Intraday Share Price Volatility and Leveraged ETF Rebalancing

2012 ◽  
Author(s):  
Arthur Rodier ◽  
Edgar Haryanto ◽  
Pauline M. Shum ◽  
Walid Hejazi
Keyword(s):  
Price Volatility ◽  
Share Price ◽  
Leveraged Etf

Intraday Share Price Volatility and Leveraged ETF Rebalancing

2015 ◽  
Vol 20 (6) ◽  
pp. 2379-2409 ◽  
Author(s):  
Pauline Shum ◽  
Walid Hejazi ◽  
Edgar Haryanto ◽  
Arthur Rodier
Keyword(s):  
Price Volatility ◽  
Share Price ◽  
Leveraged Etf

KINERJA PORTOFOLIO OPTIMAL PADA SAHAM BERBAGAI INDEKS DENGAN KALKULASI RASIO SORTINO, MODIGLIANI SQUARE, DAN ROY’S SAFETY FIRST

2018 ◽  
Vol 6 (1) ◽  
pp. 23-46
Author(s):  
Baiq Nurul Suryawati ◽  
Laila Wardani ◽  
Sulaeman Sarmo ◽  
Iwan Kusmayadi
Keyword(s):  
Stock Exchange ◽  
Price Volatility ◽  
Share Price ◽  
Portfolio Performance ◽  
Investment Portfolio ◽  
Precise Information ◽  
Investment Pattern ◽  
The Difference ◽  
Safety First

ABSTRACTThe main purpose of this research is evaluating portfolio performance of variousindexes that comprises constituent index in Indonesia Stock Exchange. The performance of evaluation calculatesbasedon Sortino,Modigliani Square and Roy Safety First ratio. Hence, the difference between its portfolios performances will shows the significance of each market’s differentite. The indexesare LQ 45, Jakarta Islamic Index (JII), Indeks Saham Syariah Indonesia, and BISNIS 27. The result shows that there is significance different between the share markets whereas the investment pattern of portfolio will represents investor’s desired return. However, as the measurementrealize on adjusting return and risk, thus, it will necessary to enhance investor’s with more pragmatic method such as share price volatility to persuade more investment. Share price volatility, furthermore, will give more precise information about how return created to profit investors.Keywords: Indexes, Investment, Portfolio Mesurement, Sortino, Modigliani Square, Roy Safety First

Effect of Dividend Policy on Stock Price Volatility in Nigeria Stock Exchange

2019 ◽  
Vol 9 (2) ◽  
pp. 219
Author(s):  
Felix Ebun Araoye ◽  
Akinola Michael Aruwaji ◽  
Emmanuel OlusuyiAjayi
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Positive Impact ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Price Volatility ◽  
Share Price ◽  
Dividend Payout ◽  
Share Prices ◽  
Duration Effect

This paper seeks to determine the effect of dividend policy and dividend payment on share price volatility in Nigeria. Several literatures have showed evidence that dividend policy vary inversely proportional with share price volatility with duration effect. The study used data from the actively trading companies listed in the Nigeria Securities Exchange for a period of ten (10) years from 2005–2014. The estimation is based on panel data analysis between dividend policy measures (dividend payout, dividend per share, earnings after tax, dividend declared and number of share) and Share price volatility. The findings from the random effects regression results showed dividend per share is the major determinants of share price volatility in NSE (β = 0.6870, ρ<0.05). Dividend payout ratio negatively affect share price volatility (β =0.612, ρ>0.05) and earnings after tax negatively affect share price volatility (β =0.038, ρ>0.05).Thus, the higher the payout ratio the less the share price volatility, and the higher the earnings after tax lower the share price volatility. In conclusion, dividend per share has positive effect and inclusive relationship with market share prices. It is recommended that firms should try and improve on their financial performance that will enable consistent increase in the dividend per share for positive impact on market value.

scholarly journals Impact of dividend policy on stock price volatility and market value of the firm: evidence from Sri Lankan manufacturing companies

2016 ◽  
Vol 13 (3) ◽  
pp. 219-225 ◽  
Author(s):  
UGVDD Gunarathne ◽  
WAN Priyadarshanie ◽  
SMRK Samarakoon
Keyword(s):  
Dividend Policy ◽  
Negative Impact ◽  
Price Volatility ◽  
Market Value ◽  
Share Price ◽  
Sri Lankan ◽  
Manufacturing Companies ◽  
Dividend Yield ◽  
Dividend Payout ◽  
The Impact

