Journal articles: 'Multi-asset market'

1

He, Xue-Zhong, and Lei Shi. "Disagreement in a Multi-Asset Market." International Review of Finance 12, no. 3 (March 22, 2012): 357–73. http://dx.doi.org/10.1111/j.1468-2443.2012.01153.x.

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Ezzat, Heba M. "Disposition effect and multi-asset market dynamics." Review of Behavioral Finance 11, no. 2 (June 28, 2019): 144–64. http://dx.doi.org/10.1108/rbf-01-2018-0003.

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Purpose Asset pricing dynamics in a multi-asset framework when investors’ trading exhibits the disposition effect is studied. The purpose of this paper is to explore asset pricing dynamics and the switching behavior among multiple assets. Design/methodology/approach The dynamics of complex financial markets can be best explored by following agent-based modeling approach. The artificial financial market is populated with traders following two heterogeneous trading strategies: the technical and the fundamental trading rules. By simulation, the switching behavior among multiple assets is investigated. Findings The proposed framework can explain important stylized facts in financial time series, such as random walk price dynamics, bubbles and crashes, fat-tailed return distributions, absence of autocorrelation in raw returns, persistent long memory of volatility, excess volatility, volatility clustering and power-law tails. In addition, asset returns possess fractal structure and self-similarity features; though the switching behavior is only allowed among the asset markets. Practical implications The model demonstrates stylized facts of most real financial markets. Thereafter, the proposed model can serve as a testbed for policy makers, scholars and investors. Originality/value To the best of knowledge, no research has been conducted to introduce the disposition effect to a multi-asset agent-based model.

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Doeswijk, Ronald, Trevin Lam, and Laurens Swinkels. "The Global Multi-Asset Market Portfolio, 1959–2012." Financial Analysts Journal 70, no. 2 (March 2014): 26–41. http://dx.doi.org/10.2469/faj.v70.n2.1.

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Chen, Ren-Raw, San-Lin Chung, and Tyler T. Yang. "Option Pricing in a Multi-Asset, Complete Market Economy." Journal of Financial and Quantitative Analysis 37, no. 4 (December 2002): 649. http://dx.doi.org/10.2307/3595015.

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Lian, Yu-Min, and Jun-Home Chen. "Portfolio selection in a multi-asset, incomplete-market economy." Quarterly Review of Economics and Finance 71 (February 2019): 228–38. http://dx.doi.org/10.1016/j.qref.2018.08.006.

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Fedyk, Yurii, Christian Heyerdahl-Larsen, and Johan Walden. "Market Selection and Welfare in a Multi-asset Economy*." Review of Finance 17, no. 3 (April 25, 2012): 1179–237. http://dx.doi.org/10.1093/rof/rfs009.

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Hirano, Masanori, Kiyoshi Izumi, Takashi Shimada, Hiroyasu Matsushima, and Hiroki Sakaji. "Impact Analysis of Financial Regulation on Multi-Asset Markets Using Artificial Market Simulations." Journal of Risk and Financial Management 13, no. 4 (April 17, 2020): 75. http://dx.doi.org/10.3390/jrfm13040075.

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In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network robust. However, a previous work argued that CAR regulation has a destabilization effect on financial markets. To assess impacts such as destabilizing effects, we conducted simulations of an artificial market, one of the computer simulations imitating real financial markets. In the simulation, we proposed and used a new model with continuous double auction markets, stylized trading agents, and two kinds of portfolio trading agents. Both portfolio trading agents had trading strategies incorporating Markowitz’s portfolio optimization. Additionally, one type of portfolio trading agent was under regulation. From the simulations, we found that portfolio optimization as each trader’s strategy stabilizes markets, and CAR regulation destabilizes markets in various aspects. These results show that CAR regulation can have negative effects on asset markets. As future work, we should confirm these effects empirically and consider how to balance between both positive and negative aspects of CAR regulation.

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Kocsis, Zalán. "Global, regional, and country-specific components of financial market indicators." Acta Oeconomica 64, Supplement-1 (December 1, 2014): 81–110. http://dx.doi.org/10.1556/aoecon.64.2014.s1.3.

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This paper studies the global, regional, and country-specific components of four key financial market indicators: sovereign CDS spreads, equity indices, exchange rates, and EMBI Global bond spreads. In all four markets, the results support the findings of the literature of a significant global component, but also point out the importance of regional correlations. Variance decompositions point to roughly a third of variance explained by both global and country-specific components in each of the four analysed financial markets, although there is considerable cross-country heterogeneity in this respect. The global factors of indicators are correlated across asset classes, but the market- and country-specific components of indicators are still significantly large to suggest diversification benefits of both multi-asset and multi-country portfolios. An application of the factor model suggests that the link between Central Eastern European and Euro zone periphery markets is stronger and more direct in the case of equity indices than in the case of sovereign CDS spreads.

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Doeswijk, Ronald, Trevin Lam, and Laurens Swinkels. "“The Global Multi-Asset Market Portfolio, 1959–2012”: Author Response." Financial Analysts Journal 70, no. 4 (July 2014): 9–12. http://dx.doi.org/10.2469/faj.v70.n4.10.

