scholarly journals INFLUENCE OF MACROECONOMIC FACTORS ON STOCK PRICES IN POLAND – CROSS SECTION AND TIME SERIES ANALYSIS

2018 ◽  
Author(s):  
Tomasz Schabek ◽  
Nijolė Maknickienė
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Cross Section ◽  
Stock Prices ◽  
Cross Sectional ◽  
Macroeconomic Factors ◽  
Book Value ◽  
Long Time ◽  
Market Variables ◽  
Macro Variables

The purpose of the study is to determine if the macroeconomic factors influence rates of returns from broad index of stocks in Poland. The study investigates stability of relation between macroeconomic and stock market variables in short and long time period. After running time series regressions we check if selected macro variables are still significant in cross-section of stock returns including control variables like price to book value, capitalization and momentum. The study is based on large sample of individual rates of returns and macroeconomic variables describing real sphere of the economy. Mine findings suggest that the short and long term relation is statistically and economically significant although not stable in the both analysed time horizons. Macroeconomic beta parameter (sensitivity to macro variables measure) is not significant in cross-sectional test proving that traditionally accepted variables (in our study only price to book-value and momentum) still better explain the expected re-turns.

Predicting US recessions with stock market illiquidity

2016 ◽  
Vol 16 (1) ◽  
Author(s):  
Shiu-Sheng Chen ◽  
Yu-Hsi Chou ◽  
Chia-Yi Yen
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Market Liquidity ◽  
Credit Spreads ◽  
Stock Market Liquidity ◽  
Predictive Content ◽  
Dynamic Link

AbstractIn this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the illiquidity measure proposed by (Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.”

scholarly journals The Effect of Foreign Portfolio Equity Purchases on Security Returns in Kenya: Evidence from NSE Listed Financial Institutions

2017 ◽  
Vol 9 (4) ◽  
pp. 202
Author(s):  
Loice Koskei
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Stock Returns ◽  
Financial Institutions ◽  
Sampling Technique ◽  
Ordinary Least Squares ◽  
Capital Requirements ◽  
Cross Sectional ◽  
International Portfolio ◽  
Security Returns

Foreign portfolio inflows increase the liquidity and the volume of finance available for financial institutions. At the same time, as foreign portfolio inflows finances in part the capital requirements of local companies, it can also increase the competitiveness of these companies. A huge surge of the inflows can be very inflationary because this forces the Central Bank of Kenya to expand the country’s monetary base by releasing counterpart domestic currency which eventually feeds into the inflationary process. The main aim of this study was to find out the effect of international portfolio equity purchases on security returns of listed financial institutions in Kenya. The study population was 21 financial institutions listed on the Nairobi Securities Exchange. Using purposive sampling technique the study concentrated on 14 financial institutions. The research design of the study was causal as it is concerned more with understanding the connection between cause and effect relationships. The study adopted panel data regression using the Ordinary Least Squares (OLS) method where the data included time series and cross-sectional. A unit root test was carried in this study to examine stationarity of variables because it used panel data which combined both cross-sectional and time series information. Panel estimation results indicated that international portfolio equity purchases have no effect on stock returns of listed financial institutions in Kenya. The study recommended implementation of regulations and policies that would attract foreign portfolio equity inflows in financial institutions.

scholarly journals Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

2017 ◽  
Vol 20 (1) ◽  
pp. 47
Author(s):  
Muhammad Iqbal ◽  
Buddi Wibowo
Keyword(s):  
Risk Factor ◽  
Stock Returns ◽  
Cross Section ◽  
Stock Prices ◽  
Stock Exchange ◽  
High Growth ◽  
Growth Effect ◽  
Market Anomalies ◽  
Growth Anomaly ◽  
Asset Growth

Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum), confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973), the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

scholarly journals Pengaruh Analisis Faktor Fundamental Terhadap Return Saham

2011 ◽  
Vol 2 (2) ◽  
pp. 85
Author(s):  
Perwito Perwito
Keyword(s):  
Time Series ◽  
Cross Sectional ◽  
Dividend Payout ◽  
Data Pooling ◽  
Return On Equity ◽  
Book Value ◽  
Times Series ◽  
Ex Post ◽  
Ratio Size ◽  
Ex Post Facto

