Log in

Relevant bibliographies by topics / Capital market returns / Journal articles

To see the other types of publications on this topic, follow the link: Capital market returns.

Journal articles on the topic 'Capital market returns'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 journal articles for your research on the topic 'Capital market returns.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse journal articles on a wide variety of disciplines and organise your bibliography correctly.

1

Hutapea, Gita Masria, Ahmad Fauzan Fathoni, and Yulia Efni. "Investigation of Capital Market Efficiency in Indonesia." AFEBI Management and Business Review 4, no. 2 (2019): 103. http://dx.doi.org/10.47312/ambr.v4i2.241.

Full text

Abstract:

<em>In the midst of a national economic growth downturn that affected the capital market as a subsystem of the economy, now Indonesia capital market industry began to look at the development of the application of the principles of sharia as an alternative investment instruments in capital markets activities in Indonesia. The growth of the Islamic capital market in Indonesia is quite encouraging, but the Islamic capital market exposure is still minimal. Lack of public understanding about the Islamic capital market into doubt for investors to invest in the capital market. With the backgrou

APA, Harvard, Vancouver, ISO, and other styles

2

Hutapea, Gita Masria, Ahmad Fauzan Fathoni, and Yulia Efni. "Investigation of Capital Market Efficiency in Indonesia." AFEBI Management and Business Review 4, no. 02 (2020): 117. http://dx.doi.org/10.47312/ambr.v4i02.241.

Full text

Abstract:

<em>In the midst of a national economic growth downturn that affected the capital market as a subsystem of the economy, now Indonesia capital market industry began to look at the development of the application of the principles of sharia as an alternative investment instruments in capital markets activities in Indonesia. The growth of the Islamic capital market in Indonesia is quite encouraging, but the Islamic capital market exposure is still minimal. Lack of public understanding about the Islamic capital market into doubt for investors to invest in the capital market. With the backgrou

APA, Harvard, Vancouver, ISO, and other styles

3

Manjunatha, T., and T. Mallikarjunappa. "Bivariate Analysis of Capital Asset Pricing Model in Indian Capital Market." Vikalpa: The Journal for Decision Makers 34, no. 1 (2009): 47–60. http://dx.doi.org/10.1177/0256090920090104.

Full text

Abstract:

Capital Asset Pricing Model (CAPM) establishes the relationship between risks and returns in the efficient capital markets. A review of studies conducted for various markets in the world reveals that researchers have used a number of methodologies to test the validity of CAPM. While some studies have supported the validity of CAPM, some others have revealed that beta alone is not a suitable determinant of asset pricing and that a number of other factors could explain the cross-section of returns. This paper has attempted to test the validity of the combination effect of the two parameter CAPM

APA, Harvard, Vancouver, ISO, and other styles

4

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.

Full text

Abstract:

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

APA, Harvard, Vancouver, ISO, and other styles

5

Asnawi, Said Kelana, Samuel Pratama, Hans Christian Kurniawan, and Samuel Yosua Rodjana. "Does INDONESIAN CAPITAL MARKET EFFICIENT?: A RELATION BETWEEN PRICE-VOLUME." Jurnal Ilmiah Ekonomi Dan Bisnis 20, no. 2 (2023): 136–45. http://dx.doi.org/10.31849/jieb.v20i2.13019.

Full text

Abstract:

Efficient markets show prices have reflected information. In an efficient market, the pattern of price movements is a random walk, meaning that prices cannot be predicted accurately, so investors do not get abnormal returns. The informations used in this study are: lag-return (r-1); lag return(r-2); trading volume, as well as the synergy between (r-1) and trading volume. This research found that the coefficient was not significant in almost all tests. Investors cannot use past information to get abnormal returns Thus the efficient market hypothesis is proven. This efficient market situation sh

APA, Harvard, Vancouver, ISO, and other styles

6

Safitri, Heni, and Dedi Hariyanto. "Capital Market Reaction in Asean Member Countries Against Market Shock: Russia and Ukraine War." Journal of Asian Multicultural Research for Economy and Management Study 3, no. 4 (2023): 30–37. http://dx.doi.org/10.47616/jamrems.v3i4.353.

Full text

Abstract:

This study aims to find the reaction of capital markets in ASEAN member countries due to the emergence of war between Russia and Ukraine by comparing the values of abnormal returns, cumulative abnormal returns and trading volume activity before and after the Russian attack on Ukraine. This research is an event study research. Event study was developed to analyze market reaction to an event whose information is published. The event used in this study is the market shock condition from the war between Russia and Ukraine. The observation period uses the event window, which is 14 trading days befo

APA, Harvard, Vancouver, ISO, and other styles

7

Bonga-Bonga, Lumengo, and Sefora Motena Rangoanana. "Carry Trade and Capital Market Returns in South Africa." Journal of Risk and Financial Management 15, no. 11 (2022): 498. http://dx.doi.org/10.3390/jrfm15110498.

