J. Risk Financial Manag., Volume 16, Issue 7 (July 2023) – 43 articles

In this paper, we mainly study the impact of the implied certainty equivalent rate on investment in financial markets. First, we derived the mathematical expression of the implied certainty equivalent rate by using put-call parity, and then we selected some company stocks and options; we considered the best-performing and worst-performing company stocks and options from the beginning of 2023 to the present for empirical research. By visualizing the relationship between the time to maturity, moneyness, and implied certainty equivalent rate of these options, we have obtained a universal conclusion—a positive implied certainty equivalent rate is more suitable for investment than a negative implied certainty equivalent rate, but for a positive implied certainty equivalent rate, a larger value also means a higher investment risk. Next, we applied these results to the electric vehicle industry, and by comparing several well-known US electric vehicle production companies, we further strengthened our conclusions. Finally, we give a warning concerning risk, that is, investment in the financial market should not focus solely on the implied certainty equivalent rate, because investment is not an easy task, and many factors need to be considered, including some factors that are difficult to predict with models. Full article

We examine the relationship between board gender diversity and human capital efficiency and further consider the moderating role of workforce environment quality from the perspectives of profit-making and loss-making firms. Using a sample of 2700 firm-year observations from listed Australian firms for the period 2008–2019, we found a positive relationship between the presence of females on boards and human capital efficiency which was more pronounced for loss-making firms as against profit-making firms. Additionally, the relationship between gender diversity and human capital efficiency was moderated by the quality of workforce environment with the moderating effect being more pronounced for loss-making firms as compared to profit-making firms. Board gender diversity plays a substitutive role in the management of human capital efficiency for loss-making firms where investment in human capital development is limited. Full article

The main problem this article addresses is that women are more vulnerable than men in economic terms. The aim of this research is to identify the differences in the destination of savings according to gender and its implications related to their economic rights. Chi-Square tests were performed to test for the existence of statistically significant differences in the destination of men’s and women’s savings, based on the National Survey on the Destination of Savings in Mexico (ENIF). The hypothesis to be tested is that there is a gender difference in the way in which the destination of savings is allocated. As a result, it is possible to see that women focus their savings on issues related to health and education at home, in contrast to men, who tend to protect their own economic future by focusing their savings on remodeling or buying real estate or starting or expanding a business. In this sense, the hypothesis is partially verified in 4 of the 8 savings destinations. This article is motivated by the desire to identify this possible economic gap between genders, considering that it is an issue that affects the economic and personal future of women. Full article

Purpose: This paper aims to investigate the impact of the three lines of defense (TLOD) in strengthening corporate governance in industrial companies in the Sultanate of Oman. Methodology: A questionnaire was used to collect data from industrial companies in the Sultanate of Oman. A total of 300 questionnaires were distributed; for the 159 valid questionnaires used for analysis, PLS-SEM was used in the data analysis. Results: The results showed a significant impact of the three variables (commitment of operational management to legal, regulatory, and ethical requirements; risk management, compliance, and quality functions; and the role of assertive internal auditing according to the third line of defense model) in strengthening corporate governance. Practical implications: The study indicates that the TLOD model plays a more decisive role in determining the strengthening of corporate governance, and therefore, the results of the study can help industrial companies to understand the role of the TLOD model in strengthening control procedures, risk management, and governance. Originality/value: The study constitutes a management strategy that assists organizations in diagnosing the degree of corporate compliance with the TLOD and identifying weaknesses in their procedures. Full article

