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Journal articles on the topic 'Stock Returns'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

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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Zevallos, Mauricio, and Carlos del Carpio. "Metal Returns, Stock Returns and Stock Market Volatility." Economia 38, no. 75 (2015): 101–22. http://dx.doi.org/10.18800/economia.201501.003.

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Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the comovements between mining stock returns and metal returns. This research is a first attempt to explore these issues using international metal prices and the prices of the most important mining stocks on the BVL and the IGBVL index. To achieve this, we use univariate GARCH models to model individual volatilities, and the Exponentially Weighted Moving Av

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Tahmat, Tahmat, Fitria Lilyana, and Listi Maulida Sapitri. "The effects of macroeconomic factors on stock return: LQ45 Indonesia stock market." Adpebi International Journal of Multidisciplinary Sciences 1, no. 1 (2022): 447–54. https://doi.org/10.54099/aijms.v1i1.289.

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Purpose – This study aims to analyze the money supply, economic growth, Rupiah exchange rate, and indeks dow jones on stock return, either partially o simultaneously. Methodology/approach - The population in this study is LQ45 shares which are listed in IDX statistical reports on the Indonesia Stock Exchange from 2010 to 2020. Based on the technique of purposive sampling.,17 issuers met the criteria. The type of research is quantitative research with secondary data. The research method uses descriptive and verification methods. The data analysis technique is a multiple linear regression analys

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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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WONG, HOCK TSEN. "REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA." Singapore Economic Review 64, no. 05 (2016): 1319–49. http://dx.doi.org/10.1142/s0217590816500387.

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This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpu

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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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Kim, Dongnyoung, and Tih Koon Tan. "Ex-post stock return behaviour of corporate restructurings and corporate control." Review of Accounting and Finance 15, no. 4 (2016): 484–98. http://dx.doi.org/10.1108/raf-05-2015-0066.

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Purpose This paper aims to investigate the correlation between stock returns of the parent and newly created entity and the degree of return skewness in parents in the three different corporate restructurings. Design/methodology/approach Using a sample of spin-offs, equity carve-outs and tracking stocks, ordinary least squares regression is used to test the relationship between stock return correlation as well as stock return skewness and the type of corporate restructurings. Findings Tracking stock offering has the largest correlation in stock returns, whereas spin-off has the least correlati

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Lumban Batu, Leon Franciscus, Rina Br Bukit, and Narumondang Bulan Siregar. "Return on Equity, Cash Ratio & Debt Equity Ratio Affect Stock Returns in the Banking Industry Listed on the IDX With Non-Performing Loans as a Moderating Variable." International Journal of Research and Review 10, no. 7 (2023): 867–77. http://dx.doi.org/10.52403/ijrr.202307101.

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This study aims to determine the effect of return on equity, cash ratio and debt to equity ratio on stock returns in the banking industry listed on the IDX with non-performing loans as a moderating variable. The research design used is the simple design method. The population used in this study are banking companies listed on the Indonesia stock exchange for the 2016-2021 period, with a total sample of 26 companies using 156 data samples. The data analysis technique used is panel data analysis using the e-views program. The results of the study show that Return on equity has a positive and ins

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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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Heny Sidanti and Annisa Istikhomah. "The Effect Of Stock Price, Share Return, Share Trading Volume, And Return Variant On Bid-Ask Spread On Textile And Garment Companies Listed On The Indonesia Stock Exchange, 2019-2020." International Journal of Science, Technology & Management 2, no. 4 (2021): 1357–66. http://dx.doi.org/10.46729/ijstm.v2i4.269.

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This study aims to obtain empirical evidence of the effect of Stock Price, Stock Return, Stock Trading Volume, and Return Variant on the Bid-Ask Spread of Stocks in Textile and Garment Companies Listed in Indonesia Stock Exchange in 2019-2020. The stock price used is the stock price recorded at the end of each closing period (closing price), stock returns are measured using the difference between returns on the research day and before the study divided by returns on the day before the study, stock trading volume is measured by the number of shares traded at the time of the study. t is divided

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Huang, Fangzhou. "The impact of downside risk on UK stock returns." Review of Accounting and Finance 18, no. 1 (2019): 53–70. http://dx.doi.org/10.1108/raf-07-2017-0139.