Full text

Abstract:

This paper assesses the extent to which carry trade operations affect the performance of equity and bond markets in a target country, South Africa, by considering the US and the euro area as the funding countries. A two- and three-factor capital asset pricing model (CAPM) is employed to assess whether the pricing of equity and bond markets in South Africa depends on the US dollar/rand and euro/rand carry trade returns. Moreover, the paper uses the quantile regression technique to assess whether this pricing varies with the distribution of the equity and bond returns. The findings support that

APA, Harvard, Vancouver, ISO, and other styles

8

Barua, S. K., and V. Raghunathan. "Inefficiency of the Indian Capital Market." Vikalpa: The Journal for Decision Makers 11, no. 3 (1986): 225–30. http://dx.doi.org/10.1177/0256090919860305.

Full text

Abstract:

Efficient pricing of securities and maintenance of parity between risk and return are absolutely essential for a well-functioning capital market. In this paper, S K Barua and V Raghunathan discuss a clear case of observed inefficiency in the Indian capital market. They show, taking the case of Reliance, that an investor can earn returns incommensurate with the degree of risk assumed by operating on rights issues of shares and convertible debentures simultaneously in forward and cash markets. Although the government policy of granting a low premium on rights shares and convertible debentures ai

APA, Harvard, Vancouver, ISO, and other styles

9

Arnott, Robert D., and Anne Casscells. "Demographics and Capital Market Returns." Financial Analysts Journal 59, no. 2 (2003): 20–29. http://dx.doi.org/10.2469/faj.v59.n2.2511.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Chordia, Tarun, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam, and Qing Tong. "Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation." Journal of Financial and Quantitative Analysis 52, no. 4 (2017): 1301–42. http://dx.doi.org/10.1017/s0022109017000515.

Full text

Abstract:

Corporate bond returns exhibit predictability in a manner consistent with efficient pricing. Many equity characteristics, such as accruals, standardized unexpected earnings, and idiosyncratic volatility, do not impact bond returns. Profitability and asset growth are negatively related to corporate bond returns. Because firms that are profitable or have high asset growth (and hence more collateral) should be less risky, with lower required returns, the evidence accords with the risk–reward paradigm. Past equity returns are positively related to bond returns, indicating that equities lead bonds.

APA, Harvard, Vancouver, ISO, and other styles

11

Fikri, M. Ali, and Yusifa Pascayanti. "Return Pasar Modal dan Pasar Rakyat." Empiricism Journal 3, no. 2 (2022): 221–26. http://dx.doi.org/10.36312/ej.v3i2.1006.

Full text

Abstract:

Relevansi nilai merupakan daya penjelas suatu hubungan dengan informasi akuntansi misalnya seperti return, laba, nilai buku, dan lain lain. Faktanya, banyak investor pasar modal di kalangan menengah ke atas dan investasi pasar rakyat dilakukan kalangan menengah ke bawah. Penelitian ini bertujuan untuk menguji perbedaan return pasar saham dan pasar rakyat dengan menggunakan analisis uji beda Mann Whitney menggunakan sampel perusahaan retail di Bursa Efek Indonesia dan UMKM Pasar Tradisional di daerah Mataram, dengan signifikansi sebesar 0.00 (< 5%), yang berarti bahwa terdapat perbedaan retu

APA, Harvard, Vancouver, ISO, and other styles

12

Lis, Sintha Oppusunggu, Nurlaela Wati Lela, and Ispriyahadi Heri. "The Covid-19 Pandemic's Impact On Financial Performance And Market Performance In Nine Indonesian Business Sectors." JOURNAL OF ECONOMICS, FINANCE AND MANAGEMENT STUDIES 06, no. 01 (2023): 385–94. https://doi.org/10.5281/zenodo.7575452.

Full text

Abstract:

This study compared trading volume activity before and after the COVID-19 pandemic, the first large-scale social restrictions, the New Normal, and the second large-scale social restrictions at LQ Companies. It also examined differences in stock prices, stock returns, the Composite Stock Price Index, market returns, and trading prices. -45. Data analysis compares stock prices, stock returns, the Composite Stock Price Index, market returns, and stock trading volumes before and during the Covid-19 epidemic as part of this research's event study methodology. Despite the variations in test resu

APA, Harvard, Vancouver, ISO, and other styles

13

Masyhuri Hamidi, Fajri Adrianto, Nanda Nanda, Eko Dwi Putra, and Amer Azlan Abdul Jamal. "Intraday Return Of Winners Vs Losers Indonesian Capital Market Evidence." International Journal of Business and Society 25, no. 2 (2024): 773–88. http://dx.doi.org/10.33736/ijbs.7630.2024.

