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Journal articles on the topic 'Stocks Stock exchanges Stocks'

Author: Grafiati

Published: 4 June 2021

Last updated: 11 February 2022

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1

Rasul, Dr Md Serajur. "Performance of Value and Growth Stocks: Returns of Stocks on Dhaka Stock Exchange." Indian Journal of Applied Research 3, no. 2 (2011): 205–8. http://dx.doi.org/10.15373/2249555x/feb2013/71.

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2

Bradfield, D. J. "A note on the seasonality of stock returns on the Johannesburg Stock Exchange." South African Journal of Business Management 21, no. 1/2 (1990): 7–9. http://dx.doi.org/10.4102/sajbm.v21i1.909.

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Evidence from studies on the major stock exchanges world-wide suggests that stocks listed on these markets earn abnormally high returns in the month of January. In this article the seasonality of stocks on the Johannesburg Stock Exchange is empirically investigated. Surprisingly no January effects are found, however, a significant December seasonal effect is documented. A plausible explanation for this finding is offered.

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Aliu, Florin, Artor Nuhiu, Besnik Krasniqi, and Fisnik Aliu. "Modeling the Optimal Portfolio: the Case of the Largest European Stock Exchanges." Comparative Economic Research. Central and Eastern Europe 23, no. 2 (2020): 41–51. http://dx.doi.org/10.18778/1508-2008.23.11.

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Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor’s risk tolerance. The study measures the risk-reward relationship when the number of stocks in the portfolio increases. Six diverse portfolios have been created with a different number of stocks, such as portfolios with 47 stocks, 95 stocks, 142 stocks, 190 stocks, 239 stocks, and 287 stocks. Stock prices and trading volume were collected on a weekly basis from the six largest European stock exchanges (FTSE100, CAC40, FTSE MIB, IBEX35, DAX, and MDAX). Ma

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Gniadkowska-Szymańska, Agata. "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries." e-Finanse 13, no. 4 (2017): 136–48. http://dx.doi.org/10.1515/fiqf-2016-0042.

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AbstractEach type of investment has its own liquidity, i.e. the speed with which it can be converted into money. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged for a long time. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an ‚illiquidity premium’. In this paper I present various factors which have an effect on liquidity by presenting the results of re

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Urbański, Stanisław. "The Influence of Penny Stocks on the Pricing of Companies Quoted on theWarsaw Stock Exchange in the Context of the ICAPM." Kwartalnik Kolegium Ekonomiczno-Społecznego. Studia i Prace 3, no. 3 (2015): 75–92. http://dx.doi.org/10.33119/kkessip.2015.3.3.6.

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The paper attempts to explain the impact of penny stock on pricing in light ofthe ICAPM as stock exchanges introduce restrictions on penny stocks trading.The study is conducted using stocks listed on the Warsaw Stock Exchange (WSE)between 1995–2012. The systematic risk and risk prices components are simulated by two chosen ICAPM applications, using different procedures of portfolio construction.The main market WSE stocks are sorted into queintile portfolios usingtwo procedures. It is assumed that elimination of penny stocks contributes to morecorrect pricing, observed with ICAPM validity, howe

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Jiang, Jing. "Cross-sectional variation of market efficiency." Review of Accounting and Finance 16, no. 1 (2017): 67–85. http://dx.doi.org/10.1108/raf-02-2016-0018.

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Purpose This paper aims to provide evidence that market efficiency varies greatly across individual stock, and across market exchanges. Design/methodology/approach Three approaches, partial adjustment model, Dimson beta model and variance ratio test, are used on a large sample of US stocks. Findings This paper finds prices are closer to random walk benchmarks (i.e. more efficient) for stocks with better liquidity provision, frequent trading, greater return volatility, higher prices, larger market capitalizations and smaller trade sizes. These findings suggest that liquidity stimulates arbitrag

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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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Nyasha, Sheilla, and Nicholas M. Odhiambo. "The Australian stock market development: Prospects and challenges." Risk Governance and Control: Financial Markets and Institutions 3, no. 2 (2013): 39–48. http://dx.doi.org/10.22495/rgcv3i2art3.