The impact resulted from the dividend policy of a firm on the volatility of the market value of stocks is the major concern of this study, which is an issue bearing an utmost significance, when considering the objectives of a corporate. The focus of an entity should be aligned on the maximization of stock holders’ wealth and this necessitates the selection of an optimum dividend policy. The present study, thus, attempts to shed a light on the above fact within the Sri Lankan context. Data was collected from a sample of companies listed under the manufacturing sector of the Colombo Stock Exchange from year 2006 to 2014. The study occupied panel data regression model for analysis. The outcome revealed that the dividend yield of the current year has a negative impact on the share price volatility, while the dividend payout ratio of both the current and previous years has a positive impact. In addition, the impact of dividend yield is negative on the market value of the firm, where the dividend payout ratio of the current year is also depicts the same impact. The findings of the study reassure the findings of the previous researchers within the Sri Lankan context in case of the market value of the firm while being contrary in case of the share price volatility. Accordingly, the firms’ ability of utilizing the dividend policy as a mechanism of controlling the volatility of share prices is established. However, it will not be effective in altering the market value of the firm.

scholarly journals FAKTOR YANG MEMPENGARUHI VOLATILITAS HARGA SAHAM PADA EMITEN YANG TERDAFTAR DI JAKARTA ISLAMIC INDEX

2021 ◽  
Vol 8 (6) ◽  
pp. 706
Author(s):  
Nurul Hidayati ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Dividend Policy ◽  
Price Volatility ◽  
Share Price ◽  
Company Size ◽  
Stock Price Volatility ◽  
Dividend Payout ◽  
Earnings Volatility ◽  
Panel Data Regression