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PurposeThis paper aims to investigate patterns in UK stock returns related to downside risk, with particular focus on stock returns during financial crises.Design/methodology/approachFirst, stocks are sorted into five quintile portfolios based on the relevant beta values (classic beta, downside beta and upside beta, calculated by the moving window approach). Second, patterns of portfolio returns are examined during various sub-periods. Finally, predictive powers of beta and downside beta are examined.FindingsThe downside risk is observed to have a significant positive impact on contemporaneous

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Truong, Loc Dong, H. Swint Friday, and Tran My Ngo. "Market Reaction to Delisting Announcements in Frontier Markets: Evidence from the Vietnam Stock Market." Risks 11, no. 11 (2023): 201. http://dx.doi.org/10.3390/risks11110201.

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This paper aims to measure the effects of delisting on stock returns for the Vietnam stock market. This study employs a sample of 118 stocks that were compulsorily delisted from the market between January 2011 and December 2021. Using an event study methodology, the empirical findings confirm that the delisting has negative effects on stock returns in the Vietnam stock market. Specifically, results derived from tests show that the average abnormal return of delisted stocks continuously declines during three trading days following the announcement of delisting. Moreover, it is found that the di

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Lien, Donald, and Li Yang. "Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets." Review of Pacific Basin Financial Markets and Policies 07, no. 03 (2004): 397–422. http://dx.doi.org/10.1142/s0219091504000160.

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In this study, we investigate the daily relationships between returns on individual stocks and their corresponding futures contracts in Australian, Hong Kong, and United Kingdom markets. We find that, at the beginning of the life of a futures market, autocorrelation of futures returns is similar to that of individual stock returns. As the market becomes mature, the autocorrelation of futures returns behaves differently from the autocorrelation of stock returns. Through the linkage between return autocorrelations and trading volume, we find that a larger trading volume depresses the return auto

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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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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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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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Maesaroh Tiarawati, Neneng, and Dede Hertina. "The Effect of Inflation, Interest Rates and Non-Performing Loans On Stock Returns Through Profitability In Banking Companies Indonesia Period 2018-2022." Devotion : Journal of Research and Community Service 5, no. 10 (2024): 1214–25. http://dx.doi.org/10.59188/devotion.v5i10.13227.

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Even if the Indonesian economy has grown and the stock market has improved after COVID-19, banking stock returns in Indonesia have remained stagnant. The returns on Indonesian banking stocks in 2022 were much lower than in prior years. Identifying the internal and external variables that contributed to the fall in these shares is an obvious challenge. The purpose of this study is to investigate how return on assets (ROA) acts as a mediator between inflation, interest rates, non-performing loans, and stock returns. Thirty businesses make up the sample for this study, which employs testing metho

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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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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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Tariq, Muhammad. "INVESTIGATING THE NEXUS BETWEEN MUTUAL FUND RETURN AND STOCK MARKET PERFORMANCE – EVIDENCE FROM PAKISTAN STOCK EXCHANGE." IBT Journal of Business Studies 14, no. 1 (2018): 23–38. http://dx.doi.org/10.46745/ilma.jbs.2018.14.01.03.

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This study is aimed to determine the nexus between mutual fund returns and stock market returns in Pakistan. This study adds contribution by testing the causa-effect relation of mutual fund returns and macroeconomic factors on the stock returns in Pakistan. This study is based on Panel data for 10 AMCs operating in Pakistan and macroeconomic factors for the period of 2007 to 2016. The hypothesis testing is based on panel data analysis, therefore the panel regression is applied via PLS, FEM and REM comparison. The study concludes that the there is significant effect of Equity Funds Returns on S

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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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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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Wildan, Rachmat, Noer Azam Achsani, and Bagus Sartono. "Evaluation of Optimal Stock Portfolio Performance by Grouping Issuers Based on Stock Price Movements." International Journal of Research and Review 9, no. 3 (2022): 295–307. http://dx.doi.org/10.52403/ijrr.20220333.

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Stock investment has a high risk, one of which is caused by changes in stock prices that occur in trading on the stock exchange every day, thus affecting the level of stock returns which also changes. Investors will face uncertainty in making choices and evaluating stock performance in the future because the returns obtained are uncertain and depend on the risks that affect it. Risk in investing can be reduced by investing in various types of stocks by forming an optimal stock portfolio. These problems are solved in this study by taking a calculation approach in selecting stocks and determinin

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Cheon, Yong-Ho. "Overnight Returns, Idiosyncratic Volatility, and the Expected Stock Returns." Institute of Management and Economy Research 14, no. 3 (2023): 45–66. http://dx.doi.org/10.32599/apjb.14.3.202309.45.

