scholarly journals Black-Litterman model on non-normal stock return (Case study four banks at LQ-45 stock index)

2017 ◽  
Author(s):  
Rizki Mahrivandi ◽  
Lienda Noviyanti ◽  
Gatot Riwi Setyanto
Keyword(s):  
Stock Return ◽  
Stock Index ◽  
Normal Stock

scholarly journals MENGGUNAKAN MD&A UNTUK MENINGKATKAN PERKIRAAN PENDAPATAN DAN REAKSI INVESTOR (STUDI EMPIRIS PERUSAHAAN GO PUBLIC DI INDEKS SAHAM SYARIAH INDONESIA)

2020 ◽  
Vol 4 (2) ◽  
pp. 309-332
Author(s):  
Mila Alim Bahri
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Return ◽  
Annual Report ◽  
Market Reaction ◽  
T Test ◽  
Stock Index ◽  
Volume Activity ◽  
Purposive Sampling

Abstract This study aims to provide empirical evidence of investors' reactions to disclosure management discussion and analysis (MD&A) and Trading Volume Activity (TVA) in companies listed on the Indonesia Stock Exchange from 2013 to 2018. The motivation for this research is that there are not many studies in Indonesia. which investigated the effects of MD&A on investor decisions which are illustrated by the market reaction to stock returns and volume of trading activity (TVA). This research is a quantitative study using secondary data as a source of data collection with the population of companies registered in ISSI for the 2013-2018 period. With the purposive sampling technique, 30 companies were obtained based on the highest average daily transaction value in the regular market listed in the JII (Jakarta Islamic Index). The final data used in this study are those obtained from the Annual Report of companies listed on the Indonesian Sharia Stock Index (ISSI) and JII, the Corporate Governance Perception Index (CGPI) data from the survey results of The Indonesian Institute of Corporate Governance (IICG) for the period 2013-2018. Yahoo Finance Historical Prices list for the period 2013-2018, and SWA Magazine for the period 2013-2018. Then, hypothesis testing is carried out using multiple linear regression tests and partial non-parametric correlation. The results show that (1) there is a significant positive relationship of MD&A disclosure on stock returns and (2) there is a disclosure of a significant positive effect of MD&A on trading volume activities (TVA). This study also adds a paired sample t-test to find out the difference before and after the stock price and TVA. Keywords: Management's Discussion and Analysis (MD&A), Market Reaction, Stock Return, Trading Volume Activity.   Abstrak Penelitian ini bertujuan untuk memberikan bukti empiris dari reaksi investor terhadap pengungkapan manajemen diskusi dan analisis (MD&A) dan Trading Volume Activity (TVA) pada perusahaan yang terdaftar di Bursa Efek Indonesia pada tahun 2013 sampai dengan 2018. Motivasi penelitian ini adalah belum banyaknya studi di Indonesia yang menyelidiki efek MD&A pada keputusan investor yang diilustrasikan oleh reaksi pasar terhadap pengembalian saham dan volume aktivitas perdagangan (TVA). Penelitian ini merupakan penelitian kuantitatif dengan menggunakan data sekunder sebagai sumber pengumpulan data dengan populasi perusahaan yang terdaftar di ISSI periode 2013-2018. Dengan teknik Purposive Sampling sehingga diperoleh 30 perusahaan berdasarkan rata-rata nilai transaksi harian di pasar regular tertinggi yang terdaftar dalam JII (Jakarta Islamic Indeks). Data akhir yang digunakan dalam penelitian ini adalah yang diperoleh dari Annual Report perusahaan yang terdaftar di Indeks Saham Syariah Indonesia (ISSI) dan JII, data Corporate Governance Perception Index (CGPI) hasil survei The Indonesian Institute of Corporate Governance (IICG) periode 2013-2018, daftar Historical Prices Yahoo Finance periode 2013-2018, dan Majalah SWA periode 2013-2018. Kemudian, pengujian hipotesis dilakukan dengan menggunakan beberapa uji regresi linear dan korelasi non-parametrik parsial. Hasilnya menunjukkan bahwa (1) ada hubungan positif yang signifikan dari pengungkapan MD&A pada pengembalian saham dan (2) ada pengungkapan efek positif yang signifikan dari MD&A pada aktivitas volume perdagangan (TVA). Studi ini juga menambahkan pairedsampel t-test untuk mengetahui perbedaan sebelum dan sesudah harga saham dan TVA. Kata kunci: Management's Discussion and Analysis (MD&A), Market Reaction, Stock Return, Trading Volume Activity.