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This paper highlights the origin and development of the Australian stock market. The country has three major stock exchanges, namely: the Australian Securities Exchange Group, the National Stock Exchange of Australia, and the Asia-Pacific Stock Exchange. These stock exchanges were born out of a string of stock exchanges that merged over time. Stock-market reforms have been implemented since the period of deregulation, during the 1980s; and the Exchanges responded largely positively to these reforms. As a result of the reforms, the Australian stock market has developed in terms of the number of

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Mahe, Kélig, Clémence Oudard, Tiphaine Mille, et al. "Identifying blue whiting (Micromesistius poutassou) stock structure in the Northeast Atlantic by otolith shape analysis." Canadian Journal of Fisheries and Aquatic Sciences 73, no. 9 (2016): 1363–71. http://dx.doi.org/10.1139/cjfas-2015-0332.

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Information on stock identification and spatial stock structure provide a basis for understanding fish population dynamics and improving fisheries management. In this study, otolith shape analysis was used to study the stock structure of blue whiting (Micromesistius poutassou) in the northeast Atlantic using 1693 samples from mature fish collected between 37°N and 75°N and 20°W and 25°E. The results indicated two stocks located north and south of ICES Divisions VIa and VIb (54°5N to 60°5N, 4°W to 11°W). The central area corresponds to the spawning area west of Scotland. Sampling year effects a

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Grossman, Richard S., and Stephen H. Shore. "The Cross Section of Stock Returns before World War I." Journal of Financial and Quantitative Analysis 41, no. 2 (2006): 271–94. http://dx.doi.org/10.1017/s0022109000002064.

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AbstractWe examine the cross section of stock returns using an original dataset consisting of annual observations on price, dividends, and shares outstanding for nearly all stocks listed on U.K. exchanges between 1870 and 1913, supplemented with additional information about attrition. The only clear pattern in the historical U.K. data is the high returns of extremely small stocks. Among the largest 99.8% of stocks, the historical U.K. data do not display the pattern found in modern U.S. (CRSP) data of excess returns for small stocks or stocks with poor past performance. Unlike CRSP data, stock

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Mehrara, Mohsen, Yazdan Gudarzi Farahani, Farzan Faninam, and Abbas Rezazadeh Karsalari. "The Effect of Macroeconomic Variables on the Stock Market Index of the Tehran Stock Exchange." International Letters of Social and Humanistic Sciences 71 (July 2016): 17–24. http://dx.doi.org/10.18052/www.scipress.com/ilshs.71.17.

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This paper examines the relationship between stock market index and macroeconomic policies (Fiscal and Monetary) on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models (VAR) to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a slight impact on stocks return in the short term. But the government expenditure has a positive effect on

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Lestari, Lestari, and Atty Erdiana. "Analisis Perbedaan Risk dan Return antara Saham Syariah dan Konvensional di Bursa Efek Indonesia." Jurnal Maksipreneur: Manajemen, Koperasi, dan Entrepreneurship 10, no. 2 (2021): 227. http://dx.doi.org/10.30588/jmp.v10i2.727.

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<em>This study purposed to compare the Risk and Return between Islamic and conventional stocks listed on the Indonesia Stock Exchange. The object of this research is sharia and conventional stocks listed on the Indonesia Stock Exchange. The sampling method used in this study was purposive sampling with a sample size of 50 Islamic stocks and 50 conventional stocks. This research focused on the study of Islamic and conventional stock price data from 2015 to 2018. The analysis technique used to test the level of differences in risk and return in Islamic and conventional stock groups was the

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Catherine, Happy, and Robiyanto Robiyanto. "PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018." Journal of Management and Entrepreneurship Research 1, no. 1 (2020): 37–44. http://dx.doi.org/10.34001/jmer.2020.6.01.1-4.

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Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio. Stocks evaluated are those that consistently listed in the LQ45 index during 2016-2018. Research Design & Methods: The number of samples used in this study was 32 stocks taken using a purposive sampling technique. The data used in this study are the monthly closing price of stocks, the composite stock price index, and the BI 7-day Repo Rate interest rate data. Findings: The re

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Tusiime, Ivan Mugarura, and Man Wang. "Are Islamic stocks subject to oil price risk exposure?" Journal of Risk Finance 21, no. 2 (2020): 181–200. http://dx.doi.org/10.1108/jrf-05-2019-0076.