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Doeswijk, Ronald, Trevin Lam, and Laurens Swinkels. "“The Global Multi-Asset Market Portfolio, 1959–2012”: Author Response." Financial Analysts Journal 70, no. 4 (July 2014): 9–12. http://dx.doi.org/10.2469/faj.v70.n4.11.

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Westerling, Jaap F. "“The Global Multi-Asset Market Portfolio, 1959–2012”: A Comment." Financial Analysts Journal 70, no. 4 (July 2014): 9. http://dx.doi.org/10.2469/faj.v70.n4.9.

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Dieci, Roberto, Noemi Schmitt, and Frank Westerhoff. "Steady states, stability and bifurcations in multi-asset market models." Decisions in Economics and Finance 41, no. 2 (September 28, 2018): 357–78. http://dx.doi.org/10.1007/s10203-018-0214-3.

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Yong, Jaime, and Anh Khoi Pham. "The long-term linkages between direct and indirect property in Australia." Journal of Property Investment & Finance 33, no. 4 (July 6, 2015): 374–92. http://dx.doi.org/10.1108/jpif-01-2015-0005.

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Purpose– Investment in Australia’s property market, whether directly or indirectly through Australian real estate investment trusts (A-REITs), grew remarkably since the 1990s. The degree of segregation between the property market and other financial assets, such as shares and bonds, can influence the diversification benefits within multi-asset portfolios. This raises the question of whether direct and indirect property investments are substitutable. Establishing how information transmits between asset classes and impacts the predictability of returns is of interest to investors. The paper aims to discuss these issues.Design/methodology/approach– The authors study the linkages between direct and indirect Australian property sectors from 1985 to 2013, with shares and bonds. This paper employs an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to de-smooth a valuation-based direct property index. The authors establish directional lead-lag relationships between markets using bi-variate Granger causality tests. Johansen cointegration tests are carried out to examine how direct and indirect property markets adjust to an equilibrium long-term relationship and short-term deviations from such a relationship with other asset classes.Findings– The authors find the use of appraisal-based property data creates a smoothing bias which masks the extent of how information is transmitted between the indirect property sector, stock and bond markets, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four quarters can overcome the overstatement of the smoothing bias from traditional AR models, after individually appraised constituent properties are aggregated into an overall index. The results show that direct property adjusts to information transmitted from market-traded A-REITs and stocks.Practical implications– The study shows direct property investments and A-REITs are substitutible in a multi-asset portfolio in the long and short term.Originality/value– The authors apply an ARFIMA(p,d,q) model to de-smooth Australian property returns, as proposed by Bond and Hwang (2007). The authors expect the findings will contribute to the discussion on whether direct property and REITs are substitutes in a multi-asset portfolio.

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Petukhina, Alla, and Erin Sprünken. "Evaluation of multi-asset investment strategies with digital assets." Digital Finance 3, no. 1 (March 2021): 45–79. http://dx.doi.org/10.1007/s42521-021-00031-9.

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AbstractThe drastic growth of the cryptocurrencies market capitalization boosts investigation of their diversification benefits in portfolio construction. In this paper with a set of classical and modern measurement tools, we assess the out-of-sample performance of eight portfolio allocation strategies relative to the naive 1/N rule applied to traditional and crypto-assets investment universe. Evaluated strategies include a range from classical Markowitz rule to the recently introduced LIBRO approach (Trimborn et al. in Journal of Financial Econometrics 1–27, 2019). Furthermore, we also compare three extensions for strategies with respect to input estimators applied. The results show that in the presence of alternative assets, such as cryptocurrencies, mean–variance strategies underperform the benchmark portfolio. In contrast, CVaR optimization tends to outperform the benchmark as well as geometric optimization, although we find a strong dependence of the former’s success on trading costs. Furthermore, we find evidence that liquidity-bounded strategies tend to perform very well. Thus, our findings underscore the non-normal distribution of returns and the necessity to control for liquidity constraints at alternative asset markets.

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Arbaa, Ofer, and Eva Varon. "Do the Israeli Provident Funds have the Ability to Time the Bond and Stock Markets? An Analysis across Alternative Investments." Accounting and Finance Research 6, no. 2 (April 28, 2017): 169. http://dx.doi.org/10.5430/afr.v6n2p169.

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This paper investigates whether Israeli fund managers possess market-timing ability across asset classes over time, using 15 years of monthly data from the Israeli provident funds. We apply three methodologies based on return based and portfolio holdings approaches. Most of the early return-based timing methods and the most recent portfolio holdings measures suggest that U.S. mutual fund managers do not possess equity timing ability. Our study is the first to test this evidence on multi- asset class provident funds in the Israeli market and compare the timing ability of fund managers in each asset class according to different approaches. We introduce an alternative holdings method that combine the asset allocation theory with that of market timing and use "excess policy" holdings data to predict future market returns. In addition, previous studies mostly ignore the contribution of other instruments to timing decisions, which may cause any conclusions about managers' timing decisions to be incomplete. Hence, we test equity market timing with respect to all markets using a multiple market index model in the holdings approach. In line with previous research, our empirical results indicate significantly negative market timing in domestic equities according to all the measures used. On the other hand, provident fund managers on average seem to display some timing ability for government bonds.

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Imai, Takahiro, and Kei Nakagawa. "Statistical Arbitrage Strategy in Multi-Asset Market Using Time Series Analysis." Journal of Mathematical Finance 10, no. 02 (2020): 334–44. http://dx.doi.org/10.4236/jmf.2020.102020.

