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Artykuły w czasopismach na temat „Cyclical stock market anomalies”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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1

Macijauskas, Lukas. "Seasonality Analysis of Lithuanian Stock Market." Business: Theory and Practice 11, no. (3) (2010): 279–85. https://doi.org/10.3846/btp.2010.30.

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The main purpose of this article is to test if there are any seasonal tendencies in Lithuanian stock market and if so, do they match seasonal anomalies found in other countries. To achieve this ambition, tests were done by dividing returns of OMXV index into three groups: month of the year, week of the month and day of the week. Analysis was made using 10 years of historical data which covers main stages of Lithuanian stock market cycle. Results show that seasonal anomalies do exist in Lithuanian stock market and that their characteristics are similar to those found by researches in other stoc

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Merło, Paweł, and Patryk Konarzewski. "The Momentum Effect Exemplifies The Influence of Investors’ Irrational Behaviour on Changing Prices of Shares and Stocks: An Analysis of The Momentum Effect on The Warsaw Stock Exchange." e-Finanse 11, no. 1 (2015): 56–64. http://dx.doi.org/10.1515/fiqf-2016-0106.

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Abstract An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However, studies on capital markets indicate that in reality it is possible to earn unusually high profits by taking advantage of certain anomalies which occur on a given market. Among such anomalies there is the momentum effect. This study performed on the Stock Exchange in Warsaw has shown that the mome

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3

Reinganum, Marc, and Elroy Dimson. "Stock Market Anomalies." Journal of Finance 44, no. 4 (1989): 1105. http://dx.doi.org/10.2307/2328629.

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Levis, Mario. "Stock market anomalies." Journal of Banking & Finance 13, no. 4-5 (1989): 675–96. http://dx.doi.org/10.1016/0378-4266(89)90037-x.

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Sæbø, Jørgen K. "Norwegian Stock Market Anomalies." Beta 22, no. 01 (2008): 1–21. http://dx.doi.org/10.18261/issn1504-3134-2008-01-01.

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6

Han, Minyeon, Dong-Hyun Lee, and Hyoung-Goo Kang. "Market anomalies in the Korean stock market." Journal of Derivatives and Quantitative Studies: 선물연구 28, no. 2 (2020): 3–50. http://dx.doi.org/10.1108/jdqs-03-2020-0004.

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This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t-statistics that exceed 1.96. When the authors impose a higher threshold (an absolute value of t-statistics of 2.78), only 27.7% of the 148 anomalies survive. Second, microcaps have large impacts. The results vary significantly depending on whether the sample included stocks in the KOSDAQ and whether value

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7

Chi, Wei, Robert Brooks, Emawtee Bissoondoyal-Bheenick, and Xueli Tang. "Classifying Chinese bull and bear markets: indices and individual stocks." Studies in Economics and Finance 33, no. 4 (2016): 509–31. http://dx.doi.org/10.1108/sef-01-2015-0036.

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Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach By comparing the intervals of bull and bear markets between stocks and indices based on a Marko

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8

Chand Tandon. "Anomalies in Indian Stock Market." Journal of Information Systems Engineering and Management 10, no. 38s (2025): 1002–8. https://doi.org/10.52783/jisem.v10i38s.7039.

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The effect of market anomalies on different Stock Indices. Whether the Stock Indices are affected by the different effects like January Effect, March Effect and Day of the Weak Effect many more. Or there is an Arch-Garch Effect in the Stock Indices. With the data of different stock indices for last 10 years. We will find the Log Returns for all the Stock Indices. The next step would be to find the different effects in the Stock Indices. Then we will use Volatility models to find that whether the data has Arch-Garch and E-Garch Effect or not.

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9

,, Kamaludini. "Anomalies In Asian Stock Market." Media Riset Akuntansi, Auditing dan Informasi 8, no. 2 (2008): 151. http://dx.doi.org/10.25105/mraai.v8i2.978.

