TRENDS IN THE DEVELOPMENT OF THE SECURITIES MARKET

2015 ◽  
Vol 4 (4) ◽  
pp. 88-94
Author(s):  
Никитина ◽  
Yu. Nikitina
Keyword(s):  
Stock Market ◽  
Securities Market ◽  
Real Sector ◽  
Stock Market Index ◽  
The Real ◽  
Market Index ◽  
The Us ◽  
Tremendous Impact ◽  
Domestic Stock

Nowadays the stock market has a tremendous impact on the economy of any country. The volume and structure of investment in the real sector of the economy depends on its efficiency. The author made an analysis of the market capitalization of the Russian securities market for 2011-2015. Based on RTS and MICEX indices, a correlation between changes in the value of the Russian securities market and the dynamics of such indicators as the pair dollar / ruble, the US stock market index S & P500, the price of a barrel of oil by Brent is showed. The tendencies of development of the domestic stock market in the long term are examined.

scholarly journals International portfolio diversification: United States and south Asian equity markets

2014 ◽  
Vol 61 (2) ◽  
pp. 241-252 ◽  
Author(s):  
Rizwan Mushtaq ◽  
Zulfiqar Shah
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Equity Markets ◽  
Equity Market ◽  
Causality Test ◽  
Market Index ◽  
International Portfolio Diversification ◽  
The Us ◽  
Short And Long Term

This paper explores the dynamic liaison between US and three developing South Asian equity markets in short and long term. To gauge the long-term relationship, we applied Johansen co-integration procedure as all the representative indices are found to be non-stationary at level. The findings illustrate that the US equity market index exhibits a reasonably different movement over time in contrast to the three developing equity markets under consideration. However, the Granger-causality test divulge that the direction of causality scamper from US equity market to the three South Asian markets. It further indicates that within the three developing equity markets the direction of causality emanates from Bombay stock market to Karachi and Colombo. Overall, the results of the study suggest that the American investors can get higher returns through international diversification into developing equity markets, while the US stock market would also be a gainful upshot for South Asian investors.

scholarly journals Capital Asset Pricing Model, Theory and Practice: Evidence from USA (2009-2016)

2017 ◽  
Vol 12 (8) ◽  
pp. 182 ◽  
Author(s):  
Mohammad AbdelMohsen Al-Afeef
Keyword(s):  
Stock Market ◽  
Multiple Regression Model ◽  
Theory And Practice ◽  
Pricing Model ◽  
Stock Market Index ◽  
Market Return ◽  
Market Index ◽  
Stock Market Return ◽  
The Us ◽  
The Impact

This study discussed the Capital Assets Pricing model (CAPM) and its ability to measure the required return, the researcher tested this model on Amazon Company listed in S&P 500 during the period (2009-2016), to measure the impact of beta stock and market index return on the required return. Multiple regression model was used to test the effect of independent variables (Beta stock, Market Index Return) on the dependent variable (Required return), it should be noted that there is a statistically significant impact of the US stock market Return (S&P500) and Amazon stock Beta factor on Amazon stock required return, and the study model explanatory was 20% , this means that 20% of the changes in the required return are due to beta and market return, and 80% of the changes due to other factors, also find that CAPM can be applied on efficiency markets and huge companies.The researcher recommends applying the variables of the study on a group of large companies in the S&P 500 index, and looking for other factors that may affect the required return.

scholarly journals ROLE OF THE FINANCIAL SECTOR IN FINANCING THE ENTERPRISES OF THE REAL SECTOR OF THE ECONOMY

2018 ◽  
pp. 78-84
Author(s):  
Dmytro Malysh
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Banking Sector ◽  
Financial Sector ◽  
Bank Loans ◽  
Positive Trend ◽  
Real Sector ◽  
Real Economy ◽  
The Real