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Torii, Takuma, Kiyoshi Izumi, and Kenta Yamada. "Shock transfer by arbitrage trading: analysis using multi-asset artificial market." Evolutionary and Institutional Economics Review 12, no. 2 (December 2015): 395–412. http://dx.doi.org/10.1007/s40844-015-0024-z.

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McGowan, Carl, and Deane Rifon. "A Test For A Multi-Risk Premia International Asset Pricing Model: An Arbitrage Pricing Theory Application." Journal of Applied Business Research (JABR) 4, no. 2 (October 27, 2011): 53. http://dx.doi.org/10.19030/jabr.v4i2.6433.

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IN this paper, the authors examine the existence of a multi-risk premia international asset pricing model using an Arbitrage Pricing Theory approach. An international asset pricing model is developed and tested using foreign exchange rate adjusted market indices for twenty-five countries stock markets for the period January 1964 to December 1980. The authors find evidence that indicates three risk premia exist for pricing mean returns on international assets. A model not adjusted for foreign exchange rate changes does not perform as well as an adjusted model.

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Amine Souissi, Mohamed, Khalid Bensaid, and Rachid Ellaia. "Multi-agent modeling and simulation of a stock market." Investment Management and Financial Innovations 15, no. 4 (November 9, 2018): 123–34. http://dx.doi.org/10.21511/imfi.15(4).2018.10.

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The stock market represents complex systems where multiple agents interact. The complexity of the environment in the financial markets in general has encouraged the use of modeling by multi-agent platforms and particularly in the case of the stock market.In this paper, an agent-based simulation model is proposed to study the behavior of the volume of market transactions. The model is based on the case of a single asset and three types of investor agents. Each investor can be a zero intelligent trader, fundamentalist trader or traders using historical information in the decision making process. The goal of the study is to simulate the behavior of a stock market according to the different considered endogenous and exogenous variables.

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GÖNCÜ, AHMET, and ERDINC AKYILDIRIM. "STATISTICAL ARBITRAGE IN THE MULTI-ASSET BLACK–SCHOLES ECONOMY." Annals of Financial Economics 12, no. 01 (March 2017): 1750004. http://dx.doi.org/10.1142/s201049521750004x.

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In this study, we consider the statistical arbitrage definition given in Hogan, S, R Jarrow, M Teo and M Warachka (2004). Testing market efficiency using statistical arbitrage with applications to momentum and value strategies, Journal of Financial Economics, 73, 525–565 and derive the statistical arbitrage condition in the multi-asset Black–Scholes economy building upon the single asset case studied in Göncü, A (2015). Statistical arbitrage in the Black Scholes framework. Quantitative Finance, 15(9), 1489–1499. Statistical arbitrage profits can be generated if there exists at least one asset in the economy that satisfies the statistical arbitrage condition. Therefore, adding a no-statistical arbitrage condition to no-arbitrage pricing models is not realistic if not feasible. However, with an example we show that what excludes statistical arbitrage opportunities in the Black–Scholes economy, and possibly in other complete market models, is the presence of uncertainty or stochasticity in the model parameters. Furthermore, we derive analytical formulas for the expected value and probability of loss of the statistical arbitrage portfolios and compute optimal boundaries to sell the risky assets in the portfolio by maximizing the expected return with a constraint on the probability of loss.

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Berghorn, Wilhelm, Martin T. Schulz, and Sascha Otto. "Fractal Markets, Frontiers, and Factors." International Journal of Financial Research 12, no. 5 (June 10, 2021): 104. http://dx.doi.org/10.5430/ijfr.v12n5p104.

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We develop an alternative view to the modern finance theory that essentially suggests equilibria in efficient markets by taking a risk-based view of asset returns in stock markets. Based on a mathematical analysis of stock market data using multi-scale approaches, we will alternatively describe markets and factors as trend-based fractal processes and analyze well-known factor premiums, which leads to a return-based view of markets and a model of investors reacting to market environments. We conclude that markets could be viewed alternatively as fractal, non-stationary and, at most, asymptotically efficient.

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Umamaheswari, S. "Determining the Financial Performance of Stock Market in India (With Special Reference to Derivatives)." ComFin Research 9, no. 2 (April 1, 2021): 31–37. http://dx.doi.org/10.34293/commerce.v9i2.3821.

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The innovative practices always persuade concerned people, whereas ideas and innovation become the hallmark of progress. Even the Stock market is also not exempted from this, whereas financial derivatives have given the drastic change in the growth of the financial market. The major reason behind introducing derivatives is for minimizing or eliminating price risk through hedging. The Derivatives market has shown tremendous growth in recent years and has become multi-trillion dollar market. Marked with the ability to partially and fully transfer the risk by locking in asset prices, derivatives gain popularity among investors.

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Acheampong, Prince, and Sydney Kwesi Swanzy. "Empirical Test of Single Factor and Multi-Factor Asset Pricing Models: Evidence from Non Financial Firms on the Ghana Stock Exchange (GSE)." International Journal of Economics and Finance 8, no. 1 (December 24, 2015): 99. http://dx.doi.org/10.5539/ijef.v8n1p99.