Full text

Abstract:

The aim of this study is to determine intraday returns in the Indonesian capital market, using sample of 177 listed Indonesian companies from 2021-2022. This study adopts a multiple linear regression analysis, where the return of the last half hour as an endogenous variable consists of winners and losers, the return of the first half hour of trading, the volume of the first half hour, overnight returns, and the USA index futures as an exogenous variable. The originality of this research aims to demonstrate empirical evidence on intraday returns by distinguishing winner & loser stocks and t

APA, Harvard, Vancouver, ISO, and other styles

14

Marangu, Kenneth, Stephen Muathe, and Lucy Mwangi. "Secondary Equity Offer Announcements and Share Returns at Nairobi Securities Exchange, Kenya." International Journal of Financial Research 10, no. 6 (2019): 95. http://dx.doi.org/10.5430/ijfr.v10n6p95.

Full text

Abstract:

This paper empirically analyzes the effect of secondary equity offer announcements on share returns at Nairobi Securities Exchange in Kenya by investigating the information content of the announcements and ascertaining whether the release of financial information in the capital market affects share returns. An event study employing the market return model determined share returns of 52 bonus issues and 28 rights issues announced between January 2006 and December 2015. The study established that secondary equity offer announcements had a significant and positive effect on share returns and that

APA, Harvard, Vancouver, ISO, and other styles

15

Zhang, Jiahui. "Empirical Test and Analysis of Capital Asset Pricing Model (CAPM) in China's Capital Market." Frontiers in Business, Economics and Management 17, no. 3 (2024): 399–403. https://doi.org/10.54097/p7w24q63.

Full text

Abstract:

Based on the obtained data of 80 stocks in Shanghai A-shares from August 5, 2016 to August 4, 2019, this paper empirically tests the applicability of the capital asset pricing model (CAPM) in China's capital market. Through regression analysis and time series analysis, the association between systematic risk (beta coefficient) and stock returns, as well as the impact of non-systematic risk on stock returns, are studied. The results show that from August 5, 2016 to August 4, 2019, the beta coefficient is significantly positively related to the excess return of stocks, but non-systematic risk ha

APA, Harvard, Vancouver, ISO, and other styles

16

Karim, Abdul, and Abdul Rasheed. "Measuring Market Efficiency in the Capital Market of Pakistan." Global Management Sciences Review 10, no. I (2025): 1–19. https://doi.org/10.31703/gmsr.2025(x-i).01.

Full text

Abstract:

This research investigates day-of-the-week (DOW) and month-of-the-year (MOY) anomalies in Pakistan during the Gregorian and Islamic calendars. Applying GARCH models on KSE100 index data from November 1991 to May 2021, the paper investigates calendar anomalies over periods of overall, non-crises, crises, before and after capital market reform. Results identify a DOW anomaly in which strongly positive Wednesday returns and strongly negative Monday returns exist across all periods. MOY anomalies also present, as January and Ramzan effects confirmed international equity markets. Results were confi

APA, Harvard, Vancouver, ISO, and other styles

17

Ali Fikri, M., Saipul Arni Muhsyaf, and Nungki Kartikasari. "RETURN PASAR MODAL DAN PASAR RAKYAT?" Jurnal Aplikasi Akuntansi 6, no. 1 (2021): 56–66. http://dx.doi.org/10.29303/jaa.v6i1.98.

Full text

Abstract:

The value relevance according to Beaver (1968) is the explanatory power of accounting information, for example accounting earnings and book value are related to firm value represented by stock prices. The phenomenon is that many players from the capital market are carried out by the middle to upper class, even though on the other hand there are small investments that also generate returns, for example the traditional market. This study examines the differences in the value relevance of the capital market and the traditional market to obtain empirical evidence about the relevance of the value o

APA, Harvard, Vancouver, ISO, and other styles

18

Shimizu, Chihiro. "Microstructure of asset prices, property income and discount rates in the Tokyo residential market." International Journal of Housing Markets and Analysis 10, no. 4 (2017): 552–71. http://dx.doi.org/10.1108/ijhma-12-2016-0082.

Full text

Abstract:

Purpose The purpose of this paper is to decompose and measure the microstructure of property investment returns for Tokyo’s residential property markets in as much detail as possible in comparison with office market. Design/methodology/approach Using enterprise value data for property investment trust companies composed of share prices available on capital markets, this study proposed a method of estimating property investment returns corresponding to changes in capital markets, and clarified the distortion in capitalization rate that are formed based on property appraisal prices. Findings The

APA, Harvard, Vancouver, ISO, and other styles

19

Zasępa, Piotr. "Effectives of private equity and venture capital investments comparing with stock and bond market." Zeszyty Naukowe Wyższej Szkoły Humanitas Zarządzanie 18, no. 2 (2017): 57–70. http://dx.doi.org/10.5604/01.3001.0010.2923.

Full text

Abstract:

This paper examines approach and possibility of comparison of venture capital rate of returns with specific public benchmarks. Rate of return that are used by the public market analytics do not fit within venture capital cash flow characteristics. One of the methods that are presented in this article is Public Market Equivalent which enable simple comparison of venture capital rate of returns with effects of the public index or bond market for Bond Market Equivalent method.

