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Journal articles on the topic 'Return of stocks'

Author: Grafiati

Published: 28 May 2022

Last updated: 31 July 2025

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1

Agarwal, Mehul. "Does Investment in Defensive Stocks Act as a Buffer during Market Downturns?" INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 04 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem30553.

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The study examines the performance of defensive stocks during market downturns in the Indian stock market. The research focuses on the period from January 2000 to December 2023. In this study selected stocks from the Fast-Moving Consumer Goods (FMCG) sector (HUL, ITC, Britannia Industries) and Pharma sector (Sun Pharmaceuticals Industries, Dr Reddy Laboratories and Cipla) have been taken into consideration. Five key metrics are covered to assess the stock’s performance: Stock return, Correlation, Beta Compound Annual Growth Rate (CAGR), and Dividend yield. For stock return a comparison is made

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Eltahir, Yassin Ibrahim, Osama Azmi Sallam, Hussien Omer Osman, and Fethi Klabi. "Does Volatility Generate Major and Minor Stocks in Saudi Stocks Market?" Integrated Journal of Business and Economics 4, no. 1 (2020): 14. http://dx.doi.org/10.33019/ijbe.v4i1.239.

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This study attempts to answer the main question: are there reciprocal effects between the variances of the stock returns in the Saudi market, also the answer to a sub-question. What are the leading stocks in the Saudi market?. Study selected a sample of five stocks representing the basic materials, banking, services, food and transport sectors (SABIC, Al Rajhi, Etisalat, Almarai and Al Bahri respectively). The data sample for the period from 2011 to 2016 is taken, which represents the lifespan of the five-year plan. Daily stock returns were calculated during this period. Study applies the M GA

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Larasati, Btari Gavrilla, C. Ambar Pujiharjanto, and Nilmawati Nilmawati. "Analysis Of Stock Return Anomaly On The Indonesia Stock Exchange Based On Market Capitalization." Journal of Business Innovation and Research 2, no. 2 (2024): 195. http://dx.doi.org/10.31315/jubir.v2i2.12031.

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There has been a well-known market anomaly in the stock market called the firm size effect. This theory explains that small-cap stocks may provide greater stock returns than big-cap stocks. This research aimed to test the firm size effect theory on 827 stocks listed on the Indonesia Stock Exchange (IDX) during January 2 to June 27, 2023. The research sample was divided into big-cap and small-cap categories based on the calculation of average market capitalization, then the average value of stock returns from both categories were statistically compared. The result showed that the average values

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Putrie, Veronica Clasrissa, and Himda Anataya Nurdyah. "Stock Making Investment Decisions Using the Capital Asset Pricing Model (CAPM) Analysis of the Business Index-27 on the Indonesian Stock Exchange." International Journal of Mathematics, Statistics, and Computing 2, no. 3 (2024): 95–101. http://dx.doi.org/10.46336/ijmsc.v2i3.119.

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The purpose of this study is to measure the ability of the Capital Asset Princing Model (CPAM) in analyzing investment decision making by predicting the risk and return that will be obtained by investors and helping investors in choosing efficient and inefficient stocks. CAPM is a measuring tool that can be used to determine the level of risk and return obtained and evaluate the rate of return on investment. The purposive sampling technique is used in selecting samples to be used in the study, namely companies listed on the Indonesia Stock Exchange and their shares are consistently included in

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Vidović, Jelena. "Risk-return-volume causality on the Croatian stock market." Ekonomski vjesnik 37, no. 1 (2024): 79–92. http://dx.doi.org/10.51680/ev.37.1.6.

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Purpose: Causality between stock returns, volatility and traded volume for 10 most liquid stocks from Zagreb Stock Exchange (ZSE) is examined in this paper. Methodology: The paper relies on historical daily data regarding return, standard deviation and turnover for the period from 2015 to 2021. Vector Autoregressive Models (VARs) were estimated for each stock in-dividually. Based on estimated VAR models, Granger-causality tests were performed to estimate causality between trading volume, stock returns and volatility for most liquid stocks from the Croatian stock market. Results: Results strong

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Febi Amelia Putri, Nurman Nurman, Annisa Paramaswary Aslam, Anwar Ramli, and Anwar Anwar. "Penggunaan Capital Asset Pricing Model (CAPM) untuk Menilai Kelayakan Investasi pada Saham Indeks IDX30 di Bursa Efek Indonesia (BEI) Tahun 2019-2023." JURNAL MANAJEMEN DAN BISNIS EKONOMI 3, no. 2 (2025): 01–17. https://doi.org/10.54066/jmbe-itb.v3i2.3025.

