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Vinodkumar, Nisa, and Hadeel Khalid AlJasser. "Financial evaluation of Tadawul All Share Index (TASI) listed stocks using Capital Asset Pricing Model." Investment Management and Financial Innovations 17, no. 2 (May 15, 2020): 69–75. http://dx.doi.org/10.21511/imfi.17(2).2020.06.
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The Kingdom of Saudi Arabia is strongly committed to stimulating savings culture in the local community by providing financial literacy in financial planning, investments, and budgeting. Inculcating the savings and investment behavior among the people will help materialize one of the elements of Saudi Vision 2030. Tadawul, being the most liquid stock market in the Middle East and North Africa, offers investors the ability to grow their capital with confidence through facilitating trading in different securities such as equities, debt instruments, and Exchange Traded Funds (ETFs). There is a great scope for investors to invest in the companies listed in Tadawul All Share Index (TASI) due to its strong economic fundamentals. The present study aims to apply the CAPM in Tadawul listed stocks, which will help in understanding the systematic and unsystematic risk associated with stocks, understanding their actual and theoretical return on stocks. The methodology adopted is the analysis of secondary data for all listed stocks in Tadawul using the Bloomberg terminal. The financial valuation includes elements like beta, alpha, correlation and standard deviation, expected return and actual return. The practical value obtained from the study will help investors go for undervalued stocks with lower beta, higher expected annual return, and lower systematic risks. Thus, the result shows the predicting power in KSA market and the scope for long-term investments by the investors to boost their savings and investment behavior and materialize one element of Vision 2030. AcknowledgmentThis research was funded by the Deanship of Scientific Research at Princess Nourah bint Abdulrahman University through the Fast-Track Research Funding Program.
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Samsul Anwar, Lisa Kustina, and Fitri Kaniawati. "PENGARUH BURSA SAHAM GLOBAL SYARIAH TERHADAP JAKARTA ISLAMIC INDEX PERIODE TAHUN 2015-2017." Jurnal Investasi 4, no. 2 (November 30, 2018): 13. http://dx.doi.org/10.31943/investasi.v4i2.7.
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Penelitian ini bertujuan untuk mengetahui pengaruh bursa saham global syariah yang diwakili oleh variabel Dow Jones Islamic Market Index Europe, Dow Jones Islamic Market Index Malaysia, Dubai Financial Market General Index, Tadawul All Share Index terhadap Jakarta Islamic Index. Penelitian ini menggunakan data sekunder yang berupa data index saham bulanan periode tahun 2015-2017. Analisis data dalam penelitian ini menggunakan analisis deskriptif dan analisis regresi linear. Data diolah dengan menggunakan software eviews. Hasil dari penelitian ini menunjukan bahwa variabel Dow Jones Islamic Market Index Europe secara parsial berpengaruh terhadap Jakarta Islamic Index periode 2015-2017. Sedangkan Dow Jones Islamic Market Index Malaysia, Dubai Financial Market General Index, dan Tadawul All Share Index tidak berpengaruh signifikan terhadap Jakarta Islamic Index periode 2015-2017.
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Al Rahahleh, Naseem, and Robert Kao. "Forecasting Volatility: Evidence from the Saudi Stock Market." Journal of Risk and Financial Management 11, no. 4 (November 28, 2018): 84. http://dx.doi.org/10.3390/jrfm11040084.
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The purpose of this paper is to evaluate the forecasting performance of linear and non-linear generalized autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy for the Tadawul All Share Index (TASI) and the Tadawul Industrial Petrochemical Industries Share Index (TIPISI) for petrochemical industries. We use the daily price data of the TASI and the TIPISI for the period of 10 September 2007 to 26 February 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is useful for the dataset examined, because the results provide a basis for traders, policy-makers, and international investors to make decisions using this model to forecast the risks associated with investing in the Saudi stock market, within certain limitations.
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Alhagyan, Mohammed, and Fuad Alduais. "FORECASTING THE PERFORMANCE OF TADAWUL ALL SHARE INDEX (TASI) USING GEOMETRIC BROWNIAN MOTION AND GEOMETRIC FRACTIONAL BROWNIAN MOTION." Advances and Applications in Statistics 62, no. 1 (May 20, 2020): 55–65. http://dx.doi.org/10.17654/as062010055.
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Abbas, Anas, and Mohammed Alhagyan. "THE EFFECT OF INCORPORATING MEMORY AND STOCHASTIC VOLATILITY INTO GEOMETRIC BROWNIAN MOTION IN FORECASTING THE PERFORMANCE OF TADAWUL ALL SHARE INDEX (TASI)." Advances and Applications in Statistics 74 (January 1, 2022): 47–62. http://dx.doi.org/10.17654/0972361722017.
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AL-Najjar, Dania, Hazem AL-Najjar, Nadia Al-Rousan, and Hamzeh F. Assous. "Developing Machine Learning Techniques to Investigate the Impact of Air Quality Indices on Tadawul Exchange Index." Complexity 2022 (October 6, 2022): 1–12. http://dx.doi.org/10.1155/2022/4079524.
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The air quality index (AQI) can be described using different pollutant indices. Many investigators study the effect of stock prices and air quality in the field to show if there is a relationship between changing the stock market and the concentration of various pollutants. This study aims to find a relationship between Saudi Tadawul All Share Index (TASI) and multiple pollutants, including particulate matter (PM10), ozone (O3), nitrogen dioxide (NO2), sulfur dioxide (SO2), carbon monoxide (CO), and AQI. Based on tree models, the relationship is created using linear regression and two prediction models, Chi-square Automatic Interaction Detection (CHAID), and CR-Tree. In order to achieve the target of this research, the TASI dataset relates to six pollutants using time; afterward, the new dataset is divided into three parts—test, validate, and train—after eliminating the outlier data. In order to test the performance of two prediction models, R2 and various error functions are used. The linear regression model results found that PM10, NO2, CO, month, day, and year are significant, whereas O3, SO2, and AQI indices are insignificant. The test dataset showed that R2 scores are 0.995 and 0.986 for CR-Tree and CHAID, respectively, with RMSE values of 387 and 227 for CR-Tree and CHAID, respectively. The prediction models showed that the CHAID model performed better than CR-Tree because it used only three indices, namely, PM10, AQI, and O3, with year and month. The results indicated an effect between changing TASI and the three pollutants, PM10, AQI, and O3.
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Altass, Sultan. "Board diligence, independence, size, and firm performance: Evidence from Saudi Arabia." Accounting 8, no. 3 (2022): 269–76. http://dx.doi.org/10.5267/j.ac.2022.1.001.
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The aim of this paper is to examine the possible association between the effectiveness of Board of Directors (BOD) and firm performance (FP). For the purpose of this analysis, data is derived from firms listed in the materials sector of the Saudi Exchange Market’s Tadawul All Share Index (TASI). Using pooled OLS regression analysis and the dependent variables of ROA and ROE as a proxy for FP, while board meetings (BMEET), independence and board size (BSIZE) are used as explanatory variables, the results reveal that frequent BMEET may not lead to improved FP. Moreover, the results show that BMEET frequency is negatively associated with FP. Independent members do not provide additional efficiency leading to better FP. As for the BSIZE, the findings indicate that larger boards are associated with lower FP. Such findings offer insights into the effect of BSIZE on FP. The results are of interest to decision makers, policymakers and investors.