APA, Harvard, Vancouver, ISO, and other styles

20

Dziuba, Pavlo, Olena Pryiatelchuk, and Denys Rusak. "EQUITY MARKETS RISKS AND RETURNS: IMPLICATIONS FOR GLOBAL PORTFOLIO CAPITAL FLOWS DURING PANDEMIC AND CRISIS PERIODS." Baltic Journal of Economic Studies 7, no. 3 (2021): 97–108. http://dx.doi.org/10.30525/2256-0742/2021-7-3-97-108.

Full text

Abstract:

The paper is devoted to the study of risk and return tradeoff in the global equity market as well as particular market groups: developed, emerging and frontier markets. Impact of this tradeoff on international equity portfolio liabilities is explored. The study confirms the hypothesis that there are some specific patterns of risk and return tradeoff during crisis periods and periods of markets regular regime that substantially differ from each other and define global portfolio equity flows and liabilities in a specific way. The paper thus carries out its main objective that implies revealing t

APA, Harvard, Vancouver, ISO, and other styles

21

Dewi, Rina Setyawati, and Widarjo Wahyu. "Market Reaction to Demonstration Events." Journal of Economics, Finance and Management Studies 06, no. 01 (2023): 111–19. https://doi.org/10.5281/zenodo.7520218.

Full text

Abstract:

This study aims to analyse the effect of demonstration events on abnormal returns. The literature shows that demonstration events have information content that can influence investors in the capital market. Therefore, investors in the capital market will react after the information is received. Demonstration events are risks closely related to negative signals influencing investors’ decisions in the capital market. The country’s situation, which was currently in turmoil due to continuous and chaotic demonstrations, greatly affected the state of the country’s economy. The rese

APA, Harvard, Vancouver, ISO, and other styles

22

Swandari Budiarso, Novi, and Winston Pontoh. "Market efficiency and global issues: A case of Indonesia." Investment Management and Financial Innovations 19, no. 4 (2022): 1–13. http://dx.doi.org/10.21511/imfi.19(4).2022.01.

Full text

Abstract:

The efficient market hypothesis assumes that the stock prices fully reflect all relevant information. Under the weak form, the future prices are independent of current prices or in the other words, they follow the random walk hypothesis. Global issues tend to have an impact on capital markets around the world. Therefore, the objective of this study is to assess the effect of global issues on the movements of expected returns in the Indonesian capital market from January 1, 2022, to June 30, 2022. The sample of 755 listed firms is used to test whether the expected returns have a random pattern

APA, Harvard, Vancouver, ISO, and other styles

23

Kuldeep, Preeti. "Stock Returns on Capital Investments." International Journal for Research in Applied Science and Engineering Technology 12, no. 5 (2024): 5550–57. http://dx.doi.org/10.22214/ijraset.2024.62284.

Full text

Abstract:

Abstract: A crucial component of financial research and investment decision-making is the link between capital investments and stock returns. Stock returns show how a company's stock performed over a given time period, whereas capital investments show how money was allocated to assets that were meant to yield returns in the future. Examining a range of variables, including market conditions, industry dynamics, macroeconomic considerations, the effectiveness of capital allocation, and the calibre of investment decisions, is necessary to comprehend how capital investments affect stock returns. T

APA, Harvard, Vancouver, ISO, and other styles

24

Nurita, Dea. "Dispotition Effect And Momentum." MANAJERIAL 9, no. 02 (2022): 202. http://dx.doi.org/10.30587/jurnalmanajerial.v9i02.3918.

Full text

Abstract:

Background - An important challenge for behavioral finance is to find a direct relationship between the behavior of individual investors and asset price dynamics. One of irrational investors are most conspicuous in the financial markets is the tendency of some investors to sell winner stocks too early and keep losers stocks too long, called the disposition effect. Disposition effect can trigger a momentum in the stock price. Aim - To examine the past returns and disposition effect in predicting the momentum of stock returns. Desaign / methodology / approach - The data used in this study is wee

APA, Harvard, Vancouver, ISO, and other styles

25

Qadir Patoli, Abdul, Abdul Sattar Shah, and Karim Bux Syed. "Testing Illiquidity and Momentum Factors with Asset Pricing: Evidence from Emerging Capital Markets of South Asia." Journal of Asian Development Studies 13, no. 2 (2024): 1544–61. http://dx.doi.org/10.62345/jads.2024.13.2.122.

Full text

Abstract:

This paper explores the asset pricing factors which pose aggregate risk to the portfolio returns in the Pakistan Stock Exchange (PSX). The purpose is to test the illiquidity and momentum factors along with the well-documented three factors in asset pricing model using Fama and French (2015) and Lam and Tam (2011) for one of the emerging markets of South Asia, i.e., Pakistan, using 20-year monthly data from January 2001 to December 2020. This paper adopts the methodology of Fama and French (2015) as used in the developed market and Lam and Tam (2011) for the emerging market phenomenon, to formu

APA, Harvard, Vancouver, ISO, and other styles

26

Yavas, Burhan F., Kathleen Grave, and Demosthenes Vardiabasis. "Diversification strategies and equity market performances." Review of International Business and Strategy 29, no. 3 (2019): 207–25. http://dx.doi.org/10.1108/ribs-01-2019-0002.