Firms’ financial distress (FD) is a major issue for smooth business activities. Timely recognition of FD should be a prime concern; otherwise, it may cause a nasty bankruptcy situation. The FD issue is paramount to researchers, policymakers, and investors. Several factors, whether they are financial or non-financial, may be responsible for financial distress. Such aspects specific to the firms have been explored. Exogenous factors such as competition can also be responsible for a firm’s FD situation. In view of this, this study proposes to determine competition’s impact on financial distress in the Indian context. BSE 100 (“Bombay Stock Exchange”)-listed non-financial firms (NFFs) in India, over a timeframe of 2016–2020, are incorporated in this study. Panel data econometrics is performed for hypothesis testing. This study is novel in its approach, employing multi-technique analysis for measuring financial distress. FD is measured using Altman Z-scores, BOS, and AC distress scores variants. The Boone index (BI) and Lerner index (LI) are undertaken for the competition assessment of NFFs in India. The findings have contrasting views based on BI and LI; BI is positively connected to Z-scores; however, LI negatively connects to Z-scores. The findings suggest that competition (reverse of BI) positively affects financial distress (reverse of Z-score), while competition (reverse of LI) has an adverse effect on FD. It is also found that competition as BI affects FD non-linearly (inverted U shape connection). This means that competition (or market power) initially increases financial distress (or financial stability), and after a specific limit, it reduces financial distress. It can also be said that market power improves financial soundness to a specific limit, and after that, it starts decreasing financial stability. The study’s findings provide fresh and exciting evidence for the connectivity of competition and financial distress. This situation has noticeable implications for all stakeholders and policymakers concerned with the survival of Indian listed firms. The significant connection of competition with financial distress implies that all stakeholders should consider competition an essential element for a firm’s financial distress. Full article

This assessment of the financial performance of PJSC Gazprom was carried out within the framework of modern theories of the cost of capital and capital structure: the Brusov–Filatova–Orekhova (BFO) theory and the Modigliani–Miller (MM) theory. Various methods for estimating the main parameter of both theories (BFO and MM), k0, the cost of equity, and WACC at zero leverage are discussed and applied. The analysis is based on data from official financial statements of PJSC Gazprom for the period from 2018 to 2022. Using the calculated values of k0, the main financial indicators were estimated, such as the cost of raising capital, the value of the company, and the cost of equity. The dependences of k0, $k_0^{*}$, WACC(L), V(L), and ke(L) of PJSC Gazprom on leverage level, L, for 2018–2022 were investigated. The results obtained are of forecast value, allowing a forecast of the values of financial indicators based on the particular capital structure of PJSC Gazprom. Full article

A new econometric methodology based on deep learning is proposed for determining the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks and also in exchange-traded funds (ETFs) with a nanosecond time stamp. Based on our method, we conclude that transaction imbalances of ETFs alone are more informative than transaction imbalances in the entire market despite the domination of single-issue stocks in imbalance messages. Full article

This paper investigates the relationship between option trading behavior and option pricing patterns. We argue that greater active trading in the options market due to investor overconfidence leads to higher volatility and larger discrepancies in option pricing, which may be captured by implied volatility spread and implied volatility skewness. Using two different measures of excess option trading, we find that trading activities are correlated in different ways with volatility, volatility spread, and volatility skewness. We also find that these relationships exist both over time and cross-sectionally. We suggest that options investors tend to chase “hot” stocks, as we find evidence of a positive relationship between option trading activities and past underlying equity returns. Heavier trading in the options market also tends to make out-of-the-money call options more (less) expensive than the at-the-money counterparts over time (cross-sectionally). Because trading activities do not predict future equity returns, investor overconfidence, and not informed trading, seems to be a more plausible explanation for our findings. Full article

In this paper, we propose a new factor in predicting stock returns, after taking agency problems into account. Although intensive studies have focused on asset growth and profitability as factors in predicting future returns, very limited attention has been given to their interaction. We construct a measure that combines both asset growth and scaled gross profit in a single measure (defined as AGGP, hereafter), by excluding the change in capital expenditures from gross profit. We demonstrate that our measure of profitability controls for the agency problem from managerial decisions in investment. Our results are also robust to the scaling issues raised by recent studies. Further, consistent with prior literature, our measure produces superior results in the full universe of CRSP stocks, but inferior results when applied to a subset of the 500 largest nonfinancial firms. This is consistent with the fact that those largest firms are less affected by the agency problem, leading to the failure of our new measure in predicting future returns among this subsample. In sum, our new measure sheds new lights on how to price agency issues, by providing a “cleaner” profitability measure free of agency costs and also lending supportive evidence to the mispricing explanation of the asset-growth effect. Full article

The purpose of this study is to consider the events leading to the development of modern accounting standards for Islamic banks and, thereafter, to consider the accounting process and related impact on the financial statements for the Murabaha contract. A qualitative review of the available literature was conducted to meet this purpose. First, the influence of culture on accounting is considered, and after that, the historical development of Islamic accounting is explored. Next, the modern development in Islamic accounting is explained. The discussion then summarizes the contracts used by Islamic banks, with a particular focus on the Murabaha contract as it is the most widely used contract. The structure of the Murabaha contract is detailed, along with the criticisms found in the literature. Thereafter, the accounting treatment of the Murabaha contract is highlighted, followed by a simulation to illustrate the accounting process and its impact on the financial statements. This study contributes to the debate about the need for Islamic accounting standards as it relates to Islamic financial institutions. Full article

Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty-correlated default models with subjective judgements on a sample of U.S. public non-financial firms spanning January 1980–June 2019. We consider a reduced-form model and adopt a Bayesian approach coupled with the Particle Markov Chain Monte Carlo (Particle MCMC) algorithm to scrutinize this problem. The findings show that the 1-year prediction for frailty-correlated default models with different prior distributions is relatively good, whereas the prediction accuracy ratios for frailty-correlated default models with non-informative and subjective prior distributions over various prediction horizons are not significantly different. Full article

The COVID-19 pandemic has had a marked impact on healthcare businesses since 2020. Healthcare organizations suffered greatly from financial stress coupled with disruptions in national and global supply chains. Healthcare workers and patients alike experienced significant downturns in their physical and mental health. Large government and legislative reforms were enacted to combat the progression of the pandemic. This paper explores these areas in detail in order to provide a clearer understanding of the successes and inadequacies that exist within the United States healthcare system as illuminated by the COVID-19 pandemic. Full article

The challenge of accessing finance by entrepreneurs from traditional financial sources is pervasive. The COVID-19 pandemic further exacerbated the problem of limited access to finance from banks. Against this backdrop, the objective of the study was to determine the factors driving crowdfunding success during the COVID-19 pandemic in Africa. The ordinary least squares (OLS) and probit regression models were estimated to analyse 215 crowdfunding projects in Africa. The results of the study documented that targeted amounts (TA), comments (CMM), and the COVID-19 pandemic were negative and significant drivers of crowdfunding success. Furthermore, duration (DRN) was negative and significantly affected crowdfunding success. Conversely, images (IM), videos (VD), backers (BCK), and updates (UPD) were positive and significantly affected crowdfunding success. The study contributes to the body of knowledge by investigating the drivers of crowdfunding success during the COVID-19 pandemic period, which hitherto had not been extensively researched. Full article

Given the increasing prevalence of telomere research in the healthcare field, this paper first analyzes how newfound discoveries in the domain link to aging, and then explores how research has found a correlation between telomere shortening and health complications in particular age-related diseases. Afterwards, the complications faced by elderly populations due to age-related diseases and chronic conditions are discussed, including the association between increased chronic conditions and increased out-of-pocket expenditures. Then, a general overview about how aging has impacted the US healthcare system is addressed, including aspects such as healthcare expenditures, Medicare, access to resources, and overcrowding. A brief overview of how the COVID-19 pandemic has impacted access to healthcare and brought about discussion of reform is also mentioned. Full article

This paper evaluates the scoring platforms for decentralized autonomous organization (DAO), examining their methodologies and highlighting their strengths and limitations. Using content analysis, we scrutinize the scoring methodologies of the Prime Rating, DAO Meter, and DeFi Safety platforms, evaluating code, documentation, security, team composition, governance, and regulatory compliance. We analyze the underlying assumptions and data sources relied upon by these platforms, using a content analysis approach. Our investigation furnishes valuable information for stakeholders, aiming to evaluate or enhance DAO scoring methodologies used by scholars and practitioners in the finance and blockchain fields. By contributing to a more rigorous understanding of DAO performance assessment, this paper supports informed decision making and promotes the development of a dependable and efficient scoring system for the decentralized financial ecosystem. Full article

This research analyzes the speeches and interviews of high-level European Central Bank decision makers from 1997 to 2021 to identify clusters of prominent topics. Transparency is a crucial aspect of modern monetary policy, and public speeches and interviews by central bankers play a vital role in achieving it. Our study employs structural topic modeling to compare the prevalence of topics during the Global Financial Crisis, pandemic crisis, and periods of heightened inflation. Additionally, we explore the impact of central bank independence on official rhetoric. Full article