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Bin Amin, Md Fouad, and Mohd Ziaur Rehman. "Asymmetric Linkages of Oil Prices, Money Supply, and TASI on Sectoral Stock Prices in Saudi Arabia: A Non-Linear ARDL Approach." SAGE Open 12, no. 1 (January 2022): 215824402110711. http://dx.doi.org/10.1177/21582440211071110.
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This study examines the asymmetric effects of oil prices, money supply, and the Tadawul All Share Index (TASI) on sectoral stock prices in Saudi Arabia. By applying a nonlinear auto-regressive distributive lag (NARDL) approach to monthly data spanning from January 2007 to December 2016, we found that the positive shocks of oil prices were more than the negative ones in the building and construction, energy and utilities, and petrochemical sectors, while higher oil prices adversely influenced the stock price of the bank and financial service sector. We identified the long-run and short-run asymmetric relationships of the Saudi stock market development on the stock prices of bank and financial services, energy and utilities, and the petrochemical sector and only a long-running asymmetric relationship with the building and construction sector. We also found the absence of long-run and short-run asymmetric impact of money supply on three sectors, namely, building and construction, energy and utilities, and the petrochemical sector except for the bank and financial service sector where only a long-running asymmetric relation was observed. These findings are appropriate for investors and portfolio managers to make judicious investment decisions. Policymakers should diversify their economic sectors apart from the oil dependencies to achieve the Vision 2030.
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AL-Najjar, Dania. "Impact of the twin pandemics: COVID-19 and oil crash on Saudi exchange index." PLOS ONE 17, no. 5 (May 20, 2022): e0268733. http://dx.doi.org/10.1371/journal.pone.0268733.
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This study aims to explore the effects of COVID-19 indicators and the oil price crash on the Saudi Exchange (Tadawul) Trading Volume and Tadawul Index (TASI) for the period from January 1, 2020, to December 2, 2020. The independent variable is oil price, and the COVID-19 indicators are lockdown, first and second decreases of Repo and Reverse Repo rates, Saudi government response, and cumulative deceased cases. The study adopts two phases. In the first phase, linear regression is used to identify the most influential variables affecting Trading volume and TASI. According to the results, the trading volume model is significant with an adjusted R2 of 65.5% and a standard error of 81. The findings of this model indicate a positive effect of cumulative deceased cases and first decrease of Repo and Reverse Repo rates and a negative effect of oil prices on Trading Volume. The TASI model is significant with an adjusted R2 of 86% and a standard error of 270. The results of this model indicate that lockdown and first decrease of Repo and Reverse Repo rates have a significant negative effect on TASI while the cumulative decrease in cases and oil prices have a positive effect on TASI. In the second phase, linear regression, and neural network predictors (with and without validation) are applied to predict the future TASI values. The neural network model indicates that the neural networks can achieve the best results if all independent variables are used together. By combining the collected results, the study finds that oil price has the most substantial effect on the changes in TASI as compared to the COVID-19 indicators. The results indicate that TASI rapidly follows the changes in oil prices.
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Chen, Donglin, and Dissanayaka M. K. N. Seneviratna. "Using Feed Forward BPNN for Forecasting All Share Price Index." Journal of Data Analysis and Information Processing 02, no. 04 (2014): 87–94. http://dx.doi.org/10.4236/jdaip.2014.24011.
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Heaney, Richard. "Australian All Ordinaries Share Price Index Futures and Random Walks." Australian Journal of Management 15, no. 1 (June 1990): 129–49. http://dx.doi.org/10.1177/031289629001500106.
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Watson, G., and E. V. D. M. Smit. "Seasonal patterns in the South African share index futures market." South African Journal of Business Management 25, no. 4 (December 31, 1994): 155–61. http://dx.doi.org/10.4102/sajbm.v25i4.855.
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In this article three near futures contracts are examined, namely the All Share Near Future, the All Industrial Near Future and the All Gold Near Future, to determine whether daily futures returns exhibit well-documented seasonal patterns. The detection of seasonal patterns in the daily returns for the three underlying indices, namely the All Share Index, the All Industrial Index and the All Gold Index, is also included. Results are compared to the findings of Hattingh Smit. It is shown that seasonal similarities exist between the futures market and the spot market. Seasonal phenomena in the underlying indices further tend to remain stable over the different sample periods considered.
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Bataineh, Khaled. "Return and volatility spillovers between FTSE All-Share Index and S&P 500 Index." Investment Management and Financial Innovations 19, no. 2 (April 26, 2022): 107–18. http://dx.doi.org/10.21511/imfi.19(2).2022.09.
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This paper explores the effect of the return and volatility spillover between the Standard and Poor’s 500 index and FTSE All-Share index using the AG-DCC_ Dynamic Conditional Correlation model over the sample period from April 1995 to April 2019. It demonstrates that the Standard and Poor’s 500 return and volatility are crucial in forecasting the market’s future dynamics of the FTSE All Shares where it finds a significant spillover effect for both return and volatility from the Standard and Poor’s 500 to FTSE All Shares, while weak evidence has been found in the opposite direction, that is, an insignificant spillover effect for both return and volatility from FTSE All Shares to the Standard and Poor’s 500. In addition, the paper also finds high Dynamic Conditional Correlation (DCC) between both the Standard and Poor’s 500 and FTSE All Shares. Therefore, it finds asymmetric correlation and transmission mechanisms between the Standard and Poor’s 500 and FTSE All Shares, which means there is an asymmetric interconnectedness between two markets, so allocating assets between two markets will not benefit investor portfolios as investing in high-yielding shares do.
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Bataineh, Khaled. "Return and volatility spillovers between FTSE All-Share Index and S&P 500 Index." Investment Management and Financial Innovations 19, no. 2 (April 26, 2022): 107–18. http://dx.doi.org/10.21511/imfi.19(2).2022.09.
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This paper explores the effect of the return and volatility spillover between the Standard and Poor’s 500 index and FTSE All-Share index using the AG-DCC_ Dynamic Conditional Correlation model over the sample period from April 1995 to April 2019. It demonstrates that the Standard and Poor’s 500 return and volatility are crucial in forecasting the market’s future dynamics of the FTSE All Shares where it finds a significant spillover effect for both return and volatility from the Standard and Poor’s 500 to FTSE All Shares, while weak evidence has been found in the opposite direction, that is, an insignificant spillover effect for both return and volatility from FTSE All Shares to the Standard and Poor’s 500. In addition, the paper also finds high Dynamic Conditional Correlation (DCC) between both the Standard and Poor’s 500 and FTSE All Shares. Therefore, it finds asymmetric correlation and transmission mechanisms between the Standard and Poor’s 500 and FTSE All Shares, which means there is an asymmetric interconnectedness between two markets, so allocating assets between two markets will not benefit investor portfolios as investing in high-yielding shares do.