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Purpose The purpose of this paper is to examine whether oil price risk is a significant determinant of stock returns. Design/methodology/approach Using monthly data on a sample of Islamic stocks listed on the New York Stock Exchanges and National Association of Securities Dealers Automated Quotations System (NASDAQ) over the period from January 1990 to December 2017, the study examines whether oil price risk is a significant determinant of stock returns using Fama–French–Carhart’s four-factor asset pricing model amplified with Brent oil price factor. Findings The results from the cross-section

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Sumatrani Saragih, Maulana Majied, Sarman Sinaga, Faisal Faisal, Rico Nur Ilham, and T. Nurhaida. "The Impact of the Covid-19 Pandemic on Stock Investment in the Indonesian Capital Market." Management Research and Behavior Journal 1, no. 1 (2021): 1. http://dx.doi.org/10.29103/mrbj.v1i1.3784.

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The COVID-19 pandemic has hit various sectors, including the stock market where many people are hesitant to invest in stocks. Many industries have been affected by Covid-19, where since March 2020 the Indonesia Stock Exchange Composite Stock Price Index (IHSG) has decreased because many investors sold their shares, but since the third week of May 2020 to early June 2020 has shown an increase indicating stock trading has begun to show improvement. This study aims to analyze which sector stocks are still able to survive during the COVID-19 pandemic, by using stock trading volume data, Composite

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Bassar, Teddy Sumirat, Nury Effendi, Achmad Kemal Hidayat, and Budiono Budiono. "The Effect of Inflation Rate, Exchange Rate, The Certificate of Bank Indonesia (SBI) Interest Rate and Sharia Stock Trading Volume on Sharia Stock Performance in Companies Listed on the Indonesian Sharia Stock Index (ISSI)." International Journal of Multicultural and Multireligious Understanding 8, no. 3 (2021): 326. http://dx.doi.org/10.18415/ijmmu.v8i3.2494.

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This study aims to determine and analyze the effect of the inflation rate, exchange rate, SBI interest rate and Sharia stock trading volume on the performance of Sharia stocks in companies listed on the Indonesian Sharia Stock Index. In this study, a research model was created using Sharia stock performance as the dependent variable. While the independent variables are the inflation rate, exchange rate, certificate of Bank Indonesia (SBI) interest rate and Sharia stock trading volume. The research method used is quantitative research method with multiple regression models using panel data. The

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Nyasha, Sheilla, and Nicholas M. Odhiambo. "The dynamics of stock market development in the United States of America." Risk Governance and Control: Financial Markets and Institutions 3, no. 1 (2013): 93–102. http://dx.doi.org/10.22495/rgcv3i1c1art3.

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This paper highlights the origin and development of the stock market in the United States of America. The country consists of several stock exchanges, with the three largest being the NYSE Euronext (NYX), National Association of Securities Dealers Automated Quotation (NASDAQ), and the Chicago Stock Exchange. Stock market reforms have been implemented since the stock market crash of 1929; and the exchanges responded positively to some of these reforms, but not so positively to some of the reforms. As a result of the reforms, the U.S. stock market has developed in terms of market capitalisation,

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18

Gu, Anthony Yanxiang, and Chauchen Yang. "Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets." Review of Pacific Basin Financial Markets and Policies 10, no. 04 (2007): 469–78. http://dx.doi.org/10.1142/s021909150700115x.

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Returns of the same companies' common stocks, both non-market-adjusted and market-adjusted, exhibit greater volatility, on the Stock Exchange of Hong Kong where short selling is allowed than on the Shanghai Stock Exchange and Shenzhen Stock Exchange where short selling is restrained. This unique evidence indicates that short selling increases stock price volatility for the Chinese stocks in the Chinese stock markets.

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Parmar, Kanaiyalal Shantilal, and Chakrapani Chaturvedula. "The Effectiveness of Trade for Trade Segment as a Surveillance Effort to Prevent Price Manipulation: Evidence from India." Accounting and Finance Research 6, no. 1 (2016): 9. http://dx.doi.org/10.5430/afr.v6n1p9.