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<p>This paper examines the explanatory power of a uni-factor asset pricing model (CAPM) against a multi-factor model (The Fama-French three factor model) in explaining excess portfolio returns on non-financial firms on the Ghana Stock Exchange (GSE). Data covering the period January 2002 to December 2011 were used. A six Size- Book-to-Market (BTM) ratio portfolios were formed and used for the analysis. The paper revealed that, a uni-factor model like the (CAPM) could not predict satisfactorily, the excess portfolio returns on the Ghana Stock Exchange. By using the multi-factor asset pricing model, that is, the Fama-French Three Factor Model, excess portfolio returns were better explained. It is then conclusive enough that, the multi-factor asset pricing model introduced by Fama and French (1992) was a better asset pricing model to explain excess portfolio returns on the Ghana Stock Exchange than the Capital Assets Pricing Model (CAPM) and that there exist the firm size and BTM effects on the Ghanaian Stock market.</p>

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TAO, XIANGXING, and YAFENG SHI. "ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK." ANZIAM Journal 58, no. 3-4 (April 2017): 386–96. http://dx.doi.org/10.1017/s1446181117000220.

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We provide an elementary method for exploring pricing problems of one spread options within a fractional Wick–Itô–Skorohod integral framework. Its underlying assets come from two different interactive markets that are modelled by two mixed fractional Black–Scholes models with Hurst parameters, $H_{1}\neq H_{2}$, where $1/2\leq H_{i}<1$ for $i=1,2$. Pricing formulae of these options with respect to strike price $K=0$ or $K\neq 0$ are given, and their application to the real market is examined.

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Qin, Yemei, Yangyu Zhong, Zhen Lei, Hui Peng, Feng Zhou, and Ping Tan. "A Hybrid Parameter Estimation for Multi-asset Modeling and Dynamic Allocation Based on Financial Market Microstructure Model." International Journal on Artificial Intelligence Tools 29, no. 07n08 (November 30, 2020): 2040007. http://dx.doi.org/10.1142/s0218213020400072.

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In the previous works, a discrete-time microstructure (DTMS) model for financial market was constructed by using identification technology and was successfully applied to dynamic asset allocation based on the identified excess demand. However, the initial value setting of the parameters has a great influence on the estimated results of the DTMS model, which may make the estimated model to describe the dynamic characteristics of the financial time series poor and also affect the investment results indirectly. To overcome the weakness, this paper proposes a global optimization method which combines particle swarm optimization (PSO) and genetic algorithm (GA) to estimate the initial parameters. In the paper, the multi-asset DTMS model is established, and a multi-asset dynamic allocation strategy based on excess demand obtained from the DTMS model is also designed. Furthermore, the paper also discusses the impact of mutual correlation of assets on portfolio. Case studies show that, when a portfolio is composed of several stocks which are weak correlation, its total return of the portfolio is more than the sum of two-asset allocation for each stock; while the correlation between stocks is high, the obtained total return is not better than those of two-asset allocation.

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Rogers, John H., Chiara Scotti, and Jonathan H. Wright. "Evaluating asset-market effects of unconventional monetary policy: a multi-country review." Economic Policy 29, no. 80 (October 2014): 749–99. http://dx.doi.org/10.1111/1468-0327.12042.

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Noda, Rafael Falcão, Roy Martelanc, and Eduardo Kazuo Kayo. "The Earnings/Price Risk Factor in Capital Asset Pricing Models." Revista Contabilidade & Finanças 27, no. 70 (February 13, 2015): 67–79. http://dx.doi.org/10.1590/1808-057x201412060.

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This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models. The earnings/price ratio is used as a proxy for the ex ante cost of equity, in order to explain realized returns of Brazilian companies within the period from 1995 to 2013. The initial finding was that stocks with high (low) earnings/price ratios have higher (lower) risk-adjusted realized returns, already controlled by the capital asset pricing model's beta. The results show that selecting stocks based on high earnings/price ratios has led to significantly higher risk-adjusted returns in the Brazilian market, with average abnormal returns close to 1.3% per month. We design asset pricing models including an earnings/price risk factor, i.e. high earnings minus low earnings, based on the Fama and French three-factor model. We conclude that such a risk factor is significant to explain returns on portfolios, even when controlled by size and market/book ratios. Models including the high earnings minus low earnings risk factor were better to explain stock returns in Brazil when compared to the capital asset pricing model and to the Fama and French three-factor model, having the lowest number of significant intercepts. These findings may be due to the impact of historically high inflation rates, which reduce the information content of book values, thus making the models based on earnings/price ratios better than those based on market/book ratios. Such results are different from those obtained in more developed markets and the superiority of the earnings/price ratio for asset pricing may also exist in other emerging markets.

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Elshqirat, Mohammad K., and Mohammad M. Sharifzadeh. "Testing a Multi-factor Capital Asset Pricing Model in the Jordanian Stock Market." International Business Research 11, no. 9 (August 10, 2018): 13. http://dx.doi.org/10.5539/ibr.v11n9p13.