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This study aims to assess the feasibility of investing in stocks included in the IDX30 index using the Capital Asset Pricing Model (CAPM). By analyzing 53 stocks from various industries categorized on the Indonesia Stock Exchange (IDX). through historical stock data for the period 2019 to 2023, this study evaluates individual return (Ri), systematic risk (beta/β), and expected return or E(Ri). The analysis results show that overall these stocks provide a positive return of 0.00658 which indicates that these stocks are profitable for investors. However, there were 19 stocks that experienced neg

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7

Zhang, Xiao-Jun. "Book-to-Market Ratio and Skewness of Stock Returns." Accounting Review 88, no. 6 (2013): 2213–40. http://dx.doi.org/10.2308/accr-50524.

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ABSTRACT: This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium (discount) investors apply to these glamour (value) stocks also correlates significantly with the difference in return skewness. These findings suggest that the value/glamour-stock puzzle is partially explained by investor preference for positive skewness in stock returns. Such preference for skewness, which is consisten

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Dai, Zhonglan, Douglas A. Shackelford, and Harold H. Zhang. "Capital Gains Taxes and Stock Return Volatility." Journal of the American Taxation Association 35, no. 2 (2013): 1–31. http://dx.doi.org/10.2308/atax-50509.

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ABSTRACT This paper presents an empirical investigation of the impact of capital gains taxes on stock return volatility. We predict that the more stock returns are subject to capital gains taxation, the greater the increase in return volatility following a capital gains tax rate cut due to reduced risk-sharing in firms' cash flows between shareholders and the government. Consistent with this prediction, we find larger increases in the return volatility for more appreciated stocks than for less appreciated stocks and for non-dividend-paying stocks than for dividend-paying stocks after both 1978

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Solekha, Yasmin Afnan, and Wahid Wachyu Adi Winarto. "Analisis Volatilitas Return Saham Terhadap Risiko Sistematis Dimasa Pandemik Covid-19 pada Saham LQ 45." Jurnal Akuntansi dan Audit Syariah (JAAiS) 1, no. 1 (2020): 77–87. http://dx.doi.org/10.28918/jaais.v1i1.3485.

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The Covid-19 pandemic has had a very big impact. All parts of the world are making efforts to prevent the spread of this virus, decisions to lockdown, quarantine areas, or PSBB. Which resulted in delays in the economy and financial markets. Domestic and foreign investors dispose of their funds in order to prevent risks. JCI recorded that in February the price index fell to a level of 3938. Stock prices that tend to be unstable will affect the volatility of returns (fluctuations in the level of returns that will be obtained by investors) and systematic risk (deviations from the outcome of their

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Urwah, Khaerun Nisa, Ida Farida, and Arief Zul Faozi. "Analisis Capital Asset Pricing Model (CAPM): Dasar Pengambilan Keputusan Investasi Saham pada Perusahaan Sektor Perbankan." Owner 8, no. 1 (2024): 333–44. http://dx.doi.org/10.33395/owner.v8i1.1850.

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Investing is one way to increase income. However, the reality is that not all investors can generate additional income and not all investors can manage their investments optimally. This problem arises because investors make several mistakes when investing. The purpose of this study is to classifiy between efficient stocks and inefficient stocks using the CAPM method, so that it can help investors in considering the right stock investment. The data collection techniques used are documentation and literature study. The data analysis technique used is descriptive quantitative. The results of this

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Amaroh, Siti, and Chanif Nasichah. "Risk-Return Analysis on Optimum Portfolio Selection of Islamic Stocks." Equilibrium: Jurnal Ekonomi Syariah 9, no. 1 (2021): 65. http://dx.doi.org/10.21043/equilibrium.v9i1.9433.

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<p><em>This study aims to determine the optimum portfolio category and analyze the risk-return on a formed portfolio. Data was taken from eighteen listed companies indexed by Jakarta Islamic Index during 2015-2018. Stock returns are calculated based on the closing price at the end of each month in the period. Sharia Certificate of Bank Indonesia is a proxy of risk-free return, while the market return is measured by the value of the Jakarta Islamic Index. Stocks are sorted by the value of excess return to beta (ERB) from highest to lowest, and to obtain optimal stock portfolio candi

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IQBAL, KAZI, and SIBAN SHAHANA. "Stylized Facts of the Statistical Properties of Risk and Return of the Dhaka Stock Exchange: 1991-2015." Bangladesh Development Studies XLII, no. 4 (2021): 83–110. http://dx.doi.org/10.57138/rqwj2951.

