CyA

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<p>El objetivo de este trabajo es construir portafolios, a partir del cálculo de parámetros no condicionales (tradicionales) y condicionales, estos últimos mediante modelos Generalizados Autoregresivos con Heteroscedasticidad Condicional (GARCH) univariados y de Correlación Condicional Dinámica (GARCH-DCC), bajo una distribución t-Student. Una vez realizada la estimación con ambos tipos de parámetros, se comparan los portafolios tradicionales con respecto a los condicionales, determinando cuál de ellos resulta en estimar una mejor relación riesgo-rendimiento. Para el diseño de los portafolios óptimos se emplean los índices bursátiles del Mercado Integrado Latinoamericano (MILA) constituido por Colombia, Chile, México y Perú, precios de cierre diarios de enero 2017 a junio 2022. Los resultados señalan que, los portafolios condicionales tienen mejor desempeño que los portafolios construidos de manera tradicional. Los hallazgos tienen importantes implicaciones en términos del desarrollo de estrategias de inversión internacional en mercados emergentes.</p>

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Risk-Return Relationship in the Nigerian Stock Market During Pandemic Covid-19: Sectoral Panel Garch Approach

Cited by 5 publications

References 21 publications

A Review of Stock Market Impact of Environmental Cataclysms and Lessons for Investors

A Review of Stock Market Impact of Environmental Cataclysms and Lessons for Investors

Multi-Variate Risk Measures under Wasserstein Barycenter

Construcción de portafolios condicionales vs tradicionales: aplicación al Mercado Integrado Latinoamericano (MILA)

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