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A valid and accurate capital asset pricing model (CAPM) may help investors and mutual funds managers in determining expected returns which may lead to increase their profits and community resources. The problem is that the traditional CAPM does not accurately predict the expected rate of return. A more accurate model is needed to help investors in determining the intrinsic price of the financial asset they want to sell or buy. The purpose of this study was to examine the validity of the single-factor CAPM and then develop and test a multifactor CAPM in the Jordanian stock market. The study was informed by the modern portfolio theory and specifically by the single-factor CAPM developed by Sharpe, Lintner, and Mossin. The research questions for the study examined the factors that may explain the variation in the expected rate of return on stocks in the Jordanian stock market and the relationship between the expected rate of return and factors of market return, company size, financial leverage, and operating leverage. A causal-comparative quantitative research design was employed to achieve the purpose of the study by testing the listed companies on the Amman stock exchange (ASE) for the period from 2000 to 2015. Data were collected from the ASE database and analyzed using the multiple regression model and t test. The results revealed that market return, company size, and financial leverage are not predictors of the expected rate of return while operating leverage is a predictor.

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Ponta, Linda, Stefano Pastore, and Silvano Cincotti. "Static and dynamic factors in an information-based multi-asset artificial stock market." Physica A: Statistical Mechanics and its Applications 492 (February 2018): 814–23. http://dx.doi.org/10.1016/j.physa.2017.11.012.

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Danışoğlu, Seza. "Additional tests of multi-index asset pricing models: evidence from an emerging market." Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 46, no. 4 (February 3, 2017): 431–54. http://dx.doi.org/10.1080/02102412.2016.1276313.

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Maitra, Debasish, and Varun Dawar. "Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India." Global Business Review 20, no. 1 (November 21, 2018): 214–37. http://dx.doi.org/10.1177/0972150918803801.

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This article aims to investigate return and volatility spillover among commodity, stock and exchange rate markets. The article further looks into whether there is any change in return and volatility spillover during the crisis and post-crisis periods and whether there is any in the behaviour of spillover changes between agro and non-agro based commodities. The study uses Vector Auto Regression followed along with by Granger causality are to understand the causality of returns. We have performed multivariate volatility model to study the volatility co-movement of different assets. Unidirectional return spillover from the Multi Commodity Exchange (non-agro commodity) to stock indices and exchange rates is found. Stock indices are found to influence exchange rates to return; whereas the only dollar explains the return in stock indices. Equity markets have been found to have a return spillover on NCDEX (agro commodity) during the post-crisis period. However, each asset market is found to have volatility spillover effects on the other asset market. Commodity indices have more spillover effects on stocks.

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Detemple, Jerome, Marcel Rindisbacher, and Scott Robertson. "Dynamic Noisy Rational Expectations Equilibrium With Insider Information." Econometrica 88, no. 6 (2020): 2697–737. http://dx.doi.org/10.3982/ecta17038.

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We study equilibria in multi‐asset and multi‐agent continuous‐time economies with asymmetric information and bounded rational noise traders. We establish the existence of two equilibria. First, a full communication equilibrium where the informed agents' signal is disclosed to the market and static policies are optimal. Second, a partial communication equilibrium where the signal disclosed is affine in the informed and noise traders' signals, and dynamic policies are optimal. Here, information asymmetry creates demand for two public funds, as well as a dark pool where private information trades can be implemented. Markets are endogenously complete and equilibrium returns have a three factor structure with stochastic factors and loadings. Results are valid for constant absolute risk averse investors, general vector diffusions for fundamentals, nonlinear terminal payoffs, and non‐Gaussian noise trading. Asset price dynamics and public information flows are endogenous, and rational expectations equilibria are special cases of the general results.

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Lekander, Jon R. G. M. "Real estate portfolio construction for a multi-asset portfolio." Journal of Property Investment & Finance 33, no. 6 (September 7, 2015): 548–73. http://dx.doi.org/10.1108/jpif-02-2015-0013.

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Purpose – The purpose of this paper is to explore how tenant end demand dependence and investment market segmentation, as estimated through sector type, impacts real estate portfolio strategy in the context of the multi-asset portfolio. Design/methodology/approach – The analysis is performed for six investor domeciles, for domestic and international investments over several cycles. The analysis is performed in a mean variance framework. Findings – The findings are consistent with the hypothesis that an investor benefits from investing in real estate assets where end demand is dependent on local factors rather than global factors. Practical implications – The efficiency of the overall multi-asset portfolio benefits from a deeper understanding of how the real estate portfolio is constructed. Locally dependent real estate, i.e. real estate that is dependent on local economic factors, tends to better support the overall portfolio than do real estate that is dependent upon global factors. Originality/value – The paper contributes to the broader knowledge through extending earlier studies using similar methodology by extending the data series to cover the impact of the latest global financial crises, as well through extending the knowledge how the real estate portfolio should be constructed to better support the overall objectives of the multi-asset portfolio.

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Liow, KimHiang. "Global financial crisis and cyclical co-movements of Asian financial markets." Journal of Property Investment & Finance 34, no. 5 (August 1, 2016): 465–95. http://dx.doi.org/10.1108/jpif-03-2016-0018.