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Purpose - This paper examines whether overnight returns and idiosyncratic volatility (IVOL) jointly affects the cross-section of expected stock returns in the Korean stock market. Design/methodology/approach - Constructing 5x5 bivariate monthly portfolios independently sorted on overnight returns and IVOL, this paper tests whether overpricing of stocks with high overnight returns is more pronounced for the stocks that also have high IVOL. In addition, we also investigate whether time-variation in the degree of overpricing for those stocks can be explained by market volatility. Find

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Setianingsih, Ailia, Raden Irna Afriani, and Emil Dahlia Wiguna. "PENGARUH DEBT TO EQUITY RATIO, RETURN ON INVESTMENT DAN KEBIJAKAN DEVIDEN SEBAGAI VARIABEL MODERATING TERHADAP RETURN SAHAM." Jurnal Revenue : Jurnal Ilmiah Akuntansi 1, no. 2 (2021): 243–53. http://dx.doi.org/10.46306/rev.v1i2.29.

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Financial ratios provide information about a company's financial performance and are used as a basis for valuing company stocks that are able to provide high rates of return. The purpose of this study is to determine the effect of debt to equy ratio on stock returns, the effect of return on investment on stock returns, whether dividend policy is able to moderate the relationship between debt to equity ratio on stock returns, and find out whether dividend policy is able to moderate the relationship between return on investment on stock returns This research uses quantitative methods. The resear

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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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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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Fu, Jian. "ESG, Stock Returns and Stock Volatility: Evidence from Chinese Listed Companies." SHS Web of Conferences 181 (2024): 02002. http://dx.doi.org/10.1051/shsconf/202418102002.

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Corporate sustainability is the top concern of the whole society, and whether environmental, social, and governance (ESG), as a way to measure corporate sustainability, has an impact on company stock returns and volatility is widely discussed. This article investigates how ESG performance influences the return of stocks and volatility for all A-share companies during the period of 2019 to 2022. The research employs the composite ESG score and the separate E, S, and G scores to evaluate the ESG performance of corporations, and employs regression models to examine the association between ESG sco

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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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Pohan, Hotman Tohir. "ANALISIS PENGARUH PENGETAHUAN, TANGGUNG JAWAB SOSIAL PERUSAHAAN TERHADAP IMBAL HASIL SAHAM SYARIAH DALAM PERSPEKTIP ISLAM DENGAN PENDEKATAN CIRCULAR CAUSATION DI BURSA EFEK INDONESIA." JURNAL INFORMASI, PERPAJAKAN, AKUNTANSI, DAN KEUANGAN PUBLIK 9, no. 2 (2019): 179. http://dx.doi.org/10.25105/jipak.v9i2.4532.

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<p class="Style1">This research aims to identifr and analyze the influence of knowledge, social responsibility towards sharia stock returns in Bursa Efek Indonesia, with the approach of circular causation, further research in the underlying by differences between conventional and Islamic corporate social responsibility, where circular causation is the approach taken by the interaction between Variabels, namely between knowledge, capital structure, and returns islamic stocks. Results of this research are Islamic stocks negatively affected by corporate social responsibility, and positively

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Larasati, Vinny, Hesty JUni Tambuati Subing, and Amin Mansur. "Influence Of Company Performance On Stock Return." Journal of Accounting, Management, and Economics Research (JAMER) 2, no. 1 (2023): 50–63. http://dx.doi.org/10.33476/jamer.v2i1.77.

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The purpose of this study is to determine the effect of company performance on stock returns in the consumer goods sector for the period (2016-2020) and its review from an Islamic point of view. Company performance as proxied by variables ROA, CR, DER, TATO and PER. The research method used is quantitative research methods and uses secondary data. The sample used as many as 16 companies through purposive sampling method. The analytical method used is panel data regression analysis technique with a significant level of 5%. The results of this study indicate that: (1) Return on Assets (ROA) has

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Setianingsih, Ailia. "PENGARUH DEBT TO EQUITY RATIO, RETURN ON INVESTMENT DAN KEBIJAKAN DEVIDEN SEBAGAI VARIABEL MODERATING TERHADAP RETURN SAHAM." Yudishtira Journal : Indonesian Journal of Finance and Strategy Inside 1, no. 1 (2021): 1–11. http://dx.doi.org/10.53363/yud.v1i1.1.