Krisis yang terjadi pada tahun 2008 sangat mempengaruhi kinerja perusahaan-perusahaan yang terdaftar di Bursa Efek Indonesia, hal ini terlihat dengan menurunnya harga saham. Menurunnya harga saham tersebut tentunya akan berimplikasi pada return yang didapatkan oleh investor. Penelitian mengkaji dan menganalisis faktor-faktor fundamental terhadap return saham. Jenis dan sifat penelitian ini adalah ex post facto dan survey explanatory, adapun metode penelitian yang digunakan adalah metode yang bersifat deskriptif, komparatif, asosiatif, dan juga verifikatif. Variabel yang dianalisis terdiri dari; Variabel terikat (Y), dalam hal ini adalah return saham, sedangkan variabel bebas yang terdiri dari return on equity (ROE), earning per share (EPS), price earning ratio (PER), price book value (PBV), dan tingkat suku bunga. Populasi dalam penelitian ini terdiri dari perusahaan kelompok Industri Barang Konsumsi dan Keuangan yang terdaftar di Bursa Efek Indonesia periode 2002 s.d 2009 yang terdiri dari 31 perusahaan untuk kelompok industri barang konsumsi, dan 44 perusahaan pada kelompok keuangan. Data yang dianalisis merupakan gabungan antara data time series dan cross sectional, atau biasa disebut data pooling atau pooled times series, dengan 429 data sampel penelitian. Hasil penelitian menunjukkan, pertama; terdapat perbedaan return saham antara kelompok Industri Barang Konsumsi dan Keuangan, rata-rata total return saham yang dihasilkan oleh kelompok Keuangan relatif lebih besar jika dibandingkan dengan rata-rata return saham dari kelompok Industri Barang Konsumsi, hal tersebut mengindikasikan bahwa masing-masing kelompok industri memiliki return dan pertumbuhan yang berbeda-beda. Kedua; hasil penelitian ini menjelaskan bahwa nilai r sebesar 0,387 dan R² sebesar 0,1498, hal ini berarti pengaruh faktor fundamental terhadap return saham sebesar 14,98%, dan sisanya sebesar 85,02% dipengaruhi oleh faktor lain yang tidak dijelaskan dalam penelitian ini seperti return on asset, dividend dan dividend payout ratio, size, serta beta fundamental. Sehingga dapat disimpulkan secara simultan atau secara bersama-sama bahwa analisis faktor fundamental dapat digunakan untuk memprediksikan return saham pada perusahaan kelompok Industri Barang Konsumsi dan Keuangan. Sedangkan secara parsial hanya EPS berkontribusi paling kuat yakni 9,12%.

Evidence for Some Underlying Time Series Momentum

2014 ◽  
pp. 205-217
Author(s):  
Faten Zoghlami
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Excess Returns ◽  
Momentum Strategy ◽  
Cross Sectional ◽  
Times Series ◽  
Before And After ◽  
Main Driver ◽  
Full Rationality

The chapter documents significant and momentary momentum pattern in stock returns times series. Moreover, the chapter gives evidence that this time series momentum is the main driver of the cross-sectional momentum pattern. The temporary time series momentum pattern is midway between the behavioural and rational financial theories. Given the strong and positive autocorrelation in stock returns time series, the authors argue that investors are temporary under reacting, and they progressively find their full rationality. Using monthly returns inherent to all stocks listed on Tunisian stock market, from January 2000 to December 2009, the authors examine momentum strategy’s excess returns before and after considering time series momentum in stocks returns. Results show that momentum strategy is still profitable, but no longer puzzling. Furthermore, the chapter aims to reconcile between the behavioural and the rational financial theories, through the introduction of the progressive investors rationality.

scholarly journals A Time Series Analysis of the Nexus Between Macroeconomic Fundamentals and Stock Prices in Nigeria