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Purpose – The purpose of this paper is to investigate the cross-spectra of stock, real estate and bond of ten selected Asian economies in the pre- and post-global financial crisis periods to detect whether there is greater cyclical co-movement post-financial crisis, and whether any observed increased co-movement measures the outcomes of contagion or integration. Design/methodology/approach – Co-spectral approach is the proper econometric tool to deliver economic insight for this research. Findings – Results indicate that Asian stock markets, and to a lesser degree, bond and real estate markets are more correlated post-financial crisis. Similarly, Asian financial markets have experienced increased co-movements with the US financial markets post-financial crisis. Moreover, these observed increased co-movements measure the outcomes of contagion in some cases of within-asset and cross-asset classes, as well as for some cross-US-Asian asset factor relationships along the high-frequency components of between two and four weeks. The stock markets are the most contagious, followed by the real estate markets and bond markets. Research limitations/implications – The results provide short-term investors with additional co-movement information at higher frequencies in order to identify short-term fluctuations of different asset classes. The empirical study also underscores the role of Asian real estate in investment portfolios in a mixed real estate, stock and bond context from a frequency domain perspective. Practical implications – The practical implication of this research is that benefits to investors from international diversification may not be as great during the present time compared to previous periods because financial/asset market movements have become more correlated. However, it does not imply the complete absence of diversification benefits. This is because although cyclical correlations increase in the short run, many of the values are still between low and moderate range, indicating that some diversification benefits may still be realized. Originality/value – In advancing the body of knowledge in international financial markets, this research is probably the first study to consider a multi-asset class portfolio context that includes stock, real estate and bond across the ten Asian economies and the USA in a single study. The frequency domain analysis conducted in this paper adds to the understanding of real estate, stock and bond market co-movement, integration and contagion dynamics, as well as the Asian cross-asset factor and US-Asian asset factor relationships in global mixed-investing environment.

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Yang, Haijun, Harry Jiannan Wang, Gui Ping Sun, and Li Wang. "A comparison of U.S and Chinese financial market microstructure: heterogeneous agent-based multi-asset artificial stock markets approach." Journal of Evolutionary Economics 25, no. 5 (September 12, 2015): 901–24. http://dx.doi.org/10.1007/s00191-015-0424-6.

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TENG, LONG, MATTHIAS EHRHARDT, and MICHAEL GÜNTHER. "QUANTO PRICING IN STOCHASTIC CORRELATION MODELS." International Journal of Theoretical and Applied Finance 21, no. 05 (August 2018): 1850038. http://dx.doi.org/10.1142/s0219024918500383.

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Correlation plays an important role in pricing multi-asset options. In this work we incorporate stochastic correlation into pricing quanto options which is one special and important type of multi-asset option. Motivated by the market observations that the correlations between financial quantities behave like a stochastic process, instead of using a constant correlation, we allow the asset price process and the exchange rate process to be stochastically correlated with a parameter which is driven either by an Ornstein–Uhlenbeck process or a bounded Jacobi process. We derive an exact quanto option pricing formula in the stochastic correlation model of the Ornstein–Uhlenbeck process and a highly accurate approximated pricing formula in the stochastic correlation model of the bounded Jacobi process, where correlation risk has been hedged. The comparison between prices using our pricing formula and the Monte-Carlo method are provided.

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BISWAS, SUBHOJIT, SAIF JAWAID, and DIGANTA MUKHERJEE. "MULTI-ASSET PORTFOLIO OPTIMIZATION WITH STOCHASTIC SHARPE RATIO UNDER DRAWDOWN CONSTRAINT." Annals of Financial Economics 15, no. 01 (March 2020): 2080001. http://dx.doi.org/10.1142/s2010495220800019.

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We consider an investor who seeks to maximize his expected utility of the portfolio, consisting of multiple risky assets and one risk-free asset, derived from the terminal wealth relative to the maximum wealth achieved over a fixed time horizon. This is achieved under a portfolio draw down constraint, in a market with local stochastic volatility. In empirical application, considering two risky assets, the assets have been identified with the help of pairs trading. In the absence of closed form solution of the value function and the optimal strategy, we obtain the approximates of these quantities using coefficient series expansion techniques and finite difference schemes. We utilize the risk tolerance factor function to ease our approximations of this value functions and the strategies. All the parameters were estimated from the triplets and used to illustrate and compare the stochastic volatility with the constant volatility situation, and how an investor can deploy different portfolio plans.

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Chen, Jieting, and Yuichiro Kawaguchi. "Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market." International Journal of Financial Studies 6, no. 2 (May 20, 2018): 54. http://dx.doi.org/10.3390/ijfs6020054.

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Wallmeier, Martin, and Martin Diethelm. "Market Pricing of Exotic Structured Products:The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland." Journal of Derivatives 17, no. 2 (November 30, 2009): 59–72. http://dx.doi.org/10.3905/jod.2009.17.2.059.

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Tavin, Bertrand. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals." Journal of Banking & Finance 53 (April 2015): 158–78. http://dx.doi.org/10.1016/j.jbankfin.2014.12.023.

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Jaiswal, Avantika, and Ruchi Arora. "IMPACT OF COVID19 IN INDIAN STOCK MARKET WITH FOCUS ON BANKING SECTOR." International Journal of Engineering Technology and Management Sciences 4, no. 4 (July 28, 2020): 46–56. http://dx.doi.org/10.46647/ijetms.2020.v04i04.008.