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Indian Stock Exchanges use trade for trade segment as part of surveillance activity to restrict the unwanted growth in prices to safeguard the interest of the investors. This paper studies the impact of the announcement to shift securities to trade for trade segment on stock returns and volatility of the stock returns using event study methodology. It was found that the securities have generated exorbitant positive average abnormal returns during 30 days in the pre event period, which led the exchanges to shift these stocks to trade for trade segment. The event is found to be significantly imp

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Gniadkowska - Szymańska, Agata. "The Impact of Trade Liquidity on the Rates of Return from Emerging Market Shares Based on the Example of Poland, Austria and Hungary." Acta Universitatis Lodziensis. Folia Oeconomica 4, no. 343 (2019): 137–57. http://dx.doi.org/10.18778/0208-6018.343.09.

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In relation to assets, liquidity generally relates to the ease by which an asset can be sold immediately after purchase without incurring losses of any kind. These losses could be due to price changes or various transaction costs. This can be seen with respect to various instruments (such as stocks or futures contracts), market segments, or even entire exchanges. The importance of liquidity has been acknowledged a long time ago. A considerable number of studies have investigated stock liquidity, providing evidence that more illiquid stocks have higher returns, which may be deemed an “illiquidi

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Lieksnis, Raimonds. "MULTIFACTOR ASSET PRICING ANALYSIS OF THE BALTIC STOCK MARKET." Ekonomika 89, no. 4 (2010): 85–95. http://dx.doi.org/10.15388/ekon.2010.0.964.

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This study investigates whether the Fama–French three-factor asset pricing model is applicable for explaining cross-sectional returns of stocks listed in the Baltic stock exchanges. Findings confirm the validity and economic significance of the three-factor model for the Baltic stock market: only investors who chose to invest in value stocks during the reference period achieved positive returns by matching or beating the returns of the stock market index. The monthly returns of 8 Latvian, 13 Estonian and 27 Lithuanian company stocks are analyzed for the time period from June 2002 till February

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Hunjra, Ahmed Imran, Suha Mahmoud Alawi, Sisira Colombage, Uroosa Sahito, and Mahnoor Hanif. "Portfolio Construction by Using Different Risk Models: A Comparison among Diverse Economic Scenarios." Risks 8, no. 4 (2020): 126. http://dx.doi.org/10.3390/risks8040126.

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We aim to construct portfolios by employing different risk models and compare their performance in order to understand their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean absolute deviation (MaD) and conditional value at risk (CVaR) are considered as risk measures. The price data were extracted from the Pakistan stock exchange, Bombay stock exchange and Dhaka stock exchange under diverse economic conditions such as crisis, recovery and growth. We take the average of GDP of the selected period of each country as a cut-off point to

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

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

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Addinpujoartanto, Nur Ariefin. "ANALYSIS OF JANUARY EFFECT ON BIG STOCK COMPANIES AND SMALL STOCK COMPANIES AT INDONESIA STOCK EXCHANGE." International Journal of Business, Humanities, Education and Social Sciences (IJBHES) 1, no. 2 (2019): 47–56. http://dx.doi.org/10.46923/ijbhes.v1i2.40.

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January Effect is one of market anomaly where the stock returns in January are higher than other months. Some of causes the January Effect are the actions of investor who carry out tax-loss selling and windows dressing. In addition, investors have different views to choose stocks, based on market capitalization dan risk. This study is purposed to find the January Effect in the Indonesia Stock Exchange and January Effect on small company stock is stronger than large company stock. The data is normally distributed using the One-Sample Kolmogorov-Smirnov test. The test using the OLS method with d

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McInish, Thomas H., Bonnie F. Van Ness, and Robert A. Van Ness. "After-hours trading of NYSE stocks on the regional stock exchanges." Review of Financial Economics 11, no. 4 (2002): 287–97. http://dx.doi.org/10.1016/s1058-3300(02)00060-5.

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Patil, Dr S. T. "Machine Learning Model for Stock Market Prediction." International Journal for Research in Applied Science and Engineering Technology 9, no. VI (2021): 4057–62. http://dx.doi.org/10.22214/ijraset.2021.35822.