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<p class="Style14">Anomaly phenomena in many stock markets show various results achieved by each researcher. The various results very much depend on time and method used. Most of Asian Stock Market is emerging market. The objective in this research are to know market anomalies, especially those of weekend effect, turn of the month effect, and turn of the yeareffect, in Asian stock markets region. The analysis methods to test for market anomalies are GARCH and AAIOVA. The result in this research is: anomalies that happen on weekend effect and turn of the month effect. Anomalies on the tur

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10

Leong, Clint Tan Chee, Michael J. Seiler, and Mark Lane. "Explaining Apparent Stock Market Anomalies." Journal of Wealth Management 4, no. 4 (2002): 8–23. http://dx.doi.org/10.3905/jwm.2002.320422.

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11

Yan, Wu, John G. Powell, Jing Shi, and Wei Xu. "Chinese stock market cyclical regimes: 1991–2006." Economics Letters 97, no. 3 (2007): 235–39. http://dx.doi.org/10.1016/j.econlet.2007.03.014.

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12

Bejaoui, Azza, Salim Ben Sassi, and Jihed Majdoub. "Market dynamics, cyclical patterns and market states." Studies in Economics and Finance 37, no. 4 (2019): 585–604. http://dx.doi.org/10.1108/sef-08-2019-0302.

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Purpose In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple (05/08/2013-14/02/2018), Litcoin (29/04/2013-14/02/2018) and Ethereum (08/02/2015-14/02/2018). This model allows capture of the nonlinear structure in both the conditional mean and the conditional variance of cryptocurrency returns. Findings All the cryptocurrency markets show regime switching in the return-generating

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13

Dash, Saumya Ranjan, and Jitendra Mahakud. "Market anomalies, asset pricing models, and stock returns: evidence from the Indian stock market." Journal of Asia Business Studies 9, no. 3 (2015): 306–28. http://dx.doi.org/10.1108/jabs-06-2014-0040.

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Purpose – This paper aims to investigate whether the use of conditional and unconditional Fama and French (1993) three-factor and Carhart (1997) four-factor asset pricing models (APMs) captures the role of asset pricing anomalies in the context of emerging stock market like India. Design/methodology/approach – The first step time series regression approach has been used to drive the risk-adjusted returns of individual securities. For examining the predictability of firm characteristics or asset pricing anomalies on the risk-adjusted returns of individual securities, the panel data estimation t

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14

Ahmed, Bouteska, and Regaieg Boutheina. "Financial market anomalies: evidence from Tunisia stock market." Asian Journal of Empirical Research 7, no. 9 (2017): 238–50. http://dx.doi.org/10.18488/journal.1007/2017.7.9/1007.9.238.250.

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15

김재거 and Dong Hoe Kim. "Monetary Policy and Stock Market Anomalies." Korean Journal of Financial Engineering 15, no. 1 (2016): 45–74. http://dx.doi.org/10.35527/kfedoi.2016.15.1.003.

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16

BARBERIS, NICHOLAS, LAWRENCE J. JIN, and BAOLIAN WANG. "Prospect Theory and Stock Market Anomalies." Journal of Finance 76, no. 5 (2021): 2639–87. http://dx.doi.org/10.1111/jofi.13061.

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17

Engelberg, Joseph, Linh Thompson, and Jared Williams. "Stock market anomalies and baseball cards." Financial Review 55, no. 3 (2019): 461–79. http://dx.doi.org/10.1111/fire.12223.

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18

Cheema, Muhammad A., and Frank Scrimgeour. "Oil prices and stock market anomalies." Energy Economics 83 (September 2019): 578–87. http://dx.doi.org/10.1016/j.eneco.2019.08.003.

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19

Murekachiro, Dennis. "Stock Market Calendar Anomalies in Sub-Saharan Africa Stock Markets." International Journal of Research and Scientific Innovation XII, no. II (2025): 42–49. https://doi.org/10.51244/ijrsi.2025.12020005.

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With the use of appropriate tools and correct timing of the stock market, investors can predict the stock market and yield abnormal returns. One strategy can be based on the identification of calendar anomalies in a pursuit to increase returns and attain abnormal profits. The aim of this study was to find the presence of market inefficiency through identification of exploitable calendar anomalies (i.e. Day of the Week Effect, January Effect and Halloween Effect) in the S&P500 and ten African stock markets using a novel approach of generalized additive models (GAMs). The week effect and Jan

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20

Hasan, Md Bokhtiar, M. Kabir Hassan, Md Mamunur Rashid, Md Sumon Ali, and Md Naiem Hossain. "Calendar anomalies in the stock markets: conventional vs Islamic stock indices." Managerial Finance 48, no. 2 (2021): 258–76. http://dx.doi.org/10.1108/mf-12-2020-0601.