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Covid-19 related lockdowns are forced over and whole country is affected and all the sector. Financial markets have been confronting high unpredictability because of this virus. Monetary foundations have begun experiencing liquidity imperatives. The performance in India of the banking sector is most likely linked to the economy rather than any other sector. The banking sector which is already reeling under a multi decade low credit growth will be hit by fresh asset quality woes as loan collections will be hit as both large and small companies come to terms. The development of the Indian economy is eased to have slowed down significantly. The covid19 have affected the banking sectors' performance in India resulting that the market is going down. Here researcher's objective is to study the impact of covid19 on Indian stock market on banking sector.

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Shaikh, Salman Ahmed, Mohd Adib Ismail, Abdul Ghafar Ismail, Shahida Shahimi, and Muhammad Hakimi Mohd. Shafiai. "Cross section of stock returns on Shari’ah-compliant stocks: evidence from Pakistan." International Journal of Islamic and Middle Eastern Finance and Management 12, no. 2 (April 30, 2019): 282–302. http://dx.doi.org/10.1108/imefm-04-2017-0100.

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Purpose This paper aims to study the cross section of expected returns on Shari’ah-compliant stocks in Pakistan by using single- and multi-factor asset pricing models. Design/methodology/approach To estimate cross section of expected returns of Shari’ah-compliant stocks, the study uses capital asset pricing model (CAPM), Fama-French three-factor model and Fama-French five-factor model. Data for the period 2001-2015 on 217 companies are used. For the market portfolio, PSX-100 and Dow Jones Islamic Index for Pakistan are used. Findings The study could not find empirical support for CAPM using Lintner (1965), Black et al. (1972) and Fama and Macbeth (1973) approach. Nonetheless, the relation between beta and returns is positive in up-market and negative in down-market. The results of Fama-French three-factor and five-factor models suggest that size premium is positive and significant for explaining the cross section of stock returns of small size stocks, whereas value premium is positive and significant for explaining the cross section of returns of high value stocks. Practical implications The results suggest that fund managers can use Shari’ah-compliant stocks for portfolio diversification and for offering specialized investments given the positive market excess returns and the existence of size and value premium on Shari’ah-compliant stocks. Originality/value This is the first study on Fama-French (2015) five-factor model for Islamic capital markets in Pakistan.

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Basu, Debarati, and Deepak Chawla. "An Empirical Test of the Arbitrage Pricing Theory—The Case of Indian Stock Market." Global Business Review 13, no. 3 (October 2012): 421–32. http://dx.doi.org/10.1177/097215091201300305.

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With increasing doubt about the validity of the one-factor Capital Asset Pricing Model in pricing financial assets, development of newer models or extensions has become the order of the day. This paper applies one of these developments—the multi-factor Arbitrage Pricing Theory (APT) to explore the relationship between portfolio returns and selected macroeconomic variables. While the chosen model has been extensively tested in developed markets, few such attempts have been made in emerging capital markets. Thus, the purpose of this study is to test the validity of the APT model in India, which has, over the years, gained immense importance in the investors’ minds, the world over. Moreover, the surge in volatility and growth in the Indian capital markets over the past five years makes it an interesting market to study given the rising significance of the risk-return trade-off in such a market. The paper examines ten portfolios, covering 50 stocks, over a five-year period from 1 January 2003 to 1 February 2008 to verify the efficiency and efficacy of the model and finds that APT is a suitable descriptor of asset prices in the Indian context. To overcome the problem of multicollinearity among the macroeconomic explanatory variables, a factor analysis was carried out that resulted in two factors namely the inflation factor and the market index. The excess portfolio returns were regressed on these factors. The regression results display accurate relationships that are significant for each of the 10 portfolios and moderate to high explanatory power. Thus, it concludes that APT is a good fit in India over the chosen sample period.

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Arcuri, Maria Cristina. "Italian asset management companies: Products and governance." Corporate Ownership and Control 10, no. 2 (2013): 20–27. http://dx.doi.org/10.22495/cocv10i2art2.

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The importance of the asset management sector has prompted many studies to highlight the need to promote its growth and development. This is even more so following the recent financial crisis, considered by many authors the most severe recession after World War II. Contributions existing in literature have emphasized the importance of investigating the corporate governance system of the Asset Management Companies (AMCs), considering that the Italian financial system is characterized by a "vertical integration" between production and distribution. In particular, the purpose of our research is to establish whether the products offered by Italian AMCs affect their governance structure. We use a statistical multi – equation method called Seemingly Unrelated Regression (SUR) and analyze the period 2006-2010. Results show that mutual fund categories offered by Italian AMCs are very important because they may affect their corporate governance system and, therefore, the Italian asset management market.

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Stöckl, Sebastian, Michael Hanke, and Martin Angerer. "PRIX – A risk index for global private investors." Journal of Risk Finance 18, no. 2 (March 20, 2017): 214–31. http://dx.doi.org/10.1108/jrf-09-2016-0118.

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Purpose The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor. Design/methodology/approach The authors first discuss existing risk measures and desirable properties of a risk index. Then, they construct a universal (asset-class-independent) portfolio risk measure by modifying Financial Turbulence of Kritzman and Li (2010). Finally, the average portfolio of a representative global private investor is determined, and, by applying the new portfolio risk measure, they derive the Private investor Risk IndeX. Findings The authors show that this index exhibits commonly expected properties of risk indices, such as proper reaction to well-known historical market events, persistence in time and forecasting power for both risk and returns to risk. Practical implications A dynamic asset allocation example illustrates one potential practical application for global private investors. Originality/value As of now, a risk index reflecting the overall risk of a typical multi-asset-class portfolio of global private investors does not seem to exist.

