scholarly journals New evidence on expiration-day effects usingrealized volatility: An intraday analysis for the Spanish stock exchange

2006 ◽  
Vol 26 (9) ◽  
pp. 923-938 ◽  
Author(s):  
M. Illueca ◽  
J. A. LaFuente
Keyword(s):  
Stock Exchange ◽  
Intraday Analysis ◽  
Spanish Stock Exchange ◽  
New Evidence

scholarly journals Semi-monthly effect in stock returns: new evidence from Bombay Stock Exchange

2017 ◽  
Vol 14 (3) ◽  
pp. 160-172 ◽  
Author(s):  
Shakila B. ◽  
Prakash Pinto ◽  
Iqbal Thonse Hawaldar
Keyword(s):  
Health Care ◽  
Stock Returns ◽  
Stock Exchange ◽  
Consumer Durables ◽  
Empirical Results ◽  
Significant Difference ◽  
The Mean ◽  
Daily Stock Returns ◽  
New Evidence ◽  
Care Index

Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semi-monthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&P BSE Auto Index, S&P BSE Bankex, S&P BSE Consumer Durables Index, S&P BSE FMCG Index and S&P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.

scholarly journals THE INFLUENCE OF LIQUIDITY AND PROFITABILITY TOWARD SHARE PRICE: MEDIATED EFFECT OF HEDGING (EVIDENCES FROM SHARES OF LQ-45 LISTED IN INDONESIAN STOCK EXCHANGE FOR PERIOD OF 2011 TO 2015)

2019 ◽  
Vol 7 (5) ◽  
pp. 150-160 ◽  
Author(s):  
Tigor Sitorus ◽  
Ratlan Pardede ◽  
Ardi
Keyword(s):  
Structural Equation Modelling ◽  
Structural Equation ◽  
Stock Exchange ◽  
Negative Influence ◽  
Positive Influence ◽  
Share Price ◽  
Direct Influence ◽  
Equation Modelling ◽  
New Evidence

Purpose: This study aims at investigating and testing the mediated effect of Hedging on the effect of profitability and liquidity toward share price at shares of LQ-45, listed in Indonesian Stock Exchange from2011 to 2015. The current research was conducted because the phenomenon and the fluctuations in price of shares were unavoidable. Methodology: The Structural Equation Modelling (SEM) by Amos was used to analyze the 110 observations of data. Main Findings: The result of analysis shows that; (1) the liquidity gives not significantly negative influence to share price, (2) the liquidity gives  significantly negative influence to hedging, (3) the profitability gives significantly positive influence to share price, (4) the profitability gives significantly negative influence to hedging, (5). Hedging gives significantly positive influence to share price. Implications/Applications: The present study provides new evidence that the mediated effect of Hedging on the influence of liquidity and profitability toward share price has more strength compared to the direct influence of liquidity but not for profitability.

scholarly journals Hybrid fuzzy neural network versus backpropagation neural network: An application to predict the Ibex-35 index stock

2020 ◽  
Vol 6 (1) ◽  
pp. 85-98
Author(s):  
J. Oliver Muncharaz
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Neuronal Network ◽  
Fuzzy Neural Network ◽  
Stock Exchange ◽  
Prediction Errors ◽  
Market Prices ◽  
Index Stock ◽  
Fuzzy Neural ◽  
Spanish Stock Exchange

The use of neural networks has been extended in all areas of knowledge due to the good results being obtained in the resolution of the different problems posed. The prediction of prices in general, and stock market prices in particular, represents one of the main objectives of the use of neural networks in finance. This paper presents the analysis of the efficiency of the hybrid fuzzy neural network against a backpropagation type neural network in the price prediction of the Spanish stock exchange index (IBEX-35). The paper is divided into two parts. In the first part, the main characteristics of neural networks such as hybrid fuzzy and backpropagation, their structures and learning rules are presented. In the second part, the prediction of the IBEX-35 stock exchange index with these networks is analyzed, measuring the efficiency of both as a function of the prediction errors committed. For this purpose, both networks have been constructed with the same inputs and for the same sample period. The results obtained suggest that the Hybrid fuzzy neuronal network is much more efficient than the widespread backpropagation neuronal network for the sample analysed.

scholarly journals Análisis de los tipos de acoso y discriminación recogidos en los códigos de conducta de las empresas cotizadas en la Bolsa española en el mercado continuo a 31-12-2015/Analysis of the types of harassment and discrimination included in the codes of conduct