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: In recent time’s stock market predictions is gaining more attention, maybe due to the fact that if the trend of the market is successfully predicted, the investors may be better guided. A stock exchange is a system where you can buy and sell stocks. By stock we mean the share in the ownership of the company. Companies buy stocks to get the money they need to grow. Whereas people buy the stocks, also called as securities as investment or ways of possibly earning money. A stock Market Prediction model will help people to predict particular company’s stock price before they want to invest. This

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Arik, Oguzhan Ahmet. "Mixed integer programming approach for seasonal anomalies in stock markets: A case study for BIST." New Trends and Issues Proceedings on Humanities and Social Sciences 5, no. 2 (2018): 19–28. http://dx.doi.org/10.18844/prosoc.v5i2.3651.

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This paper proposes a mixed integer programming approach for seasonal anomalies in stock markets and presents a case study for the XU030 index in the stock market of Istanbul Stock Exchange (BIST). Stock markets are significant for economies of countries all over the world. Investors get economical wealth or lose some of their investment by selling and buying stocks. Therefore, buying and selling times of stocks are so important. This paper investigates a well-known effect called as ‘Sell in May and Go Away’ by proposing a MIP approach that searches best times for buying and selling of stocks

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Urbański, Stanisław, Paweł Jawor, and Kacper Urbański. "The Impact Of Penny Stocks On The Pricing Of Companies Listed On The Warsaw Stock Exchange In Light Of The CAPM." Folia Oeconomica Stetinensia 14, no. 2 (2014): 163–78. http://dx.doi.org/10.1515/foli-2015-0015.

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Abstract Oryginality and objective – Research on the pricing of stocks listed on developed markets shows inexplicable deviation from the pricing that could be observed with CAPM validity. A similar anomaly is found on the Polish market. Reasons for inconsistent pricing with CAPM are unknown, and they are the main objective of this research. Method – The study is conducted using stocks listed on the Warsaw Stock Exchange in 1995–2012. Quintile stock portfolios are formed on the basis of strategies widely used by investors. The study is carried out in several modes. In the subsequent modes penny

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Muthoharoh, Muthoharoh, and Sutapa Sutapa. "PERBANDINGAN SAHAM BERBASIS SYARIAH DENGAN SAHAM KONVENSIONAL SEBAGAI ANALISA KELAYAKAN INVESTASI BAGI INVESTOR MUSLIM." Jurnal Akuntansi Indonesia 3, no. 2 (2016): 101. http://dx.doi.org/10.30659/jai.3.2.101-112.

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The phenomenon of the lack of confidence Indonesian investors to invest more effort to control the country’s wealth as his own one of them due to lack of knowledge . Including for Indonesian Muslim businessmen , is an alternative investment of choice muamalah . But in this investment activity , there are still concerns the Muslimsagainst the perception of potential investors speculation or gharar . Therefore, the Indonesia Stock Exchange ( IDX ) follow up these concerns by launching Islamic products including Islamic stocks are grouped in two Islamic Indices , Jakarta Islamic Index ( JII ) in

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Osei, Prince Mensah, and Anokye M. Adam. "Quantifying the Information Flow between Ghana Stock Market Index and Its Constituents Using Transfer Entropy." Mathematical Problems in Engineering 2020 (August 28, 2020): 1–10. http://dx.doi.org/10.1155/2020/6183421.

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We quantify the strength and the directionality of information transfer between the Ghana stock market index and its component stocks as well as observe the same among the individual stocks on the market using transfer entropy. The information flow between the market index and its components and among individual stocks is measured by the effective transfer entropy of the daily logarithm returns generated from the daily market index and stock prices of 32 stocks ranging from 2nd January 2009 to 16th February 2018. We find a bidirectional and unidirectional flow of information between the GSE in

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Nurhayati, Immas, Endri Endri, Renea Shinta Aminda, and Leny Muniroh. "Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation." Journal of Open Innovation: Technology, Market, and Complexity 7, no. 1 (2021): 56. http://dx.doi.org/10.3390/joitmc7010056.