This study estimates international and provincial migrants’ impact on provincial-level trade using panel data from 1981 to 2016 for Canadian provinces. The estimated results show that migration plays a significant role in determining Canadian provincial-level trade. Although the stock of provincial migrants is smaller than the stock of immigrants in Canadian provinces, the former plays a consistently positive and significant role in provincial-level trade, while the latter is not consistently significant across estimators. This study reaffirms that labour mobility between Canadian provinces helps reduce provincial trade barriers and promote economic development within Canada. Our results are robust to different estimation methods, model specifications, and alternative measures of migrants’ stock in Canadian provinces. Full article

Accurate data analysis is an important part of data-driven financial audits. Given the increased data availability and various systems from which audit files are generated, RCSFI provides a way for standardization on behalf of analysis. This research attempted to automate this hierarchical text classification task in order to save financial auditors time and avoid errors. Several studies have shown that ensemble-based models and neural-network-based natural language processing (NLP) techniques achieved encouraging results for classification problems in various domains. However, there has been limited empirical research comparing the performance of both of the aforementioned techniques in a hierarchical multi-class classification setting. Moreover, neural-network- based NLP techniques have commonly been applied to English datasets and not to Dutch financial datasets. Additionally, this research took the implementation of hierarchical approaches into account for the traditional and ensemble-based models and found that the performance did not increase when implementing the included hierarchical approaches. DistilBERT achieved the highest scores on level 1-2-3-4 and outperformed the traditional and ensemble-based models. The model obtained a F1 of 94.50% for level 1-2-3-4. DistilBERT also outperformed BERTje at level 1-2-3-4 despite BERTje being specifically pre-trained on Dutch datasets. Full article

Gasoline and crude oil price movements have been the focus of many studies in the last decade. We use the asymmetric error correction model (ERM) to examine the hypothesis of asymmetric pricing for both regular and premium gasoline markets at the US national level and in the four states with the highest gasoline consumption. Using weekly crude oil and retail gasoline prices from June 2000 to February 2023, the results show an asymmetric response in the gasoline market for all four states and at the national level. However, the adjustment speed tends to differ for the types of gasoline and across states. The implications of these results for policy and welfare are discussed in this study. Full article

The aim of this study was to evaluate whether trading experience reduces exposure to heuristic-driven biases, namely availability bias, anchoring and adjustments bias, representativeness bias, and confirmation biases of individual investors operating in the Indian stock market, through the moderating role of the Big Five personality traits. To achieve these research objectives, primary data were collected through a structured questionnaire. The sample consisted of 408 individual investors trading on the Indian stock market, who were selected on a convenient basis. Confirmatory factor analysis and Cronbach’s alpha were used to measure the validity and reliability of the data. Further analysis was conducted using Pearson’s correlation and multiple regression. The results of this study prove that increased trading experience does not always reduce the susceptibility to heuristic biases. Increased trading experience reduces the susceptibility to availability, and anchoring and adjustment heuristics of individual investors operating on the Indian stock market. The present study has some relevant implications for investors, portfolio managers, financial advisors, and other interested persons in the stock market. Full article

This study employs continuous wavelet transforms to model the relationship between Bitcoin volume and prices across time and frequency space using daily data for the period between 17 September 2014 and 10 April 2023. The results show that Bitcoin price and volume have a long-term relationship at low frequency cycles mostly during the period after 2019. A statistically insignificant relationship between the price and volume of Bitcoin is observed prior to 2019 which coincides with a time of limited regulatory oversight of Bitcoin markets globally. Positive correlation is observed in the aftermath of this period, with stronger correlation recorded during and post the period of the Covid-19 pandemic. Furthermore, the findings reveal that fluc-tuations in the Bitcoin volume tends to affect the price at higher frequency synchronizations (short-term); whereas, at lower frequencies (long-term), a feedback loop is observed, whereby the price changes lead to alterations in the volume. Full article

Empirical corporate failure studies focusing on specific economic activities are increasing in number, as this path can be a more precise investigation of default, although still there is a gap in the literature reviews at the sector level. The purpose of this study is to focus on the hotel sector and isolate the financial determinants linked to hotel default, as the approach of accounting-based models is the most frequent practice. To arrange the variety of outputs, a thorough design is applied based on specific inclusion and exclusion criteria, leading to 29 studies, which are further narrated, focusing mainly on the financial dimension. In addition, information on the study design is recorded in an aggregated table. The most frequent stylized results show that debt and liability measures increase the default risk, while measures of profitability and size in terms of total assets reduce the risk. This review addresses the calls for a sectoral focus and provides an up-to-date financial overview of hotel default assessments. It further aims to benefit academia, as it can act as a base for further development, as well as stakeholders involved in the financial sustainability of the hotel sector. Full article