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While the role of financial market, particularly the stock market, in promoting economic growth through efficient allocation of capital is well recognised, the investors of the developing economies have little knowledge about the return and risk of the markets they operate in. To this end, we compile a security level historical data for the period 1991-2015 for Dhaka Stock Exchange and identify some important stylized facts about the return and risk. Descriptive statistics of disaggregated stock data suggest that while the daily rate of returns swing up and down over decades, the volatility te

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Yu, Jing Long, Tse Mao Lin, and Xin Hui Wu. "Does Brexit Have a Bullish or Bearish Effect on the Taiwan Stock Market?" International Journal of Economics and Financial Research, no. 73 (July 11, 2021): 90–101. http://dx.doi.org/10.32861/ijefr.73.90.101.

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Using the event study method to analyze one year of daily trading data of formal and Over-The-Counter (OTC) stocks in Taiwan, this study investigates whether the Brexit referendum led to abnormal returns, as well as the financial characteristics of the stocks, and the influential financial variables. The Taiwan stock market had negative abnormal returns on the day of the Brexit referendum. The high-abnormal return group was more significantly affected than the low-abnormal return group. The book-to-market ratio, price-to-earnings ratio, yield rate, average foreign shareholding ratio, and stock

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Hasan, Nurain, Frendy A. O. Pelleng, and Joanne V. Mangindaan. "Analisis Capital Asset Pricing Model (CAPM) Sebagai Dasar Pengambilan Keputusan Berinvestasi Saham (Studi pada Indeks Bisnis-27 di Bursa Efek Indonesia)." JURNAL ADMINISTRASI BISNIS 8, no. 1 (2019): 36. http://dx.doi.org/10.35797/jab.8.1.2019.23498.36-43.

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The purpose of this study were: (1) To help investors pick efficient and inefficient stocks, (2) Investors know which stocks that have an optimal return and appropriate risk, (3) Investors know about CAPM metodh in determining the best investment decisions. CAPM is a model for estimating returns earned on risky securities or as a benchmark in evaluating the rate of return on an investment. The samples were selected by purposive sampling technique, the samples were determined by the specific criteria: (1) Companies listed on the Indonesia Stock Exchange belonging to the Business-27 stock index

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Hendra, Joni, Khusnik Hudzafidah, and Siti Chamdanah. "Formation of Optimal Portfolio Using Single Index Model in Investment Decisions." Wiga : Jurnal Penelitian Ilmu Ekonomi 11, no. 2 (2021): 128–37. https://doi.org/10.30741/wiga.v11i2.712.

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The objective to be achieved in this study is to analyze the extent to which the return and risk of the optimal portfolio that is formed provides better performance than the return and risk of individual stocks. While the data needed to support this analysis are in the form of stock price data, the Composite Stock Price Index, and Bank Indonesia Certificates. The samples selected in this study were 34 companies based on sampling techniques, namely using sampling techniques purposive, means choosing a sample from a set of populations based on certain considerations or criteria set by the resear

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Kewal, Suramaya Suci, and Yohanes Andri Putranto. "Ethical Stock Portfolios : Does It Have High Risk and Low Return." Jurnal Economia 19, no. 1 (2023): 13–24. http://dx.doi.org/10.21831/economia.v19i1.43957.

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This study examines the comparison of stock performance as measured using the return and risk of stock portfolios of ethical and non-ethical companies on the Indonesia Stock Exchange. Portfolio formation using a single index model during 2016-2019. The data analysis technique uses an independent sample t-test with a significance level of 5%. The results showed that there were no differences in portfolio return and risk. The average portfolio return is 0.22% for ethical stocks and 0.27% for non-ethical stocks. There is also no significant difference in portfolio risk, 0.87% for ethical stock po

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Xu, Jingxian, Zixia Huang, and Tongjia Jiang. "The Banking Stock Performance Singapore vs. Hong Kong." Advances in Economics, Management and Political Sciences 73, no. 1 (2024): 233–44. http://dx.doi.org/10.54254/2754-1169/73/20230367.

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In this paper, our group evaluates and compares the resilience of Hong Kong and Singapores banking stocks using the Event Study Methodology. We have accomplished this by studying the impact of three events which are the 2008 Financial Crisis, the COVID-19 pandemic, and the Russia-Ukraine War on Hong Kong and Singapores banking stocks. We choose the leading stocks in Hong Kong and Singapore, HSBC, and DBS respectively, and derive our expected return by constructing a linear regression model between the banking stock returns and the market returns. We then subtract the Expected Return from the A

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Fakhirah, Zahra, and Esi Fitriani Komara. "Analisis Penggunaan Metode Capital Asset Pricing Model Dalam Pengambilan Keputusan Investasi Saham." Advantage: Journal of Management and Business 2, no. 1 (2024): 1–18. http://dx.doi.org/10.61971/advantage.v2i1.23.