ESTABLISHING AN INDEX ARBITRAGE MODEL BY APPLYING NEURAL NETWORKS METHOD — A CASE STUDY OF NIKKEI 225 INDEX

2001 ◽  
Vol 11 (05) ◽  
pp. 489-496
Author(s):  
AN-PIN CHEN ◽  
CHIEH-YOW CHIANGLIN ◽  
HISU-PEI CHUNG
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Stock Index ◽  
The Neural Network ◽  
Time Period ◽  
Network Method ◽  
Index Arbitrage ◽  
Impact Risk ◽  
Cost Of Carry

This paper applies the neural network method to establish an index arbitrage model and compares the arbitrage performances to that from traditional cost of carry arbitrage model. From the empirical results of the Nikkei 225 stock index market, following conclusions can be stated: (1) The basis will get enlarged for a time period, more profitability may be obtained from the trend. (2) If the neural network is applied within the index arbitrage model, twofold of return would be obtained than traditional arbitrage model can do. (3) If the T_basis has volatile trend, the neural network arbitrage model will ignore the peak. Although arbitrageur would lose the chance to get profit, they may reduce the market impact risk.

JUMP, NON-NORMAL ERROR DISTRIBUTION AND STOCK PRICE VOLATILITY — A NONPARAMETRIC SPECIFICATION TEST

2009 ◽  
Vol 54 (01) ◽  
pp. 101-121
Author(s):  
MOHAMMAD MASUDUR RAHMAN ◽  
LAILA ARJUMAN ARA ◽  
ZHENLONG ZHENG
Keyword(s):  
Stock Price ◽  
Stock Return ◽  
Garch Model ◽  
Price Volatility ◽  
Stock Index ◽  
Specification Test ◽  
Significance Level ◽  
Student T Distribution ◽  
T Distribution ◽  
Distribution Assumption

This paper examines a wide variety of popular volatility models for stock index return, including Random Walk model, Autoregressive model, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and extensive GARCH model, GARCH-jump model with Normal, and Student t-distribution assumption as well as nonparametric specification test of these models. We fit these models to Dhaka stock return index from 20 November 1999 to 9 October 2004. There has been empirical evidence of volatility clustering, alike to findings in previous studies. Each market contains different GARCH models, which fit well. From the estimation, we find that the volatility of the return and the jump probability were significantly higher after 27 November 2001. The model introducing GARCH jump effect with normal and Student t-distribution assumption can better fit the volatility characteristics. We find that RW-GARCH-t, RW-AGARCH-t RW-IGARCH-t and RW-GARCH-M-t can pass the nonparametric specification test at 5% significance level. It is suggested that these four models can capture the main characteristics of Dhaka stock return index.

scholarly journals Stock Index Performance of SRIKEHATI 2014: Case Study of ISAT and MEDC

2020 ◽  
Author(s):  
Fanny Septina
Keyword(s):  
Performance Indicator ◽  
Stock Index ◽  
Return Volatility ◽  
Green Finance ◽  
Green Investment ◽  
Sustainability Reports ◽  
Reporting Environment ◽  
Sustainability Report

This study analyzes the returns volatility of ISAT and MEDC in context of green investment. These two stocks are member of SRIKEHATI index. SRIKEHATI is an index containing stocks that concern on environment, social and governance. The period of analysis cover 2009-2014 the focus of the study is on three measures of price earning ratio (PER) and fundamental performance indicator, environment activities disclosure in sustainability report was done. Results show that return volatility of ISAT affects return index of SRIKEHATI significantly, but not for MEDC. ISAT has experienced decreasing profit that continued to a loss, inconsistent reporting environment activities in the sustainability report. MEDC has experienced decreasing of profit but did not lead into a loss. MEDC is also consistent in reporting environment-related activities through publishing sustainability reports. Keywords: green finance; green investment; SRI-KEHATI index; ISAT; MEDC

scholarly journals The effects of policies changes on return and volatility in Vietnamese stock market

2017 ◽  
Vol 6 (1) ◽  
pp. 69-84
Author(s):  
Thi-Du Hoang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Positive Impact ◽  
Regulatory Reform ◽  
Stock Index ◽  
Stock Volatility ◽  
Empirical Results ◽  
The Third ◽  
Egarch Model

Using the stock index data of financial sector spanned from January 2, 2009 to December 31, 2014, this study examines the effects of some policies on stock returns and volatility in Vietnamese stock market. The empirical results of EGARCH model reveal that two policies, namely, M&A and VAMC have an significantly positive impact on stock returns but they do not represent any effects on stock volatility. The third policy, regulatory reform, does not show any affection on stock return but it has an impact on the stock volatility. It implies that investors should adjust and alter their portfolio accordingly when changing policies. Besides, policymaker needs to know when they should prioritize which policy to be issued because some policies sometimes can hurt the stock market if the stock market is efficient.

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