Full text

Abstract:

Purpose This paper aims to investigate the linkages among foreign direct investment (FDI – greenfield and mergers and acquisitions [M&A]) decisions and equity market returns and volatilities. The main premise is that FDI decisions by multinational enterprises (MNE) are influenced by risk and uncertainty indicated by equity market returns and volatilities in the destination (host) countries. This is so because the events on the stock markets in general and their volatilities in particular signal the vitality of the investment climate of the target market. Understanding volatility in capital

APA, Harvard, Vancouver, ISO, and other styles

27

Umer, Shahzad, and Xiaoyin He. "EFFECT OF CAPITAL RATIOS ON LISTED BANKS STOCK RETURNS: EVIDENCE FROM PAKISTAN." Journal of Global Trade, Ethics and Law 1, no. 1 (2023): 55–85. https://doi.org/10.5281/zenodo.7805766.

Full text

Abstract:

<strong>Abstract. </strong>The study examined the market-valued capital ratio (MLR) as an indicator to measure the riskiness of banks. After examining the cross-section relationship between market-value capital ratios and banks’ stock returns in the Pakistani banking sector from 2005 to 2018 by using Fama & French three-factor model. The study shows that banks in Pakistan with lower market capital ratios have had higher average stock returns of banks than those with higher market capital ratios, which means there is a negative relationship between market-value capital ratios (MLR) an

APA, Harvard, Vancouver, ISO, and other styles

28

James, Ese Ighoroje, and Othuke Emmanue Akpokerere. "An Investigation of Weak Form Efficiency in the Nigerian Capital Market." Account and Financial Management Journal 07, no. 06 (2022): 2787–94. https://doi.org/10.5281/zenodo.6757781.

Full text

Abstract:

Abstract The study investigated if the Nigerian stock market (NSM) is weak and inefficient from1990 and 2019. To properly capture the studied periods, they were clustered, the data used to conduct this research is monthly All Share Index (ASI) source from the apex bank Bulletin, 2019. The specific objectives investigated include: (1) presence of normal distribution, (2) the randomness or stock market returns’ independence so as to forecast future market returns. Various tests conducted includes: descriptive statistics, Kolmogorov-Smirnov Test, runs test, unit root test, and simple regres

APA, Harvard, Vancouver, ISO, and other styles

29

Moutinho, Rafael Antonio, and Ricardo Luiz Menezes da Silva. "O risco de carbono é relevante no mercado brasileiro?" Revista de Contabilidade e Organizações 18 (December 31, 2024): e224756. https://doi.org/10.11606/issn.1982-6486.rco.2024.224756.

Full text

Abstract:

The purpose of this study is to analyze the relationship between stock return and the disclosure of carbon emissions in the Brazilian market. International literature has documented a strong correlation between stock returns and carbon emissions on a global scale. There is little evidence on the impact of carbon emissions disclosure on the Brazilian capital markets. Previous studies in the Brazilian market analyzed stock returns for a B3 Carbon Index (ICO2) sample, and they did not find superior stock returns for those firms. This study expands the sample considering all companies that volunta

APA, Harvard, Vancouver, ISO, and other styles

30

Elfakhani, Said, Larry J. Lockwood, and Tarek S. Zaher. "SMALL FIRM AND VALUE EFFECTS IN THE CANADIAN STOCK MARKET." Journal of Financial Research 21, no. 3 (1998): 277–91. http://dx.doi.org/10.1111/j.1475-6803.1998.tb00686.x.

Full text

Abstract:

AbstractWe examine the relation among average returns, market beta, firm size, and book‐to‐market value for Canadian stocks during 1975–92. We document a negative relation between average return and the market capitalization of firms, but find no relation between average return and market beta. While the small firm effect is significant during a period of reduced capital gains tax, it is noticeably lower than during the period leading up to the change. We find that average returns are positively related to book‐to‐market value especially during the period of lower capital gains tax.

APA, Harvard, Vancouver, ISO, and other styles

31

Chiang, Ming-Chu, and I.-Chun Tsai. "Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets." Sustainability 12, no. 21 (2020): 8989. http://dx.doi.org/10.3390/su12218989.

Full text

Abstract:

In this paper, we infer that when no excess monetary liquidity exists, people tend to invest available capital in assets associated with a high return or low risk. However, when excess monetary liquidity occurs, capital may successively boost asset markets, and the stock market wealth is thus likely to spill into housing markets, resulting in bubbles in these two markets and therefore in the unsustainable development of both the housing and stock markets. This paper uses relevant data from the United Kingdom from January 1991 to March 2020 to verify whether excess monetary liquidity is a cruci

APA, Harvard, Vancouver, ISO, and other styles

32

Riaz, Amna, Nauman Riaz Chaudhry, Reema Choudhary, Mohsin Riaz, and Muhammad Suhail. "Capital Asset Pricing Model for the Stock Market in Pakistan." Qlantic Journal of Social Sciences 5, no. 2 (2024): 76–84. http://dx.doi.org/10.55737/qjss.139458386.