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Lawson, Daniel T., and Robert L. Schwartz. "Do Hedge Funds Arbitrage on Asset Growth, Earnings Momentum and Equity Financing Anomalies?" International Journal of Economics and Finance 10, no. 9 (August 12, 2018): 38. http://dx.doi.org/10.5539/ijef.v10n9p38.

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This paper analyzes the risk-adjusted performance of hedge funds and their overall ability to arbitrage on known market anomalies. This is done by testing three anomaly factors capturing total asset growth, equity financing, and earnings momentum in addition to the traditional Fama and French (1993) and Carhart (1997) four-factor model and Fung and Hsieh (2001) risk factors. Our results suggest that the average hedge fund employs a strategy consistent with the total asset growth and earnings momentum anomalies but contradictory to the equity financing anomaly of Hirshleifer and Jiang (2007). Multi-factor alpha generation does seem to persist over longer periods of time which suggests the use of other untested, return-generating arbitrage methods.

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Muñoz-Porcar, Antonio, Mª Jesús Alonso-Nuez, Mónica Flores-García, and Daniel Duret-Solanas. "The renewal of assets using a tool to aid decision making." Management Decision 53, no. 7 (August 17, 2015): 1412–29. http://dx.doi.org/10.1108/md-11-2014-0633.

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Purpose – The purpose of this paper is the application of a tool to assist the multi-criteria decision-making process for selecting an asset for a company in the metallurgical industry which manufactures metal parts for diverse industries. Design/methodology/approach – This investment, complex due to the commitment of resources it requires, has been made with the assistance of decision-making methodologies, specifically versions I and IV of the ELECTRE method. Findings – This model of multi-criteria decision making has been chosen over other models because it offers the possibility of including technical and economic decisions so they can be analyzed simultaneously, therefore the decision is not based solely on financial aspects. Many companies base their decisions exclusively on financial returns, however in this case it is also appropriate to include the technical parameters, since the asset being replaced is the most important asset of the company. Originality/value – Applying version I of the methodology, the optimal technical configuration of the asset will be analyzed based on the features requirements, all of which are among options available in the market. Once a subset of technically and economically viable alternatives has been defined, version IV will be applied and a ranking of the alternatives from the best to the worst will be obtained and, based on this ranking, the final decision will be made.

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Chaudhury, Rahul, and Sahidul Islam. "A Multi-Objective Risk Return Trade off Models for Banks: Fuzzy Programming Approach." Mathematical Modelling of Engineering Problems 8, no. 2 (April 28, 2021): 179–88. http://dx.doi.org/10.18280/mmep.080203.

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The main focus of banking sector is on the risk management. Asset liability management (ALM) is one of the key processes to manage the risks. The objective of this paper is to develop a multi-objective asset liability optimization model for banks with the maximization of market value of equity and minimization of duration gap as the objective function. Several liquidity ratios, concept of duration and convexity are considered to manage the risk properly. Interest rate risk and liquidity risk are two major considerations in both the regulation and management of a bank. As we know that, with the fluctuation of the market interest rate, the market value of assets and liabilities of a bank changes and that affects a change in owner’s equity. In order to overcome such type of situation here we will use the concept of duration and convexity to manage the interest rate risk. In case of liquidity risk the shortage of liquidity may also put that bank in risk and simultaneously it is very crucial to manage the cash flow properly. So here we will use some major liquidity ratios to manage the liquidity risk. We will take the help of fuzzy programming technique to solve our model properly. A numerical example is given to illustrate our model by considering a hypothetical bank balance sheet. Also we will compare the result obtained by fuzzy technique with result obtained by a non fuzzy based technique.

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HALPERIN, IGOR, and ANDREY ITKIN. "PRICING ILLIQUID OPTIONS WITH N + 1 LIQUID PROXIES USING MIXED DYNAMIC-STATIC HEDGING." International Journal of Theoretical and Applied Finance 16, no. 07 (November 2013): 1350033. http://dx.doi.org/10.1142/s0219024913500337.

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We study the problem of the optimal pricing and hedging of a European option written on an illiquid asset Z using a set of proxies: a liquid asset S, and N liquid European options Pi, each written on a liquid asset Yi, i = 1, N. We assume that the S-hedge is dynamic while the multi-name Y-hedge is static. Using the indifference pricing approach with an exponential utility, we derive an HJB equation for the value function, and build an efficient numerical algorithm. The latter is based on several changes of variables, a splitting scheme, and a set of fast Gauss Transforms (FGT), and turns out to be more efficient in terms of complexity and lower local space error than a finite-difference method. While in this paper we apply our framework to an incomplete market version of the credit-equity Merton model, the same approach can be used for other asset classes (equities, commodities, foreign exchange, and so on), for example, for pricing and hedging options with illiquid strikes or illiquid exotic options.

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Clare, Andrew, Meadhbh Brid Sherman, and Steve Thomas. "Multi-asset class mutual funds: Can they time the market? Evidence from the US, UK and Canada." Research in International Business and Finance 36 (January 2016): 212–21. http://dx.doi.org/10.1016/j.ribaf.2015.09.011.

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Journal articles on the topic 'Multi-asset market'

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