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PurposeIn this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid festivals–effects in both the conventional and Islamic stock indices of Bangladesh. Also, the authors examine whether these anomalies differ between the two indices.Design/methodology/approachThe authors select the Dhaka Stock Exchange (DSE) Broad Index (DSEX) and the DSEX Shariah Index (DSES) of the DSE as representatives of the conventional and Islamic stock indices respectively. To carry out the investigation, the aut

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21

Woo, Kai-Yin, Chulin Mai, Michael McAleer, and Wing-Keung Wong. "Review on Efficiency and Anomalies in Stock Markets." Economies 8, no. 1 (2020): 20. http://dx.doi.org/10.3390/economies8010020.

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The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market effic

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22

Wafula, Dr Chesoli, Joshua. "EXPLORING BEHAVIORAL ASPECTS OF MARKET EFFICIENCY AND ANOMALIES." EPH - International Journal of Business & Management Science 7, no. 2 (2021): 38–47. http://dx.doi.org/10.53555/eijbms.v7i2.118.

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Market efficiency hypothesis suggests that markets are rational and their prices fully reflect all available information. Due to the timely actions of investors prices of stocks quickly adjust to the new information, and reflect all the available information. So no investor can beat the market by generating abnormal returns. But it is found in many stock exchanges of the world that these markets are not following the rules of EMH. The functioning of these stock markets deviate from the rules of EMH. These deviations are called anomalies. Anomalies could occur once and disappear, or could occur

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23

White, Eugene N. "Stock Market Bubbles? A Reply." Journal of Economic History 55, no. 3 (1995): 655–65. http://dx.doi.org/10.1017/s0022050700041681.

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Research in finance is guided by powerful intuitions from models of efficient markets. However, researchers have uncovered a number of puzzles that are not explained by these models. Such anomalies include the excess volatility of stock prices, the closed-end mutual fund paradox, and the mean reversion in stock prices that produces predictable returns for long holding periods.1 Whereas financial economists all recognize the existence of these puzzles, they disagree about how they can be explained. Robert J. Shiller argues, for example, that efficient-markets models cannot hope to explain these

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24

Rathnaweera, H. K. R., and Rajitha M. Silva. "A Bayesian Network Analysis of Calendar Effects in the Colombo Stock Exchange." Sri Lankan Journal of Applied Statistics 24, no. 3 (2023): 95–107. http://dx.doi.org/10.4038/sljastats.v24i3.8095.

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This study applies Bayesian Network analysis to examine the probabilistic causal relationship between calendar effects and stock market anomalies in the Colombo Stock Exchange. While prior research has explored the existence of Calendar Anomalies in the Colombo Stock Exchange, few studies have examined the underlying cause-and-effect relationship between these anomalies and their associated probabilities. This study employs a Bayesian Network model using market data from 2007 to 2020 to investigate this relationship. The results indicate that calendar effects are prevalent in the market, and t

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25

Chen, Yue. "The Role of Anchoring Effect in the Stock Market Investment Decisions." Advances in Economics, Management and Political Sciences 29, no. 1 (2023): 48–54. http://dx.doi.org/10.54254/2754-1169/29/20231349.

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Price anomalies in the stock market are often difficult to explain using traditional financial theories, and such price anomalies severely affect the specific investment behavior of investors in the stock market and the trend of stock price movements. In order to study the causes of these anomalies and conclude certain countermeasures, this paper combines behavioural economic theories to analyze the causes of stock price movements over a certain period of time in terms of stock price trends caused by psychological deviations of investors in a specific industry. In this paper, this study finds

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26

Wong, Wing-Keung. "Editorial Statement and Research Ideas for Efficiency and Anomalies in Stock Markets." Economies 8, no. 1 (2020): 10. http://dx.doi.org/10.3390/economies8010010.

