Skip to content
Log in
Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition Amazon

Similar papers

Open access 2026

Post-Covid Dynamics: An Empirical Analysis of Correlation Between Gold Prices and Indian Stock Market Indices

The COVID-19 pandemic has greatly influenced international commerce, including the stock market in India as well as commodity markets such as gold. Although gold has always been considered a safe-haven option during uncertain times, investors have faced both advantages and challenges with gold during the Covid period. In this paper, we study the interaction between the price of gold and the performance of benchmark indices in the Indian stock market post COVID-19 using empirical methods. Econometric tools such as ADF for testing stationarity, correlation, and Granger causality tests are employed on time series data from 2020 to 2024 for analyzing the relationship between gold and the key index Nifty 50. The results show a complicated relationship between gold prices and Nifty 50 returns post COVID-19. Gold price relations with stock indices have clearly changed due to government actions, inflationary trends, and changes in investors' psychology, while gold continues to be a safe-haven asset during periods of uncertainty in the market. The study also obtains additional information regarding how such macroeconomic variables as interest rates, inflation, and world commodity prices can affect this situation. This study adds to the body of literature available relating to the reactions of financial markets during international crises while providing empirical evidence related to India specifically. This also helps investors and legislators and financial analysts overcome the complexities of the finance field after the COVID pandemic crisis.

D. N. K. Agrawal, Ms. Shreya Singh, Deviprasad Goenka · 0 citations
Open access Aug 2026

Costs, Growth and Performance Persistence in Hungarian Equity Mutual Funds: A Quantile Panel Analysis

The value-creation capacity of active asset management remains one of the most debated issues within modern portfolio theory. While the relationship between costs and performance is typically negative in developed markets, in smaller and less liquid markets—where information asymmetry is more pronounced—higher fees may also be interpreted as signals of managerial ability. This study investigates this apparent contradiction in the context of the Hungarian equity mutual fund market, using a panel dataset covering 79 funds over the period 2017–2024, with a particular focus on identifying non-linear effects among performance determinants. The methodological framework combines fixed-effects panel regression with Driscoll-Kraay robust standard errors, complemented by quantile regression estimates to examine different segments of the return and alpha distributions. The results indicate that growth dynamics (NAV_change) and cumulative historical performance (Yield_from_start) consistently enhance fund performance, while the negative effect of past returns suggests the dominance of mean reversion. The impact of the total expense ratio (TER) proves to be non-linear and specification-dependent—a finding con-firmed by an extensive battery of robustness checks—thereby rejecting the cost-signalling hypothesis with respect to risk-adjusted excess returns (Jensen’s alpha). Quantile estimates further reveal that the effects of economies of scale and cost structure differ significantly between underperforming and top-performing funds, confirming that analyses based on average effects obscure the heterogeneity of market dynamics. By jointly modelling returns and risk-adjusted performance across the full conditional distribution, the study contributes a distribution-sensitive theoretical account of active management’s limitations in a small, less liquid market, showing that these limitations are conditional on fund size and cost structure rather than uniform across the fund population.

László Vancsura, Tibor Tatay, Tivadar Zakár et al. · 0 citations
Open access Jul 2026

Hedges and safe havens: an examination of gold and African equity markets

Using a quantile-on-quantile regression (QQR) methodology, the study investigates the relationship between gold prices and selected African equity markets under various conditions. It tries to find out if the short-, medium-, and long-term links between gold and stock returns change with frequency and are uneven across quantiles. The research also wants to give useful advice for lowering risk and portfolio diversification. The study looks at how the link between gold and stock returns has changed over time and whether it is the same for important markets in South Africa, Egypt, Morocco, and Tunisia. Using daily data from January 2015 to June 2025, the research deconstructs stock and gold return series into intrinsic mode functions (IMFs) that reflect distinct temporal patterns. By integrating quantile regression analysis, QQR, and ensemble empirical mode decomposition, the research discovers nonlinear, tail-dependent interactions. The findings indicate that gold serves as both a hedge and safe haven in Egypt and Tunisia over short-term horizons, but not in Morocco and South Africa. Over medium-term horizons, gold demonstrates hedging and safe haven properties exclusively in Tunisia, while exhibiting positive associations with equities in Egypt, Morocco, and South Africa. Across long-term horizons, gold consistently shows positive correlations with equities in all four markets, precluding its hedging effectiveness. The results underscore the necessity for market-specific and horizon-sensitive investment strategies in resource-dependent African economies, with particular attention to the Johannesburg Stock Exchange (JSE), whose unique position as Africa’s most developed capital market warrants dedicated portfolio risk management strategies.

