Short-Run Behavior of Stock Returns: Speed of Adjustment and its Contributing Factors in the Jakarta Stock Exchange

2007 ◽  
Author(s):  
Zaafri A. Husodo ◽  
Thomas Henker
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Contributing Factors ◽  
Speed Of Adjustment ◽  
Short Run

RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE

2017 ◽  
Vol 12 (02) ◽  
pp. 1750007
Author(s):  
MUHAMMAD IRFAN MALIK ◽  
ABDUL RASHID
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Hedge Fund ◽  
Oil Prices ◽  
Optimal Portfolio ◽  
Oil Price ◽  
Price Transmission ◽  
Volatility Spillover ◽  
Hedge Ratios ◽  
Short Run

This paper aims to investigate the return and volatility spillover between world oil prices and the sectoral stock of Pakistan. We estimate a bivariate VAR(1)-AGARCH (1,1) model using weekly data sampled from January 1, 2001 to December 31, 2015. The model results are used to estimate the optimal portfolio weights and hedge ratios. The empirical findings suggest no short-run price transmission between world oil prices and stock sectors of Pakistan Stock Exchange. Only the past unexpected shocks in world oil prices has significant effect on the volatility of sectoral stock returns of Pakistan Stock Exchange, and no volatility spillover exist between world oil price and stock sectors. The optimal portfolio weights and hedge ratios for oil/stock holdings are sensitive to sectors considered. These findings are of great interest for policy makers, hedge fund managers, [Formula: see text] investors and market participants.

scholarly journals IPO Intra Industry Effects on Peer Firm's Earnings, Composition and Stock Returns

2021 ◽  
Vol VI (II) ◽  
pp. 41-48
Author(s):  
Muhammad Irfan Khadim ◽  
Samreen Fahim Babar
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Time Lag ◽  
Abnormal Returns ◽  
Significance Test ◽  
Industry Effects ◽  
Cumulative Abnormal Returns ◽  
Long Run ◽  
Short Run

The present study is conducted to see how an IPO event affects the existing firm's performance within the same industry. For this purpose, 88 IPO firms were examined from Pakistan Stock Exchange (PSX) from 1998-2016. IPO is examined from three major perspectives IPO proceeds, initial returns and time Lag between IPO listing date and IPO subscription. The study uses Buy and Hold Abnormal Returns (BHAR) and Cumulative Abnormal Returns (CAR) to calculate competitor's abnormal returns. To calculate the operating performance of competitors, the Wilcoxon significance test was applied. IPO intra-industry effects are significant in the long run, whereas insignificant results are shown in the short run. In addition, IPO proceeds and abnormal returns are significant but negatively related to competitors' stock returns (long term). Moreover, Herfindahl Hirschman Index (HHI) finds IPO improves competitiveness in the industry environment. This present study is an important one from an emerging economy perspective.

Liquidity and Profitability: A Co-Integration Study

2018 ◽  
Vol 21 (02) ◽  
pp. 1850011
Author(s):  
Khairul Alom
Keyword(s):  
Firm Size ◽  
Stock Exchange ◽  
Response Analysis ◽  
Causality Test ◽  
Speed Of Adjustment ◽  
Financial Firms ◽  
Pooled Mean Group ◽  
Long Run ◽  
Short Run

This paper examines the relationship between liquidity and profitability of the non-financial firms listed in Dhaka Stock Exchange (DSE) for the period of 1998–2013. Pedroni and Johansen co-integration results show that liquidity, profitability, firm size and long-term debt (LTD) have significant co-integration relationship in the long run. The causality test results expose that a strong bidirectional casual relationship exist among the variables of liquidity and profitability, LTD and liquidity profitability and firm size in the short run. Also, there exists unidirectional causality among the variables of firm size and liquidity, profitability and LTD in the short run. Furthermore, Pooled Mean Group results show that profitability, firm size and LTD have long-run co-integration relationship with liquidity. However, in the short run, profitability and LTD significantly contribute to the liquidity and the error correction mechanism shows that speed of adjustment to equilibrium is significant within the year. Impulse response analysis indicates shocks in the firm size, LTD and profitability have positive and significant impact on liquidity.