2018 ◽  
pp. 2-17
Author(s):  
María Concepción Verona Martel ◽  
Sara De León Santana
Keyword(s):  
Stock Exchange ◽  
Codes Of Conduct ◽  
Code Of Conduct ◽  
Not Given ◽  
Ethical Codes ◽  
Different Types ◽  
Spanish Stock Exchange

En este trabajo se analizan los diferentes tipos de acoso y discriminación recogidos en los códigos éticos de las empresas cotizadas en la Bolsa española a 31-12-2015. Los resultados muestran que las empresas incluyen una amplia variedad de tipos de acoso y discriminación en su código de conducta, entre los que destaca el rechazo a la discriminación por razón de sexo. Asimismo, el análisis por sectores pone de manifiesto que en todos los sectores no se da la misma importancia a los diferentes tipos de acoso y discriminación. Abstract In this paper we analyze the different types of harassment and discrimination included in the ethical codes of companies listed on the Spanish Stock Exchange on 12/31/2015. The results show that companies include a wide variety of types of harassment and discrimination in their code of conduct, among which the rejection of discrimination based on sex stands out. Likewise, the analysis by sectors shows that in all sectors, the different types of harassment and discrimination are not given the same importance.

The Intraday Performance of Contrarian Strategies: Evidence from the Taiwan Stock Exchange

2009 ◽  
Vol 12 (04) ◽  
pp. 655-674 ◽  
Author(s):  
Kuei-Yuan Wang ◽  
Su-Chun Peng ◽  
Yen-Sheng Huang
Keyword(s):  
Transaction Costs ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Trading Costs ◽  
Taiwan Stock Exchange ◽  
Holding Period ◽  
Contrarian Strategies ◽  
Intraday Analysis ◽  
Average Abnormal Return ◽  
Using Data

This paper examines the intraday performance of contrarian strategies using data from 438 listed stocks on the Taiwan Stock Exchange in 2004. The results indicate significantly positive abnormal returns for the contrarian strategies. For the whole trading day, the contrarian strategies earn an average abnormal return of at least 0.18% for all strategies, and above 0.3% in 24 out of the 36 contrarian strategies prior to transaction costs. Moreover, the contrarian profit increases from a formation period of five minutes to 10 minutes, and then declines toward a longer formation period of 60 minutes. This pattern suggests that price reversals occur around 10 minutes into the formation period. The intraday analysis also indicates that the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Finally, the results indicate that price reversals occur for both prior losers and prior winners, with prior winners experiencing larger price reversals than prior losers when the holding period becomes longer. However, the above results of profitable abnormal returns are based on gross returns before transaction costs were deducted. When reasonable explicit trading costs are considered, none of the 36 contrarian strategies produce any "free lunches" for investors.

scholarly journals Information transmission around block trades on the Spanish stock exchange

2005 ◽  
Vol 15 (3) ◽  
pp. 173-186 ◽  
Author(s):  
M. A. Martínez * ◽  
M. Tapia ◽  
J. Yzaguirre
Keyword(s):  
Information Transmission ◽  
Stock Exchange ◽  
Block Trades ◽  
Spanish Stock Exchange

scholarly journals Corporate Governance Mechanisms and Voluntary Disclosure

2020 ◽  
Vol 11 (2) ◽  
pp. 82
Author(s):  
Erwin Saraswati ◽  
Alfizah Azzahra ◽  
Ananda Sagitaputri
Keyword(s):  
Corporate Governance ◽  
Voluntary Disclosure ◽  
Family Firms ◽  
Stock Exchange ◽  
Annual Reports ◽  
Corporate Disclosure ◽  
Governance Mechanisms ◽  
Voluntary Disclosures ◽  
Corporate Governance Mechanisms ◽  
New Evidence

Corporate disclosure and corporate governance are two inseparable instruments of investor protection. This research sought to find evidence on how corporate governance mechanisms affect the extent of voluntary disclosures. Voluntary disclosures were measured using content analysis on published annual reports. The sample of this research consisted of 81 firm-year observations from 27 firms of consumer goods sector listed on Indonesian Stock Exchange from 2016 to 2018. Using multiple regression method, the result has shown that board size and board independence increase voluntary disclosures, indicating that the commissioners have effectively represented the interests of shareholders by monitoring and encouraging the management to increase disclosure. This research provided new evidence that family ownership increases voluntary disclosure, suggesting that family firms are more concerned by the costs of non-disclosure. Meanwhile, institutional ownership does not significantly affect voluntary disclosure. 

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