scholarly journals Prediksi Risiko Sistematik Saham-Saham LQ45 Bursa Efek Indonesia

2016 ◽  
Vol 17 (3) ◽  
pp. 99
Author(s):  
A An Arief Jusuf
Keyword(s):  
Stock Returns ◽  
Systematic Risk ◽  
Regression Method ◽  
Linear Regression Method ◽  
Security Market ◽  
Research Model ◽  
Normality Assumption ◽  
Alternative Action ◽  
Best Linear Unbiased ◽  
High Beta

<em>Beta has been argued, both conceptually as well as empirically. In 1960's, many practitioners used superior advantages in calculation attempted at CAPM theory for investing in asset which has high Beta. Many empirical researches on the later years refused the existence of security market line from CAPM. Afterwards, many practitioners and academicians stated the death of CAPM. Linear regression method could be used to make decision if it had already matched the criteria for Best Linear Unbiased Estimator. Prediction model is a statistic testing which aimsat knowing whether there is a relationship or effect between researched variables. Nonparametric method is an alternative action which is taken when the research model does not match normality assumption. This research, as shown by the use of weekly data, could be free from technical trading problems in predicted systematic risk. While ASII, HRUM, and TLKM stock returns are affected more by other factors. This condition has caused systematic risk not to affect significantly on those stocks. Another result has shown that banking stocks, which became part of LQ45, have higher systematic risk respectively.</em>

scholarly journals Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach

2019 ◽  
Vol 58 (1) ◽  
pp. 83-104 ◽  
Author(s):  
Abdul Rashid ◽  
Saba Kausar
Keyword(s):  
High Risk ◽  
Stock Returns ◽  
Stochastic Dominance ◽  
Stock Prices ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Systematic Risk ◽  
January Effect ◽  
Firm Level ◽  
High Beta

In this paper, we first examine the presence of monthly calendar anomaly in Pakistan Stock Exchange (PSX) using aggregate and firm-level monthly stock returns. Secondly, we classify the sample firms into low-beta, medium-beta, and high-beta firms to examine the monthly anomaly of stock returns for firms having different level of systematic risk. By considering the stochastic dominance approach (SDA), we employ the simulation based method of Barrett and Donald (2003) to identify the dominant month over the period from January 2000 to December 2017. We find significant evidence of the existence of the January effect in both firm and market stock returns. We also find that the January effect exists more prominently in both low-risk and high-risk firms categorised based on their systematic risk. On the other end of the continuum, for moderately risky firms, there is strong evidence of the presence of the December effect. One of possible explanations of the January effect is the yearend bonus received in the month of January. Such bonuses are generally used to purchase stocks, causing the bullish trend of stock prices in January. However, the evidence of the January anomaly in both low-beta and high-beta portfolios returns is puzzling, suggesting that investors may invest in both low- and high-risk stocks when enthusiastically investing in stock market. The findings of the paper suggest that investors may get abnormal returns by forecasting stock return patterns and designing their investment strategies by taking into account the January and December effects and the level of systematic risk associated with the firms. JEL Classification: G02, G12, G14 Keywords: Behavioural Finance, Stochastic Dominance Approach, Monthly Anomaly, January Effect, December Effect, TOY Anomaly, Abnormal Returns, KS Type Test, PSX

scholarly journals Asset Pricing and Volatility of Indian Stock Market

2020 ◽  
Vol 8 (6) ◽  
pp. 143-147
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Characteristic Line ◽  
Security Market ◽  
Market Conduct ◽  
Market Situation ◽  
Market Beta ◽  
Deterministic Framework ◽  
High Beta ◽  
Indian Stock Market