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Financial ratios provide information about a company's financial performance and are used as a basis for valuing company stocks that are able to provide high rates of return. The purpose of this study is to determine the effect of debt to equy ratio on stock returns, the effect of return on investment on stock returns, whether dividend policy is able to moderate the relationship between debt to equity ratio on stock returns, and find out whether dividend policy is able to moderate the relationship between return on investment on stock returns This research uses quantitative methods

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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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BURLACU, RADU, PATRICE FONTAINE, and SONIA JIMENEZ-GARCÈS. "THE "FIRM-SPECIFIC RETURN VARIATION": A MEASURE OF PRICE INFORMATIVENESS OR INFORMATION ASYMMETRY?" Annals of Financial Economics 01, no. 01 (2005): 0550004. http://dx.doi.org/10.1142/s2010495205500041.

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This paper investigates the relevancy of the "Firm-Specific Return Variation" (FSRV) as a measure of stock price informativeness. For this purpose, we study the link between FSRV and stock excess returns on the American market over the period 1986–2001. After controlling for size effects, we find a negative and highly significant impact of FSRV on stock returns. The link between FSRV and stock excess returns is robust to asset pricing models and does not capture systematic, size or "book-to-market" (BM) effects. Based on rational expectations equilibrium (REE) models considering asymmetrically

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Novriyani, Novriyani. "INFLATION AND INTEREST RATE WITH EXCHANGE AS INTERVENING VARIABLES : ON STOCK RETURN." Jurnal Manajemen dan Bisnis 10, no. 2 (2021): 68–79. http://dx.doi.org/10.34006/jmbi.v10i2.350.

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This research aims to find out Interest Rates and Inflation With Exchange Rates As Intervening Variables: Stock Returns. This type of research uses secondary data. The population of manufacturing companies listed on the Indonesia Stock Exchange (IDX) in 2014-2020. Sampling techniques used purposive sampling. The research population is a company registered with PT. IDX and sample of 8 companies. The data analysis method used is Path Analysis with SPSS. The results explained that inflation has a positive and insignificant effect on stock returns. Interest rates have a positive and insignificant

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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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Daulay, Deby Dewanty, Khaira Amalia Fachrudin, and Amlys Syahputra Silalahi. "The Effect of Systematic Risk, Return on Equity, and Market Sentiment on Stock Returns in Companies Listed on the IDX in 2019-2021." Proceeding of International Conference on Digital, Social, and Science 1, no. 01 (2024): 71–78. https://doi.org/10.62201/icodss.v1i01.122.

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Banking has an important role in people's lives. The purpose of the study is to determine the Influence of Systematic Risk, Return on Equity, and Market Sentiment on Stock Returns in Companies Listed on the IDX in 2019-2021. Research Methods This type of research is an associative Research, because of the relationship and influence between one variable and another. The population used is all companies from the Banking sector which totals 10 banking companies on the IDX and registered from 2019-2021. The results of the Systematic Risk Study have a positive and significant effect on stock return

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Aryani, Kharisma Dwi, Ina Mutmainah, and Annisa Apriliantika. "RETURN SAHAM: CORPORATE SOCIAL RESPONSIBILITY DAN MODERASI GOOD CORPORATE GOVERNANCE." Perwira Journal of Economics & Business 5, no. 1 (2025): 100–114. https://doi.org/10.54199/pjeb.v5i1.480.

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The average stock return in 2021 the average stock return will increase rapidly by 67% because the government, OJK, and Bank Indonesia are working together to carry out various stimulus methods so that the economy can return to stability. In addition, the existence of innovations in terms of banking digitization and CSR implementation has made investors start to look back at banking stocks. From this incident the company seemed to realize that CSR can effectively affect stocks with Good Corporate Governance Mechanisms as a Moderating Variable in Banking Sector Companies Listed on the IDX for t

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Bulkley, George, and Vivekanand Nawosah. "Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?" Journal of Financial and Quantitative Analysis 44, no. 4 (2009): 777–94. http://dx.doi.org/10.1017/s0022109009990111.

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AbstractIt has been hypothesized that momentum might be rationally explained as a consequence of the cross-sectional variation of unconditional expected returns. Stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period. We evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series. We measure the unconditional expected return on each stock as its mean return in the whole sample period. We f

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Qin, Kaiyue. "ESG Rating, Investor Attention, and Stock Returns in China December 2022." Advances in Economics, Management and Political Sciences 22, no. 1 (2023): 305–13. http://dx.doi.org/10.54254/2754-1169/22/20230326.