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This research aims to determine the conditions of returns, risks, and the categorization of efficient and inefficient stocks in the property & real estate sector companies listed on the Indonesia Stock Exchange for the period 2018-2022. The population of this study consists of 45 property & real estate sector companies listed on the Indonesia Stock Exchange from 2018 to 2022. The sampling technique used is purposive sampling based on predefined criteria, resulting in a sample of 41 companies. The method employed in this research is a quantitative and associative approach. The data anal

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Suryani, Ani Wilujeng, and Karina Dian Pertiwi. "Lombok’s Tsunami and Stock Abnormal Returns." Accounting Analysis Journal 10, no. 1 (2021): 1–8. http://dx.doi.org/10.15294/aaj.v10i1.42584.

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Natural disaster often brings damage to the economy, including the decrease of stock’s market value. For this reason, this study aims to determine the effect of the tsunami earthquakes in Lombok in 2018 on abnormal returns and cumulative abnormal returns of insurance companies. This study used the event study approach, with three days window period after the three tsunami earthquakes from July to August 2018. The sample of this study is the stock price of 14 insurance companies listed on the Indonesia Stock Exchange. To test whether abnormal return exists, a one-sample t-test was used on the a

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Rostagno, Luciano Martin, Gilberto De Oliveira Kloeckner, and João Luiz Becker. "Previsibilidade de Retorno das Ações na Bovespa: Um Teste Envolvendo o Modelo de Fator de Retorno Esperado." Brazilian Review of Finance 2, no. 2 (2004): 183. http://dx.doi.org/10.12660/rbfin.v2n2.2004.1141.

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This paper examines the hypothesis of asst return predictability in the Brazilian Stock Market (Bovespa). Evidence suggests that seven factors explain most of the monthly differential returns of the stocks included in the sample. Within the factors that present statistically significant mean, two are liquidity factors (market capitalization and trading volume trend), three refer to price level of stocks (dividend to price, dividend to price trend, and cash flow to price), and two relate to price history of stocks (3 and 12 months excess return). Contradicting theoretical assumptions, risk fact

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Hatem, Ben Said. "How Can We Measure Stock Market Returns? An International Comparison." International Business Research 10, no. 5 (2017): 121. http://dx.doi.org/10.5539/ibr.v10n5p121.

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The aim of our empirical work is to identify how we can measure stock returns. Stocks returns are approximated as the growth rate of market share price. We use two measures of stocks returns; return on assets, ROA, and return on equity, ROE. As a control variable, we use firm age. Our samples consists of 186 firms from United Kingdom and 186 firms from Ukraine studied over a period of 4 years from 2007 to 2010. To this end, we estimate three models. Using the data panels methodology, we conclude that return on equity approximates better socks returns for United kingdom and Ukraine. We could no

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Sharma, Nitika, Kshitij Bhargava, and Dixit Sunail. "Risk and Return Relationship: A Study of BSE Sensex Stocks in Indian Stock Market." Journal of Technology Management for Growing Economies 15, no. 1 (2024): 41–61. https://doi.org/10.15415/jtmge/2024.151005.

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Background: The present study is based on risk and return analysis of BSE Sensex stocks, which is the index of the Bombay Stock Exchange, and is based on the secondary data from the past 5 years. The Sensex index is the Bombay Stock Exchange of India’s benchmark that is broadly based on the stock market index of the Indian equity market. Purpose: The main objective of the study was to investigate the risk and return of the stocks listed in Sensex and create a portfolio that reduces the unsystematic risk through diversification. Methods: The study used secondary data from the past 5 years to an

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Viet Anh Hoang, Viet Anh Hoang, Ba Thanh Truong Ba Thanh Truong, Duong Viet Anh Duong Viet Anh, and Hoang Van Hai Hoang Van Hai. "Lottery Mindsets and the Cross Sectional Returns in the Vietnam Stock Market." GLOBAL BUSINESS FINANCE REVIEW 29, no. 4 (2024): 134–43. http://dx.doi.org/10.17549/gbfr.2024.29.4.134.

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Purpose: In this study, we evaluate the relationship between lottery-type stocks and future return in the Vietnam stock market from July 2010 to June 2023. Design/methodology/approach: We employ portfolio-level analysis and firm-level cross-sectional regressions fol-lowing Bali et al. (2011). Findings: We find that the minimum daily return (MINRET) is negative and statistically significant in the cross-sec-tional pricing of stocks. The minimum daily return during the previous month and anticipated stock returns are negatively and significantly correlated, according to portfolio-level analyses

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Gao, Jianliang, Xiaoting Ying, Cong Xu, Jianxin Wang, Shichao Zhang, and Zhao Li. "Graph-Based Stock Recommendation by Time-Aware Relational Attention Network." ACM Transactions on Knowledge Discovery from Data 16, no. 1 (2021): 1–21. http://dx.doi.org/10.1145/3451397.