ABSTRAKTujuan dari penelitian ini yaitu meneliti pengaruh kebijakan dividen, volume perdagangan, volatilitas laba, ukuran perusahaan dan tingkat hutang terhadap volatilitas harga saham di emiten yang terdaftar di JII dari tahun 2015 sampai 2019. Adapun manfaat dari penelitian ini dalam eksistensi pasar finansial secara global karena dapat mengukur tingkat risiko. Penelitian ini dibantu dengan alat analisis Eviews 10. Regresi data panel dipilih dalam penelitian ini. Hasil penelitian membuktikan bahwa secara individual dividend payout ratio, volume perdagangan dan volatilitas laba secara positif memiliki pengaruh yang signifikan, ukuran perusahaan secara negatif memiliki pengaruh signifikan, dan tingkat hutang tidak memiliki pengaruh signifikan terhadap volatilitas harga saham. Secara simultan, variabel dividend payout ratio, volume perdagangan, ukuran perusahaan, volatilitas laba, dan tingkat hutang signifikan berpengaruh terhadap volatilitas harga saham. Kata Kunci: Volatilitas harga saham, emiten syariah, regresi data panel. ABSTRACTThe purpose of this study is to examine the effect of dividend policy, trading volume, earnings volatility, company size and level of debt on stock price volatility in issuers listed in JII from 2015 to 2019. The benefits of this research are in the existence of global financial markets because it can measure the level of risk. This research is assisted by the analysis tool Eviews 10. Panel data regression. selected in this study. The results showed that partially the dividend payout ratio, trading volume and earnings volatility had a positive and significant effect, company size had a negative and significant effect, and the level of debt had no significant effect on stock price volatility. Simultaneously, the variable dividend payout ratio, trading volume, company size, earnings volatility, and level of debt have a significant effect on stock price volatility. Keywords: Stock price volatility, sharia company, panel data regression. DAFTAR PUSTAKABawono, A., & Shina, A. F. I. (2018). Ekonometrika terapan untuk ekonomi dan bisnis Islam aplikasi dengan Eviews. Salatiga: Lembaga Penelitian dan Pengabdian kepada Masyarakat (LP2M) IAIN Salatiga Press.Brigham, E. F., & Houston, J. F. (2011). Dasar-dasar manajemen keuangan, buku kedua. Jakarta: Salemba Empat.Camilleri, S. J., Grima, L., & Grima, S. (2019). The effect of dividend policy on share price volatility: an analysis of Mediterranean banks’ stocks. Managerial Finance, 45(2), 348–364. https://doi.org/10.1108/MF-11-2017-0451Dewi, S., & Paramita, R. A. S. (2019). Pengaruh kebijakan dividen, volume perdagangan, earning volatility, leverage, dan firm size terhadap volatilitas harga saham perusahaan LQ45. Jurnal Ilmu Manajemen, 7(3), 761–771.Fakhruddin, H. M. (2008). Istilah pasar modal A-Z. Jakarta: Elex Media Komputindo.Gumanti, T. A. (2013). Kebijakan Dividen (Pertama). UPP STIM YKPN.Jahfer, A., & Mulafara, A. H. (2016). Dividend policy and share price volatility: Evidence from Colombo stock market. Internaltional Journal Managerial and Financial Accounting, 8(2), 97–108. DOI:10.1504/IJMFA.2016.077947Jannah, R., & Haridhi, M. (2016). Pengaruh kebijakan dividen, earning volatility, dan leverage terhadap volatilitas harga saham pada perusahaan non-financing yang terdaftar di bursa efek Indonesia tahun 2010-2014. Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi, 1(1), 133–148.Mehmood, A., Ullah, M. H., & Ul Sabeeh, N. (2019). Determinants of stock price volatility: Evidence from cement industry. Accounting, 5(4), 145–152. https://doi.org/10.5267/j.ac.2019.2.002Muhamad. (2016). Manajemen keuangan syari’ah analisis fiqh & keuangan. Yogyakarta: UPP STIM YKPN.Novius, A. (2017). Analisis pengaruh kebijakan deviden ( Dividen payout ratio dan devidend yield) terhadap volatilitas harga saham (Studi empiris pada perusahaan kelompok LQ45 yang terdaftar di BEI). Jurnal Al-Iqtishad, 13(1), 67. https://doi.org/10.24014/jiq.v13i1.4389Rowena, J., & Hendra. (2017). Earnings volatility, kebijakan dividen, dan pertumbuhan asset berpengaruh terhadap volatilitas harga saham pada perusahaan manufaktur di BEI periode 2013 – 2015. Jurnal Administrasi Kantor, 5(2), 231–242.Sarmanu. (2017). Dasar metodologi penelitian. Surabaya: Airlangga University Press.Septyadi, M. A., & Bwarleling, T. H. (2020). Pengaruh volume perdagangan saham, leverage, dan kebijakan dividen terhadap volatilitas harga saham, 2, 149–162.Shah, S. A., & Noreen, U. (2016). Stock price volatility and role of dividend policy: Empirical evidence from Pakistan. International Journal of Economics and Financial Issues, 6(2), 461–472.Spence. (1973). Job market signaling. The Quarterly Journal of Economics, 87(3), 355–374. https://doi.org/10.2307/1882010Tandelilin, E. (2010). Manajemen portofolio dan investasi. Surabaya: Kanisius.Yulinda, E., Pujiastuti, T., & Haryono, S. (2020). Analisis pengaruh dividend payout ratio, leverage, firm size, volume perdagangan, earning volatility, dan inflasi terhadap volatilitas harga saham pada perusahaan yang terdaftar dalam indeks LQ45 tahun 2014-2017. Jurnal Ilmiah Indonesia Ilmiah Indonesia, 5(5), 76. DOI:10.36418/syntax-literate.v5i5.1106Zainudin, R., Mahdzan, N. S., & Yet, C. H. (2018). Dividend policy and stock price volatility of industrial products firms in Malaysia. International Journal of Emerging Markets, 13(1), 203–217. https://doi.org/10.1108/IJoEM-09-2016-0250

scholarly journals PENGARUH NILAI TUKAR, INFLASI, VOLUME PERDAGANGAN, DAN DIVIDEND PAYOUT RATIO TERHADAP SHARE PRICE VOLATILITY PADA PERUSAHAAN YANG TERDAFTAR DALAM INDEKS KOMPAS100 TAHUN 2014 – 2018