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Simeon, Ekpete, Marshall, and Kenn-Ndubuisi, Juliet Ifechi*. "Macroeconomic Effects on Stock Market Returns in Nigeria." Noble International Journal of Economics and Financial Research, no. 65 (November 23, 2021): 99–109. http://dx.doi.org/10.51550/nijefr.65.99.109.
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The purpose of this study is to investigate the relationship between macroeconomic effects on stock market returns in Nigeria employing the CBN annual time series data spanning from 1985-2019. The study applied unit root test, auto-regressive distributed Lag and granger causality tests to investigate the relationship between all share index and interest rate, inflation rate, exchange rate. The unit root tests results for stationarity revealed that the entire variables are reliable for economic decisions. The findings of the study revealed that interest rate was negative and not significantly related with the all share index; also inflation rate was negative and not significantly related with the all share index while exchange rate was positive and significantly related with the all share index. The granger causality result revealed Uni-directional causality which implies no causality. This study recommends that macroeconomic factors should be adequately managed by the Central Bank of Nigeria with the view to promoting investors confidence in the stock market.
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Shaalan, Tharwah. "The Test of the Efficiency of the Saudi Financial Capital Markets at Weak Form: An Empirical Study of the TASI Index and Sub-Indices of the Saudi Market." Accounting and Finance Research 8, no. 1 (February 7, 2019): 183. http://dx.doi.org/10.5430/afr.v8n1p183.
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The aim of this paper is to examine the normality of the destitution of the main Saudi TASI Index and the other sub-indices, as well as to test the random walk hypotheses of the Saudi TASI index and the random walk hypotheses of the main sectors index and the sub-indices in Saudi capital market. It investigates the weak form efficiency of the Saudi capital market. The study highlights the importance of structuring in the Saudi market, with regard to the redistribution of some companies in other sectors, in addition to the increase in the number of companies listed in the Saudi Tadawul market, where the study included larger and longer sectors in terms of the time period. An as extension, it requests the reconsideration of some previous studies, some of which proved the efficiency of the Saudi market and others which proved the inefficiency of the Saudi market at the level of low efficiency. The study test includes daily indices return from December 2002–October 2010. The results show that return series of all Saudi market indices have non-normal distribution. This paper applied four tests to examine the study’s hypotheses. The Shapiro Wilk test of normality of the Skewness/Kurtosis applied and the other tests for RWH Box-Ljung, the other test one is parametric test Augmented Dicky-Fuller test and the other test is non-parametric test Phillips-Perron test and Run test. The result that was found states that the Saudi market’s indices are inefficient in the weak form hypotheses.
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Abuamarah, Mustafa, and Ahmad Alharkan. "Hidden Costs and the Performance of Saudi Corporations." Global Journal of Economics and Business 12, no. 6 (December 2022): 860–69. http://dx.doi.org/10.31559/gjeb2022.12.6.10.
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This research deals with the hidden costs in Saudi Corporations in terms of their presence and their impact on the performance. The first part of the research is a review of the literature related to hidden costs in general and the second part is an analysis of 100 questioners which were received from a sample of companies listed in the Tadawul stock market in Saudi Arabia. The Multiple regression method was used to analyze the questionnaires received from the companies. A set of results were reached: the hidden costs at all are existing in Saudi Corporations with a high average of both of Absence index (3.98), productivity index (3.81) and medium average for each of work turnover rate (3.66), poor quality (3.54) and work accidents index (3.52). A set of recommendations were suggested such as: applying the principle of penalties to reduce the phenomenon of absenteeism at work, giving material and moral rewards to disciplined workers who are not absent, improving working environment conditions, hiring qualified and trained workers from the beginning, respecting employees, being transparent and just in dealing with them, giving continuous training courses to them, , reducing overtime work hours and timing them to reduce injuries on the job, focusing on improving quality to increase the profits, considering hidden costs as one of the constituent elements of the comprehensive income statement, forming an allowance of estimated hidden costs doubtful in the financial statement position, standardizing the hidden costs and including them in the budgets of business organizations.
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Brumwell, J. C. H. "Notes on the FTSE Actuaries Share Indices (United Kingdom Series) in 1997." British Actuarial Journal 4, no. 2 (June 1, 1998): 385–416. http://dx.doi.org/10.1017/s1357321700000064.
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Habbash, Murya, and Lara Haddad. "The impact of corporate social responsibility on earnings management practices: evidence from Saudi Arabia." Social Responsibility Journal 16, no. 8 (August 12, 2019): 1073–85. http://dx.doi.org/10.1108/srj-09-2018-0232.
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Purpose The purpose of this paper is to examine the relationship between earnings management (EM) and corporate social responsibility (CSR) in Saudi Arabia. It is one of only a small number of studies to examine this relationship outside the US market, and the first in the Middle East and Arab region, particularly in Saudi Arabia. Design/methodology/approach The paper uses content analysis to extract the CSR disclosure items from annual reports of Saudi firms. A CSR disclosure index was then constructed. For EM, the residuals from Kothari et al.’s (2005) model are considered. Multivariate analysis was performed using pooled OLS-regression models to examine the direct relationship between EM and the CSR index. Findings Using panel data from all Saudi public firms listed on the Saudi Stock Exchange (Tadawul) over the 2015-2016 period, the authors find that CSR is positively and significantly related to EM practices as proxied by discretionary accruals. This implies that Saudi firms undertaking CSR actions are more likely to manipulate their earnings. Research limitations/implications The findings of this paper have important policy implications for policy-makers, regulators, auditors and investors in their attempts to constrain EM practices and enhance the quality of financial reporting in Saudi Arabia. Originality/value This paper contributes to the body of accounting literature by providing the first empirical evidence in the Middle East and Arab region on the positive association between EM and CSR in Saudi Arabia.
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ABDU, Maryam, and Sunday Moses IBRAHIM. "EFFECT OF STOCK EXCHANGE OPERATIONS ON ECONOMIC GROWTH IN NIGERIA." LASU Journal of Employment Relations & Human Resource Management 1, no. 1 (December 1, 2018): 258–64. http://dx.doi.org/10.36108/ljerhrm/8102.01.0182.
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This study examined the effect of Nigerian Stock Exchange operations on the Economic Growth in Nigeria. Data was collected from secondary sources, through the central bank of Nigeria database. To achieve the objective of the study, Nigerian Stock Exchange operations was proxy by All Share Index while Economic Growth was proxy by Gross Domestic Product. The study covered a seventeen year period. Ordinary least square regression technique was employed in examining the effect of all share index on economic growth. The findings revealed that all share index and gross domestic product are positively and significantly correlated. Based on the findings of this study, it is therefore recommended that an enabling environment should be created in order to enhance the participation of both private and public sector in the security market so as to stimulate economic growth
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Zhou, Ze-Jiong, Shao-Kang Zhang, Mei Zhang, and Jia-Ming Zhu. "On Spillover Effect of Systemic Risk of Listed Securities Companies in China Based on Extended CoVaR Model." Complexity 2021 (March 25, 2021): 1–13. http://dx.doi.org/10.1155/2021/5574305.