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The stock market investors aim at maximizing their investment returns. Stock recommendation task is to recommend stocks with higher return ratios for the investors. Most stock prediction methods study the historical sequence patterns to predict stock trend or price in the near future. In fact, the future price of a stock is correlated not only with its historical price, but also with other stocks. In this article, we take into account the relationships between stocks (corporations) by stock relation graph. Furthermore, we propose a Time-aware Relational Attention Network (TRAN) for graph-based

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Utami, Ratna, and Maha Putra Kusuma Nugraha. "Analisis Kinerja Saham Syariah Dan Pengaruhnya Terhadap Respon Pasar Pada Perusahaan Yang Tercatat di Jakarta Islamic Indeks." Jurnal Reviu Akuntansi dan Keuangan 1, no. 2 (2011): 161. http://dx.doi.org/10.22219/jrak.v1i2.520.

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The purposes for this research to describe performance stock of sharia and its influence on market response to the companies listed on the Jakarta Islamic Index (JII). In this research, researchers will describe the condition of the stock performance of sharia with approach the rate of return and risk. The population of research is Islamic stocks listed in the JII for the period December 2008-November 2010 and sampled in this study a total of 17 issuers of sharia using purposive sampling. The unit of analysis in the research is the performance of the stock by using the excess return and excess

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Song, Yinli. "CAPM Model Testing and Factor Analysis." Highlights in Business, Economics and Management 20 (November 30, 2023): 632–49. http://dx.doi.org/10.54097/hbem.v20i.13310.

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The relationship between the risk and return of stocks has always been a hot topic of research by scholars from various countries. This paper uses daily data from six stocks in the Chinese market from January 1, 2020 to December 31, 2021 to calculate individual stock returns and conduct CAPM testing. In order to avoid the non-synchronous trading problem, this paper also conducted conditional CAPM testing and compared the results with traditional CAPM testing. In addition, this paper constructed a single group and a double group investment portfolio for 42 stocks in China, with the single group

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Wijaya, Chandra Ferdinand, and Hamfri Djajadikerta. "Pengaruh Risiko Sistematis, Leverage, Dan Likuiditas Terhadap Return Saham Lq 45 Yang Terdaftar Pada Bursa Efek." Jurnal Manajemen 9, no. 2 (2018): 62–76. http://dx.doi.org/10.31937/manajemen.v9i2.721.

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Investors want high stock return to increase wealth from their stock investment. In determining stocks that can provide high returns, there are factors that must be considered. LQ 45 stocks are identical to profitable and high return stock. In fact, LQ 45 stocks do not always benefit investors. There are risk factors that influence LQ 45 stock return, which is the market risk and fundamental risk. Market risk is known as systematic risk and fundamental risk is reflected through companies’ liquidity and leverage. There are inconsistencies over the influence of this variables on stock return. Th

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Liu, Mark H. "Analysts’ Incentives to Produce Industry-Level versus Firm-Specific Information." Journal of Financial and Quantitative Analysis 46, no. 3 (2011): 757–84. http://dx.doi.org/10.1017/s0022109011000056.

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AbstractUsing stock returns around recommendation changes to measure the information produced by analysts, I find that analysts produce more firm-specific than industry-level information. Analysts produce more firm-specific information on stocks with higher idiosyncratic return volatilities. The amount of industry information produced by analysts increases with the absolute value of the stock’s industry beta and decreases with the stock’s idiosyncratic volatility. Other stocks in the industry also respond to the recommendation change, and the magnitude of the response increases with the absolu

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Mahfudz, Ali, and Andhi Wijayanto. "Understanding Defensive Stocks with Company Fundamentals and Dividend Policy Variables as Moderation." Management Analysis Journal 9, no. 3 (2020): 233–42. http://dx.doi.org/10.15294/maj.v9i3.37833.

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The purpose of this study was to determine the effect of Return on Equity, Firm Size, Debt Equity Ratio and Price Earning Ratio on return defensive stocks with Dividend Policy as Variable Moderation in Manufacturing Companies. The study population was manufacturing sector companies listed on the Indonesia Stock Exchange from 2015 to 2018. There were 61 companies sampled using purposive sampling techniques. The analytical method uses multiple linear analysis and moderated Regression analysis. The results showed the Firm Size variable had a significant positive effect and the DER variable had no

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Juniarwoko, Dadang Wahyu, Tony Irawan, and Lukytawati Anggraeni. "Day-of-The-Week Anomaly on Different Stock Capitalization: Evidence from Indonesian Stock Market." AFEBI Economic and Finance Review 2, no. 01 (2017): 7. http://dx.doi.org/10.47312/aefr.v2i01.47.