Introduction. Financial sector plays an important role in the financing of business entities in the real economy sector. A possibility of rising funds through the stock or banking sector enables substantially to expand the scope of enterprises. However, the presence of permanent financial crises does not allow companies to use these opportunities in full. Therefore, the assessment of state and trends of the stock and banking sectors in the context of the use of their funds to finance companies in the real sector of the economy becomes important. Purpose. The article aims to identify contemporary issues of development of the stock and banking sectors in the context of their ability to finance companies in the real economy. Method. In order to achieve the goal of the research we have used the following methods: method of structural and dynamic analysis and method of economic and statistical analysis of the development of the stock and banking sectors of Ukraine. Results. It has been determined that the deterioration of the stock market in Ukraine led to its exclusion from the list of marginal markets. The largest segment of the Ukrainian stock and banking sector services the issuers, which are owned by the state. At the same time, the financial sector has features of bank-centeredness since banks play a leading role in financing of companies and in transactions of the stock market. Ukrainian stock market mainly carries out operations with government bonds and only a small part of operations provides financing for the activities of companies through the issue of stocks and bonds. The share of long-term sources of funding is gradually decreasing and it is critically low for economic growth of the country. The tempos of providing long-term and short-term bank loans for the company are slowing down. A positive trend is the reduction of interest rates on loans. There is a need to develop effective measures for using opportunities of the stock and banking sectors as well for financing companies in the real sector of the economy.

scholarly journals Do confidence indicators have an impact on macro-financial indicators? An analysis of the financial service and real sector confidence indexes: evidence from Turkey

2020 ◽  
Vol 9 (1) ◽  
pp. 74-94
Author(s):  
Esra N Kilci
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Financial Services ◽  
Structural Breaks ◽  
Unit Root Test ◽  
Real Sector ◽  
Financial Indicators ◽  
Stock Market Index ◽  
Market Index ◽  
The Impact

The primary aim of this study is to analyze the impact of financial services and real sector confidence indexes on some macroeconomic and financial indicators such as industrial production, inflation, stock market index, foreign exchange rates and interest rates in Turkey for the period from May 2012 to May 2019. In this study, the unit root properties of these series are tested by using the Narayan and Popp (2010) unit root test with two structural breaks and the Enders and Lee (2012) Fourier ADF unit root test with multiple structural breaks. We investigate the causal link between confidence indicators and macro-financial variables using the Fourier Toda Yamamoto causality test proposed by Nazlioglu et al. (2016). The results suggest a strong link between financial services and real sector confidence indexes on macro-financial indicators such as stock market index and inflation, supporting the evidence of the short-run impact of confidence indexes on these variables.

scholarly journals Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Rong-Gang Cong ◽  
Shaochuan Shen
Keyword(s):  
Stock Market ◽  
Energy Price ◽  
Stock Market Index ◽  
Price Shocks ◽  
Market Index ◽  
Time Period ◽  
Long Term Effect ◽  
Lag Effect ◽  
The Interest Rate

This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.

scholarly journals Sticky Stock Market Analysts

2021 ◽  
Vol 14 (12) ◽  
pp. 593
Author(s):  
Ibrahim Filiz ◽  
Jan René Judek ◽  
Marco Lorenz ◽  
Markus Spiwoks
Keyword(s):  
Stock Market ◽  
Investment Strategies ◽  
Stock Market Index ◽  
Market Index ◽  
German Stock ◽  
Long Term Trends ◽  
German Stock Market ◽  
Better Than

Technological progress in recent years has made new methods available for making forecasts in a variety of areas. We examine the success of ex-ante stock market forecasts of three major stock market indices, i.e., the German Stock Market Index (DAX), the Dow Jones Industrial Index (DJI), and the Euro Stoxx 50 (SX5E). We test whether the forecasts prove true when they reach their effective dates and are therefore suitable for active investment strategies. We revive the thoughts of the American sociologist William Fielding Ogburn, who argues that forecasters consistently underestimate the variability of the future. In addition, we draw on some contemporary measures of forecast quality (prediction-realization diagram, test of unbiasedness, and Diebold–Mariano test). We reveal that (a) unusual events are underrepresented in the forecasts, (b) the dispersion of the forecasts lags behind that of the actual events, (c) the slope of the regression lines in the prediction-realization diagram is <1, (d) the forecasts are highly biased, and (e) the quality of the forecasts is not significantly better than that of naïve forecasts. The overall behavior of the forecasters can be described as “sticky” because their forecasts adhere too strongly to long-term trends in the indices and are thus characterized by conservatism.