Full text

Abstract:

The Capital Asset Pricing Model (CAPM), within modern financial theory, offers a theoretical framework for pricing assets with uncertain returns. CAPM assesses systematic risk and proposes a linear relationship between risk and expected returns for any asset. It serves as a potent tool for pricing risky assets. In this present study, the trade-off between risk-return was investigated within the framework of CAPM and its validity was tested on the daily returns of companies listed in the chemical, textile and food sectors of the Pakistan stock market during the period July 2004- Feb 2014. The r

APA, Harvard, Vancouver, ISO, and other styles

33

De Chiara, Carmine, and Giovanni Puopolo. "Testing the capital asset pricing model in the Italian market." Corporate Ownership and Control 12, no. 3 (2015): 40–47. http://dx.doi.org/10.22495/cocv12i3p4.

Full text

Abstract:

In this paper we provide an empirical investigation of the classic Capital Asset Pricing Model (CAPM) on all firms listed in the Italian stock exchange at the monthly frequency. We intend to show that the CAPM, despite the heavy critical comments, still holds in the Italian market when returns are measured at the monthly frequency. Most importantly, our evidence indicates that the market portfolio fully explains the cross section of stock returns and there is no need to appeal for additional determinants. Our results have very important implications for long term investors who can forecast the

APA, Harvard, Vancouver, ISO, and other styles

34

Annaert, Jan, Frans Buelens, Ludo Cuyvers, Marc De Ceuster, Marc Deloof, and Ann De Schepper. "Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833–2005." Financial History Review 18, no. 3 (2011): 277–308. http://dx.doi.org/10.1017/s0968565011000187.

Full text

Abstract:

In this article, we calculate a market-weighted return index for the 20 largest stocks listed on the Brussels Stock Exchange over the period 1833–2005, based on a new, unique and high-quality database. We find that this index captures the most important stylised facts of the value-weighted return of all shares listed on the Brussels Stock Exchange in this period. Our results support the empirical practice of concentrating on just the largest stocks. The indices we construct are based on one of the longest Belgian time series available. The indices take into account the exact dividends, the tim

APA, Harvard, Vancouver, ISO, and other styles

35

Oh, Yonghyup. "European Sector Returns and Capital Market Integration." Review of International Economics 11, no. 3 (2003): 527–40. http://dx.doi.org/10.1111/1467-9396.00400.

Full text

APA, Harvard, Vancouver, ISO, and other styles

36

Juwita, R., F. Rosyana, and E. Purwaningrum. "Coronavirus Disease (COVID) -19 Vaccinations and Indonesian Capital Market." Proceeding of International Conference on Business, Economics, Social Sciences, and Humanities 3 (December 1, 2022): 231–40. http://dx.doi.org/10.34010/icobest.v3i.141.

Full text

Abstract:

This study aims to compare the Indonesian capital market responses in term of abnormal return, cumulative abnormal return, and trading volume activity due to Coronavirus disease (COVID)-19 Vaccinations. The event study method is used in this research to study Indonesia's capital market response during the event period. The event period is divided into 2, i.e. 10 days before and after the event and also 30 days before and after the event. The sample was selected by using the purposive sampling method and obtained from 10 pharmaceutical sub-sector companies listed on IDX. The secondary data used

APA, Harvard, Vancouver, ISO, and other styles

37

Sun, Ruize. "International Capital Flows, Dynamic Changes in Cryptocurrency and Noble Metal Markets." BCP Business & Management 32 (November 22, 2022): 231–41. http://dx.doi.org/10.54691/bcpbm.v32i.2894.

Full text

Abstract:

In 2022, with the implementation of tightening monetary policies by FOMC, US dollar is experiencing a dramatic appreciation in a very short period. Though numerous studies have demonstrated the connection between the traditional currency market, cryptocurrency market, and precious metal market, rare studies are exploring the relationships between the three markets under a special political environment. This paper selects USDCNY exchange rate, gold and silver, and bitcoin as the representatives of three markets and then tests the volatility response of return on gold & silver and return on

APA, Harvard, Vancouver, ISO, and other styles

38

Jannah, Miftahul, and Fadlul Imansyah. "Analisis Strategi Investasi Magic Formula pada Bursa Efek Indonesia." Jurnal Riset Akuntansi dan Keuangan 7, no. 2 (2019): 241–52. https://doi.org/10.17509/jrak.v7i2.17698.