Inflation and Stock Returns: Implication for Nigerian Stock Exchange Market

2021 ◽  
Vol 6 ◽  
pp. 1
Author(s):  
Bidemi S. Adegboyega
Keyword(s):  
Stock Returns ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Share Price ◽  
Convergence To Equilibrium ◽  
Dynamic Interactions ◽  
Causality Test ◽  
Analytical Technique ◽  
Long Run ◽  
Short Run

Understanding various hypotheses often dictates the nexus between inflation and stock returns and over the years studies have failed to establish which among these hypotheses are examined in Nigeria. Therefore, this present study examines the long-run relationships and dynamic interactions between stock returns and inflation in Nigeria using quarterly data of the All Share Price Index from the Nigerian Stock Exchange and Inflation rate together with other selected macroeconomic variables such as interest rate, exchange rate and growth in real GDP from 1985Q1 to 2018Q4. The analytical technique of Vector Error Correction Model, Johansen Co-integration technique and Granger Causality test were exploited. From the results, it is evident there exists a long run relationship between stock returns and inflation in Nigeria. The short run dynamic model also revealed that the speed of convergence to equilibrium is moderate implying that there is a short run relationship between stock returns and inflation. However, in order to establish the causal links and its directions between inflation rate and stock returns, the Johansen co-integration shows that there exist a unidirectional relationship between stock return and inflation rate. This is attributable perhaps to the instability of prices of stocks noticed over time and also the study supported the Proxy hypothesis. Based on the above, it is a perfect avenue for investors to use in an attempt to hedge against inflation.

scholarly journals Studying the Stock Market – Economic Activity Nexus in Poland with a VAR‑VECM Approach

2020 ◽  
Vol 3 (348) ◽  
pp. 65-89
Author(s):  
Piotr Pietraszewski
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Economic Activity ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Developed Countries ◽  
Stock Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run

The paper discusses the links between stock market performance and real economic activity and presents results of an empirical inquiry into dynamic relationships between the main stock index quoted on the Warsaw Stock Exchange (WIG) and GDP in Poland over the years 1995–2019. In many empirical studies for highly developed countries not only short‑run dynamic interactions but also a long‑run cointegrating relationship between the stock index and output have been found. Previous studies for Poland reported mainly short‑run linkages between stock returns and changes of economic activity whereas the evidence for a long‑run cointegrating relationship is still quite scarce. In this paper, the VAR‑VECM methodology with the Johansen tests for cointegration is used to study a substantially longer quarterly data interval than has been investigated so far. Research results show that stock returns Granger‑cause GDP growth with up to three‑quarters lead. The evidence for the existence of a long‑term cointegrating relationship has also been found.

scholarly journals The Impact of Interest Rate Volatility on Stock Returns Volatility: Empirical Evidence from Pakistan Stock Exchange

2021 ◽  
Vol 3 (2) ◽  
pp. 53-58
Author(s):  
ARIF HUSSAIN ◽  
AHMAD BILAL HUSSAIN ◽  
SHAHID ALI
Keyword(s):  
Interest Rate ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Stock Volatility ◽  
Stock Return Volatility ◽  
Interest Rate Volatility ◽  
Volatility Models ◽  
Short Run ◽  
Auto Regressive

Apprehension pertaining to Stock return volatility always has been producing the appreciable significance in the various current research works and it has been lucrative to many researchers for forecasting stock market volatility. This study is about the forecasting of stock returns volatility on the basis of interest rate volatility in the well established Pakistan Stock Exchange (PSX). The stock returns are calculated on the basis of KSE 100 index and interest rate volatility is calculated on the basis of monthly treasury bills rate during a period of 1994 to 2016. Various volatility models like Auto Regressive Conditional Heteroscedasticity (ARCH) and Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) were used to predict stock return volatility on the basis of interest rate volatility in Pakistan. ARCH model is one of the well known methods to forecast the error term in the data and which will certain our forecast regarding stock prices. In the Pakistan Stock Exchange the ARCH (1, 1) has been statistically significantly proved. The GARCH (1, 1) model is also used to estimate the stock volatility. This model shows the short run volatility affect the lagged stock returns and is contributing to the overall volatility. The sum of α and β is less than 1 so the short run volatility is positively related to the overall stock volatility. The GARCH (1, 1) model has outperformed the other volatility models in the case of Pakistan Stock Exchange.

scholarly journals PENGARUH KURS, GROSS DOMESTIC PRODUCT DAN SOLVABILITAS TERHADAP RETURN SAHAM INVESTOR PADA PERUSAHAAN PERTAMBANGAN

