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Journal articles on the topic 'Alternative stock market'

Author: Grafiati

Published: 4 June 2021

Last updated: 3 February 2022

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1

Wong, Alvin Y. T., Gordon Y. N. Tang, and Kam C. Chan. "The Determinants of Performance in Alternative Markets for Small and Medium Enterprises: International Evidence." Review of Pacific Basin Financial Markets and Policies 16, no. 02 (2013): 1350009. http://dx.doi.org/10.1142/s0219091513500094.

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Several stock exchanges have launched alternative markets to target small and medium enterprises. In this research, we examine the determinants of the operating and stock return performance of alternative markets. Our results suggest that turnover and stock returns of alternative markets affect each other. Hence, it is imperative to examine the performances of alternative markets in a simultaneous equation system to mitigate the causality among performance variables. In addition, a good anti-director rights environment and a noncommon law origin country contribute to a higher turnover and addi

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Abensur, Eder Oliveira, Davi Franco Moreira, and Aline Cristina Rodrigues De Faria. "Geometric brownian motion: an alternative to high-frequency trading for small investors." Independent Journal of Management & Production 11, no. 3 (2020): 1434. http://dx.doi.org/10.14807/ijmp.v11i3.1114.

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High-frequency trading (HFT) involves short-term, high-volume market operations to capture profits. To a large extent, these operations take advantage of early access to information using fast and sophisticated technological tools running on supercomputers. However, high-frequency trading is inaccessible to small investors because of its high cost. For this reason, price prediction models can substitute high-frequency trading in order to anticipate stock market movements. This study is the first to analyze the possibility of applying Geometric Brownian Motion (GBM) to forecast prices in intrad

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Miralles-Quirós, María del Mar, José Luis Miralles-Quirós, and Celia Oliveira. "The role of liquidity in asset pricing: the special case of the Portuguese Stock Market." Journal of Economics, Finance and Administrative Science 22, no. 43 (2017): 191–206. http://dx.doi.org/10.1108/jefas-12-2016-0001.

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Purpose The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing. Design/methodology/approach The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to pri

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Volchkov, O. Ye. "DIRECTIONS OF ALTERNATIVE STOCK MARKET INCREASE OF MARKET CAPITALIZATION OF DOMESTIC COMPANIES." Economic innovations 19, no. 1(63) (2017): 53–58. http://dx.doi.org/10.31520/ei.2017.19.1(63).53-58.

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The article reveals the need to create alternative stock market that would open access to participation in the SME. Based on the experience of alternative securities markets in Europe, conclusions regarding the need for a stock exchange available to wider circles of consumers to increase their own capitalization and support the domestic stock market. In times of severe economic crisis, support for small and medium businesses is extremely important in Ukraine. One of the effective mechanisms for increasing the capitalization of enterprises is the attraction of stock exchange instruments in the

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Chelley-Steeley, Patricia, and Antonios Siganos. "Momentum profits in alternative stock market structures." Journal of Multinational Financial Management 18, no. 2 (2008): 131–44. http://dx.doi.org/10.1016/j.mulfin.2007.05.002.

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Anderson, Hamish, Ben Marshall, and Xiao Wang. "Cross-sectional return patterns in New Zealand’s registered and OTC stock markets." Pacific Accounting Review 27, no. 1 (2015): 51–68. http://dx.doi.org/10.1108/par-09-2012-0036.

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Purpose – This paper aims to examine whether the cross-sectional return patterns in New Zealand’s main stock market (NZSX) are also present in the alternative (NZAX) and over-the-counter (Unlisted) markets. Design/methodology/approach – Cross-sectional regressions of monthly stock returns on well-known pricing factors including firm size, book-to-market (B/M) ratio, liquidity and past returns were run. The NZSX sample commenced in 1988 and continued through to 2011, while data are available for the Unlisted and NZAX markets from 2004 to 2011. Findings – The pricing factors that are important i

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Kanojia, Sunaina, and Neha Arora. "Investments, Market Timing and Portfolio Performance across Indian Bull and Bear Markets." Asia-Pacific Journal of Management Research and Innovation 13, no. 3-4 (2017): 98–109. http://dx.doi.org/10.1177/2319510x18776403.