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The Efficient Market Hypothesis states that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. To explore new theories with applications in this direction, in this editorial, we suggest ideas to authors on what types of papers we will accept for publication in the areas of on Efficiency and Anomalies in Stock Markets. We will discuss some papers published in the special iss

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27

BELYAEV, Vladimir A. "The cyclical behavior of the IPO market: History and drivers." Financial Analytics: Science and Experience 14, no. 2 (2021): 190–207. http://dx.doi.org/10.24891/fa.14.2.190.

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Subject. The article considers the phenomenon of clustering in the initial public offering (IPO) market. Objectives. The aim is to perform a critical analysis of literature on the IPO market behavior and determine the optimal moment of company's listing on stock exchange. Methods. The study draws on analytical methods of information gathering and processing, as well as the comparative analysis. Results. The paper summarizes results of works by researchers on the IPO markets clustering, defines criteria for successful listing on stock exchange, unveils a number of factors affecting the market d

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28

Mohamad Shariff, Nurul Sima, and Nur Aisyah Yusof. "STOCK MARKET ANOMALIES: A CASE OF CALENDAR EFFECTS ON THE MALAYSIAN STOCK MARKET." MALAYSIAN JOURNAL OF COMPUTING 6, no. 1 (2021): 772. http://dx.doi.org/10.24191/mjoc.v6i1.11212.

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The existence of market anomalies for the return reveals the inefficiency in the market that could affect investor investment strategy, portfolio selection, and profit management. It is due to the unpredictable movement of the stock market return that will affect the decision of investors later. As such, this study intends to investigate day of the week effect, a month of the year effect, and a quarter of the year effect on the Malaysian Stock Exchange, namely the Kuala Lumpur Composite Index (KLCI) on data from 2nd January of 2015 until 31st December 2018. Based on the findings from Generaliz

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29

Rahmat Budi Santoso, Erawati Kartika, and Ika Listyawati. "Portfolio Diversification Opportunities On The Asean 5 Stock Market And Sectoral Stock Indexes On The Indonesian Stock Exchange." INTERNATIONAL CONFERENCE ON DIGITAL ADVANCE TOURISM, MANAGEMENT AND TECHNOLOGY 1, no. 1 (2023): 155–65. http://dx.doi.org/10.56910/ictmt.v1i1.59.

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 This study aims to examine portfolio diversification opportunities on the stock markets of Indonesia, Singapore, Malaysia, Thailand, and the Philippines, as well as sectoral stock price indices on the Indonesian Stock Exchange. The data used is the closing daily price index for the period January 2021 – October 2023. The analysis method uses principal component analysis. The results show that the first forming component includes the Indonesian stock market and its sectoral stock price index. The second component is filled by the stock markets of Singapore, Malaysia, Thailand, and the Ph

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30

AlHajraf, Saad B. F. M. "Return Anomalies in the Kuwaiti Stock Market." International Journal of Research in Business and Social Science (2147- 4478) 10, no. 2 (2021): 212–16. http://dx.doi.org/10.20525/ijrbs.v10i2.1048.

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This paper intends to investigate the existence of daily return anomalies and the weekend effect within Boursa Kuwait, Kuwait’s stock exchange. Kuwait as an economy has continued to be opened up to foreign investment and as foreign funds being to flood into the market; return anomalies akin to those within international markets begin to materialize, bringing new opportunities for abnormal returns and arbitrage. The premise of this paper is the existence of the January effect and the Weekend effect, and uses econometric methods in support of their existence, bringing into question the challenge

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31

김소라 and Dong Hoe Kim. "Stock Market Anomalies and Portfolio Investment Strategies." Korean Journal of Financial Engineering 14, no. 2 (2015): 67–93. http://dx.doi.org/10.35527/kfedoi.2015.14.2.004.

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Kim, Changha, Jaeram Lee, and Changjun Lee. "Mutual Fund Performance and Stock Market Anomalies." Korean Journal of Financial Studies 49, no. 1 (2020): 41–72. http://dx.doi.org/10.26845/kjfs.2020.02.49.1.41.