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<p>The aim of this study is to determine whether the “Day-of-The-Week Anomaly” (DOWA) exists on different stock capitalization in Indonesian stock market. A total of 58 stocks listed in both LQ45 index and Pefindo25 index used to represent large cap stocks and small and medium cap stocks respectively. The Ordinary Least Squares (OLS) method and ARCH/GARCH model were employed to capture the DOWA and the daily volatility behavior for the period between January 2010 and December 2015. The result reveals that DOWA exist for a significant proportion of individual stocks in both LQ45 and Pefin

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Miasary, Seftina Diyah. "PENERAPAN VECTOR AUTOREGRESSIVE (VAR) DALAM MEMPREDIKSI RETURN SAHAM DI INDONESIA." Jurnal Edukasi dan Sains Matematika (JES-MAT) 8, no. 2 (2022): 171–80. http://dx.doi.org/10.25134/jes-mat.v8i2.6225.

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The rate of return (return) and risk are inseparable in investing activities. One equilibrium model that describes the relationship between return and risk assumes that the expected return is influenced by more than one macroeconomic factor. Furthermore, the causal relationship between stock returns and macroeconomic factor returns was analyzed using VAR. The application of VAR in this study is to predict stock returns through the stages of checking data stationarity, determining the optimal lag length, testing Granger causality between variables, estimating VAR model parameters and Portmantea

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Rahmasuciana, D. Y., A. Alwahidin, A. S. Utomo, and Muhammad Rofi'i. "Stock Returns and Liquidity Changes Around the Screening Announcement: An Empirical Study in Indonesia." Global Review of Islamic Economics and Business 3, no. 2 (2016): 099. http://dx.doi.org/10.14421/grieb.2015.032-02.

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This paper aims to identify and analyze the volatility of stock returns and the changes of liquidity around the announcement of Shari’ah stock screening published by Otoritas Jasa Keuangan (OJK) and Dewan Syariah Nasional (DSN-MUI). The announcement is consist of stocks that become the constituent of ISSI (Indonesia Shari’ah Stock Index) and the stocks out from ISSI in each period. The number of data are 341 emitens, divided into two categories. The first category was 196 stocks that out from the composition of ISSI, and the second was shari’ah stock from 145 emitens which categorized as part

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Chen, Ran. "An empirical study of COVID-19's stock returns to the whole industry in the US stock market." Advances in Economics and Management Research 1, no. 1 (2022): 166. http://dx.doi.org/10.56028/aemr.1.1.166.

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Based on the daily stock data of 49 industry classification data in Kenneth R. French database, this paper adopts the Fama-French five-factor model and adopts multiple linear regression method to empirically study the changes of stock return impact factors of 49 us industries before and after COVID-19. The results show that the marginal effects of market risk factors and investment style factors on stock returns weaken, while the marginal effects of market value factors and value factors increase. The influence of profit factor on stock return is not significant. Post-pandemic, the market favo

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Maulenov, A. O. "Application of descriptive statistics methods to Kazakhstan stock market." Bulletin of "Turan" University, no. 3 (October 4, 2023): 141–52. http://dx.doi.org/10.46914/1562-2959-2023-1-3-141-152.

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The article discusses the methods of descriptive statistics and its application for the most liquid shares of the Kazakhstan stock market KASE (trading codes: HSBK, KZTK, CCBN, KZTO, KCEL, KEGC, KZKAK) from 2007 to 2022. Descriptive statistics are calculated for each stock, such as average return, variance, sample range, standard deviation, coefficient of variation, kurtosis, and skewness. The coefficients of the regression equation and the coefficient of determination R2 are estimated, which show the relationship between the market return and the return on an individual stock. The comparative

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Alecia Ferrari, Erric Wijaya,. "Stocks Investment Decision Making Capital Asset Pricing Model (CAPM)." Jurnal Manajemen 24, no. 1 (2020): 93. http://dx.doi.org/10.24912/jm.v24i1.621.

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Investment in the capital market generally has a higher rate of return compared to investing in the financial market. Investors sometimes get difficulty in determining which stocks will produce a large return with a small risk. The method used to describe the application of CAPM in this research is done by grouping the efficient, yet inefficient stocks of the banking sector based on the CAPM method. The method in the sample selection was a purposive sample method and obtained 40 banking sector companies listed on the Indonesia Stock Exchange (IDX) during the period of August 2016 - July 2018.

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T., Aditya Sai Srinivas, Vinod Kumar Y., Sravanthi Y., and Dwaraka Srihith I.V. "Stock Duel: Python's Play in Comparative Market Analysis." Journal of Advancement in Parallel Computing 7, no. 1 (2023): 1–4. https://doi.org/10.5281/zenodo.10081375.