2018 ◽  
Vol 13 (2) ◽  
pp. 69-91
Author(s):  
Amassoma Ditimi ◽  
Bolarinwa Ifeoluwa
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Stock Market ◽  
Time Series Analysis ◽  
Stock Prices ◽  
Macroeconomic Factors ◽  
Series Analysis ◽  
Integration Test ◽  
Macroeconomic Fundamentals ◽  
The Government

AbstractSince macroeconomic fundamentals have been found to play a vital role for changes in the economy of a country. Consequently, the onus is on the appropriate regulatory authorities to take measures in making amendments in these policies to put the economy on the right development track. The aim of this study is to use time series analysis to empirically showcase the nexus between macroeconomic fundamentals and stock prices in Nigeria. The method used for this study was the Co-integration test and the EGARCH technique to estimate the possible influence of the selected macroeconomic fundamentals on stock prices. Volatility was captured by using quarterly data and estimated using GARCH (1,1) respectively. The study found there is a positive relationship between macroeconomic factors and stock prices in Nigeria. Therefore, the study recommends that the Federal authority should put in place policy measures that will enable the exchange rate to be relatively stabilized. This is because empirical evidence from studies has shown that exchange rate affects stock market prices. In addition, the government authority should ensure an enabling environment that would build the mindset of institutional investors in the Nigerian stock market due to the existence of information asymmetry problems among potential investors.

scholarly journals Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

2018 ◽  
Vol 20 (1) ◽  
pp. 84-104
Author(s):  
Shah Saeed Hassan Chowdhury ◽  
Rashida Sharmin ◽  
M Arifur Rahman
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Common Factor ◽  
Relative Strength ◽  
Specific Information ◽  
Cross Sectional ◽  
Market Sentiment ◽  
Holding Period ◽  
Momentum Profits

This article, using weekly data for the period 2002 through 2013, investigates the presence of both contrarian and momentum profits and their sources in the Bangladesh stock market. It follows the methodology of Lo and MacKinlay ( Review of Financial Studies, 1990, 3(2), 175–205) to form portfolios with a weighted relative strength scheme (WRSS). The methodology of Jegadeesh and Titman ( Review of Financial Studies, 1995, 8(4), 973–993) is used to decompose the contrarian/momentum profits into three elements: compensation for cross-sectional risk, lead–lag effect in time series with respect to the common factor and the time-series pattern of stock returns. Results provide the evidence of significant contrarian profits for the holding period of one through eight weeks. There is a stronger presence of contrarian profits during 2002–2008 sub-period. The time-series pattern is found to be the main source of contrarian profits, suggesting that idiosyncratic (firm-specific) information is the main contributor to contrarian profits. Interestingly, the influence of idiosyncratic information on such profits has gradually decreased since 2008. Contrarian profits are robust to market sentiment and other systematic risk factors.

scholarly journals The Effect of Foreign Portfolio Equity Sales on Stock Returns in Kenya: Evidence from NSE Listed Financial Institutions

2017 ◽  
Vol 9 (4) ◽  
pp. 185
Author(s):  
Loice Koskei
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Stock Returns ◽  
Financial Institutions ◽  
Unit Root Test ◽  
Sampling Technique ◽  
Ordinary Least Squares ◽  
Cross Sectional ◽  
High Volatility ◽  
Study Population

Fluctuations of foreign portfolio equity intensify risk and unpredictability in financial institutions leading to high volatility. The main aim of this study was to find out the effect of foreign portfolio equity outflows on stock returns of listed financial institutions in Kenya. The study population was 21 financial institutions listed on the Nairobi Securities Exchange. Using purposive sampling technique the study concentrated on 14 financial institutions. The research design of the study was causal as it is concerned more with understanding the connection between cause and effect relationships. The study adopted panel data regression using the Ordinary Least Squares (OLS) method where the data included time series and cross-sectional. A unit root test was carried in this study to examine stationarity of variables because it used panel data which combined both cross-sectional and time series information. Panel estimation results indicated that foreign portfolio equity outflows have no effect on stock returns of listed financial institutions in Kenya. The study recommended implementation of policies that would curb foreign portfolio outflows in financial institutions in order to minimize reversals of foreign portfolio investments. 

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