This paper provides a unique COVID-19 disclosure measurement and investigates the association between level of uncertainty within annual reports for UK FTSE-All share non-financial firms. We used automated textual analysis to score sampled reports. The results show that varies from industry industry. Furthermore, there is positive relationship in Firms with larger boards exhibit more significan...

Abstrac t Some analysts have claimed that the volatilityof an asset is caused solely by the random arrival of new information about the future returns from the asset. Others have claimed that volatility is mainly caused by trading. In any case it is a common belief that volatility is of great importance in Ž nance and it is the factor that plays the most important role in determining option pri...

This paper examines the forecasting performance of four GARCH(1,1) models (GARCH, EGARCH, GJR and APARCH) used with three distributions (Normal, Student-t and Skewed Student-t). We explore and compare different possible sources of forecasts improvements: asymmetry in the conditional variance, fat-tailed distributions and skewed distributions. Two major European stock indices (FTSE 100 and DAX 3...

Article history: Received 18 July 2012 Received in revised form 26 September 2013 Accepted 6 November 2013 Available online 15 November 2013 It seems reasonable to expect financial market efficiency to be related to the economic development level. We study a 16 year sample, covering 22 countries. The Hurst–Mandelbrot–Wallis rescaled range is our efficiency measure, which we apply to returns and...

We show that power-law analyses of financial commentaries from newspaper web-sites can be used to identify stock market bubbles, supplementing traditional volatility analyses. Using a four-year corpus of 17,713 online, finance-related articles (10M+ words) from the Financial Times, the New York Times, and the BBC, we show that week-to-week changes in power-law distributions reflect market movem...

Since the 1997 reform FTSE 100 stocks trade on the London Stock Exchange in a fragmented market. These stocks can be traded either on the electronic order book, SETS, or through dealers posting voluntary quotations. The UK regulator does not enforce any quote display requirement, and best execution requirements are satisfied when prices for off-SETS trades are at least as good as the prices ava...

Objective: The research objective was to test the hypothesis that corporate health and wellness contributed positively to South African companies’ financial results. Methods: The past share market performance of eligible healthy companies, based on Discovery’s Healthy Company Index, was tracked under three investment scenarios and compared with the market performance on the basis of the JSE FTS...

This study looks at the inefficiency of stock indices France, Italy, and Spain around their financial regulatory authorities’ short-sale ban during COVID-19 pandemic crisis. The empirical analysis this provides evidence price predictability basis futures contract prior to restriction. Moreover, results show a significant underpricing in contracts FTSE MIB IBEX35 while two months banned period. ...

The purpose of this research is to investigate the correlation between bond yields and Shariah equity index from 2007 2019. Multivariate-GARCH Dynamic Conditional Correlation (DCC) model applied daily data indices five markets, namely conventional bond, corporate sukuk, government as well Islamic market, which represented by FTSE Bursa Malaysia EMAS Shariah. empirical evidence reveals a substan...