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We study whether ESG ratings can predict stock returns in China. We find marginal evidence that stocks with higher ESG ratings have lower future returns. In addition, we explore the cross-sectional and timeseries heterogeneities of the relationship between ESG and stock returns. We find the predictability of ESG rating is stronger for stocks in the industries that are important to climate change, and the relationship is only significant after 2018 when climate change is evident to investors in China. Overall, our findings show that investors attention is crucial for the stock return predictabi

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Muhammad Budi, Kiki Farida Ferine, and Suwarno. "Comparative of Stock Prices and Returns Before and After the Stock Split in Companies Listed on the Indonesia Stock Exchange for the Period 2010 to 2015." Rowter Journal 1, no. 2 (2022): 76–85. http://dx.doi.org/10.33258/rowter.v1i2.679.

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Corporate actions such as stock splits may have a mixed effect on stock price fluctuations and investors' projected returns. As such, this research aims to ascertain the difference in stock prices and returns in firms listed on the Indonesian Stock Exchange before preceding and after the stock split. Purposive sampling was used to choose the sample for this study. The study sample was chosen based on firms that split their stocks between 2010 and 2015, and we received data on up to 35 companies. The descriptive statistics and hypothesis testing were studied in this research. The paired sample

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Latifah, Nadia Amalia, and Nisful Laila. "Pengaruh Return On Equity, Earning Per Share, dan Debt to Equity Ratio Terhadap Return Saham (Studi Pada Emiten Saham Syariah Sektor Properti dan Real Estate Yang Terdaftar di ISSI Tahun (2013-2015)." Jurnal Ekonomi Syariah Teori dan Terapan 4, no. 12 (2017): 1009. http://dx.doi.org/10.20473/vol4iss201712pp1009-1023.

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Islamic stocks is one of the most preffered investment type by Muslim investors. In the decision making process, the investors have to consider the financial reports and stock analysis. This research aim to investigate the effect of fundamental performance toward stock return property and real estate registered in ISSI in 2013 - 2015. Dependent variable is stock return and the independent variable are Return on Equity, Earning per Share, and Debt to Equity Ratio.The research used quantitative approach using secondary data. This research used panel data regression method.This research collectin

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Aqillah, Alhafizh, Zulfa Eka Wijaya Nadia, and Margaretha Leon Farah. "Effect of Financial Market Variables on Stock Return on Index LQ45." International Journal of Social Science And Human Research 06, no. 05 (2023): 3150–57. https://doi.org/10.5281/zenodo.7987393.

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The purpose of this study is to look at the factors that affect stock market returns so that they can provide useful profits to maximize profits, because it is very important for investors to maintain confidence and forecast price movements. Return on shares is the goal of investors in investing in the stock market. Stock returns are divided into two forms, namely dividends and price differences. Investors usually do analysis with various financial variables before buying stocks. The independent variables in this study are dividend yield, EPS, PER, market capitalization, and trading volume. Wh

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Rahayu, Maulana Yusup, and Agus Sucipto. "Analisis Pengaruh Profitabilitas terhadap Return Saham dengan Nilai Perusahaan sebagai Variabel Moderasi: Studi Kasus pada Perusahaan Telekomunikasi di BEI pada 2018-2023." Jurnal Akuntansi, Keuangan, dan Manajemen 6, no. 1 (2024): 81–94. https://doi.org/10.35912/jakman.v6i1.3570.

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Purpose: The purpose of this study was to test and analyse the effect of profitability on stock returns. Methodology: The research method used in this research is quantitative method. The research method used in this research is panel data regression. The sampling technique used in this research is nonprobability sampling with purposive sampling method so that the total sample is 6 telecommunication sector companies listed on the Indonesia Stock Exchange for the period 2018-2023. The analysis method used in this research is panel data regression analysis using Eviews 12. Results: The results o

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Mudzakir, Mudzakir, and Temy Setiawan. "The Effect of Fundamental Ratios on Stock Returns In The Coal Mining Sector on The Idx (2018-2023)." Journal Research of Social Science, Economics, and Management 4, no. 2 (2024): 155–64. http://dx.doi.org/10.59141/jrssem.v4i2.716.

