stock index

This paper explores factors that can explain variation in gold price over time. We employ the Kaufmann-Winters (1989) model for an extended period (1971-1998), and modify it by considering factors reflecting gold supply and demand as well as a proxy for stock market. We also use factor analysis for the period 1990-2001, finding that gold price was primarily determined by the level of central banks' sales of gold reserves, stock market activities, the value of the US dollar and gold production-fabrication forces. Our results indicate that the factors that impacted gold price in the 1980s were different in the 1990s. Based on factor analysis results, we recommend, as a partial fix for current turbulence in the world financial crisis and credit crunch, that governments replenish their gold holdings to stabilise their currencies, and that investors consider gold in their portfolios as a store of value and a diversification tool.

The issue of market linkages (and price discovery) between stock indices and the lead-lag relationship are topics of interest to financial economists, financial managers and analysts. The lead-lag relationship analysis should take into account both the short and long-run investor. From a portfolio diversification perspective, the first type of investor is generally more interested in knowing the comovement of stock returns at higher frequencies, that is, short-run fluctuations, while the latter concentrates on the relationship at lower frequencies, that is, long-run fluctuations. The study uses a technique known as the ‘wavelet approach’ which has been very recently imported to finance from engineering sciences. Daily return data covering the period from June 2005 to December 2011 for MSCI stock indices of East Asian countries (Japan, China, Korea, Taiwan and Hong Kong) are analyzed. We examine the following empirical question: Is the global leadership of the US financial market sha...

Considering the few studies about the coupled relation between oil and gold prices and the exchange market, the purpose of this article is to explore this line of investigation. So, combining different approaches on oil and gold prices, stock indexes and exchange ...

Stocks are generally considered to be a good hedge against inflation because of their tendency to move together. This paper examines long term relationship between inflation and stock returns in BRICS markets using panel data for the period from March 2000 to September 2013. Correlation results reveal a significant negative relationship between stock index and inflation rate for Russia and a significantly positive relationship for India & China. ADF, PP and KPSS unit root tests indicate non-stationary characteristic of the data. Further we find no long term co-integrating relationship between stock index values and inflation rates using Pedroni panel co integration test. These findings have important implications for policy makers, regulators and investment community at large. There may seem to be short term contemporaneous relationship between inflation and equity returns but in the long run they do not seem to be significantly integrated. Changes in inflation may bring some short ...

Abstract: The aim of research is evaluation of the development of stock exchanges in Sofia, Bucharest and Bratislava in the years 2000-2009. The analysis is provided for the logarithmic rates of return of main stock indexes quoted in the investigated countries, employing central tendency, dispersion and skewness measures as well as statistical inference. The research is provided for the whole period and for the sub-periods that are distinguished due to the general tendency at capital markets.

Considering the few studies about the coupled relation between oil and gold prices and the exchange market, the purpose of this article is to explore this line of investigation. So, combining different approaches on oil and gold prices, stock indexes and exchange market (among others, Dooley, Isard and Taylor (1992), Sadorsky (1999), Park and Ratti (2007), Afshar (2008), Miller and Ratti (2008), Abdelaziz, Chortareas and Cipollini (2008) studies), our model, an unrestricted VAR and a VECM model, mixed all these variables applied to the European market, in order to explain the exchange market variation, from 1999:01 to 2010:05. We innovate by considering both gold and crude prices as explaining variables, differently from the above-mentioned authors, who only consider either gold or crude prices. Our results suggested that the model explains the long-run relationship between usd/eur and the mentioned variables, being consistent with the results previously found. Differently from the ...

Fluctuations of the Japanese stock market (Tokyo Stock Price Index: TOPIX) are analyzed using a multi-a ne analysis method. In the research to date, only some simulated self-a ne models have shown multi-a nity. In most experiments using observations of self-a ne fractal proÿles, multi-a nity has not been found. However, we ÿnd evidence of multi-a nity in uctuations of the Japanese stock market (TOPIX). The qth-order Hurst exponent H q varies with changes in q. This multi-a nity indicates that there are plural mechanisms that a ect the same time scale as stock market price uctuation dynamics.

Most empirical knowledge on the long term performance of financial investments is derived from the behaviour of the most successful markets. Recent research has tried to broaden the sample of markets studied towards European ones, many of which were among the worlds’ most developed up to World War One and again weight substantially in today’s global portfolio. The synthesis by Dimson, Marsh and Staunton (2002) proposes data on the 20th century for 16 countries, and ends up with an optimistic tone, although a less enthusiastic one than most of the American literature. They argue that even in the worst case – Belgium – the stock market long term performance remained positive (2.5% yearly real return on the 20th century), and superior to that of other investments. The results of this paper suggest that most of the continental European results may be wrong, since they may significantly overestimate the performance of investments in stocks during the 20th century and underestimate the im...