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The returns generated from an investment alternative are exponentially higher when espoused with appropriate timings. This article expound on the market timing used by investors to formulate profitable investment strategies in the stock market, which requires gathering of information at both micro- and macro-levels along with market trends to make timely decisions and evaluating the universe of stocks available. The market trends are been broadly classified into bull and bear phases, which have dynamic influence on buying and selling in the stock market. Further, the study supports the retail

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Jotanovic, Vera, and Rita Laura D’Ecclesia. "Do Diamond Stocks Shine Brighter than Diamonds?" Journal of Risk and Financial Management 12, no. 2 (2019): 79. http://dx.doi.org/10.3390/jrfm12020079.

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This paper addresses two practical investment questions: Is investing in the diamond equity market a more feasible and liquid alternative to investing in diamonds? Additionally, is diamond equity affected by polished diamond prices? We assemble an original database of diamond mining stock prices traded on main stock exchanges in order to assess their relationship with diamond prices. Our results show that the market of diamond-mining stocks does not represent a valid investment alternative to the diamond commodity. Diamond equity returns are not driven by diamond price dynamics but rather by l

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Ahmadvand, Maysam, Hadi Khajezadeh Dezfuli, and Mohamad Javad Sadehvand. "Identifying Islamic alternatives to short selling in Iranian stock market and prioritizing them using TOPSIS." Qualitative Research in Financial Markets 7, no. 2 (2015): 191–214. http://dx.doi.org/10.1108/qrfm-04-2014-0013.

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Purpose – This paper aims to first explain short selling and its benefits and damages; then, using experts’ opinions and Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) method as well as based on the legal, financial and jurisprudential criteria adopted, evaluate and prioritize Islamic alternatives to short selling; and finally, introduce the most proper approach for implementing it in Iran’s stock market. Design/methodology/approach – The methods applied in the paper are as follows: Library method to collect the required data for developing the theoretical and juris

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Zaimović, Azra. "Testing the CAPM in Bosnia and Herzegovina with Continuously Compounded Returns." South East European Journal of Economics and Business 8, no. 1 (2013): 35–43. http://dx.doi.org/10.2478/jeb-2013-0006.

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Abstract The capital markets of neighboring transitional Western Balkan countries have attracted a lot of interest from domestic and international investors in the last decade, who view them as an attractive alternative to investing in more developed markets. These markets are characterized by higher returns, and higher volatility of stock returns as compared to those of developed markets. The recent economic and financial crises devastated capital markets worldwide. The new Bosnian capital market faced its hardest times following the withdrawal of international investors. The aim of this pape

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Kaszuba, Stanisław. "Prospects for the Future Growth of the NewConnect Stock Market." Equilibrium 5, no. 2 (2010): 117–26. http://dx.doi.org/10.12775/equil.2010.029.

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NewConnect market was created to aim small and medium companies in gaining the capital for their growth and development. It was created especially for companies with innovative type of production, services or trade. It attracts companies with low costs and less restrictive procedures than the main stock market. NewConnect market build possibilities for small companies to gain the stock capital. The companies listed in NewConnect market concentrates over new, innovative technologies, especially in IT sector. Its operational first year gave him the first place in amount of debuts and is one of t

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Plastun, Alex, Inna Makarenko, and Ievgen Balatskyi. "Competitiveness in the Ukrainian stock market and local crisis of 2013–2015." Investment Management and Financial Innovations 15, no. 2 (2018): 29–39. http://dx.doi.org/10.21511/imfi.15(2).2018.03.

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This paper investigates competitiveness in the Ukrainian stock market during local crisis of 2013–2015. The following hypothesis is tested: crisis decreases competitiveness in the stock market. The analysis is carried out for the most liquid stocks in the Ukrainian Exchange (UX) over the period from 2010 to 2017 using both traditional measurements of market concentration (Hirschman Index, Lerner Index, Comprehensive Concentration Index, Entropy Index, Gini coefficient, etc.) and some alternative methods like regression analysis with dummy variables and Kruskal-Wallis test. The results suggest

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Schweda, Magdalena. "NewConnect as an alternative trading system." Equilibrium 5, no. 2 (2010): 103–15. http://dx.doi.org/10.12775/equil.2010.028.