scholarly journals Long Term Inter- And Intra-Regional Stochastic Trends To Middle East And North African Capital Markets

2011 ◽  
Vol 3 (2) ◽  
Author(s):  
Eric Girard ◽  
Eurico J. Ferreira
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Capital Markets ◽  
Asset Allocation ◽  
North African ◽  
Stock Market Index ◽  
Strategic Asset Allocation ◽  
Market Index ◽  
Stochastic Trends

This paper investigates the contribution of Middle East and North African (MENA) capital markets to global strategic asset allocation. Eleven MENA stock markets are examined from January 1st, 1990 to December 30th, 2001. Cointegration studies are conducted on daily, weekly and monthly stock market index price to investigate long-term market linkages. Our results indicate few pairwise stochastic trends between markets, but no common long-term co-movements. We suggest that MENA markets provide diversification potentials for the global investor and should not be treated as a block for global strategic asset allocation purposes.

scholarly journals Developing a New Stock Index for Vietnam’s Securities Market

2014 ◽  
Vol 220 ◽  
pp. 60-78
Author(s):  
Huân Nguyễn Hữu
Keyword(s):  
Stock Market ◽  
Predictive Power ◽  
Securities Market ◽  
Stock Index ◽  
Stock Exchanges ◽  
Securities Markets ◽  
Stock Market Index ◽  
Market Index ◽  
Market Indexes ◽  
Research Show

Stock market index plays an important role as a measure of development of securities markets of a country or a region. Results of this empirical research show that in its 13 years of development, Vietnamese securities market indexes only had limited values because of their poor market representation and predictive power, implying the need to merge Hà Nội and HCMC stock exchanges. The research suggests a new set of stock market indexes to deal with shortcomings of existing indexes, thereby providing relevant entities with a new view on development of securities market in Vietnam.

scholarly journals AN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES

2020 ◽  
Vol 23 (3) ◽  
pp. 297-318
Author(s):  
R. Eki Rahman ◽  
Ermawati Ermawati
Keyword(s):  
Stock Market ◽  
The United States ◽  
The Philippines ◽  
Herding Behavior ◽  
Stock Market Index ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Global Factor ◽  
Market Index ◽  
The Us

We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.  

Hidden “holes” in the capital of banks and the supply of credit to the real sector of economy

2018 ◽  
pp. 49-68 ◽  
Author(s):  
M. E. Mamonov
Keyword(s):  
Credit Risk ◽  
The Other ◽  
Real Sector ◽  
Capital Management ◽  
Loan Loss ◽  
Short Term ◽  
The Real ◽  
Ex Post ◽  
The One

Our analysis documents that the existence of hidden “holes” in the capital of not yet failed banks - while creating intertemporal pressure on the actual level of capital - leads to changing of maturity of loans supplied rather than to contracting of their volume. Long-term loans decrease, whereas short-term loans rise - and, what is most remarkably, by approximately the same amounts. Standardly, the higher the maturity of loans the higher the credit risk and, thus, the more loan loss reserves (LLP) banks are forced to create, increasing the pressure on capital. Banks that already hide “holes” in the capital, but have not yet faced with license withdrawal, must possess strong incentives to shorten the maturity of supplied loans. On the one hand, it raises the turnovers of LLP and facilitates the flexibility of capital management; on the other hand, it allows increasing the speed of shifting of attracted deposits to loans to related parties in domestic or foreign jurisdictions. This enlarges the potential size of ex post revealed “hole” in the capital and, therefore, allows us to assume that not every loan might be viewed as a good for the economy: excessive short-term and insufficient long-term loans can produce the source for future losses.

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