2019 ◽  
Vol 8 (10) ◽  
pp. 6262
Author(s):  
Martina Carissa Dewi ◽  
Luh Gede Sri Artini
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Domestic Product ◽  
Mining Company ◽  
Macroeconomic Factors ◽  
Regression Test

The level of return obtained by investors is influenced by microeconomic and macroeconomic factors. This study aims to obtain empirical evidence regarding the effect of exchange rates, Gross Domestic Product and solvency on stock returns. This research was conducted at the mining company in the coal sub-sector on the Indonesia Stock Exchange. All the coal mining sub-sector companies listed on the Stock Exchange for the period 2014-2017 used as the population. The method of determining the sample used is using a saturated sampling technique. Multiple linear regression test used as the data analysis on this research. Based on the results of the analysis of this study it was found that the exchange rate and GDP had a negative and significant effect on stock returns. The solvency proxied by DER has a positive and significant effect on stock returns. Keywords: Exchange Rate, Gross Domestic Product, Solvability and Return.

scholarly journals Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Risks ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 89
Author(s):  
Muhammad Sheraz ◽  
Imran Nasir
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Approximate Entropy ◽  
Market Volatility ◽  
Comparative Approach ◽  
Stock Market Volatility ◽  
Information Theoretic ◽  
Information Theoretic Measures ◽  
Garch Modeling

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification of the randomness of PSX-100. The methodology includes two approaches: (i) the implementation of EGARCH, GJR-GARCH, and TGARCH models to estimate the volatilities; and (ii) analysis of randomness in volatilities series, return series, and PSX-100 closing prices for pre-pandemic and pandemic period by using Shannon’s, Tsallis, approximate and sample entropies. Volatility modeling suggests the existence of the leverage effect in both the underlying periods of study. The results obtained using GARCH modeling reveal that the stock market volatility has increased during the pandemic period. However, information-theoretic results based on Shannon and Tsallis entropies do not suggest notable variation in the estimated volatilities series and closing prices. We have examined regularity and randomness based on the approximate entropy and sample entropy. We have noticed both entropies are extremely sensitive to choices of the parameters.

The performance of the Broad Based Black Economic Empowerment compliant listed property firms in South Africa

2016 ◽  
Vol 34 (1) ◽  
pp. 3-26 ◽  
Author(s):  
Omokolade Akinsomi ◽  
Katlego Kola ◽  
Thembelihle Ndlovu ◽  
Millicent Motloung
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Economic Empowerment ◽  
Content Type ◽  
Black Economic ◽  
Black Economic Empowerment ◽  
The Government ◽  
The Impact

Purpose – The purpose of this paper is to examine the impact of Broad-Based Black Economic Empowerment (BBBEE) on the risk and returns of listed and delisted property firms on the Johannesburg Stock Exchange (JSE). The study was investigated to understand the impact of Black Economic Empowerment (BEE) property sector charter and effect of government intervention on property listed markets. Design/methodology/approach – The study examines the performance trends of the listed and delisted property firms on the JSE from January 2006 to January 2012. The data were obtained from McGregor BFA database to compute the risk and return measures of the listed and delisted property firms. The study employs a capital asset pricing model (CAPM) to derive the alpha (outperformance) and beta (risk) to examine the trend amongst the BEE and non-BEE firms, Sharpe ratio was also employed as a measurement of performance. A comparative study is employed to analyse the risks and returns between listed property firms that are BEE compliant and BEE non-compliant. Findings – Results show that there exists differences in returns and risk between BEE-compliant firms and non-BEE-compliant firms. The study shows that BEE-compliant firms have higher returns than non-BEE firms and are less risky than non-BEE firms. By establishing this relationship, this possibly affects the investor’s decision to invest in BEE firms rather than non-BBBEE firms. This study can also assist the government in strategically adjusting the policy. Research limitations/implications – This study employs a CAPM which is a single-factor model. Further study could employ a multi-factor model. Practical implications – The results of this investigation, with the effects of BEE on returns, using annualized returns, the Sharpe ratio and alpha (outperformance), results show that BEE firms perform better than non-BEE firms. These results pose several implications for investors particularly when structuring their portfolios, further study would need to examine the role of BEE on stock returns in line with other factors that affect stock returns. The results in this study have several implications for government agencies, there may be the need to monitor the effect of the BEE policies on firm returns and re-calibrate policies accordingly. Originality/value – This study investigates the performance of listed property firms on the JSE which are BEE compliant. This is the first study to investigate listed property firms which are BEE compliant.

Sign in / Sign up

Export Citation Format

Share Document