Full text

Abstract:

Abstract. This study aims to investigate the performance of the magic formula investment strategy introduced by Joel Greenblatt (2006) which was applied to the Indonesia Stock Exchange. Magic formula is a simple stock selection strategy by ranking stocks based on return on capital and earnings yield. The next step is to choose the top thirty stocks from the combined rank to become a portfolio. The kompas100 index was chosen for the indonesia stock market. Returns from the magic formula portfolio are then compared to market returns. Portfolio rebalancing is conducted annually. Sharpe, treynor,

APA, Harvard, Vancouver, ISO, and other styles

39

Atanasov, Victoria, and Thomas Nitschka. "Foreign Currency Returns and Systematic Risks." Journal of Financial and Quantitative Analysis 50, no. 1-2 (2014): 231–50. http://dx.doi.org/10.1017/s002210901400043x.

Full text

Abstract:

AbstractWe apply an empirical approximation of the intertemporal capital asset pricing model (ICAPM) to show that cross-sectional dispersion in currency returns can be rationalized by differences in currency excess returns’ sensitivities to the market return’s cash-flow news component. This finding echoes recent explanations of the value and growth stock market anomaly. The distinction between cash-flow news and discount-rate news is key to jointly explain average stock and currency returns. Our analysis reveals the presence of a common source of systematic risk in stock and foreign currency r

APA, Harvard, Vancouver, ISO, and other styles

40

Kobar, Yoshua Fanuel, Agustina Ratna Dwiati, and Riski Aprillia Nita. "HOW THE CAPITAL MARKET REACTS BEFORE AND AFTER THE 2024 INDONESIAN PRESIDENTIAL ELECTION." Reviu Accounting, Business & Organizations 1, no. 1 (2025): 93–104. https://doi.org/10.64417/rabo.v1i1.2kk9ej72.

Full text

Abstract:

Research Objective - Analyzing capital market reactions ahead of and after the 2024 Indonesian presidential election. Method - The market reaction is examined through abnormal returns and trading volume activity, employing the paired sample t-test and the Wilcoxon signed-rank test as methods of statistical analysis. Findings - The Indonesian capital market did not provide a significant response to the 2024 Presidential Election event, either in the form of changes in abnormal returns or trading volume activity. At the announcement of the election results, the Indonesian capital market gave a r

APA, Harvard, Vancouver, ISO, and other styles

41

Sehgal, Sanjay, and I. Balakrishnan. "Contrarian and Momentum Strategies in the Indian Capital Market." Vikalpa: The Journal for Decision Makers 27, no. 1 (2002): 13–20. http://dx.doi.org/10.1177/0256090920020103.

Full text

Abstract:

The study attempts to evaluate if there are any systematic patterns in stock returns for the Indian market. The empirical findings reveal that there is a reversal in long-term returns, once the short-term momentum effect has been controlled by maintaining a one year gap between portfolio formation period and the portfolio holding period. A contrarian strategy based on long-term past returns provides moderately positive returns. Further, there is a continuation in short-term returns and a momentum strategy based on it provides significantly positive payoffs. The results in general are in confor

APA, Harvard, Vancouver, ISO, and other styles

42

Hawaldar, Iqbal Thonse. "Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse." Asian Journal of Finance & Accounting 7, no. 2 (2015): 107. http://dx.doi.org/10.5296/ajfa.v7i2.8356.

Full text

Abstract:

<p>The study is undertaken to find out the relationship between portfolio returns and market returns and test the empirical validity of the standard CAPM model on Bahrain Bourse. The study is based on 39 companies listed in the Bahrain Bourse, Bahrain All Share Index as market proxy and yield of Government of Bahrain securities as risk free rate of return. The study covers period from January 1, 2011 to December 31, 2014. The analysis of the results of the study revealed that many of the independent variables together with beta can explain the portfolio returns. However, the intercept te

APA, Harvard, Vancouver, ISO, and other styles

43

Aziz, Lalu Moh, and M. Ali Fikri. "Perbandingan Return Investasi: Menilai Keunggulan Pasar Modal dan Pasar Rakyat." Jurnal Riset Mahasiswa Akuntansi 4, no. 2 (2025): 166–75. https://doi.org/10.29303/risma.v4i2.1927.

Full text

Abstract:

This study aims to analyze and compare the investment return rates between the capital market and grassroots market in Indonesia. Utilizing a descriptive qualitative approach, the research involves a population of traders in grassroots markets and companies listed on the Indonesia Stock Exchange, with a sample size of 25 traders and 44 companies. Primary data were collected through in-depth interviews and direct observations, while secondary data were sourced from the financial reports of the companies. The data analysis method employed is descriptive analysis to compare returns between the tw

APA, Harvard, Vancouver, ISO, and other styles

44

A. Papanastasopoulos, Georgios, Andreas I. Tsalas, and Dimitrios D. Thomakos. "The accrual anomaly in the Greek stock market." Investment Management and Financial Innovations 13, no. 2 (2016): 322–33. http://dx.doi.org/10.21511/imfi.13(2-2).2016.07.