This paper shows a basic market portion model of two sorts of dealers, for example, fundamentalists and chartists under a market situation. It is discovered that the Asset costs, riches elements and market conduct are portrayed by the elements of the basic deterministic framework. We give the hypothetical and exact contentions for a recessed shape for the security advertise line, or a reducing minimal premium for showcase hazard. In capital market balance with basic portfolio limitations, various financial specialists by and large hold various arrangements of theoretical or tricky protections. We show that the volatility depends on covariance of aggregate risk aversion and the stock returns. We found that the heterogeneity increases volatility and thereby it leads in rise of beta. Here the statistical approach is provided to estimate the volatility of the assets included in the portfolio. This paper draws out the connection between the alpha (returns) and beta (hazard). A sober minded examination of securities exchange information affirms the presence of a critical and solid, inward crosssectional connection between normal return and gauge past market beta. This paper additionally reports a descending slanting of security advertises line, which is more bewildering than the normal and customary "smoothed" SML. We additionally found that the incline of SML turns out to be increasingly "modified" when speculators become overweening with expanded exchanging volume. Here high-beta stocks are the most exchanged stocks and are connected with the least hazard balanced returns and bringing about a way more noteworthy gainfulness of the wagering against-beta. Hence the asset pricing can be made with the help of security market line or characteristic line which best describes the prominent attributes of the securities that are leaping on the market line. The Capital asset pricing model can be perfectly justified with the help of SML.

scholarly journals Analisis Beta Saham Harian Terhadap Imbal Saham Harian Sebuah Studi Kasus Saham-Saham LQ45 pada Periode Februari – Juli 2015

2018 ◽  
Vol 6 (1) ◽  
pp. 033-042
Author(s):  
Marwan Effendy ◽  
Arie Dwi Pamungkas
Keyword(s):  
Linear Regression ◽  
Regression Method ◽  
Linear Regression Method ◽  
Research Model ◽  
Public Companies ◽  
Independent Variables ◽  
Methods Of Analysis ◽  
Closing Price ◽  
Negative Effect ◽  
Independent Variable

Go public companies need capital from investors to run the company’s operating activities. The companies can sell its proprietary rights in the form of shares. Currently, shares has been viewed as an interesting instrument of investment by investors to produce quick return (realized return can be seen from historical of closing price) and represented one of the factors that motivated investor for investment. Besides from return, investor also have to calculate risks he would face, which then can be measured by observing the response sensitivitygains of a profits movement toward movement of market gains or called the beta.The purpose of this research is to attaine a beta daily shares movements, the movement of daily shares return, a beta connection daily toward shares return daily and a beta influence daily towards shares return daily. The object of thisresearch are the for LQ45 shares from February – July 2015. Methods of analysis that used in this research are correlation Rank-spearmansn to determine the connection between an independent variable with the dependent variable whether an independent variable and dependent variable associated positive or negative.Simple linear regression method is also used to determine the effect of the independent variable on the dependent variable whether positive or negative effect and to predict the value of the dependent variable when the independent variables increase or decrease with a 5% of significant level. The results concluded that the daily shares beta are significant and positive toward shares return to strength daily but the level n the medium category. This is because most of the factors that affect the return is not incorporated into the research model

scholarly journals Is CSR Expenditure Relevant to the Firms in India?

2021 ◽  
Vol 12 (1) ◽  
pp. 178-197
Author(s):  
Arunesh Garg ◽  
Pradeep Kumar Gupta ◽  
Pritpal Singh Bhullar
Keyword(s):  
Corporate Social Responsibility ◽  
Stock Returns ◽  
Theoretical Basis ◽  
Positive Impact ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Positive Influence ◽  
Regression Method ◽  
Policy Makers ◽  
Corporate Social

The present study examines the relevance of Corporate Social Responsibility (CSR) expenditure to the firms in the mandatory regime in India. The paper has its theoretical basis from the instrumental aspect of the Stakeholder theory, which assumes a positive influence of CSR over financial performance. Therefore, the study hypothesizes that the firms which fulfill the CSR expenditure requirement will exhibit higher stock returns and lower systematic risk. Since India mandated CSR in the year 2014, the data of four years (2016-2019) for the sample of 426 National Stock Exchange (NSE) listed Indian firms are taken to employ the OLS regression method. The CSR expenditure in the mandatory regime was not found to be relevant to the firms because of an insignificant positive impact of mandatory CSR expenditure on stock returns. Thus, the instrumental aspect is not supported by the findings. However, the findings indicate a decrease in the systematic risk of the firms. Only a few studies in India investigated this phenomenon in the mandatory regime. Further, the contributions of the study to the CSR literature are fairly useful from the perspective of firms, investors, policy-makers, regulators, scholars, and countries that are planning for legislating CSR.