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This research aims to examine the impact of financial ratios, including Debt to Equity Ratio (DER), Current Ratio (CR), and Accounts Receivables Turnover Ratio (RTO), on Stock Return, mediated by Return on Equity (ROE). The background of this study highlights the role of various financial ratios, such as solvency ratio (DER), liquidity ratio (CR), activity ratio (RTO), and profitability ratio (ROE), on stock returns. Previous research has shown varied results regarding the influence of financial ratios on stock returns. This research employs a quantitative descriptive method with Stata as the

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Costa Jr., Newton Carneiro Affonso da, Roberto Meurer, and César Medeiros Cupertino. "Existe Alguma Relação entre Retornos Contábeis e Retornos do Mercado de Ações no Brasil?" Brazilian Review of Finance 5, no. 2 (2007): 233. http://dx.doi.org/10.12660/rbfin.v5n2.2007.1170.

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This paper examines the relationship between accounting and stock market returns of Brazilian companies on a quarterly basis. The sample consisted of 97 companies with stocks traded in the Sao Paulo Stock Exchange from January of 1995 to March of 2007. A Granger causality test was applied to the two return series for each of the sampled companies. The results of the causality tests suggested that there is weak evidence that accounting returns lead stock market returns rather than the reverse.

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David, David, Fenny Krisna Marpaung, Eva Margareth Sarah, Indah Rahmi, and Cindy Trinovita Br Perangin Angin. "Effect of Return on Equity (ROE), Return on Assets (ROA), Debt to Equity Ratio (DER), and Current Ratio (CR) on Stock Returns." International Journal Of Economics Social And Technology 2, no. 2 (2023): 49–56. https://doi.org/10.59086/ijest.v2i2.275.

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The objective from this research is to test is There is a connection between Returns On equity (ROE), return On Assets (ROA), Debt To Equity Ratio (DER), And Current Ratio (CR) to Stock Returns in the sector BE registered banking for period 4 years, from 2018 to 2021. The method used is descriptive quantitative. From 46 company sector banking in BE, only 26 company Which fulfill the criteria For making sample with technique purposive sampling. On testing hypothesis, study This do analysis linear double by using eviews software application. By testing hypothesis this research, can obtained ROE,

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Abdi, Farshid, Shaghayegh Abolmakarem, and Amir Karbassi Yazdi. "Predictive Stock Selection: A Hybrid RF-CNN XGBoost Model Integrated with Dynamic Adaptive Index and Stepwise Elimination Techniques." Journal of Operations Intelligence 3, no. 1 (2025): 262–77. https://doi.org/10.31181/jopi31202545.

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This paper presents a predictive model for stock selection using a hybrid approach. The proposed model, which combines advanced machine learning algorithms with a dynamic adaptive index (DAI), aims to enhance portfolio performance and risk management. In this context, Random Forest (RF) and XGBoost algorithms are utilized to select optimal features and forecast stock returns. In the subsequent step, the DAI method assesses and selects stocks. By integrating various metrics such as correlation, volatility, relative strength index (RSI) and cumulative returns, the DAI method enables a comprehens

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Su, Larry, Elmina Homapour, and Francisco Chiclana. "Short-Sale Constraints and Stock Prices: Evidence from Implementation of Securities Refinancing Mechanism in Chinese Stock Markets." Mathematics 10, no. 17 (2022): 3141. http://dx.doi.org/10.3390/math10173141.

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Qualified Securities for Short-sale Refinancing (QSSR) is a unique trading mechanism that has exogenously increased the supply of loanable securities in Chinese stock markets. Using difference-in-differences (DID) methodology, this paper is the first to investigate whether and to what extent additions to the QSSR eligibility list affect short selling activities and stock price behaviors. The paper finds that stocks added to the QSSR list exhibit better liquidity and less negative skewness in returns than non-QSSR stocks. However, QSSR stocks are more volatile and display a higher frequency of

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Rabbani, Muhammad Fadhil, and Harjum Muharam. "Value stock and growth stock on Indonesia stock exchange after global crisis." Diponegoro International Journal of Business 1, no. 1 (2018): 8. http://dx.doi.org/10.14710/dijb.1.1.2018.8-13.

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This study was conducted to determine whether there are differences between the stock return of value stocks and growth stock in Indonesia before and after the world financial crisis that occurred in 2008. To investigate the difference, the stocks formed into a portfolio that is based on the 2002 calculated in 2002 and 2009 when the world financial crisis has ended. The formation of the portfolio based on stocks that have gone public before 2000 and have the complete data during the study period. For the determination of the categories of stocks used Price-to-Earnings ratio, price-to-book rati

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