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The present paper is focused on NewConnect that is a new market organized and operated by the Warsaw Stock Exchange next to the main regulated market. On 30 August 2009 this new trading platform celebrated the second anniversary of its functioning. Because of short period of its operation, NewConnect still remains unknown and mysterious for both: potential issuers and investors as well as for many individuals interested in stock exchanges and capital markets. This common ignorance of NC Market operation is an essential obstacle to its development whereas NewConnect has the chance to become the

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Yoon, Bohyun, and Young-Min Choi. "A Study on Alternative Index Strategies in Korean Stock Market." Journal of Derivatives and Quantitative Studies 22, no. 2 (2014): 285–308. http://dx.doi.org/10.1108/jdqs-02-2014-b0005.

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There have been several studies of alternative equity index strategies which suggest better investment opportunities with higher risk adjusted return pointing out empirical evidence of inefficient risk-return trade-off implied in the market-cap weighted index. Commercial products based on these strategies, regarded as passive equity strategies, become more popular in the U.S. and European stock markets. We investigates whether these strategies are also valid in Korean stock market and our empirical results add support to their efficacy. From Fama-French 3-factor analysis, we find that the exce

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Mulyono, Mulyono. "Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia." Binus Business Review 6, no. 2 (2015): 330. http://dx.doi.org/10.21512/bbr.v6i2.982.

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Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG). During its development, the Indonesia Stock Exchange has many alternative indexes that measure the performance of stock trading. Research that is to be conducted on the correlation between return of the stock index listed in Indonesia Stock Exchange and return of Jakarta Composite Index. Return stock index listed on the Indonesia Stock Exchange, namely, LQ45 Index, Jakarta Islamic Index (JII

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Yokoyama, Karen Yukari, Alfredo Sarlo Neto, and Cláudio Márcio Pereira da Cunha. "Brazilian REIT: Alternative Investment to Real Estate, Stock and Bonds." Brazilian Review of Finance 14, no. 4 (2017): 523. http://dx.doi.org/10.12660/rbfin.v14n4.2016.56743.

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Given the recent expansion of real estate securities in the Brazilian market, the present study examines Brazilian REITs (FIIs) returns’ exposure to underlying market returns (real estate, stock and bond) in order to assess evidence of diversification power provided by this investment type in light of Modern Portfolio Theory. The research considers a sample of FIIs listed on the São Paulo Stock Exchange, during the period of 2008-2014, applying Clayton and Mackinnon´s (2003) methodology, where the econometric model explaining REIT returns is decomposed into three market factors. Results indica

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Dash, Saumya Ranjan, and Jitendra Mahakud. "Market anomalies, asset pricing models, and stock returns: evidence from the Indian stock market." Journal of Asia Business Studies 9, no. 3 (2015): 306–28. http://dx.doi.org/10.1108/jabs-06-2014-0040.

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Purpose – This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India. Design/methodology/approach – The first step time series regression approach has been used to drive the risk-adjusted returns of individual securities. For examining the predictability of firm characteristics or asset pricing anomalies on the risk-adjusted returns of individual securities, the panel data estimation t

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Aslanishvili, Davit (David). "Stock Market in Georgia." International Journal of Risk and Contingency Management 10, no. 2 (2021): 26–38. http://dx.doi.org/10.4018/ijrcm.2021040103.