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Based on the daily data from January 2, 2019, to September 30, 2020, this paper uses the extended CoVaR model to measure the spillover effect of systemic risk among top 10 securities companies by market value in China, All Share Brokerage Index, All Share Financials Index, All Share Insurance Index, and CSI Banks Index. The conclusions are as follows: (1) there are risk spillover effects among 10 securities companies, which are asymmetric and bidirectional and highly volatile in a short period of time; (2) the spillover effect of systematic risk of securities companies is not necessarily related to the market value of securities companies but has a strong relationship with the stock market; (3) there are risk spillover effects between the sample securities companies and the four major indexes, but there are significant differences in the size of the spillover effects; (4) the securities industry has a great risk spillover effect on the financial industry, but the risk spillover effect of other financial sectors on the securities industry is very small. Finally, we put forward countermeasures and suggestions.
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Adeosun, Mabel, and Olabisi Ugbebor. "Realized Multi-Power Variation Process for Jump Detection in the Nigerian All Share Index." Tamkang Journal of Mathematics 52, no. 3 (August 1, 2021): 397–412. http://dx.doi.org/10.5556/j.tkjm.52.2021.3497.
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In this paper, we studied the particular cases of higher-order realized multipower variation process, their asymptotic properties comprising the probability limits and limit distributions were highlighted. The respective asymptotic variances of the limit distributions were obtained and jump detection models were developed from the asymptotic results. The models were obtained from the particular cases of the higher-order of the realized multipower variation process, in a class of continuous stochastic volatility semimartingale process. These are extensions of the method of jump detection by Barndorff-Nielsen and Shephard (2006), for large discrete data. An Empirical Application of the models to the Nigerian All Share Index (NASI) data shows that the models are robust to jumps and suggest that stochastic models with added jump components will give a better representation of the NASI price process.
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Chandrasekara, N. V., M. A. Mammadov, and C. D. Tilakaratne. "PARAMETER ESTIMATION OF MULTIVARIATE SCALED t DISTRIBUTION: AN APPLICATION TO ALL SHARE PRICE INDEX." Advances and Applications in Statistics 49, no. 4 (October 26, 2016): 287–303. http://dx.doi.org/10.17654/as049040287.
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Bhowmik, Debesh. "Gulf Cooperation Council (GCC) and Regional Integration in Asia." Financial Markets, Institutions and Risks 5, no. 1 (2021): 61–79. http://dx.doi.org/10.21272/fmir.5(1).61-79.2021.
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In Asia, SAARC (South Asian Association of Regional Cooperation), ASEAN (Association of South East Asian Nations) and GCC (Gulf Cooperation Council) are being considered as an active regional trading blocs although East Asian integration is on primary cooperation stage and BIMSTEC is treated as organised sub-regional trading bloc. The GCC has completed all criterion of economic integration except introduction of a single currency and ASEAN is advancing its optimum stage of monetary integration but the advancement of SAARC is halted by the shock of non-cooperation from Pakistan. Therefore, contribution of GCC in integrating Asian bloc is to scrutinise in a new outlook. In this paper, the author endeavours to show the impact of economic integration of Gulf Cooperation Council (GCC) on the Asian economic integration in the sense that the process of integration of GCC with SAARC and ASEAN can accelerate the criterion of Asian integration process. Therefore, the author used cointegration and vector error correction model among the indicators of trade integration of exports such as Asian export share, intra export share of GCC, export concentration index of GCC, ASEAN’s export with GCC and SAARC’s export with GCC during 1995-2019. Similarly, the author applied same methodology among the trade indicator of imports such as Asian import share, intra import share of GCC, import concentration index of GCC, ASEAN’s import with GCC and SAARC’s import with GCC during the specified period. The findings revealed that Asian export share has long run significant causalities with SAARC and ASEAN export shares to GCC. Intra export share of GCC has long run causalities with SAARC and ASEAN export shares to GCC. The export concentration index of GCC has significant long run causalities with SAARC and ASEAN export shares to GCC respectively. Even, the short run causalities from export concentration index of GCC to intra export share of GCC, export share of ASEAN and SAARC with GCC and the short run causality from ASEAN export share with GCC to export share of Asia and from intra export share of GCC to export share of ASEAN with GCC were strictly observed. Again, the import share of Asia has long run causalities with the import shares of ASEAN and SAARC with GCC. The intra import share of GCC has long run causalities with the import shares of ASEAN and SAARC with GCC and the import concentration index of GCC has long run causalities with the import shares of ASEAN and SAARC with GCC respectively. The intra import share of GCC has short run causalities with import share of Asia, import concentration index of GCC and import share of ASEAN with GCC respectively. The import concentration index has short run causality with the import share of Asia. The import share of SAARC with GCC has short run causality with import share of ASEAN with GCC. The cointegration and vector error correction among Asian GDP, sum of intra export and import shares of GCC, sum of export and import shares of ASEAN with GCC, and sum of export and import shares of SAARC with GCC during 1995-2019 indicated that the GDP of Asia has long run causalities with the sum of intra export and import shares of GCC, the sum of export and import shares of ASEAN with GCC and the sum of export and import shares of SAARC with GCC and even they have short run causalities also. All these observations can justify that GCC has great impact on Asian economic integration process associated with SAARC and ASEAN.
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N.C., Okeke, Yahaya H.U., and Adejumo O.A. "A Comparative Study of Autoregressive Integrated Moving Average and Artificial Neural Networks Models." African Journal of Mathematics and Statistics Studies 5, no. 3 (October 4, 2022): 54–74. http://dx.doi.org/10.52589/ajmss-8mcuutwi.
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In this study, the forecasting capabilities of nonlinear models as Artificial Neural Networks and linear ARIMA models were compared. The comparison was conducted using the daily data of Nigeria’s All Share Index for 11 years. The empirical findings revealed ARIMA (1,1,2) model as the best fit for Nigeria’s All Share Index among other Box Jenkins models. This was supported by the most fit statistic test. Also, ANN model with three units in the hidden layer, two lags and the learning rate equal to 0.1, returned as the best fit for the Nigeria All Share Index forecasting. Furthermore, while comparing the performance of the two models, the RMSE of the ARIMA model equivalent to 0.0136 is higher than the RMSE of the ANN model (0.0048), indicating the efficiency of the ANN model. Thus, we can conclude from the above statistics that the ANN model is more efficient. As a result, the study recommends taking advantage of the high capacity of artificial neural networks as a forecasting technique in other fields, such as medical research, genetics research, industrial research, energy, and military research.
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MOKOALELI-MOKOTELI, THABANG, SHAUN RAMSUMAR, and HIMA VADAPALLI. "THE EFFICIENCY OF ENSEMBLE CLASSIFIERS IN PREDICTING THE JOHANNESBURG STOCK EXCHANGE ALL-SHARE INDEX DIRECTION." Journal of Financial Management, Markets and Institutions 07, no. 02 (October 11, 2019): 1950001. http://dx.doi.org/10.1142/s2282717x19500014.