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This research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indonesian Stock Exchange during the COVID-19 pandemic using the Sharpe Index, the Treynor Ratio, and Jensen’s Alpha. The sample selection used a purposive sampling technique and 24 stocks were selected as samples in the study. We used the daily closing price of stocks, the Indonesia composite index, an

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Kamal, Javed Bin. "Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model." Financial Assets and Investing 3, no. 3 (2012): 29–42. http://dx.doi.org/10.5817/fai2012-3-3.

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The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange) as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates

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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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Khan, Safi Ullah, and Syed Tahir Hijzi. "Single Stock Futures Trading and Stock Price Volatility: Empirical Analysis." Pakistan Development Review 48, no. 4II (2009): 553–63. http://dx.doi.org/10.30541/v48i4iipp.553-563.

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This study examines impact of the introduction of single stock futures contracts on the return volatility of the SSFs-listed underlying stocks. The study documents a significant decrease in return volatility for the SSFs-underlying stocks following the introduction of single stock futures contracts on the Karachi Stock Exchange. The multivariate analysis in which the spot trading volume, the futures trading volume and open interest were partitioned into news and informationless components, the estimated coefficient of expected futures volume component is statistically significant and negativel

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

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

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Tlemsani, Issam, Fai Albadeen, Ghada Althaaly, Maha Aljughaiman, and Hala Bubshait. "Tadawul and Dubai Financial Market - A Comparative Study." Journal of Business Administration Research 9, no. 2 (2020): 45. http://dx.doi.org/10.5430/jbar.v9n2p45.

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This research is intended to identify the fundamentals of stock valuation and utilize them in the macro analysis and micro valuation of two major stock exchanges ‘Tadawul’ and ‘Dubai Financial Market’. These stock exchanges are compared in terms of their strengths and weaknesses according to significant economic indicators, alongside essential stock market determinants, all the while highlighting relevant relationships among them. Upon assessment, GDP has a strong influence on the valuation of the market and KSA’s GDP growth in the last two years has been slightly higher than UAE’s growth, aff

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Citasti, Ni Nyoman, and Gede Sri Darma. "MENAKAR ASA OPTIMALISASI PROFIT MELALUI KONSEP “YUK NABUNG SAHAM”." E-Jurnal Manajemen Universitas Udayana 9, no. 8 (2020): 3169. http://dx.doi.org/10.24843/ejmunud.2020.v09.i08.p14.

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The pattern of public consumption has shifted towards an increasingly complex direction. Good financial management is aimed at ensuring financial security and development in the long term. One way to manage finances is by investing. The low literacy and utility of stocks which are worrying have even been followed up by the Indonesia Stock Exchange. Through the "Yuk Nabung Saham" campaign, the Indonesia Stock Exchange is pursuing a movement capable of encouraging an increase in the number of active investors (especially domestic investors) in the Indonesian capital market. The aim of this study

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Arasu, B. Senthil, Desti Kannaiah, Nancy Christina J., and Malik Shahzad Shabbir. "Selection of Variables in Data Envelopment Analysis for Evaluation of Stock Performance." Management and Labour Studies 46, no. 3 (2021): 337–53. http://dx.doi.org/10.1177/0258042x211002511.

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This study deploys data envelopment analysis (DEA) to identify the appropriate variables for the performance valuation of stocks. For this purpose, sixty-nine non-financial stocks of the Nifty 100 index of The National Stock Exchange of India Ltd (NSE) were selected as a sample for this study. We segregated the selected stocks into three groups of inputs and outputs for DEA based on fundamental indicators (financial ratios); technical indicators (momentum indicators); and both, fundamental and technical indicators. The stock performance indicators are sourced from the ACE database from financi

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Kambeu, Edson. "The role of Exchange Traded Funds in the price discovery process of stocks listed on the Botswana Stock Exchange." International Journal of Finance & Banking Studies (2147-4486) 6, no. 1 (2019): 141–48. http://dx.doi.org/10.20525/ijfbs.v6i1.662.

