ABSTRACT
This paper is a logical outgrowth of empirical work in a Securities Analysis and Portfolio Management course at Houghton University between the start of January 2022 and end of April 2022. Remarkably, the exposure of global financial markets to two unmistakable events (shocks), the COVID-19 pandemic and the Russo-Ukrainian war (February 24, 2022)—sources of systematic risk—coincided with our empirical inquiry. The dual shocks, which exacerbated negative investment prospects for multiple product and financial sectors, heightened the uncertainty of profitable returns from investments in financial markets. The performance of eight publicly traded companies in the US and composite indices—the Dow Jones Industrial Average (DJIA) and the S& P 500—were tracked on a daily basis from January 10, 2022 to April 29, 2022, generating a total of 77 observations. Using the superior performance of a moving average model and the Holt-Winters algorithm, we found that profitable investment prospects existed during the period of systematic risk. We conclude that technical analysis provided time sensitive information for leveraged financial investments during turbulent periods of systematic risk. © 2023 Asociacion Euro-Americana de Estudios del Desarrollo. All rights reserved.
ABSTRACT
A growing number of investors in recent years has focused on environmental, social and governance (ESG) factors in carrying out investment activities and the COVID-19 pandemic has only driven such trends of ESG investing at an accelerated rate. Many studies have examined the relationship between ESG scores and corporate financial performance, along with the effectiveness of ESG portfolios. This paper discusses various approaches to incorporate ESG factors into a portfolio optimisation and critically compares and contrasts the efficacy of these approaches on the Dow Jones Industrial Average constituents. It finds that thematic investing appears to be the best performer. In addition, it is also found that there is no evidence that ESG portfolios underperform the market. © Henry Stewart Publications 1752-8887 (2023).
ABSTRACT
This paper analyzes the correlation between bitcoin, oil price fluctuations and the DOW Jones Industrial Index in the time-frequency framework. Coherent wavelet method applied to recent daily data in the United States (1863 in total). Our research has several implications and supports for policy makers and asset managers. We find that oil prices lead the U.S. market at both low and high frequencies throughout the observation period. This result suggests that sanctions against Russia by a number of countries, including the U.S., are influencing oil prices, while oil remains a major source of systemic risk to the U.S. economy and economic uncertainty between the international level is exacerbated by tensions between Russia and Ukraine. © COPYRIGHT SPIE.
ABSTRACT
The rapid spread of coronavirus (COVID-19) significantly destabilized the global financial and economic conditions, prompting investors to seek safer investments for their portfolios. This study examines the contagion effect and dynamic relationship between DJI, DJIM, gold, silver, oil, bitcoin, ethereum and cryptocurrency index using data obtained before (18 June 2019–29 January 2020), during the first phase (30 January – 11 September 2020) and after the first phase of COVID-19 pandemic (12th September 2020 - 3rd January 2022). We employed three main methodologies: MGARCH-DCC, MODWT and Wavelet Coherence analysis, to investigate the safe haven property of major investable assets during the pandemic. The findings revealed that gold offers a safe trading opportunity due to its lower volatility and correlation across the different stock market investment horizons (with a few exceptions), contrary to other assets, which exhibits high volatility and correlation. The phase pattern demonstrated the existence of a dynamic asymmetric relationship between the studied investable assets and stock market returns. Furthermore, the study also found that the dynamic lead-lag relationship of investable assets with the stock market returns varies depending on the investment horizons before and during the pandemic. © 2023 Elsevier Inc.