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<i>The provided Python code offers a comprehensive framework for conducting a comparative analysis of stocks in the financial market. Using the Yahoo Finance API, it fetches historical stock price data for specified stocks (e.g., Apple and Microsoft) within a defined timeframe. The script calculates and visualizes key metrics, including daily returns and cumulative returns, allowing users to assess the performance of selected stocks. Additionally, it conducts statistical analysis by computing mean returns, standard deviations, and correlation coefficients to quantify the relationship between t

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Naifi Naufal. "ANALISIS PORTOFOLIO BERBASIS CAPM PADA SAHAM-SAHAM JAKARTA ISLAMIC INDEKS (JII) SELAMA MASA PANDEMI COVID-19." Jurnal Ilmiah Manajemen, Ekonomi dan Akuntansi 5, no. 1 (2025): 78–93. https://doi.org/10.55606/jurimea.v5i1.879.

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This research aims to analyze the performance of stock portfolios included in the Jakarta Islamic Index (JII) during the COVID-19 pandemic using the Capital Asset Pricing Model (CAPM). The COVID-19 pandemic has significantly impacted global financial markets, including the Indonesian stock market. Using daily stock price data from January 2020 to June 2023, this study evaluates the risk and returns of JII stock portfolios. CAPM analysis is used to determine whether these stocks provide returns commensurate with the risks taken during the pandemic period. Portfolio analysis was conducted on com

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Easley, David, Soeren Hvidkjaer, and Maureen O’Hara. "Factoring Information into Returns." Journal of Financial and Quantitative Analysis 45, no. 2 (2010): 293–309. http://dx.doi.org/10.1017/s0022109010000074.

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AbstractWe examine the potential profits of trading on a measure of private information (PIN) in a stock. A zero-investment portfolio that is size-neutral but long in high PIN stocks and short in low PIN stocks earns a significant abnormal return. The Fama-French, momentum, and liquidity factors do not explain this return. However, significant covariation in returns exists among high PIN stocks and among low PIN stocks, suggesting that PIN might proxy for an underlying factor. We create a PIN factor as the monthly return on the zero-investment portfolio above and show that it is successful in

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Hameed, Allaudeen, and G. Mujtaba Mian. "Industries and Stock Return Reversals." Journal of Financial and Quantitative Analysis 50, no. 1-2 (2014): 89–117. http://dx.doi.org/10.1017/s0022109014000404.

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AbstractThis paper documents pervasive evidence of intra-industry reversals in monthly returns. Unlike the conventional reversal strategy based on stock returns relative to the market portfolio, we document intra-industry return reversals that are larger in magnitude, consistently present over time, and prevalent across subgroups of stocks, including large and liquid stocks. These return reversals are driven by order imbalances and noninformational shocks. Consistent with reversals representing compensation for supplying liquidity, intra-industry reversals are stronger following aggregate mark

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Yu, Han. "Research on Stock Return Rate." Frontiers in Business, Economics and Management 2, no. 1 (2021): 8–15. http://dx.doi.org/10.54097/fbem.v2i1.28.

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There is a certain relationship among stock return rate, market return rate and risk-free interest rate, which is worth discussing, and it is helpful for us to analyze stocks and evaluate their prices. I have found that the market return rate and risk-free rate have correlation through multiple regression, and other stock's return rate can affect the target stock to some extent. The stock return rate is positively related to the market interest rate and inversely related to the risk-free interest rate.

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Hanifah, Asri Rula, Betty Subartini, and Sukono Sukono. "Portfolio Analysis Using the Markowitz Model with Stock Lot Constraints and Target Returns or Without Target Returns." International Journal of Quantitative Research and Modeling 3, no. 4 (2022): 161–66. http://dx.doi.org/10.46336/ijqrm.v3i4.358.

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Stock investment activities are inseparable from returns and risk, so an investor needs expertise to minimize investment risk. One way is by forming an optimal portfolio. The purpose of this research is to determine the number of stock lots in the optimal portfolio. This research analyzes the closing prices of stocks during the research period with the criteria of stocks being listed on the IDX30 index consecutively for 20 periods and belonging to the large cap group (the stock market capitalization exceeds $10 billion). Then the number of stock lots is calculated using the Markowitz model wit

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Peng, Qiyuan. "Research on the Relationship between Trade Volatility, Property Rights and New Energy Stock Returns under the Background of New Energy Industry Development." E3S Web of Conferences 292 (2021): 02017. http://dx.doi.org/10.1051/e3sconf/202129202017.

