Example example In this study, the emergence of global crisis and response emerging markets to environment are investigated. For purpose, countries defined as ‘Fragile Five’ (Turkey, India, Brazil, Indonesia South Africa) by Morgan Stanley have been selected subject study. order measure impact negativity on Fragile Five markets, period between January 2, 2020 July 21, 2022, when COVID-19 was ef...

Previously, few, if any, comparative tests of performance of Jackwerth’s (1997) generalized binomial tree (GBT) and Derman and Kani (1994) implied volatility tree (IVT) models were done. In this paper, we propose five different weight functions in GBT and test them empirically compared to both the Black-Scholes model and IVT. We use the daily settlement prices of FTSE-100 index options from Jan...

In this paper we investigate the potential of the analysis of noisy non-stationary time series by quantizing it into streams of discrete symbols and applying finitememory symbolic predictors. The main argument is that careful quantization can reduce the noise in the time series to make model estimation more amenable given limited numbers of samples that can be drawn due to the non-stationarity ...

The Covid-19 pandemic has an impact on the world economy especially stock mar-ket, thus aim of this study is to determine whether there dynamic integration be-tween markets in Indonesia with capital market Asia and during pandemic. This uses return data from closing price 12 indices, namely ASX, DOWJONES, FTSE, HANGSENG, IHSG, KLSE, KOSPI, NIK-KEI, PSEI, SET, STI, TAIWAN January December 2020 t...

Starting on February 20, 2020, the global stock markets began to suffer worst decline since Great Recession in 2008, and COVID-19 has been widely blamed market crashes. In this study, we applied log-periodic power law singularity (LPPLS) methodology based multilevel time series unravel underlying mechanisms of 2020 crash by analyzing trajectories 10 major world indexes from both developed emerg...

The paper investigates whether the implementation of MiFID II, a packet financial legislation applying broadly to European Union markets, has led change in volatility some developed and emerging stock markets. We show that for capital markets considered analysis, II did not lead decrease On contrary, all analysis intervals (3 months, 6 12 18 months 24 months), impact on is positive, with increa...

Abstract Diversification of financial securities is considered a substantial element portfolio risk. In this context, the construction an optimal ongoing concern for managers. This study measures risk–reward tradeoffs linked to stock indexes Germany, Spain, Italy, France, and England. First, are analyzed as individual portfolios later compared hypothetical common equity index. The results show ...

The aim of this study is to determine the causality relationship between energy prices, which are among most important inputs economy, and selected stock market indices developed countries. Crude oil natural gas used as variables. G7 countries were represent Stock in Dow & Jones (USA), DAX (Germany), CAC40 (France), FTSE250 (England), FTSE Italia All Share (Italy), NIKKEI225 (Japan), S&...