The financial sector is an integral part of the economy, playing a vital role in the overall economic development of a nation, but commercial banks in this sector face a myriad of risks. This has made understanding the impact of risk management on bank performance crucial. This study sought to examine the effect of risk management on the performance of commercial banks in Ghana. The study used a quantitative research approach, relying on secondary data from the yearly financial statements of the selected banks. Seven commercial banks were purposively sampled. According to the 2017 Ghana Banking Survey, the seven commercial banks selected represent more than 50 percent of Ghana’s financial market by proportion of industrial deposits, which was a criteria for selecting the seven banks. The results of the study showed that of the four types of risks examined vis-à-vis credit risk, operational risk, liquidity risk, and market risk, only operational risk was found to exert a significant influence on bank performance. Operational risk accounted for 99.24% of the variability in bank performance. Furthermore, it was observed that total risk management had a significant impact on bank performance, explaining 74.74% of the variance in bank performance. Since operational risk appears to exert far more influence on bank performance in Ghana than any other risk factor, it is recommended that banks, regulators, and policymakers place more emphasis on curbing operational risks when designing their risk management programmes, as this particular risk, among all the other risk types examined, seems to be the one that exerts the greatest influence on banking performance. Full article

This paper aims to examine the publication metrics of literature related to the influential aspects of ESG (environmental, social, and governance), SRI (socially responsible investing), ethical, and impact investing on the portfolio and financial performance literature. It also seeks to identify major patterns and core themes in this topic and draw lessons from the past literature for future directions. Data from the SCOPUS database were used in this study. The ‘biblioshiny’ R package, also known as ‘bibliometrix 3.0’, was employed to conduct bibliometric analysis, utilising mapping and clustering techniques on 260 articles, in order to distil the comprehensive knowledge and identify emerging trends in ESG, SRI, ethical, and impact investing. The thematic map classified the ESG, SRI, ethical, impact investing and performance relationship themes into four categories of themes: niche themes (SRI, engagement and ESG), motor themes (corporate financial performance, corporate social performance, ESG, ESG factors, sustainability, performance, integrated reporting, gender diversity, and board size), emerging or declining themes (social responsibility, environmental performance, socially responsible investment, ethical investment, and SRI), and basic or transversal themes (financial performance, corporate social performance, ESG performance, environmental, social, and governance). Socially responsible investing, engagement, and ESG imply a position between niche themes and a highly developed topic/emerging or a decreasing theme, while the impact of COVID-19 on sustainability and financial performance implies a position between a highly developed topic/emerging or decreasing theme and a basic theme. The findings contribute to the enhanced understanding of ESG, SRI, ethical, impact investing and performance, which are crucial for an efficient capital market in promoting sustainability and sustainable development. The study offers vital practical implications and future research directions. Full article

Considerable studies have examined the relationship between commodity markets and stock markets. This paper studies the cyclical relationship between commodity markets and stock markets with implications for investing based on index relationships. Stock markets are represented by the U.S. S&P 500 index and aggregate commodity markets by the U.S. producer price index (PPI). Tradeable market indexes readily available to investors, namely the S&P GSCI Index and the Bloomberg Commodity Index (BCOM), are also studied. An optimal bandpass filter is used to estimate the cyclical component using a pricing-performance measure of the S&P 500 relative to the PPI, based on annual data from 1871 to 2022. The S&P GSCI and the BCOM indexes are also used to test the robustness of the findings. The impacts of the financial crisis of 2008 and the coronavirus pandemic are also assessed. The overriding conclusion of the study is that a cyclical relationship exists between stock markets and commodity markets for both aggregate and tradeable indexes which can last, from peak to peak, approximately 31 years. Measuring returns and risks in a manner consistent with these cycles can shed new light on the usefulness of commodity investing via tradeable indexes in seeking efficient portfolios. Full article