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The success of investors in obtaining huge financial rewards from the stock market depends on their ability to predict the direction of the stock market index. The purpose of this study is to evaluate the efficacy of several ensemble prediction models (Boosted, RUS-Boosted, Subspace Disc, Bagged, and Subspace KNN) in predicting the daily direction of the Johannesburg Stock Exchange (JSE) All-Share index compared to other commonly used machine learning techniques including support vector machines (SVM), logistic regression and [Formula: see text]-nearest neighbor (KNN). The findings in this study show that, among all ensemble models, Boosted algorithm is the best performer followed by RUS-Boosted. When compared to the other techniques, ensemble technique (represented by Boosted) outperformed these techniques, followed by KNN, logistic regression and SVM, respectively. These findings suggest that investors should include ensemble models among the index prediction models if they want to make huge profits in the stock markets. However, not all investors can benefit from this as models may suffer from alpha decay as more and more investors use them, implying that the successful algorithms have limited shelf life.
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Ezeaku, Chisom Njideka, and Charity Ifunanya Osakwe. "The Effect of Capital Market on Economic Growth in Nigeria (2000-2020)." Global Academic Journal of Economics and Business 4, no. 3 (June 23, 2022): 80–90. http://dx.doi.org/10.36348/gajeb.2022.v04i03.003.
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This study examined the capital market and its impact on the Nigeria economy with emphasis on the stock exchange (2000-2020). Gross domestic product was used to proxy Nigeria economy while market capitalization, all share index, total number of deals on the Nigeria stock exchange and value of transaction on the Nigeria stock exchange were used as proxies for capital market. The Ex-post Facto research design was adopted in this study. Data on gross domestic product, all share index, total number of deals on the Nigeria stock exchange, market capitalization and value of transaction on the Nigeria stock exchange were obtained from the Central Bank of Nigeria (CBN) Statistical bulletin (2020). The data in this study was analyzed using the Ordinary Least Square regression method. The findings revealed that gross domestic product has a significant relationship on market capitalization, all share index, total number of deals on the Nigeria stock exchange and value of transaction on the Nigeria stock exchange. The researcher recommended that government should expand the technological based of the Nigerian capital market in order to further improve transactions and dealings, which could enhance internationalization and competitiveness of the market.
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Omodero, Cordelia Onyinyechi, and Sunday Mlanga. "Evaluation of the Impact of Macroeconomic Variables on Stock Market Performance in Nigeria." Business and Management Studies 5, no. 2 (April 15, 2019): 34. http://dx.doi.org/10.11114/bms.v5i2.4208.
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Stock market is an essential part of a nation’s economy and requires adequate evaluation of all factors that militate against its performance. This study investigates the role of macroeconomic variables in determining the stock market performance in Nigeria using annual time series data covering a period from 2009 to 2018. These data have been sourced from the World Bank Development Indicators, International Monetary Fund and CBN Statistical Bulletin. The results from the regression analysis indicate that exchange rate and interest rate do not have significant impact on share price index while inflation rate exerts a significant negative influence on share price index. On the contrary and in line with the concept of GDP and stock market performance, GDP significantly and positively impacts on share price index. The study among others suggests that the growth of the economy should be maintained to keep stock market flourishing while macroeconomic variables such as inflation, interest rate and exchange rate should be appropriately regulated by the relevant authorities to curtail all negative influences on stock market performance.
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Ahmad Ansari, Dr Zaid. "SADAFCO: The Food Basket of GCC." International Journal of Business and Management Research 9, no. 1 (January 29, 2021): 6–10. http://dx.doi.org/10.37391/ijbmr.090102.
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Saudia Dairy and Foodstuff Company as popularly known the SADAFCO [1], is one of the leading companies in the Gulf region and professionally managed supply chain management to ensure food for all. In terms of quality assurance, it obtained International Standard Organisation’s (ISO22000:2005) certificate and enjoyed a competitive advantage in diary industry and milk based products in serving approximately 32000 customers across the GCC region. It also enjoyed a network of distributors without any forward or backward integration strategy to cater the need of the vast markets it serves in UAE, Kuwait, and Bahrain in GCC including Jordon. SADAFCO has about 45 years of rich experience in the industry and started all commercial activities ranging from manufacturing, storage, distribution to other logistics management after being established in 1976. SADAFCO is a Saudi brand name to be reckoned with that offered kitchen and dining table items and a wider range of products across several product lines including Milk, Tomato Paste, Ketchup, Snacks, Ice Cream, Cheese, Instant Milk Powder, Creamy Products, Fruit Nectars, Butter and French Fries to mention a few. Henceforth SADAFCO is a leading and world-class company in the GCC region. The company has good financial position over the given period of time. The challenges brought forward by the Covid-19 is not an exception to this global economic challenge has yet to be seen depending upon the financial performance of year 2020. Historically this Saudi dairy and Foodstuff Company expanded its capacity of manufacturing and distribution after being merged with two other dairy companies and ownership was transferred to make it as holding company to be listed in home and GCC in 2005. Eventually it was listed on the Saudi Arabian stock exchange TADAWUL [2] while majority shareholding with the new entity goes to Qurain Petrochemicals Industries (QPIC). Today’s SADAFCO is a brand power and well sought after share in the securities market of the Kingdom.
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Wilkie, A. D., and Şule Şahin. "Yet more on a stochastic economic model: Part 4: a model for share earnings, dividends, and prices." Annals of Actuarial Science 12, no. 1 (June 19, 2017): 67–105. http://dx.doi.org/10.1017/s1748499517000112.
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AbstractIn this paper, we develop an extension to the Wilkie model, introducing share earnings and cover (earnings/dividends) as new variables, and deriving share dividends from them. Earnings are available from April 1962, but only for the Non-Financial index, and for the All-Share one only from 1992. We construct a Composite Earnings Index from these series. We then find a suitable annual time series model for changes in earnings, and then for cover, which is mean-reverting. We compare this new model with the original model, in which changes in dividends were modelled directly. We also investigate monthly data to give parameters for stochastic interpolation. We observe an unusual change in earnings over 2015–2016, consider the implications of this and show specimen simulations.
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Makatjane, Katleho, and Ntebogang Moroke. "Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index." International Journal of Financial Studies 9, no. 2 (March 25, 2021): 18. http://dx.doi.org/10.3390/ijfs9020018.
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During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models. Linear models are often compared to non-linear models with mixed conclusions in terms of superiority in forecasting performance. Therefore, the aim of this study is to build an early warning system (EWS) model for extreme daily losses for financial stock markets. A logistic model tree (LMT) is used in collaboration with a seasonal autoregressive integrated moving average-Markov-Switching exponential generalised autoregressive conditional heteroscedasticity-generalised extreme value distribution (SARIMA-MS-EGARCH-GEVD) estimates. A time series of the study is a five-day financial time series exchange/Johannesburg stock exchange-all share index (FTSE/JSE-ALSI) for the period of 4 January 2010 to 31 July 2020. The study is set into a two-stage framework. Firstly, SARIMA model is fitted to stock returns in order to obtain independently and identically distributed (i.i.d) residuals and fit the MS(k)-EGARCH(p,q)-GEVD to i.i.d residuals; while, in the second stage, we set-up an EWS model. The results of the estimated MS(2)-EGARCH(1,1) -GEVD revealed that the conditional distribution of returns is highly volatile giving the expected duration to approximately 36 months and 4 days in regime one and 58 months and 2 days in regime two. We further found that any degree losses above 25% implies that there will be no further losses. Using the seven statistical loss functions, the estimated SARIMA(2,1,0)×(2,1,0)240−MS(2)−EGARCH(1,1)−GEVD proved to be the most appropriate model for predicting extreme regimes losses as it was ranked at 71%. Finally, the results of EWS model exhibit reasonably an overall performance of 98%, sensitivity of 79.89% and specificity of 98.40% respectively. The model further indicated a success classification rate of 89% and a prediction rate of 95%. This is a promising technique for EWS. The findings also confirmed 63% and 51% of extreme losses for both training sample and validation sample to be correctly classified. The findings of this study are useful for decision makers and financial sector for future use and planning. Furthermore, a base for future researchers for conducting studies on emerging markets, have been contributed. These results are also important to risk managers and and investors.