Full text

Abstract:

The authors examine the negative relation of traditional accruals and % accruals with future returns in the Greek stock market. Positive abnormal returns from hedge portfolios on both accrual measures summarize the economic significance of this negative relation. The magnitude of returns obtained from traditional accruals is higher than that obtained from % accruals, contrary to existing evidence from the U.S. capital market. The analysis suggests that the accrual anomaly appears to be present in the Greek stock market: this has macroeconomic implications because firms with low reported accrua

APA, Harvard, Vancouver, ISO, and other styles

45

Dhakal, Dipendra Raj, Sabin Shrestha, and Anil Shrestha. "Impact of Financial Risk and Macro-Economic Variable on Stock Return: Evidence from Commercial Banks of Nepal." Janabhawana Research Journal 3, no. 1 (2024): 1–20. http://dx.doi.org/10.3126/jrj.v3i1.68380.

Full text

Abstract:

This paper examines the impact of financial risks and macroeconomic variables on the stock returns of commercial banks in Nepal. The study focuses on four main types of financial risks: credit risk, market risk, capital risk, and liquidity risk, alongside bank size, return on assets (ROA), and dummy variables for COVID-19 and earthquake impacts. Additional macroeconomic variables include economic growth, inflation, and interest rates. Using panel data regression on yearly data over 11 years for 20 commercial banks, the study investigates these factors' causal impacts on stock returns. The find

APA, Harvard, Vancouver, ISO, and other styles

46

Ying, Qianwei, Tahir Yousaf, Qurat ul Ain, Yasmeen Akhtar, and Muhammad Shahid Rasheed. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis." Journal of Risk and Financial Management 12, no. 2 (2019): 97. http://dx.doi.org/10.3390/jrfm12020097.

Full text

Abstract:

The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the efficient market hypothesis by emphasizing anomaly/excess returns. Investors often fail to get excess returns; however, thus far, market anomalies have been witnessed and stock prices have diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory o

APA, Harvard, Vancouver, ISO, and other styles

47

Radu, Valentin, Catalin Dumitrescu, Emilia Vasile, Loredana Cristina Tanase, Maria Cristina Stefan, and Florin Radu. "Analysis of the Romanian Capital Market Using the Fractal Dimension." Fractal and Fractional 6, no. 10 (2022): 564. http://dx.doi.org/10.3390/fractalfract6100564.

Full text

Abstract:

The surrounding reality can be analyzed due to the interaction of complex nonlinear dynamic systems. The article's main objective is to develop and analyze the models that best describe the efficient behavior of the Romanian capital market that generated the analyzed time series. The empirical analysis carried out in this paper does not aim to classify the Romanian market capital as efficient or ineffective but rather to identify the degree of deviation from efficiency relative to other markets, namely, an analysis of the dynamics of the degree of deviation over time. To describe the distribut

APA, Harvard, Vancouver, ISO, and other styles

48

Mahato, Jai Kumar. "Impact of Capital structure on stock return." Medha: A Multidisciplinary Journal 6, no. 2 (2023): 53–60. http://dx.doi.org/10.3126/medha.v6i2.69910.

Full text

Abstract:

This study delves into the complex variables that impact investor perceptions and market results by investigating the link between a firm's capital structure and its stock performance. The key to sound financial management is understanding a company's capital structure, which is the mix of stock and debt used to finance operations. Considerations include financial risk, cost of capital, financial leverage, market circumstances, investor perception, and regulatory framework. All these aspects interact with capital structure decisions and their impact on stock return. With financial risk being b

APA, Harvard, Vancouver, ISO, and other styles

49

Assis de Salles, Andre, and Dayana Viana AlvesViana Alves. "Performance of the ESG Investments: The Risk and Return Difference in Capital Markets of Developed and Emerging Economies." Revista Mexicana de Economía y Finanzas 20, no. 3 (2025): 1–16. https://doi.org/10.21919/remef.v20i3.966.

Full text

Abstract:

This work aims to verify the performance of financial assets classified as ESG, comparing the risk and return of the ESG Index with the financial assets index benchmark traded in the reference market. The purpose is to verify the performance of the ESG Index compared to the market. The measurement of volatility and returns, as well as tests of hypotheses of cointegration and causality between the time series of returns on quotations of selected ESG Indices and their respective benchmarks, were used. Besides that, autoregressive vector and heteroscedastic conditional autoregressive volatility m

APA, Harvard, Vancouver, ISO, and other styles

50

Arik, Mohamad, Riyanto Setiawan Suharsono, and Moh Halim. "The Effect of Financial Ratios and Revenue Growth on Stock Returns in Manufacturing Companies on the Indonesia Stock Exchange." West Science Accounting and Finance 2, no. 03 (2024): 440–51. https://doi.org/10.58812/wsaf.v2i03.1111.

Full text

Abstract:

Investment is the investment of assets or funds with the aim of obtaining profits in the future. This investment can be made in the capital market. The capital market is a place where securities are traded. This study aims to find out whether liquidity, profitability, leverage, market and revenue growth affect stock returns in manufacturing companies listed on the IDX. The theory used is signal theory, using a type of descriptive approach using the population in this study are manufacturing sub-sector companies listed on the Indonesia Stock Exchange. The total population in this study is 209 c

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!