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The study examines the financial and economic reality and backwardness of Georgia. It reflects the monopoly of commercial banks thanks to the steady support of the state and the central bank, which ultimately does not allow for the attraction of alternative financial capital and is one of the main reasons for the country's failure. In this respect, the economic progress is directly linked to this problem. Developing an economy requires large financial investments and resources. Based on the research a number of proposals need to be introduced to change the situation and to build a competitive

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Alam, Md Mahmudul, Chowdhury Shahed Akbar, Shawon Muhammad Shahriar, and Mohammad Monzur Elahi. "The Islamic Shariah principles for investment in stock market." Qualitative Research in Financial Markets 9, no. 2 (2017): 132–46. http://dx.doi.org/10.1108/qrfm-09-2016-0029.

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PurposeBecause of chronic financial crises experienced during past several decades repeatedly and a failure to protect investors’ rights as a result, the world is looking for an alternative form of stock market for quite some time so that interests of all relevant stakeholders can be safeguarded. At the same time, from the perspectives of devout Muslims, the current form of stock market restricts a Muslim to make investments in the market because of several unsatisfying provisions from the viewpoint of the Islamic law known as Shariah. This study aims to provide the criteria under which condit

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de Sousa Gabriel, Vítor Manuel, and David Rodeiro-Pazos. "Environmental Investment Versus Traditional Investment: Alternative or Redundant Pathways?" Organization & Environment 33, no. 2 (2018): 245–61. http://dx.doi.org/10.1177/1086026618783749.

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Considering the short- and long-term equilibrium between indices, the present article analyses the relationship of two segments of stock markets: environmentally sustainable investment and traditional indices. We used Johansen cointegration tests and a multivariate model of conditioned heteroscedasticity on seven stock indices: five corresponding to segments of environmental investment, namely, regarding alternative energy, clean technology, green building, sustainable water, and pollution prevention, and two indices representative of traditional stock market segments, whose philosophy is base

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Lewandowska, Lucyna. "NewConnect - an alternative platform for new innovative companies." Comparative Economic Research. Central and Eastern Europe 13, no. 1-2 (2010): 65–77. http://dx.doi.org/10.2478/v10103-009-0030-7.

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The article discusses the attributes of innovation in the context of creating a knowledge-based economy and presents the alternative stock market NewConnect where the small and medium-sized firms may seek funds to finance their innovative projects. NewConnect's functions and goals are shown with respect to capital circulation, stock market training, education and promotion of SMEs aspiring to enter the Warsaw Stock Exchange in the future, as well as the expansion of the financial infrastructure in Poland and the EU.

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Balcilar, Mehmet, Gozde Cerci, and Riza Demirer. "Is there a role for Islamic bonds in global diversification strategies?" Managerial Finance 42, no. 7 (2016): 656–79. http://dx.doi.org/10.1108/mf-07-2015-0189.

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Purpose – The purpose of this paper is to examine the international diversification benefits of Islamic bonds (Sukuk) for equity investors in conventional stock markets. The authors compare the diversification benefits of these securities with their conventional alternatives from advanced and emerging markets. Compared to conventional bonds, Sukuk are backed by tangible assets and carry both bond and stock-like features. Furthermore, the Sharia-based limitations limit the risk in these securities as a result of ethical investing rules. The regime-based model provides insight to possible segmen

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Beer, Francisca, and Mohamed Zouaoui. "Measuring Stock Market Investor Sentiment." Journal of Applied Business Research (JABR) 29, no. 1 (2012): 51. http://dx.doi.org/10.19030/jabr.v29i1.7555.

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Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration. The purpose of this study is to examine the relative performance of a number of popular measures in predicting stock returns and to test the relative efficacy of a hybrid approach. Using a panel of investor sentiment measures, we develop a new measure of sentiment which combines direct and indirect sen

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Amanulla, S., and B. Kamaiah. "Market Integration as an Alternative Test of Market Efficiency: A Case of Indian Stock Market." Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics 37, no. 3 (1995): 215. http://dx.doi.org/10.21648/arthavij/1995/v37/i3/115972.

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Fullana, Olga, and David Toscano. "Performance of Alternative Estimation Procedures of the Implied Equity Duration in a Small Stock Market." Sustainability 12, no. 5 (2020): 1886. http://dx.doi.org/10.3390/su12051886.

