What Drives R&D Intensive Stock Returns? A Variance Decomposition Analysis

2018 ◽  
Author(s):  
Dimos Andronoudis ◽  
Christina Dargenidou ◽  
Eirini Konstantinidi
Keyword(s):  
Stock Returns ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Variance Decomposition Analysis

The Linkage between Chittagong Stock Market and Dhaka Stock Market

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Muhammad Shahidullah Tasfiq ◽  
◽  
Nasrin Jahan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

scholarly journals Correlates and variance decomposition analysis of heparin dosing for maintenance hemodialysis in older US patients

2014 ◽  
Vol 23 (5) ◽  
pp. 515-525 ◽  
Author(s):  
Jenny I. Shen ◽  
Maria E. Montez-Rath ◽  
Aya A. Mitani ◽  
Kevin F. Erickson ◽  
Wolfgang C. Winkelmayer
Keyword(s):  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Maintenance Hemodialysis ◽  
Variance Decomposition Analysis

scholarly journals Analisis Pengaruh Kebijakan Bank Konvensional terhadap Tingkat Keuntungan Bank Syariah

2021 ◽  
Vol 29 (1) ◽  
pp. 81-91
Author(s):  
Adina Astasia ◽  
You Ari Faeni
Keyword(s):  
Impulse Response ◽  
Market Share ◽  
Response Function ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Return On Assets ◽  
Vector Autoregressive ◽  
Variance Decomposition Analysis

Perkembangan perbankan syariah di Indonesia sangat pesat beberapa tahun belakangan ini. Namun, market share perbankan syariah masih jauh di bawah harapan. Kajian-kajian teori sebelumnya menyatakan bahwa lingkungan persaingan antar bank, dalam hal ini bank konvensional dan bank syariah, sangat mempengaruhi kinerja bank syariah. Penelitian ini ingin mengetahui bagaimana pengaruh kebijakan bank konvensional yang digambarkan dengan tingkat suku bunga (SB) terhadap keuntungan bank syariah yang digambarkan dengan Return on Assets (ROA). Metode analisis yang digunakan adalah Vector Autoregressive (VAR) dengan tambahan analisis Impulse Response Function (IRF) dan Variance Decomposition Analysis (VDC). Hasil analisis menggunakan VAR (1) menyatakan bahwa terdapat pengaruh negatif signifikan pada ) jika terjadi shock pada tingkat suku bunga tabungan bank konvensional (SB). Kondisi ini sejalan dengan hasil penelitian  Haron dan Ahmad (2000); Haron (2004), serta Zainol dan Kassim (2012) yang mengemukakan bahwa apabila tingkat suku bunga tabungan bank konvensional meningkat, maka nasabah bank syariah akan beralih ke bank kovensional yang dianggap memberikan keuntungan lebih besar, sehingga keuntungan bank syariah mengalami penurunan. Hasil ini menunjukkan bahwa tidak semua konsumen bank syariah merupakan konsumen yang loyalis, perbankan syariah dituntut bertindak rasional, yaitu dengan cara menetapkan tingkat bagi hasil yang  kompetitif  terhadap  tingkat suku bunga bank konvensional.

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