K. Frimpong, Frimpong Siaw · 0 citations
Open access Aug 2026

Capital Asset Pricing Model (CAPM) and Indian Stock Market: A Study of Relationship between Systematic Risk and Expected Returns

This paper looks at the suitability of CAPM in Indian stock market by evaluating relationship between systematic risk and anticipated returns of the chosen stocks that are listed on Bombay Stock Exchange (BSE). Study uses a sample of leading 30 companies in the index of BSE Sensex among 2019-2025 to analyze the association between beta, expected returns, and market risk premium. There is, however, also evidence that there are anomalies, including the effects of size and value that undermine the assumptions of the model. The findings are relevant to the risk-return relationship in the emerging markets, such as India, and give investors, portfolio managers and policy makers’ information to evaluate equity investments. The study concludes that CAPM holds moderately well in explaining stock returns, with a significant positive relationship between beta and expected return.

Jivesh Nandan, Srijan Anant, Sumit Kumar Singh et al. · 0 citations
Open access 2026

Improved Model of Capital Assets Pricing on Basis of Disorder Principals

This study examines and develops an enhanced Capital Asset Pricing Model (CAPM) based on anomaly factors. The proposed model aims to analyze the relationship between financial risk and the expected rate of return on assets in the capital market. The research is applied and quantitative in nature, adopting a correlational and ex post facto approach.The statistical population consists of all companies listed on the Tehran Stock Exchange. Using a systematic elimination method, 144 firms were selected as the statistical sample over the period 2012–2022 (1391–1401 in the Iranian calendar). The data are panel (pooled) data, and the F-Limer (Chow) test and Hausman test were employed to determine the appropriate estimation method. The models were estimated using the Ordinary Least Squares (OLS) method. The results indicate that the traditional CAPM and the Fama–French model have limited explanatory power in explaining variations in excess stock returns. In contrast, the current ratio and cash flow were identified as influential factors that enhance the predictive capability of the model. Portfolio formation results show that a strategy of buying winner portfolios and selling loser portfolios based on cash flow and momentum criteria led to negative excess returns, whereas portfolios formed on the basis of the current ratio and cash balance generated positive and statistically significant returns. These portfolios also increased the adjusted coefficient of determination and improved the explanatory power of the models. The findings suggest that the enhanced CAPM can be employed without losing key information relative to the Fama–French model, while providing improved explanatory and predictive performance.

Seyed Saeid Sefidgaran, Mohamad Ali Aghaie, Meysam Arabzadeh et al. · 0 citations
Open access Aug 2026

Dissecting Anomalies in Conditional Asset Pricing

This paper introduces a novel methodology for analyzing anomalies in conditional asset pricing models with time-varying risk exposures and premia. Our approach extends the conventional two-pass methodology to include both ordinary and weighted least-squares estimation in a conditional setting. We establish closed-form standard errors to statistically dissect anomalies, including a version robust to global misspecification. We introduce a novel R 2 criterion to quantify the joint contribution of large anomaly sets in explaining cross-sectional stock return variations. Our analysis highlights the significant impact of anomalies during economic and financial crises, linking them closely with market conditions. This paper was accepted by Kay Giesecke, finance. Funding: This project has received funding from the postdoctoral fellowships programme Beatriu de Pinos, funded by the Secretary of Universities and Research (Government of Catalonia) and by the Horizon 2020 programme of research and innovation of the European Union under the [Marie Sktodowska-Curie Grant Agreement 801370]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.06968 .

Valentina Raponi, P. Zaffaroni · 0 citations