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This paper is focused on the measurement of interest rate risk of nonfinancial firms. The measurement is the initial step in the risk management, which, in the context of financial risks, it is expected to lead to better levels of enterprises’ financial sustainability. Concretely, we checked the performance of alternative estimation procedures of the implied equity duration as a measure of the exposure to interest rate risk of firms listed on a small stock market. Previous evidence in the US stock market shows that when the implied equity duration is computed using industry-specific parameters

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Raeisi Sarkandiz, Mostafa, and Robabeh Bahlouli. "The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange." Econometric Research in Finance 4, no. 2 (2019): 67–88. http://dx.doi.org/10.33119/erfin.2019.4.2.1.

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In empirical studies of the efficient market hypothesis using a classic approach, attention has generally been paid to the weak form of performance; other aspects of efficiency, such as informational efficiency, have not been addressed. Also, the study of alternative theories, such as behavioral hypotheses, is neglected. This article seeks to investigate not only the weak and informational forms of the efficient market hypothesis, but also to test the adaptive and fractal market hypotheses as two alternative theories by conducting an empirical study on the Warsaw Stock Exchange.

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Ondiek, Samson Okoth, and Dr Ongoro. "FACTORS DETERMINING STOCK MARKET RETURNS: CASE OF NAIROBI STOCK EXCHANGE." International Journal of Finance and Accounting 1, no. 1 (2016): 108. http://dx.doi.org/10.47604/ijfa.122.

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AbstractPurpose: The study attempts to establish if the changing macroeconomic factors and the industry variables can predict the variation on the Nairobi Security Exchange stocks return Methodology: It adopted a regression model that related stock returns to various selected macro and micro economic factors and used data of 20 companies that constitute the NSE index. The study used monthly data spanning the year 2006 to 2010.Results: The regression results indicate that, four of the variables i.e. market return (NSEI), exchange rate for US/KSH, market to book value ratio have a positive and s

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Bolek, Monika, Piotr Pietraszewski, and Rafał Wolski. "Companies' growth vs. growth opportunity: Evidence from the regular and alternative stock markets in Poland." Acta Oeconomica 71, no. 2 (2021): 279–307. http://dx.doi.org/10.1556/032.2021.00014.

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AbstractThe article discusses the ability of potential growth measures calculated basing on market share prices to predict the future growth of the companies listed on the primary and alternative exchange markets in Poland. Analysing the Polish exchange market and dividing the sample of companies due to the markets they are listed – the Warsaw Stock Exchange Main Market or the NewConnect Alternative Market – brought conclusive results. Company growth measured as the growth of total assets, equity, sales and, what is the most important, earnings per share, is related to the growth opportunity m

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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 (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, asymptotica

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Wahyono, Wahyono, Chasandra Puspitasari, Muhammad Dzulfikar Fauzi, Kasliono Kasliono, Wahyu Sri Mulyani, and Laksono Kurnianggoro. "An Optimal Stock Market Portfolio Proportion Model Using Genetic Algorithm." IJCCS (Indonesian Journal of Computing and Cybernetics Systems) 12, no. 2 (2018): 171. http://dx.doi.org/10.22146/ijccs.36154.

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To reduce the amount of loss due to investment risk, an investor or stockbroker usually forms an optimal stock portfolio. This technique is done to get the maximum return of investment on shares to be purchased. However, in forming a stock portfolio required a fairly complex calculations and certain skills. This work aims to provide an alternative solution in the problem of forming the optimal and efficient stock portfolio composition by designing a system that can help decision making of investors or stockbrokers in preparing stock portfolio in accordance with the policy and risk investment.

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Arif, Muhammad, Abdul Rauf Laghari, and Avinash Advani. "Profitability of the Moving Averages Technical Trading Rules in an Emerging Stock Market: A Study of Stocks Listed in Pakistan Stock Exchange." Journal of Business Strategies 12, no. 2 (2020): 165–76. http://dx.doi.org/10.29270/jbs.12.2(2018).095.