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Chancharat, Surachai, Nuttida Thongrak, and Suthasinee Suwannapak. "Stock market anomalies in ASEAN+6 countries." International Journal of Economic Policy in Emerging Economies 1, no. 1 (2021): 1. http://dx.doi.org/10.1504/ijepee.2021.10039232.

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Kontonikas, Alexandros, and Alexandros Kostakis. "On Monetary Policy and Stock Market Anomalies." Journal of Business Finance & Accounting 40, no. 7-8 (2013): 1009–42. http://dx.doi.org/10.1111/jbfa.12028.

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Shu, Tao. "Institutional Investor Participation and Stock Market Anomalies." Journal of Business Finance & Accounting 40, no. 5-6 (2013): 695–718. http://dx.doi.org/10.1111/jbfa.12035.

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Siganos, Antonios. "Can retail investors exploit stock market anomalies?" Applied Financial Economics 22, no. 7 (2011): 537–47. http://dx.doi.org/10.1080/09603107.2011.619493.

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Silva, PM. "Calendar “anomalies” in the Portuguese stock market." Investment Analysts Journal 39, no. 71 (2010): 37–50. http://dx.doi.org/10.1080/10293523.2010.11082518.

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Madureira, Leonardo L., and Ricardo P. C. Leal. "Elusive anomalies in the Brazilian stock market." International Review of Financial Analysis 10, no. 2 (2001): 123–34. http://dx.doi.org/10.1016/s1057-5219(01)00045-x.

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Maria Caporale, Guglielmo, and Valentina Zakirova. "Calendar anomalies in the Russian stock market." Russian Journal of Economics 3, no. 1 (2017): 101–8. http://dx.doi.org/10.1016/j.ruje.2017.02.007.

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Dou, Paul Y., David R. Gallagher, and David H. Schneider. "Dissecting anomalies in the Australian stock market." Australian Journal of Management 38, no. 2 (2012): 353–73. http://dx.doi.org/10.1177/0312896212455809.

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Maria Caporale, Guglielmo, and Alex Plastun. "Calendar anomalies in the Ukrainian stock market." Investment Management and Financial Innovations 14, no. 1 (2017): 104–14. http://dx.doi.org/10.21511/imfi.14(1).2017.11.

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This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: day-of-the-week effect; turn-of-the-month effect; turn-of-the-year effect; month-of-the-year effect; January effect; holiday effect; Halloween effect. The results suggest that in general calendar anomalies are not present in the Ukrainian stock market, but th

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Suwannapak, Suthasinee, Nuttida Thongrak, and Surachai Chancharat. "Stock market anomalies in ASEAN+6 countries." International Journal of Economic Policy in Emerging Economies 18, no. 3/4 (2023): 256–68. http://dx.doi.org/10.1504/ijepee.2023.136308.

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Maria, Caporale Guglielmo, and Valentina Zakirova. "Calendar anomalies in the Russian stock market." Russian Journal of Economics 3, no. (1) (2017): 101–8. https://doi.org/10.1016/j.ruje.2017.02.007.

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This research note investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which could be interpreted as evidence against market efficiency. Specifically, OLS, GARCH, EGARCH and TGARCH models are estimated using daily data for the MICEX market index over the period Sept. 1997–Apr. 2016. The empirical results show the importance of taking into account transactions costs (proxied by the bid-ask spreads): once these are incorporated into the analysis, calendar anomalies disappear, and therefore, the

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44

Wong, Wing-Keung, Aman Agarwal, and Nee-Tat Wong. "The Disappearing Calendar Anomalies in the Singapore Stock Market." LAHORE JOURNAL OF ECONOMICS 11, no. 2 (2006): 123–39. http://dx.doi.org/10.35536/lje.2006.v11.i2.a7.

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This paper investigates the calendar anomalies in the Singapore stock market over the recent period from 1993-2005. Specifically, changes in stock index returns are examined surrounding January (the January effect), on different days of the week (the day-of-the-week effect), around the turn of the month (the turn-of-the-month effect) and before holidays (the pre-holiday effect). The findings reveal that these anomalies have largely disappeared from the Singapore stock market in recent years. The disappearance of these anomalies has important implications for the efficient market hypothesis and

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Nazrin Burjaliyeva, Nazrin Burjaliyeva. "THE IMPACT OF USD/TL EXCHANGE RATE." PAHTEI-Procedings of Azerbaijan High Technical Educational Institutions 45, no. 10 (2024): 338–48. https://doi.org/10.36962/pahtei45102024-35.