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In this paper we analyse the role of Exchange Traded Funds (ETFs) in the price discovery process of stocks listed at the Botswana Stock Exchange.Using daily returns data covering the period 3 January 2013 to 31 December 2015 for Beta Betta ETF and Domestic Company Indices, we utilize a VECM model to find out whether the Betta Beta ETF is playing a significant role in the price discovery process of stocks listed on the Botswana Stock Exchange. We found the error correction term to be statistically significant thereby confirming that the Beta Betta ETF is playing a significant role in the price

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Njeru, Paul Gachoki, and Dr Herrick Ondigo. "A Comparative Study of the Returns of Quoted Sin and Non Sin Stocks at the Nairobi Securities Exchange." International Journal of Finance and Accounting 2, no. 2 (2017): 85. http://dx.doi.org/10.47604/ijfa.314.

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Purpose: The purpose of the study was to compare returns of quoted sin and non-sin stocks at the Nairobi Securities Exchange. The major objective of the study was to establish whether stock returns of sin stocks outperform non sin stocks.Methodology: The study used explanatory research design with the population consisting of all firms listed in the NSE. The sample of the study consisted of the top 20 NSE firms. The study grouped 18 firms into the non-sin stock category and another 2 firms (BAT ad EABL) into the sin stock category. Secondary data sources were used in gathering data for analysi

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Ligocká, Marie, Tomáš Pražák, and Daniel Stavárek. "The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 64, no. 6 (2016): 2015–24. http://dx.doi.org/10.11118/actaun201664062015.

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Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level). The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005 – 2014 we r

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Sochi, Maria, and Steve Swidler. "A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange." Journal of Risk and Financial Management 11, no. 4 (2018): 59. http://dx.doi.org/10.3390/jrfm11040059.

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A ban on short selling exists on several exchanges, especially in emerging markets. In most cases, short selling has always been prohibited, thus making it difficult to examine the ban’s effect on price discovery. In this paper, we consider data from the Dhaka Stock Exchange (DSE) to test for a short selling ban on market efficiency. The analysis examines runs in daily stock returns and then forms a distribution of return clusters according to their duration. Using Monte Carlo simulation, we find that runs of longer duration appear more frequently in the DSE data than we would expect in effici

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Hadi Utomo, Sugeng, Dwi Wulandari, Bagus Shandy Narmaditya, Puji Handayati, and Suryati Ishak. "Macroeconomic factors and LQ45 stock price index: evidence from Indonesia." Investment Management and Financial Innovations 16, no. 3 (2019): 251–59. http://dx.doi.org/10.21511/imfi.16(3).2019.23.

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This paper provides the relationship between macroeconomic variables, including exchange rate, BI rate and inflation, and stocks performance, particulary bluechip stocks listed in LQ45 index in Indonesia Stock Exchange. The study particularly gives insights on bluechip stocks listed in LQ45 stock price index in Indonesia Stock Exchange between 2015 and 2017. The data were obtained from various sources during the period, including the Indonesia Stock Exchange (IDX), the Central Bank of Indonesia (BI), and the Ministry of Trade. This study followed a Vector Error Correction Model (VECM) attempti

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Jefry, Jefry, and Abid Djazuli. "The Effect of Inflation, Interest Rates and Exchange Rates on Stock Prices of Manufacturing Companies in Basic and Chemical Industrial Sectors on the Indonesia Stock Exchange (IDX)." International Journal of Business, Management & Economics Research 1, no. 1 (2020): 34–49. http://dx.doi.org/10.47747/ijbmer.v1i1.49.

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This study examines the effect of inflation, interest rates and exchange rates on stocks in basic industrial sector and chemical manufacturing companies on the Indonesia Stock Exchange (BEI). The study period is 2013 to 2017. An ordinary least square (OLS) is employed. The results show that (1) There is a significant effect of inflation, interest rates and exchange rates on stocks. together with the Basic Industry and Chemical Sector Manufacturing companies on the Indonesia Stock Exchange (IDX); (2) There is a significant influence of inflation on shares in manufacturing companies in the Basic

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Setyowati, Ery Indah, and Husnurrosyidah Husnurrosyidah. "CAPM, INDEKS TUNGGAL DAN TREYNOR SEBAGAI ANALISIS PORTOFOLIO PADA SAHAM SYARIAH." KEUNIS 9, no. 1 (2021): 63. http://dx.doi.org/10.32497/keunis.v9i1.2222.