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This study examines the profitability of Moving Averages (MA) timing strategy over the buy and hold strategy for individual stocks listed at Pakistan Stock Exchange (PSX). We applied Han, Yang, and Zhou (2013), methodology to individual stock returns and found inconclusive evidence of MA timing strategy’s predictive ability to earn higher returns over buy and hold strategy. We also report market risk-adjusted returns to remove any market movement effects and apply alternative moving averages lag lengths to check the robustness of our results. We observe individual stock returns are noisier tha

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Ghasemi, Omid, and Seyed Mohammad Aghamiri. "Dispute Settlement in Iran’s Stock Market." Journal of Politics and Law 10, no. 1 (2016): 245. http://dx.doi.org/10.5539/jpl.v10n1p245.

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Arbitration has long been considered by people to settle disputes. Moreover, due to the specific advantages of this method, it has a particular place in different legal systems and it has been attempted to use it in important contexts, even family disputes. Nowadays, arbitration is a significant alternative to settle disputes in a business context. Exchange is one of the crucial fields of domestic and foreign trade. In this regard, the legislature with the goal of using arbitration advantages such as speed, accuracy and expertise, has considered this method to settle exchanged disputes and int

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Rahman, Asheq Razaur, and Roger S. Debreceny. "Institutionalized Online Access to Corporate Information and Cost of Equity Capital: A Cross-Country Analysis." Journal of Information Systems 28, no. 1 (2013): 43–74. http://dx.doi.org/10.2308/isys-50653.

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ABSTRACT The demand for online information in stock markets around the world has led to many stock exchanges requiring the disclosure of information on listed corporations through the stock exchange website. We examine the impact of online access to corporate information on stock exchange websites on market transparency. We posit that institutionalized online information dissemination is likely to reduce the level of information asymmetry in stock markets. To increase the spread in the types of markets and market features in our sample, we expand the sample size of 40 or fewer countries common

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Nor Suhaira Jamil, Hamizah Hassan, and Imbarine Bujang. "The Effect of Shari’ah Compliance Announcements on Stock Returns in Malaysia." International Journal of Business and Society 21, no. 1 (2021): 217–33. http://dx.doi.org/10.33736/ijbs.3248.2020.

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There are increasing demands and interests in Shari’ah compliant stocks in Malaysia. The identification of Shari’ah compliant stocks is known as Shari’ah screening, which is announced to the public twice a year. Hence, the objective of this study is to investigate whether the announcements provide valuable information and the impact of such announcements on stock returns. This study applies market model to estimate the stock returns. Alternative hypotheses that are being tested are the inclusion (removal) of stocks in (from) the Shari’ah Compliant List give a significant effect on the stock Cu

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Fajri, Salman, Tony Irawan, and Trias Andati. "THE STUDY OF MARKET TIMING IMPLEMENTATION IN INDONESIAN STOCK MARKET." Jurnal Manajemen Indonesia 19, no. 2 (2019): 176. http://dx.doi.org/10.25124/jmi.v19i2.1641.

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This study is intended to discuss about implementation of market timing as an investment alternative strategic in Indonesian Stock Market. Market timing is procedure for changing portfolio asset allocation to deal with changes in business cycle. The market timing indicator used in this study is interest rate of Bank Indonesia. The active portfolio consist of IHSG and bond for simple rotation strategy. Sector rotation strategy consist of cyclical and non cyclical sector index. The dissecting cycle analyse by two methods, Hamilton Filter and indicator change assumptions. The secondary data used

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Herwany, Aldrin, and Erie Febrian. "Portfolio volatility of Islamic and conventional stock: The case of Indonesia stock market." Journal of Governance and Regulation 2, no. 4 (2013): 54–73. http://dx.doi.org/10.22495/jgr_v2_i4_p6.

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Conventional finance suggests that the higher the risk of an investment, the higher the return it should give. Nevertheless, whether Islamic stocks that offer alternative investment in the stock market suggest different risk-return relationship still needs to be investigated. This empirical study is aimed at assessing risk-return behavior of Islamic stocks. This study employs cross sectional data of portfolio developed using beta-rank and market capitalization, in which daily data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stoc

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Ivanovski, Zoran, Zoran Narasanov, and Nadica Ivanovska. "Performance Evaluation of Stocks’ Valuation Models at MSE." Economic and Regional Studies / Studia Ekonomiczne i Regionalne 11, no. 2 (2018): 7–23. http://dx.doi.org/10.2478/ers-2018-0011.