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Kokotovic, Vlasta, and Aleksandra Spalevic. "Demographic and functional evaluation of urban areas in Vojvodina region." Zbornik Matice srpske za drustvene nauke, no. 148 (2014): 593–605. http://dx.doi.org/10.2298/zmsdn1448593k.
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The article illustrates the procedure of quantitative demographic and functional evaluation of urban areas in Vojvodina region. Evaluation is based on seven indicators such as total population, population change index, aging index, the share of employees in primary sector, the share of employees in total population, the share of economically active population (noncommuters) and the share of commuters in economically active population of all urban settlements in Vojvodina region. Quantitative procedure of demographic and functional valorization of urban areas is based on a rank method. According to the results of applied procedure, the categories of urban areas are determined. Each category demonstrates a level of demographic development and correlation between demographic potential and suitable geographical and traffic position. The article is an attempt to perceive better the demographic processes in settlements. Moreover, we pay attention to a different approach in the research of urban settlements network in Vojvodina region.
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Njuguna, Josephine. "Testing the efficient market hypothesis on the Nairobi Securities Exchange." Investment Management and Financial Innovations 13, no. 3 (August 23, 2016): 75–83. http://dx.doi.org/10.21511/imfi.13(3).2016.06.
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This paper tests the weak-form of the efficient market hypothesis (EMH) of the Nairobi Securities Exchange (NSE) using daily and weekly index data from the NSE 20 share index over the period, January 2001 to January 2015 and the NSE All Share Index (ASI) from its initiation, in February 2008 to January 2015. To test weak-form efficiency in this market, this study uses the serial correlation test, unit root tests (ADF and Phillips-Perron) and runs test. Results indicate that we cannot accept the EMH for the NSE using the serial correlation test, unit root tests and the runs test. Overall, the Kenyan market is found to not be weak-form efficient
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APERE, THANKGOD. "CAPITAL MARKET OPERATIONS AND THE NIGERIAN ECONOMY." WILBERFORCE JOURNAL OF THE SOCIAL SCIENCES 3, no. 1 (March 10, 2018): 166–81. http://dx.doi.org/10.36108/wjss/8102.30.0101.
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The objective of this study is to investigate the relationship between capital market operations and the Nigerian economy over the period 1981 to 2016,using the Structural Vector Autoregressive Econometric Technique. The results of this study show that the relationship between capital market development and economic growth was found to be positive. Empirically the impulse response result of this study shows that the response of real domestic product to market capitalization was positive and significant. On the second-row shock on market capitalization shows a negative response to real gross domestic product and later positive and did not die out in the long run. The response of all share price index to real gross domestic product and which is depicted in the third row shows that all share price index responds positively to real gross domestic product shocks. Total volume of transaction response to real gross domestic product, was negative over the first through the third forecasting period and became positive from the fourth period and did not die out in the long-run. The variance decomposition result shows that as market capitalization, all share price index and total volume of transaction increase, more shocks occur on real gross domestic product; thus, capital market impacts on economic growth to a large extent. This study therefore concludes that the capital market impact on economic growth via market capitalization, all share index, value of transaction and total listing of equity and government stock. As it was observed, market capitalization, government stock and value of transaction are important capital market variables that can influence economic growth. This study therefore recommends that the Nigerian government should strictly implement policy directed at officially ending laws that hamper its effective functioning of the Nigeria capital market. Also, there is the need for effective and favourable macroeconomic environment to facilitate the stock market to influence remarkable growth of the Nigerian economy.
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Randika, Dilini. "Effect of Financial Leverage on Firm Performance: Reference to Investment Trust Companies Listed in Sri Lanka." International Journal of Research in Social Science and Humanities 03, no. 04 (2022): 17–25. http://dx.doi.org/10.47505/ijrss.2022.v3.4.2.
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The research investigates the effect of financial leverage on firm performance: reference to investment trust companies listed in the All Share Price Index (ASPI) on the Colombo Stock Exchange (CSE). Data for the study were collected for the period through annual reports and analyzed data using multiple linear regressions. The Profitability, Liquidity, and Asset Management efficiency performance of firms are measured respectively by Return on Asset, Current Ratio, and Total Asset Turnover Ratio. Financial Leverage is measured by Debt Ratio, Debt Equity Ratio, and Interest Coverage Ratio. Based on the analysis performed, it is noted that there’s no significant relationship between financial leverage and profitability, liquidity, and asset management while having a positive significant relationship with debt ratio and asset management performance of investment trusts listed in the All Share Price Index.
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Isnaini, Maulida Nur, Agustono Agustono, and Umi Barokah. "Identification of Agriculture, Forestry, and Fisheries Sectors in Mitigating Income Inequality in the Former Residencies of Madiun." Agriecobis : Journal of Agricultural Socioeconomics and Business 5, no. 1 (March 31, 2022): 83–96. http://dx.doi.org/10.22219/agriecobis.v5i1.18415.
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Development is a long-term process of change to improve regional welfare. The regional economic development indicator is GRDP. The former Madiun residencies have the lowest average of GRDP. Accordingly, the economic development activities and effort to mitigate income inequality should be carried out properly. Using MRT, Williamson Index, and Shift Share analysis, the research results on agricultural, forestry and fisheries sectors of the former Madiun residencies include the basic and non-basic sectors. The basic-sector former residencies of Madiun include the regencies of Pacitan, Ponorogo, Madiun, Magetan, and Ngawi. Meanwhile, the non-basic sector ex-residence is the City of Madiun. The results of the Williamson Index show that the agricultural sector has a role in reducing income inequality. The IW value of ex-residencies with the agricultural sector has an average of 0.39, and the one without the agricultural sector is 0.53. As for the shift-share, the results show that the national share component of all sub-sectors is positive, meaning that sub-sector is experiencing growth. The industrial mix of all sub-sectors is negative (IM<0), meaning that sub-sector growth in former Madiun residencies is slow. The competitive share has positive value (CS>0), meaning that it has good sub-sector competitiveness and can develop.
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Qurashi, Mubashir Hassan. "Impact of Working Capital on the Profitability of UK Pharmaceuticals and Biotechnology FTSE All Share Index Firms." Journal of Quantitative Methods 1, no. 1 (August 31, 2017): 58–78. http://dx.doi.org/10.29145/2017/jqm/010104.
