Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 21 for “"MSCI"”.
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MSCI Rebalances - Emerging Market (EM) Index
… effect of shares included and deleted from the MSCI Emerging Market Index (EM) between 2016 and 2020, during quarterly (QIR) and semi-annual index (SAIR) reviews. The analysis finds that when a share is included in MSCI Emerging Market Index, its price increases slightly following the …
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Rendimiento del mercado accionario, inflación y tasa de cambio : el caso del MSCI COLCAP
Las economías emergentes, como la colombiana, son especialmente vulnerables a los choques económicos externos. Este estudio analiza la relación del mercado accionario colombiano con la Tasa Representativa del Mercado (TRM) y la inflación. El análisis se realizó mediante un modelo VAR-X con datos …
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Collateral effects of securities enforcement in emerging financial markets: Evidence from MSCI-LATAM countries
… violations in the five countries that form the MSCI-EC-LATAM index (Morgan Stanley Capital International Emerging Markets Index – Latin America). The results indicate that the stock price and operating performance of firms whose insiders were sanctioned for insider trading decline significantly …
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Caso de estudio: Bitcoin como activo refugio para los mercados de valores de Perú y Chile durante el inicio de la pandemia del COVID-19
… in two portfolios, one containing the iShares MSCI Peru ETF and the other with the iShares MSCI Chile ETF, has an insignificant impact on returns, risk and expected loss of the portfolio for the period under study.
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Islamic finance: a low risk, value-adding alternative
… the equity asset class, on the global side, the MSCI World Index was compared to the Dow Jones Islamic Index, within the United States the S&P 500 Index was compared to the S&P Shariah Index and for South Africa the FSTE All Share Index was compared to the FTSE Shariah All Share Index. Within the …
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Application of Regime Switching and Random Matrix Theory for Portfolio Optimization
… sensitive portfolios have been analysed with the MSCI AC Index (for Emerging and Asia Pacific Markets) being taken as the benchmark index. Portfolio performance has been studied using a dynamic end of month rebalancing of the portfolio on the basis of regime indicators given by market index and …
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A Comparative Analysis of Corporate Social Responsibility in Commerical Banks: Case Studies from the United States and the United Kingdom
… commercial banks. It examines CSR as measured by MSCI ESG (environmental, social and governance) Global Socrates ratings across five categories of ESG (environment, employee & supply chain, customers, corporate governance & ethics, and community & society) in six commercial banks. The study …
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The Evaluation of Domestic Socially Responsible Investment Equity Funds Performance in Australia
… indices (the ASX 100, ASX 200, ASX 300, MSCI Australian and All Ordinaries market return indices). The results document that the SRIFs also outperform the conventional benchmarks, while the magnitude of abnormal return is slightly lower than that from the sustainability index.
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Applications of machine learning in finance: analysis of international portfolio flows using regime-switching models
… two benchmarks, a buy & hold strategy and the MSCI World Index in walk-forward out-of-sample tests using daily and weekly data.
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Les facteurs ESG : modèles d'évaluation des actifs financiers incluant des facteurs de risque extra-financiers
… construit à l’aide de la banque de données MSCI-IVA et CRSP, dans les modèles d’évaluation des actifs financiers afin d’apprécier leur contribution à la performance de ces dernières dans l’explication des rendements sur la période de 2005 à 2020 aux États-Unis. Deux types de modèles ont été …
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Financial integration of stock markets in the Gulf Cooperation Council countries
… the Morgan Stanley Capital International Index (MSCI) reflected all major stock markets on a global basis. Weekly country equity market indices were collected for the period from August 1998 to August 2003. Evidence of cointegration was found for some pairs of the GCC stock markets during the …
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The Performance of Real Estate Investment Strategy Across Multiple Cycles: A Comparison of Core and Non-Core Strategies Based on A New Dataset and Industry Interviews
… landscape. Using a new source of data from the MSCI Property Index and NCREIF Research database, the study analyzes historic performance trends across strategies since 2000, identifying a strong correlation between market fundamentals and private real estate returns. The analysis highlights the …
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A time-series and cross-sectional momentum strategy: Dual momentum applied from a South African perspective
… includes two indexes which stay constant, the MSCI ACWI index for offshore exposure and the STeFI index which serves as an alternative proxy investment and acts as a safe haven during economic downturn. In addition, this study investigates two variations of the core strategy which include …
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King Code's CSI Compliance and ESG Performance: Evidence from the JSE in South Africa
… demonstrate enhanced ESG outcomes. The MSCI ESG Leaders Index South Africa constituents between 2016 and 2021 are used for this analysis. The descriptive statistics highlight substantial differences between financial and non-financial companies in terms of their ESG score (ESGSCORE), …
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Separation of precious metal beta from a JSE multivariate model with macroeconomic variables
… price index, ZARUSD exchange rate, crude oil, MSCI ACWI and precious metals statistically significant.
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Esx1 Dosage Impacts Reproductive Fitness: Effects On Viability and Fertility
… (imprinted paternal inactivation in placenta and MSCI in testicular germ cells). When the X-chromosome is duplicated or improperly inactivated, defects in placentation, growth and spermatogenesis are noted, suggesting tight control of X-chromosome gene dosage is important for reproduction. Esx1 is …
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Analysis of non-synchronous trading effects on the pricing of Exchange Traded Products: an empirical analysis of the effects on ETP price volatility that result when the ETP instrument is listed on an exchange that is in a different time zone to that of the underlying securities basket
… ETP instruments reviewed comprise of the iShares MSCI Country Series and are all listed on the New York Stock Exchange (NYSE). The ETPs are classified into three groups depending on the degree of overlap between the exchange operating times on which their underlying securities are traded and the …
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What drives private equity performance in emerging markets? An African perspective
… if an equivalent investment had been made in the MSCI Emerging Market Index. The findings indicate that, on a gross of fees basis, a dollar invested in private equity in Africa has, on average (median), returned 78% (37%) more than a dollar invested in the MSCI Emerging Market Index over the …
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Three Essays on Firm Value and Firm Risk and their Relation to IT-Exposure, Corporate Social Responsibility, and Religiosity
… is based on CSR scores from Refinitiv and MSCI, using up to 12,013 firm-year observations over the period 2002 to 2019 for all U.S. companies listed on NYSE, NASDAQ, and AMEX. UQR reveals strongly heterogeneous effects along the unconditional quantiles of the dependent variables, which are …
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The Relationship Between Capital Inflow Surges and Stock Price Booms in Emerging Countries
… the strength of these links for a sample of 21 MSCI emerging market economies between 1990 and 2018. I find that the relationship is much weaker than is frequently assumed. Of course, stock market booms are likely to contribute to capital inflows as well as the inflows contribute to booms, but …
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