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Abstract Subject and purpose of work: The main task of this paper is to examine the proximity of valuations generated by different valuation models to stock prices in order to investigate their reliability at Macedonian Stock Exchange (MSE) and to present alternative “scenario” methodology for discounted free cash flow to firm valuation. Materials and methods: By using publicly available data from MSE we are calculating stock prices with three stock valuation models: Discounted Free Cash Flow, Dividend Discount and Relative Valuation. Results: The evaluation of performance of three stock valua

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Moch. Hari, Mohammad Lukman,. "Analisa Pemilihan Saham untuk Portofolio Optimal dengan Metode Kriteria Sederhana." Jurnal Teknik Industri 3, no. 2 (2010): 131. http://dx.doi.org/10.22219/jtiumm.vol3.no2.131-145.

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Generally, problem faced in making a portfolio is the large number of probabilities in risky active stock combinations available at stock market yet, if we put riskless active stock intothose combinations considering this numerous possibilities of portfolio made from stocks at stock market,a question that will arise is which portfolio to be chosen by investors. If acting rationally, the investors will chosen optimum portfolio. simple criteria method is an alternative method in forming the optimum portfolio with objective in determining stock rank in effrcient limit. This methods firstry devero

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Khan, Safi Ullah. "Role of the Futures Market on Volatility and Price Discovery of the Spot Market: Evidence from Pakistan’s Stock Market." LAHORE JOURNAL OF ECONOMICS 11, no. 2 (2006): 107–21. http://dx.doi.org/10.35536/lje.2006.v11.i2.a6.

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This paper focuses on the role of the financial futures market in the volatility of Pakistan’s stock market and determines whether the stock futures price is capable of providing some relevant information for predicting the spot price. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) approach is used to measure volatility in the spot and the futures market and to analyze the relationships between spot and futures market volatility. Causality and feedback relationships between the two markets are analyzed and determined through the Vector Error Correction Model (VECM). Empi

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Castro, F. Henrique, and Claudia Yoshinaga. "Underreaction to open market share repurchases,." Revista Contabilidade & Finanças 30, no. 80 (2019): 172–85. http://dx.doi.org/10.1590/1808-057x201806230.

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ABSTRACT This article aims to investigate the long-term performance of a portfolio of firms that announced the repurchase of their own stocks in the Brazilian market from 2003 to 2014. Open market stock repurchase is a means to distribute cashflow to shareholders. Some of the reasons for a firm to buy back its own stocks are: to adjust its capital structure; to reduce excessive cash levels; as an alternative to dividends; and signaling to the market in order to reduce information asymmetry between the firm and its investors. If the signaling hypothesis is true, then forming a portfolio with sh

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Hadro, Dominika, and Marek Pauka. "Underpricing on the Selected European Alternative Investment Markets." e-Finanse 15, no. 2 (2019): 87–94. http://dx.doi.org/10.2478/fiqf-2019-0014.

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AbstractThe phenomenon of underpricing is the subject of many studies on the stock markets, but there is still a research gap referring to the European Alternative Investment Markets, markets for small and medium companies. They are a source of capital and such an anomaly as underpricing could be a barrier for development of young companies. It means so-called money left on the table, which constrain the effectiveness of the market. The purpose of the paper is to analyze whether lower entry regulations on the European Alternative Investment Markets are correlated with the higher value of under

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Wang, Janchung, and Hsinan Hsu. "Price Expectation and the Pricing of Stock Index Futures: Evidence from Developed and Emerging Markets." Review of Pacific Basin Financial Markets and Policies 09, no. 04 (2006): 639–60. http://dx.doi.org/10.1142/s0219091506000884.