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<em>This study aims to analyze the optimal portfolio of stocks using a single index model and the Capital Asset Pricing Model (CAPM) in making investment decisions as well as the expected profit and risk of the optimal portfolio formed on Islamic stocks in the Indonesian Sharia Stock Index (ISSI) on the Indonesia Stock Exchange. 2016-2020 period. This research design is descriptive quantitative research. The study population was all stocks that were consistently included in the Indonesian Sharia Stock Index (ISSI), amounting to 207 stocks. The number of samples of this study was 136 stoc

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SANDOVAL, LEONIDAS. "A MAP OF THE BRAZILIAN STOCK MARKET." Advances in Complex Systems 15, no. 05 (2012): 1250042. http://dx.doi.org/10.1142/s0219525912500427.

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The correlation matrix of stocks returns is used in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data refer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analyzed using techniques of network theory. Also, using data from 2007 to 2010, a study is made on the dynamics of the network formed by stocks from that same stock exchange.

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Nurmala, Nurmala. "Analisis Pengembalian Keputusan Investasi Saham Dengan Pendekatan Capital Asset Pricing Model (CAPM) pada Perusahaan Perbankan Terdaftar di Bursa Efek Indonesia." BALANCE Jurnal Akuntansi dan Bisnis 2, no. 2 (2018): 215. http://dx.doi.org/10.32502/jab.v2i2.1173.

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ABSTRACT The investors chose the banking shares because the management of this banking is overseen and regulated by Financial Services Authority in a transparent manner. This banking world will always be professional and transparent in managing public funds. It certainly will provide trust and positive value in the eyes of the community. The problem of this research is how to make Stock Investment Decision in accordance with Capital Asset Pricing Model (CAPM) Method on Banking Companies registered in Indonesia Stock Exchange. The purpose of this research is to analyze the decision of stock inv

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Singh, Jaspal, and Kiranpreet Kaur. "Testing Ben Graham’s Stock Selection Criteria in Indian Stock Market." Management and Labour Studies 39, no. 1 (2014): 43–62. http://dx.doi.org/10.1177/0258042x14535156.

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Using the data on stocks listed on Bombay Stock Exchange for the period spanning from 1996 to 2010, the present study intends to examine the profitability of stock selection criteria of Benjamin Graham in Indian capital market. The different risk–reward combinations of the criteria and the minimum number of principles to be followed by a stock have been examined using one sample T-test, Sharpe ratio and capital asset pricing model (CAPM). The results make it evident that all the risk-reward combinations can be used safely by investors in order to extract excess returns except the combination o

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Aremu Akinde, Mukail, Eriki Peter, and Ochei Ailemen Ikpefan. "Portfolio selection strategies and cognitive psychology biases: a behavioral evidence from the Nigerian equity market." Investment Management and Financial Innovations 15, no. 3 (2018): 267–82. http://dx.doi.org/10.21511/imfi.15(3).2018.22.

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The empirical evidence in the developed equity markets such as the United States, the United Kingdom, Germany, Japan and emerging markets had pronounced that there are institutional and individual investors’ cognitive psychology and mental biases in favor of the Growth Stocks, that is, the Growth Stocks are always preferred to the Value Stocks by the investors. The investors most times prefer the Growth Stocks to the Value Stocks irrespective of the stock fundamentals behavior in the equity market. The paper investigated whether Cognitive Psychology and Mental biases affect Portfolio Selection

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Han, Rui-Qi, Wen-Jie Xie, Xiong Xiong, Wei Zhang, and Wei-Xing Zhou. "Market Correlation Structure Changes Around the Great Crash: A Random Matrix Theory Analysis of the Chinese Stock Market." Fluctuation and Noise Letters 16, no. 02 (2017): 1750018. http://dx.doi.org/10.1142/s0219477517500183.

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The correlation structure of a stock market contains important financial contents, which may change remarkably due to the occurrence of financial crisis. We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 Chinese stocks. Both raw correlation matrix and partial correlation matrix with respect to the market index in two time periods of one year are investigated. We find that the Chinese stocks have stronger average correlation and partial correlation in 2008 than in 200

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