Rainfall Prediction in South-Eastern Part of Bangladesh by Linear Regression Method

2018 ◽  
Vol 6 (6) ◽  
pp. 119
Author(s):  
Mohammad Shohidul Islam ◽  
Sultana Easmin Siddika ◽  
S M Injamamul Haque Masum
Keyword(s):  
Linear Regression ◽  
Correlation Coefficients ◽  
Rain Gauge ◽  
Regression Method ◽  
Linear Regression Method ◽  
Climate Data ◽  
Rainfall Forecasting ◽  
Statistical Parameters ◽  
Time Duration ◽  
Rainfall Prediction

Rainfall forecasting is very challenging task for the meteorologists. Over the last few decades, several models have been utilized, attempting the successful analysing and forecasting of rainfall. Recorded climate data can play an important role in this regard. Long-time duration of recorded data can be able to provide better advancement of rainfall forecasting. This paper presents the utilization of statistical techniques, particularly linear regression method for modelling the rainfall prediction over Bangladesh. The rainfall data for a period of 11 years was obtained from Bangladesh Meteorological department (BMD), Dhaka i.e. that was surface-based rain gauge rainfall which was acquired from 08 weather stations over Bangladesh for the years of 2001-2011. The monthly and yearly rainfall was determined. In order to assess the accuracy of it some statistical parameters such as average, meridian, correlation coefficients and standard deviation were determined for all stations. The model prediction of rainfall was compared with true rainfall which was collected from rain gauge of different stations and it was found that the model rainfall prediction has given good results.

ANALISIS PENGARUH AGENCY COST TERHADAP DIVIDEND PAYOUT RATIO (Pada Perusahaan Manufaktur di Bursa Efek Indonesia Tahun 2010-2011)

2013 ◽  
Author(s):  
Raudhatul Hidayah
Keyword(s):  
Firm Size ◽  
Sampling Method ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Institutional Ownership ◽  
Agency Cost ◽  
Regression Method ◽  
Linear Regression Method ◽  
Dividend Payout ◽  
Multiple Linear Regression Method

The main purpose of the research was to know partially the influence of institutional ownership, collateralizable assets, debt to total assets and firm size on dividend payout ratio in firms that listed at Indonesia Stock Exchange of 2010–2011 period. The other purpose is to know simultaneously the influence of institutional ownership, collateralizable assets, debt to total assets and firm size on dividend payout ratio in firms that listed at Indonesia Stock Exchange of 2010–2011 period. The population of this research was all the firms that listed at Indonesia Stock Exchange of 2010-2011 period namely, 136 in number. The sample, 27 firms, was taken by the use of purposive sampling method. The technique of data collection used was documentation.  The data analysis made use of multiple linear regression method. The results showed that partially institutional ownership had a positive and significant effect to dividend policy. Collateralizable assets, debt to total assets and firm size partially was not significant to dividend policy. Simultaneously institutional ownership, collateralizable assets, debt to total assets and firm size had a positive and significant effect to dividend payout ratio.

ANALISIS PENGARUH AGENCY COST TERHADAP DIVIDEND PAYOUT RATIO (Pada Perusahaan Manufaktur di Bursa Efek Indonesia Tabun 2010-2011)

2013 ◽  
Author(s):  
Raudhatul Hidayah
Keyword(s):  
Firm Size ◽  
Sampling Method ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Institutional Ownership ◽  
Agency Cost ◽  
Regression Method ◽  
Linear Regression Method ◽  
Dividend Payout ◽  
Multiple Linear Regression Method