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This study examines how well the pricing model of Hsu and Wang (2004) explains the behavior of stock index futures prices for the developed markets (such as the S&P 500 index futures market) and the emerging markets (such as the Taiwan Futures Exchange (TAIFEX) Taiwan stock index futures market). It also compares the pricing performance of three alternative pricing models of stock index futures: the cost of carry model, the Hemler and Longstaff (1991) model, and the Hsu–Wang model. Overall, the Hsu–Wang model provides significantly better pricing performance than that of the cost of carry

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Wolski, Rafal. "Listing of Developer Companies as a Predictor of the Situation on the Residential Real Estate Market." Real Estate Management and Valuation 26, no. 4 (2018): 12–21. http://dx.doi.org/10.2478/remav-2018-0032.

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Abstract The stock exchange is considered one of the most important financial institutions in the market economy. The stock market reacts to the state of the economy almost immediately, and, in the end, the quotations of companies affect the state of other markets. The author decided to look at companies from the WIG Real Estate index as important entities shaping the real estate market. When comparing the situation on the capital market with the situation on the residential real estate market, one could, building an appropriate model, conclude how much these markets interact. Purpose - The pu

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Yuzvovich, Larisa, Veronika Frais, and Gaukhar Kodasheva. "Stock Exchange Mutual Funds as the Drivers of the Stock Market Development in Terms of Profitability and Alternatives." SHS Web of Conferences 93 (2021): 02027. http://dx.doi.org/10.1051/shsconf/20219302027.

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The current stagnation in the development of the Russian stock market determines the need to master new investment instruments or to improve the activities of existing ones. The development of global stock markets clearly emphasizes the “immaturity” of the Russian stock market. Present situation indicates the need for the introduction and development of new investment instruments. This fact encouraged the development of ETFs in Russia. Russian ETFs have a relatively short story, but this does not prevent them from expanding the scope of activities, gaining momentum and demonstrating a high deg

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Baumanis, V. I. "Portfolio analysis in a random environment of stock market alternative opportunities." Economic Analysis: Theory and Practice 18, no. 12 (2019): 2356–70. http://dx.doi.org/10.24891/ea.18.12.2356.

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Kiesel,, Florian, Andreas Lübbering,, and Dirk Schiereck. "The Alternative Three-Factor Model: Evidence from the German Stock Market." Credit and Capital Markets – Kredit und Kapital 51, no. 3 (2018): 389–420. http://dx.doi.org/10.3790/ccm.51.3.389.

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Brancaccio, Emiliano, and Damiano Buonaguidi. "Stock Market Volatility Tests: A Classical-Keynesian Alternative to Mainstream Interpretations." International Journal of Political Economy 48, no. 3 (2019): 253–74. http://dx.doi.org/10.1080/08911916.2019.1655954.

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Benos, Alexandros, and Elpida Tzafestas. "Alternative distributed models for the comparative study of stock market phenomena." Information Sciences 99, no. 3-4 (1997): 137–57. http://dx.doi.org/10.1016/s0020-0255(96)00152-1.

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Hahn, Jaehoon, and Hangyong Lee. "Yield Spreads as Alternative Risk Factors for Size and Book-to-Market." Journal of Financial and Quantitative Analysis 41, no. 2 (2006): 245–69. http://dx.doi.org/10.1017/s0022109000002052.

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AbstractThis paper investigates whether the size and book-to-market factors of Fama and French (1993) proxy for the risks associated with business cycle fluctuations. We find that changes in default spread (Δdef) and changes in term spread (Δterm) capture the systematic differences in average returns along the size and book-to-market dimensions in the way that the Fama-French factors do: small stock portfolios have higher loadings on Δdef than large stock portfolios, while high book-to-market portfolios have higher loadings on Δterm than low book-to-market portfolios. Furthermore, in the prese

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Stringham, Edward Peter, and Ivan Chen. "The Alternative of Private Regulation: The London Stock Exchange's Alternative Investment Market as a Model." Economic Affairs 32, no. 3 (2012): 37–43. http://dx.doi.org/10.1111/j.1468-0270.2012.02172.x.

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