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This study investigates the impact of USD/TL exchange rate fluctuations on Petkim stock prices using Fourier analysis, a method that captures cyclical and periodic trends in financial time series. Petkim, a leading company in Turkey’s petrochemical industry, is exposed to currency risk due to its dependence on imported raw materials and the global market’s influence. The fluctuations in the USD/TL exchange rate directly affect Petkim’s operating costs and, consequently, its stock price performance. To analyze this dynamic, the research uses daily data from May 2023 to April 2024, applying Four

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46

Al-Khazali, Osamah, and Ali Mirzaei. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices." Journal of International Financial Markets, Institutions and Money 51 (November 2017): 190–208. http://dx.doi.org/10.1016/j.intfin.2017.10.001.

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Rossi, Matteo, and Ardi Gunardi. "Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries." Journal of Applied Business Research (JABR) 34, no. 1 (2018): 183–92. http://dx.doi.org/10.19030/jabr.v34i1.10111.

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The stock market efficiency is the idea that equity prices of listed companies reveal all the data regarding the company value (Fama, 1965). In this way, there isn’t possible to make additional returns. However, evidence against the Efficient Market Hypothesis is growing. Researchers studied Calendar Anomalies (CAs) that characterised financial markets. These CAs contradict the efficient hypothesis. This research studies some of the most important market anomalies in France, Germany, Italy and Spain stock exchange indexes in the first decade of new millennium (2001-2010). In this study, to ver

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Meng, Sun, Hairui Fang, and Dongping Yu. "Fractal Characteristics, Multiple Bubbles, and Jump Anomalies in the Chinese Stock Market." Complexity 2020 (September 16, 2020): 1–12. http://dx.doi.org/10.1155/2020/7176598.

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To consider the jump problem of the Chinese stock market, this paper takes the CSI 300 Index from April 2005 to November 2015 as the research object, uses the rescaled range analysis (R/S analysis) method to examine the fractal characteristics of the Chinese stock market in the past ten years, and deduces the possibility of multiple bubbles in the Chinese stock market. Based on this, combined with the log-periodic power law (LPPL) model, the stock market bubbles are identified in different periods. The results show that China’s stock market has some anomalies in terms of positive bubbles, nega

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Hidayat, Fahranik Maulia, and Brady Rikumahu. "Analyzing the Impact of Financial and Macroeconomic Factors on Stock Returns and Firm Value in The Indonesia’s Consumer Cyclicals Sector." International Journal of Finance & Banking Studies (2147-4486) 14, no. 1 (2025): 30–45. https://doi.org/10.20525/ijfbs.v14i1.3687.

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Stock returns reflect the investment returns investors receive from owning company shares, encompassing both dividends and stock price increases. High stock returns indicate strong company performance and are attractive to investors, often reflecting market expectations of the company's future profitability and contributing to increased company value. Conversely, low stock returns can reduce market confidence and negatively impact company value. This study examines factors influencing stock returns in cyclical consumer sector companies listed on the Indonesia Stock Exchange from 2019 to 2023,

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Artikis, Panagiotis, Lydia Diamantopoulou, and Christos Kampouris. "MACROECONOMIC EFFECTS ON SYSTEMATIC RISK IN EUROPE. THE CASE OF CYCLICAL V. NON-CYCLICAL COMPANIES." Actual Problems of Economics 1, no. 256-257 (2022): 54–78. http://dx.doi.org/10.32752/1993-6788-2022-1-256-257-54-78.

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This study explores macroeconomic and industry-level effects on corporate systematic risk (or beta) for European cyclical and noncyclical companies. We document the extent to which stock market betas fluctuate over time for both industry groups. In addition, we analyze the fundamental determinants of systematic risk. We find evidence that, although noncyclical industries market betas have a lower magnitude, after controlling for firms fundamental strength, macroeconomic conditions and different institutional environments, both types of industries are affected in the same manner by the variable

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