2021 ◽  
Vol 5 (1) ◽  
Author(s):  
Mastura Mastura
Keyword(s):  
Exchange Rate ◽  
Data Analysis ◽  
Trading Volume ◽  
Random Effect ◽  
Random Effect Model ◽  
Price Volatility ◽  
Sampling Technique ◽  
Share Price ◽  
Dividend Payout ◽  
Effect Model

This research aims to analyze partial and simultaneous influence between exchange rate, inflation, trading volume, and dividend payout ratio to share price volatility in Kompas100 index. This research uses 23 companies listed in Kompas100 index as a research sample during the period of 2014 to 2018, where sampling uses purposive sampling technique. In order to analyze, and test each research hypotheses, the technique used is panel data regression using the random effect model. The results of data analysis show that partially, the excgange rate, inflation, and trading volume have a positive and significant effect to share price volatility while the dividend payout ratio has a negative and significant effect to share price volatility. the results of data analysis show simultaneously, the exchange rate, inflation, trading volume, and dividend payout ratio have significant influence to share price volatility. The amount of testing the coefficient of determinastion (adjusted R square) is 0.416174, indicating that dependen variable which is share price volatility can be explained by independent variables those are exchange rate, inflation, trading volume, and dividend payout ratio was 41.6%, while 58.4% can be explained by the other variables outside the models     

scholarly journals ANTECEDENTS AND CONSEQUENCES OF CARBON EMISSIONS’ DISCLOSURE: CASE STUDY OF OIL, GAS AND COAL COMPANIES IN NON-ANNEX 1 MEMBER COUNTRIES

2018 ◽  
Vol 33 (2) ◽  
pp. 99 ◽  
Author(s):  
Dody Hapsoro ◽  
Ambarwati Ambarwati
Keyword(s):  
Carbon Emissions ◽  
Trading Volume ◽  
Price Volatility ◽  
Economic Consequences ◽  
Share Price ◽  
Test Results ◽  
Analysis Method ◽  
Oil Gas ◽  
Bid Ask Spreads ◽  
Positive Effect

The purpose of this study is to determine the characteristics of companies that voluntarily disclose carbon emissions and to examine the economic consequences of the carbon emissions’ disclosure. Companies used in the sample are oil, gas and coal companies in non-Annex 1 member countries registered in the Osiris database. The observation period was from the commencement of the Kyoto Protocol's second commitment to date, or from 2013 to 2016. Measuring the carbon emissions’ disclosure is achieved by using a checklist developed from an information request sheet from the CDP (Carbon Disclosure Project). An assessment of the extent of the disclosure is made using the content analysis method. Company characteristics are proxied with leverage, profitability and firm age, while the economic consequences are proxied by using bid-ask spreads, the trading volume and share price volatility. The data analysis method used in this research is the Partial Least Square (PLS) method using the WarpPLS 4.0 application. Test results show that leverage, profitability and firm age have a positive effect on the carbon emissions’ disclosure. Furthermore, the test results show that carbon emissions’ disclosures have a positive effect on the trading volume and a negative effect on the bid-ask spreads and share price volatility. The above findings imply that firms with higher leverage, higher profitability and are older are more willing to reveal their carbon emissions’ disclosures. The more information that is contained in a carbon emissions’ disclosure, the more investors are interested in trading that company's shares, while the broader the carbon emissions’ disclosure is, the smaller the bid-ask spread and the less volatile the stock price are.

scholarly journals Role of International Financial Integration on Financial Market Development of Euro Area Countries

2019 ◽  
pp. 91-100
Author(s):  
Irfan Alam
Keyword(s):  
Financial Market ◽  
Euro Area ◽  
Financial Integration ◽  
Price Volatility ◽  
Share Price ◽  
Market Development ◽  
International Financial Integration ◽  
Financial Market Development ◽  
The Impact

The aim of this paper is to investigate the role of international financial integration into financial market development of Euro area countries. Annual dataset from 1998 to 2014 by using multiple regression method. The study focuses on financial integration on determining the impact on financial market development. Overall results confirming the significant positive and negative effect of international financial integration (Stock traded& share price and stock turnover ratio, respectively) while insignificant positive andnegative effect of financial integration (financial assets and liabilities and share price volatility, respectively) on financial market development. The finding provides strong evidence of achieving higher financial market development due to the drivers of financial integration.

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