This paper used the Markov-switching (MS)-based wavelet analysis technique to study the dependence structure and the time–frequency impact of exchange rates on crude oil prices (West Texas Intermediate (WTI)) and stock returns. Daily data from 1 January 2005 to 1 March 2020 were collected for exchange rates, crude oil prices, and the BRICS stock market returns. The findings indicate that crude oil prices display higher volatility compared to stock returns and exchange rates. Furthermore, the wavelet analysis reveals consistent changes in the co-movement patterns of both volatility regimes, albeit with some variations in the time periods and frequency domains. The time–frequency dependence between Brazilian, Indian, and Chinese stock markets and crude oil is significantly influenced by exchange rates, which play a pivotal role in their co-movement in the medium term. The findings reveal that these three countries share economic interests, have strong economic ties and interdependencies, and may be motivated to cooperate during crisis periods. However, when it comes to Russia and South Africa (SA), exchange rates do not exhibit a long-term impact on the co-movement in time–frequency. Therefore, we recommend investors to look for investment opportunities that are less correlated with the co-moving markets. Full article

The COVID-19 pandemic had a wide-ranging impact, resulting in a global recession due to weakened purchasing power. This circumstance necessitates business organizations adapting to developments and being more conscious of the risk of financial statement fraud. The intention of this research is to investigate the way corporate governance affected financial statement fraud during the COVID-19 pandemic. To acquire empirical data for examining corporate governance variables on financial statement fraud, the research was examined using quantitative methods. The study takes advantage of secondary data acquired from annual reports of companies under special monitoring listed on the Indonesia Stock Exchange of 2020–2021. The logistic regression method was used to evaluate 134 data sets, and financial statement fraud was measured using the Z-Score and F-Score models. The results indicate that when using the Z-score, only the board size has a negative effect on financial statement fraud during the COVID-19 pandemic. Meanwhile, using the F-Score, the corporate governance variables studied are not proven to have an influence on financial statement fraud during the COVID-19 pandemic. Full article

Our study shows how the United States government can achieve its goal of Nationally Determined Contribution (NDC) in 2025, 2030, and 2050 by reducing energy consumption through a pure carbon tax. To achieve its emissions reduction goals, it is necessary for the U.S. to impose a long-term carbon tax that balances taxes on labour, capital, energy, and carbon. Therefore, in this study, through the two-layer CGE Cobb–Douglas model, the carbon tax rate is set while balancing the production and profit functions of government, businesses, and households. This study concludes that the carbon price will increase from USD 0.4391/kg CO₂ in 2020 to USD 2.5671/kg CO₂ in 2050, when the CO₂ emissions reduction target is increased from 17% reduction in 2020 to 83% reduction in 2050 for the U.S. Full article

In this paper, we use a copula to examine the relationship and dynamic dependence structure between the crude oil market and the BRICS countries’ stock indices expressed through financial crises, from the 2008 global financial crisis to COVID-19, based on daily data. We characterize the long-term relationship as well as the short-term dynamics and represent the interdependence between them. We also study the short-run conditional links through the considered variables under the effects of long-run interactions and the asymmetric volatility spillover relationship. In addition, we establish that the volatility transmission is stubborn and that the impact of the crises and our empirical findings prove that there is fractional co-integration between crude oil and financial markets. We notice that there are lengthy correlations between the variables, as we detect significant bidirectional causal links. In particular, we see positive short-run links and use an optimal copula coefficient to measure the risk spillovers between oil markets and financial markets that represent the dependence structure. For robustness purposes, based on a sliding-window analysis, we complement our investigation with VaR analysis. Full article

The objective of this study is to analyse the constitution of the emerging Montenegrin stock exchange. Four methodological time-series econometric steps are involved: the augmented Dickey–Fuller (ADF) test, run test, autocorrelation function (ACF) test, and Hurst test. The study utilises a daily data vector from 5 January 2004 to 20 June 2023, with a specific focus on the period encompassing the growth and peak of market stocks in 2007, followed by the significant 2008 financial crisis and subsequent developments thereafter. The analysis culminates on 28 May 2018, which is considered one of the lowest points in the Montenegrin stock exchange market in a comparative time-series assessment. The results of the tests conducted in this study do not provide empirical evidence supporting the random walk theory and its returns on aggregated shocks in the Montenegrin stock exchange market. By reviewing previous empirical studies and presenting new empirical findings, this study confirms the presence of stochastic trends in co-movements in finance, contributing to a deeper understanding of emerging stock exchange markets. Study implications support greater reliance on market efficiency, risk management, and portfolio diversification. Full article