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Stoll, Hans R., and Robert E. Whaley. "Expiration‐Day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures." Australian Journal of Management 22, no. 2 (December 1997): 139–74. http://dx.doi.org/10.1177/031289629702200202.
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Bos, Iwan. "A Buyer-Based Measure of Seller Concentration." Mathematics 10, no. 14 (July 15, 2022): 2474. http://dx.doi.org/10.3390/math10142474.
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In most markets, buyers differ in their ability or willingness to switch supplier. This note proposes a novel industry concentration measure that takes this heterogeneity into account. The index increases in the share of captive sales, coincides with the Hirschman–Herfindahl Index when none of the buyers are captive, and takes the “pure monopoly” value of 1 when all are captive.
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Triawan, Rinaldi, and Atina Shofawati. "PENGARUH ROA, ROE, NPM DAN EPS TERHADAP HARGA SAHAM PERUSAHAAN DI JAKARTA ISLAMIC INDEX (JII) PERIODE 2011-2015." Jurnal Ekonomi Syariah Teori dan Terapan 5, no. 7 (June 18, 2019): 543. http://dx.doi.org/10.20473/vol5iss20187pp543-557.
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The purpose of this research is to analyze and test the effect of financial performance is reflected from profitability ratio to price stock in Jakarta Islamic Index of period 2011-2015. This research is a quantitative approach that use a data panel regression analysis. The result of this research show that in partially from four independent variables is that Return On Assets, Return On Equity, Net Profit Margin and Earning Per Share, only Earning Per Share has a significant influence to stock price in Jakarta Islamic Index. The result of all variables simultaneously, Return On Assets, Return On Equity, Net Profit Margin and Earning Per Sharehave significant influence to stock price in Jakarta Islamic.
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Sarpong, Prince Kwasi, Mabutho Sibanda, and Merle Holden. "Investigating Chaos on the Johannesburg Stock Exchange." Journal of Economics and Behavioral Studies 8, no. 5(J) (October 30, 2016): 56–67. http://dx.doi.org/10.22610/jebs.v8i5(j).1431.
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This study investigates the existence of chaos on the Johannesburg Stock Exchange (JSE) and studies three indices namely the FTSE/JSE All Share, FTSE/JSE Top 40 and FTSE/JSE Small Cap. Building upon the Fractal Market Hypothesis to provide evidence on the behavior of returns time series of the above mentioned indices, the BDS test is applied to test for non-random chaotic dynamics and further applies the rescaled range analysis to ascertain randomness, persistence or mean reversion on the JSE. The BDS test shows that all the indices examined in this study do not exhibit randomness. The FTSE/JSE All Share Index and the FTSE/JSE Top 40 exhibit slight reversion to the mean whereas the FTSE/JSE Small Cap exhibits significant persistence and appears to be less risky relative to the FTSE/JSE All Share and FTSE/JSE Top 40contrary to the assertion that small cap indices are riskier than large cap indices.
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Chowdhury, Shah Saeed Hassan, M. Arifur Rahman, and M. Shibley Sadique. "Stock return autocorrelation, day of the week and volatility." Review of Accounting and Finance 16, no. 2 (May 8, 2017): 218–38. http://dx.doi.org/10.1108/raf-12-2014-0146.
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Purpose The main purpose of this paper is to investigate autocorrelation structure of stock and portfolio returns in a unique market setting of Saudi Arabia, where nearly all active traders are the retail individuals and the market operates under severe limits to arbitrage. Specifically, the authors examine how return autocorrelation of Saudi Arabian stock market is related to factors such as the day of the week, stock trading, performance on the preceding day and volatility. Design/methodology/approach The sample consists of the daily stock price and index data of 159 firms listed in Tadawul (Saudi Arabian Stock Exchange) for the period from January 2004 through December 2015. The methodology of Safvenblad (2000) is primarily used to investigate the autocorrelation structure of individual stock and index returns. The authors also use the Sentana and Wadhwani (1992) methodology to test for the presence of feedback traders in the Saudi stock market. Findings Results show that there is significantly positive autocorrelation in individual stock, size portfolio and market returns and that the last two are almost always larger than the first. Return autocorrelation is negatively related to firm size. Interestingly, return autocorrelation is positively related to trading frequency. For portfolios, autocorrelation of returns following a high absolute return day is significantly higher than that following a low absolute return day. Similarly, return autocorrelation during volatile periods is generally larger than that during tranquil periods. Return correlation between weekdays is usually larger than that between the first and last days of the week. Overall, the results suggest that the possible reason for positive autocorrelation in stock returns could be the presence of negative feedback traders who are engaged in frequent profit-taking activities. Originality/value This is the first paper that thoroughly investigates the autocorrelation structure of the returns of the Saudi stock market using both index and individual stock returns. As this US$583bn (as of August 21, 2014) market opened to foreign institutional investors in June 2015, the results of this paper should be of significant value for the potential uninformed foreign investors in this relatively lesser known and previously closed yet highly prospective market.
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Wandmacher, Ralf, and David J. Bradfield. "Nonparametric tests of strike price and expiration bias in the implied volatility of the South African All Share Index Future Contract." South African Journal of Business Management 29, no. 2 (June 30, 1998): 77–87. http://dx.doi.org/10.4102/sajbm.v29i2.773.
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In this article we assess the appropriateness of the constant volatility assumption required by the Black (1976) option pricing model for options on the All Share Index future. The assessment uses similar nonparametric tests as implemented in Rubinstein for data recorded over the 1992 to 1996 period. In the nonparametric tests we focus on the examination of constant volatility across both striking prices as well as expiration dates. The nonparametric tests are not only based on traditional measures of statistical significance to examine the constant volatility assumption, but also utilize a measure of economic importance to assess the practical usefulness of the results. Our empirical results of both measures suggest that the assumption of constant volatility is inappropriate for options on the All Share Index future. Our results point to a pattern of rising volatility with increasing time to expiration and a higher volatility for out-of-the-money options compared to at-the-money options. This evidence is consistent with evidence in international markets found in the USA and the Netherlands.
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Mpofu, Raphael Tabani. "An analysis of the South African FTSE/JSE all-share index and the macroeconomic variables during the period 2002 to 2010." Corporate Ownership and Control 8, no. 2 (2011): 322–33. http://dx.doi.org/10.22495/cocv8i2c3p1.
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This article looks at the relationship between the monthly data series of the FTSE/JSE all-share index and macroeconomic variables in South Africa for the period 2002 to 2010. While the use of aggregate indices can be misleading when interpreting the actual performance of companies, there is a need for investors and portfolio managers to understand the dynamics of stock prices. The macroeconomic variables used in the study are the manufacturing and mining indices, JSE total return, prime overdraft rate, the exchange rates between the South African rand and the US dollar and the rate of inflation. The findings suggest that the FTSE/JSE index’s correlation with the macroeconomic variables studied is statistically significant, a finding similar to studies done in other countries. It was also found that the mining index, a unique index to mining countries, had a non-significant positive correlation with the FTSE/JSE index.