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The research on the relationship between risk and return of new energy stocks is the focus of financial research. Related research focuses more on the relationship between idiosyncratic fluctuation risk and stock returns. In the Chinese stock market, some Chinese investors clearly prefer stocks with high risk characteristics, which leads to overvalued stocks. However, the short-selling restrictions in the Chinese stock market and the heterogeneity of investors have also led to a significant negative correlation between idiosyncratic volatility and cross-sectional yield. There are many studies

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

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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

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Chhatri, Sanjoy, Debasish Bhattacharya, and Binod Tripathy. "A generalized mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns." Filomat 38, no. 32 (2024): 11517–37. https://doi.org/10.2298/fil2432517c.

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In this paper, a composite mean-variance model for portfolio optimization problems in the simultaneous presence of random and uncertain returns has been revisited and generalized. The expressions for the mean and variance of the total uncertain random return have been obtained using chance distribution. The model is flexible, as it is capable of dealing with both types of stocks: those with sufficient past records and those that are newly introduced. A generalized uncertainty distribution is defined to represent the returns of newly introduced stocks. And, the return vector of the stocks with

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Şanlı, Özgün. "Examining the relationship between financial ratios and stock returns: An application on BIST 30 index." JOURNAL OF APPLIED MICROECONOMETRICS 4, no. 1 (2024): 1–11. http://dx.doi.org/10.53753/jame.2424.

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Investors trading in capital markets aim to maximize the returns they will obtain from this market. For this reason, determining the factors affecting stock returns is important for investors. The aim of this study is to examine the relationship between financial ratios and stock returns of companies that are listed on the BIST 30 Index as of 2024 and traded on the stock exchange uninterruptedly between the 2016Q2-2023Q4 periods. The financial ratios used in the research include the current ratio, return on equity ratio, asset turnover ratio, inventory turnover ratio, debt/equity ratio, and de

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Gazali, Masfar, Rahmadianti Thomas, and Matrodji Mustafa. "GARCH-M MODEL AND THE BEHAVIOR OF RISK-RETURN RELATIONSHIP IN INDONESIA STOCK MARKET." Jurnal Ilmiah Ekonomi Dan Bisnis 19, no. 2 (2022): 101–9. http://dx.doi.org/10.31849/jieb.v19i2.6315.

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This study examines the risk-return trade-off and volatility behaviour in Indonesia stock market. As the analytical tool this study uses GARCH-M model with symmetric GARCH(1,1). To obtain more reliable results, this study takes daily and weekly stock index as well as 5 individual stock returns from January 2004 to November 2020 as a sample. This study also investigates the results with two alternative mean equations, simple regression and AR(1) model. The first finding of this study is that in Indonesia stock market both in stock index and in individual stocks, the volatilities of return are t

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Monita, Sonya Dwi. "Pengaruh Return On Equity dan Debt To Equity Ratio terhadap Return Saham dengan Price To Book Value sebagai Variabel Intervening." Journal of Business and Economics (JBE) UPI YPTK 7, no. 3 (2022): 402–8. http://dx.doi.org/10.35134/jbeupiyptk.v7i3.191.

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This study aims to determine the effect of Return On Equity (ROE) and Debt Equity Ratio (DER) on stock returns with Price To Book Value (PBV) as an intervening variable in Manufacturing companies listed on the Indonesia Stock Exchange 2017-2021. The sample in this study was taken by purposive sampling method on manufacturing stocks listed on the Indonesia Stock Exchange 2017-2021. The number of samples used as many as 118 companies. The analytical method of this research is using multiple linear regression analysis method. The results of this study indicate that Return On Equity (ROE) has a si

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Silitonga, Hery Pandapotan, Juan Anastasia Putri, and Eliza Arshandy. "ANALYSIS OF STOCK INVESTMENT DECISION MAKING USING THE CAPITAL ASSET PRICING MODEL (CAPM) ON THE MNC36 INDEX." FINANCIAL: JURNAL AKUNTANSI 11, no. 1 (2025): 108–18. https://doi.org/10.37403/financial.v11i1.723.

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The objective of the research conducted is to describe the return and risk of stocks in the MNC36 Index listed on the Indonesia Stock Exchange throughout 2018–2022 and to evaluate investment decisions based on undervalued and overvalued return conditions using the Capital Asset Pricing Model (CAPM) method. In this research, the method applied is descriptive analysis in both qualitative and quantitative forms. The results of the research show that: 1) There are 7 undervalued or efficient company stocks, where the individual returns are higher than expected, making these stocks worth buying befo

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Chabachib, Mochammad. "In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange." JURNAL BISNIS STRATEGI 29, no. 2 (2020): 80–88. http://dx.doi.org/10.14710/jbs.29.2.80-88.

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The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy

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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.

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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

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