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All Journal Dinasti International Journal of Economics, Finance & Accounting (DIJEFA)
Enow, Samuel Tabot
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Economics, Econometrics & Finance

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Forecasting Volatility Persistence: Evidence from International Stock Markets Enow, Samuel Tabot
Dinasti International Journal of Economics, Finance & Accounting Vol. 4 No. 3 (2023): Dinasti International Journal of Economics, Finance & Accounting (July - August
Publisher : Dinasti Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.38035/dijefa.v4i3.1891

Abstract

Volatility persistence represents a notable feature of financial markets and is a widely studied phenomenon that explores the clustering and leverage effects of stock market returns. Recognizing and incorporating volatility persistence into risk management, asset pricing, and portfolio management strategies provide valuable insights for market participants enabling them to navigate and capitalize on the dynamics of market volatility. The aim of this study was to empirically investigate whether the current high volatility in stock markets are temporal or will persist in the future. An ARCH model and a GARCH model were employed to achieve the aim of this study for the JSE, CAC 40, DAX, Nasdaq and Nikkei 225 from May 29, 2023 to May 29, 2018. The findings revealed that stock market volatility will persist at least for some time from the ARCH and GARCH output results. Active traders and market makers need to adapt their strategies in response to the expected volatility persistence. Higher levels of persistence may call for adjustments such as widening stop-loss orders to accommodate larger price swings or using more extended timeframes to capture sustained trends. Portfolio managers may also opt for strategies that thrive in volatile market conditions such as breakout trading or mean reversion strategies
Empirical Analysis of Stock Markets That Are More Prone To Losses: A Standard Coverage Test Approach Enow, Samuel Tabot
Dinasti International Journal of Economics, Finance & Accounting Vol. 4 No. 4 (2023): Dinasti International Journal of Economics, Finance & Accounting (September - O
Publisher : Dinasti Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.38035/dijefa.v4i3.1924

Abstract

Stock market losses have been a recurring phenomenon in financial markets with far reaching implications for investors as it directly impacts the value of their portfolios and potentially jeopardizing retirement savings leading to a loss of income. Identifying stock markets that may realise less returns on investments has been critical area for portfolio managers and active market participants. Therefore, the aim of this study was to empirically investigate financial markets that are prone to losses in order to safeguard and protect investments. A standard coverage test analysis was applied in five selected markets for a sample period from June 7, 2018 to June 7, 2023. This coverage test was used to identify stock markets that breached their generalised indicators and expected losses. The findings revealed that stock market losses are significantly higher in the CAC 40 and Nikkei 225. This was evident in the significant risk violations from their expected levels. By implication, investors willing to invest in the CAC 40 and Nikkei 225 are advised to use sector diversification strategies, stop-loss orders and long term investment strategy to mitigate some of these losses.
Exploring Holiday Market Anomaly: Evidence from International security Indexes Enow, Samuel Tabot
Dinasti International Journal of Economics, Finance & Accounting Vol. 4 No. 5 (2023): Dinasti International Journal of Economics, Finance & Accounting (November - De
Publisher : Dinasti Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.38035/dijefa.v4i5.1989

Abstract

Research on financial market anomalies has always been a subject of fascination for researchers and investors alike. Over the years, numerous anomalies and patterns have been identified, one of which was the holiday market anomaly which refers to the recurring and abnormal behavior observed in the stock markets during the holiday season. It is a phenomenon that has captured the attention of scholars and investors due to its potential implications for investment strategies and market efficiency. The aim of this study was to ascertain or rebuff the concept using the most recent data. Accordingly, a t-test statistics was used to analyze data from a sample of six financial markets from June 12, 2018, to June 12, 2023. The findings revealed no evidence of the existence of the holiday market anomaly, at least for the most recent 5 years. A possible reason for the extinction may have been the introduction of new financial products and the spread of numerous investment strategies. Hence, long-term investors are encouraged to prioritize fundamental analysis and a disciplined investment approach, recognizing the limitations and potential risks associated with trading based on the holiday market anomaly.
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