The main purpose of the research was to know partially the influence of institutional ownership, collateralizable assets, debt to total assets and firm size on dividend payout ratio in firms that listed at Indonesia Stock Exchange of 2010-2011 period. The other purpose is to know simultaneously the influence of institutional ownership, collateralizable assets, debt to total assets and firm size on dividend payout ratio in firms that listed at Indonesia Stock Exchange of 2010-2011 period. The population of this research was all the firms that listed at Indonesia Stock Exchange of 2010-2011 period namely, 136 in number. The sample, 27 firms, was taken by the use of purposive sampling method. The technique of data collection used was documentation. The data analysis made use of multiple linear regression method. The results showed that partially institutional ownership had a positive and significant effect to dividend policy. Collateralizable assets, debt to total assets and firm size partially was not significant to dividend policy. Simultaneously institutional ownership, collateralizable assets, debt to total assets and firm size had a positive and significant effect to dividend payout ratio.

An alternative model of the vibronic coupling in octahedral complexes

1988 ◽  
Vol 53 (6) ◽  
pp. 1134-1140
Author(s):  
Martin Breza ◽  
Peter Pelikán
Keyword(s):  
Linear Regression ◽  
Alternative Model ◽  
Potential Surface ◽  
Analytical Formula ◽  
Coupling Model ◽  
Regression Method ◽  
Vibronic Coupling ◽  
Linear Regression Method ◽  
Active Systems ◽  
Jahn Teller

It is suggested that for some transition metal hexahalo complexes, the Eg-(a1g + eg) vibronic coupling model is better suited than the classical T2g-(a1g + eg) model. For the former, alternative model, the potential constants in the analytical formula are evaluated from the numerical map of the adiabatic potential surface by using the linear regression method. The numerical values for 29 hexahalo complexes of the 1st row transition metals are obtained by the CNDO/2 method. Some interesting trends of parameters of such Jahn-Teller-active systems are disclosed.

The Accuracy Assessment of Weapon System Using Grey Linear Regression Method

2012 ◽  
Vol 268-270 ◽  
pp. 1809-1813
Author(s):  
Dai Yu Zhang ◽  
Bao Wei Song ◽  
Zhou Quan Zhu
Keyword(s):  
Linear Regression ◽  
Fuzzy Theory ◽  
Accuracy Assessment ◽  
Regression Method ◽  
Small Sample ◽  
Easy Access ◽  
Linear Regression Method ◽  
Grey Theory ◽  
Weapon System ◽  
Complex Engineering

The accuracy assessment of weapon system is always a complex engineering. How to make the most of the information given in only a few tests and obtain reasonable estimate is always a problem. Based on the fuzzy theory and grey theory, a grey linear regression method is presented. From the numerical example, we can see that this method provides an easy access to deal with data in small sample case and may have potential use in the analysis of weapon performance.

Perancangan Aplikasi Prediksi Jumlah Pendaftar Siswa Baru Dengan Metode Regresi Linier (Studi Kasus: SMA RK Deli Murni Bandar Baru)

2020 ◽  
Vol 3 (3) ◽  
pp. 330-334
Author(s):  
Novita Ria Lase ◽  
Fristi Riandari
Keyword(s):  
Linear Regression ◽  
Regression Method ◽  
Point Of View ◽  
Computational Techniques ◽  
Linear Regression Method ◽  
Simple Linear Regression ◽  
Tuition Fees ◽  
Use Of Data ◽  
New Students ◽  
New Student

The problem of the SMA RK Deli Murni Bandar Baru school is to predict how many facilities that need to be provided for new students such as chairs, tables and others. This study discusses the prediction of the number of new student registrants at SMA RK Deli Murni Bandar Baru based on the amount of tuition fees using a simple linear regression method. From a commercial point of view, the use of data mining can be used to handle the explosion of data volumes, using computational techniques can be used to produce information needed which is an asset that can increase the competitiveness of an institution. Prediction is almost the same as classification and estimation, except that in the prediction the value of the results will be in the future. This system can be used to predict the number of applicants in the following year to help the school. The advantage is that this simple linear regression method is very simple so that it is easy to calculate and use. Saves the time needed to solve problems, especially those that are very complex.

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