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Glass, R. D., and E. V. D. M. Smit. "The relationship between changes in money supply and changes in share prices: The semi-strong form efficiency of the Johannesburg Stock Exchange revisited." South African Journal of Business Management 26, no. 1 (March 31, 1995): 19–27. http://dx.doi.org/10.4102/sajbm.v26i1.819.
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In this article the semi-strong form of share market efficiency over the period 1978 to 1992 is considered, particularly with regard to information about changes in the money supply. To ensure a rigorous test of market efficiency, monetary growth has been decomposed, into anticipated and unanticipated elements. The All Share Index of the Johannesburg Stock Exchange is regressed against the monetary variables. The test results indicate that lagged changes in anticipated monetary growth are significant in explaining changes in share prices, a finding contrary to the efficient market hypothesis. However, the low coefficients of determination indicate that only a small percentage of the variation in share prices is explained by ex post changes in money supply and consequently the potential for a trading rule to earn superior returns to the market is limited.
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Silfia, Aida Bela, and Idah Zuhroh. "Impact Of Specific And Macroeconomic Variables On Islamic Stock Price." Jurnal Ilmu Ekonomi JIE 6, no. 2 (May 31, 2022): 325–34. http://dx.doi.org/10.22219/jie.v6i2.20641.
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This study aims to analyze the effect of fundamental variables and macroeconomic variables on sharia stock prices in the Jakarta Islamic Index (JII) for 1 periode 20116-2020 which publishes financial statements successively. The analytical method used is panel data regression with Common Effect Model (CEM) research model and assisted by the Eviews 9 program. The partial results show that all variables have a significant effect on Sharia Stock Prices except the Earning Per Share (EPS) variable has no effect significant to the Sharia Share Price. While the results of the study simultaneously all variables have a significant influence on the islamic stock price.
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Dzomonda, Obey, and Olawale Fatoki. "Environmental Sustainability Commitment and Financial Performance of Firms Listed on the Johannesburg Stock Exchange (JSE)." International Journal of Environmental Research and Public Health 17, no. 20 (October 15, 2020): 7504. http://dx.doi.org/10.3390/ijerph17207504.
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The importance of heeding the environmental sustainability commitment call cannot be underestimated. Laggards in terms of environmental sustainability commitment are likely to face fines and penalties as talks to tighten environmental legislation are now at an advanced stage globally. The current work assessed the link between environmental sustainability commitment and financial performance of firms listed on the Johannesburg Stock Exchange (JSE). The study was quantitative in nature with a case study research design. The longitudinal design was adopted where the researcher collected panel data from 2011–2018. The population of the study included all firms listed on the JSE Responsible Investment Index in South Africa. The sample constituted of 32 firms listed on the Financial Times Stock Exchange FTSE/JSE Responsible Investment Index in South Africa. The researchers employed the panel regression analysis model to analyze the data. Specifically, the Feasible Generalized Least Squares regression model was used in this study. Financial performance was treated as the dependent variable as measured by earnings per share and share price. The independent variables of the study included components of environmental sustainability such as carbon emission reduction and environmental compliance. Control variables such as firm size and liquidity were used in the study. The findings indicated that carbon emission reduction was positively and significantly related to earnings per share and share price. The findings further exhibited that environmental compliance was positively related to earnings per share and share price. It was concluded that firms can enhance their financial performance from environmental investment as all the hypotheses were supported. This study contributes practically towards shaping environmental policies and it also serves as motivation to listed companies that they can enhance both their profitability and market value from environmental investments.
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Anusha, P., B. Dhushanthan, and T. Vinayagathasan. "The Relationship between Exchange Rate and Stock Market Performance: Empirical Evidence from Sri Lanka." Business and Economic Research 12, no. 2 (June 19, 2022): 135. http://dx.doi.org/10.5296/ber.v12i2.19822.
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The stock market is one of the fastest-growing sectors in the world at present. Such a stock market can be seen growing in Sri Lanka as well. The performance of a stock market is affected by various factors. Among those factors, foreign market stock prices, GDP, corporate performance, and the exchange rate are important. Of these, the exchange rate is the crucial one. Data of exchange rate depict the increasing pattern over time while stock market performance shows high fluctuation in Sri Lanka. Thus, this research aims to identify the impact of the exchange rate on the performance of the Colombo Stock Exchange (CSE). For this purpose, we used price index of all stocks, exchange rate, inflation, foreign direct investment, and interest rate as the variables. We employed annual secondary data from Central Bank of Sri Lanka over the period of 1985 – 2018. The Augmented Dickey Fuller and Phillips Perron unit root tests approaches confirmed that none of the variables are I(2) which allows us to examine the long-run relationship between the variables using Auto-Regressive Distributed Lag (ARDL) bounds testing method. AIC is suggested to employ ARDL(1,1,0,4,4) model among the top 20 models. The bounds testing results detected the cointegrating relationship between the variables. Our results also suggest that there is no correlation between exchange rate and all share price indexes in the long run, whereas there is a positive relationship between exchange rate and all share price indexes in the short run. Inflation has a positive impact on all share price indexes in the long run while it does not have significant impact on all share price indexes in the short run. Moreover, the interest rate has a negative and weakly significant impact on all share price indexes both in the long run and in the short run. The Granger causality test indicates that there is a unidirectional causality between the price index of all stocks and the exchange rate. Therefore the results of this research emphasize that the exchange rate can be used as a policy tool to increase stock market performance.
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Mesfer Al Ajmi, Mesfer Mahdi Al. "The Impact of the Covid-19 Pandemic on Boursa Kuwait Return Volatility." International Journal of Business and Management Research 9, no. 4 (December 30, 2021): 473–81. http://dx.doi.org/10.37391/ijbmr.090411.
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The main objective of this research is to detect the impact of COVID-19 on return volatility of Boursa Kuwait main indexes using EGARCH and TGARCH models on the daily data from the All Share, Premier and Main indexes. The mean return during COVID-19 from February 24 to August 31, 2020, for the three indexes was negative with a high volatility value in the standard deviation compared to a positive return and low standard deviation for the period January 2, 2019, to February 23, 2020. Both periods’ returns for the market indexes exhibited negative skewness, large kurtosis values and abnormal distributions. There were significant EGARCH negative values during the COVID-19 period in the All Share and Premier indexes indicating leverage effects. The Main index reflected positive significant values due to the positive effects of government procedures that were implemented to counter the pandemic. The TGARCH model indicated significant negative values for the All Share and Main indexes during COVID-19 with decreased volatility when positive news on COVID-19 was announced. Using the threshold generalized autoregressive conditional heteroscedasticity (TGARCH) the Premier index value is positive and significant indicating an asymmetric effect showing that volatility increased when negative news on COVID-19 was broadcast. This is an important inference for market participants and policy makers particularly when there is a difference in the magnitude of an asymmetry.
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Sankar, Jayendira P., Mark P. Doblas, and Vinodh K. Natarajan. "Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns." Middle East J. of Management 1, no. 1 (2022): 1. http://dx.doi.org/10.1504/mejm.2022.10048783.
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