The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan

2011 ◽  
Vol 21 (1) ◽  
pp. 14-27 ◽  
Author(s):  
Chiao-Yi Chang
Keyword(s):  
Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
Index Level ◽  
The Relationship

scholarly journals Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China

2011 ◽  
Vol 7 (3) ◽  
Author(s):  
Robert D. Gay, Jr.
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
India And China

The relationship between share prices and macroeconomic variables is well documented for the United States and other major economies. However, what is the relationship between share prices and economic activity in emerging economies? The goal of this study is to investigate the time-series relationship between stock market index prices and the macroeconomic variables of exchange rate and oil price for Brazil, Russia, India, and China (BRIC) using the Box-Jenkins ARIMA model. Although no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns, warranting further research. Also, there was no significant relationship found between present and past stock market returns, suggesting the markets of Brazil, Russia, India, and China exhibit the weak-form of market efficiency.

scholarly journals CORPORATE SOCIAL RESPONSIBILITY AND FINANCIAL PERFORMANCE: THE SPANISH CASE

2016 ◽  
Vol 56 (1) ◽  
pp. 20-28 ◽  
Author(s):  
CRISTINA MADORRAN ◽  
TERESA GARCIA
Keyword(s):  
Corporate Social Responsibility ◽  
Panel Data ◽  
Stock Market ◽  
Social Responsibility ◽  
Financial Performance ◽  
Stock Market Index ◽  
Market Index ◽  
The Subject ◽  
Corporate Social ◽  
The Relationship

ABSTRACT The enormous interest aroused by corporate social responsibility both in the academic and the business worlds forms the background for this study. Its objective is to analyze the relationship between corporate social responsibility and financial performance in view of the debate in the literature on the subject. The study focuses on a sample of Spanish companies taken from the IBEX 35 stock market index, using panel data methodology, which offers advantages in comparison to methodologies used in other studies. We analyzed the period from 2003 to 2010. Our findings suggest that there is no obvious relationship between corporate social responsibility and financial results, at least in the case of Spain.

scholarly journals Crash occurrence probability and stock market efficiency the indie stock exchange case via Shannon entropy

2012 ◽  
Vol 2 (2) ◽  
pp. 158 ◽  
Author(s):  
Boubaker Adel ◽  
Sahli Lamia
Keyword(s):  
Stock Market ◽  
Shannon Entropy ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Informational Efficiency ◽  
Stock Market Index ◽  
Market Index ◽  
Symbolic Time Series Analysis ◽  
The Relationship

In this study, we evaluate the relationship between efficiency and probability of the crash, thus the evolution of the daily informational efficiency is measured for the indie stock market index. The efficiency, which is the issue addressed by the weak-form efficient market hypothesis, is calculated using a new method the Shannon entropy and the symbolic time series analysis. A logit model is applied in order to study the relationship between efficiency and probability of the financial crash.

The Relationship of Monetary and Fiscal Policy Credibility with the Stock Market Volatility in a Developing Country

2021 ◽  
pp. 097215092098251
Author(s):  
Vinícius Medeiros Magnani ◽  
Antonio Daniel Ricardo Caluz ◽  
Rafael Confetti Gatsios ◽  
Fabiano Guasti Lima
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Market Index ◽  
Macroeconomic Variables ◽  
Economic Agents ◽  
Market Index ◽  
Monetary And Fiscal Policy ◽  
Relationship Of ◽  
The Relationship

The present study aims to analyse the relationship between fiscal and monetary credibility and the volatility of the Brazilian stock market index, Ibovespa. The results demonstrate that the greater the credibility of the target imposed by the Brazilian Central Bank, the more predictable and stable are the macroeconomic variables and the greater the confidence of economic agents in the Brazilian stock market. We can conclude that the greater the fiscal and monetary credibility, the better is the performance of the stock market.

scholarly journals MENGKAJI PERUBAHAN NILAI TUKAR RUPIAH DAN PASAR SAHAM

2008 ◽  
Vol 10 (4) ◽  
Author(s):  
Untoro Untoro ◽  
Priyo R. Widodo
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Index ◽  
Stock Market Index ◽  
Vector Autoregressive ◽  
Market Index ◽  
Daily Data ◽  
Exchange Rate Movements ◽  
The Exchange Rate ◽  
The Relationship

This paper analyzes the relationship between the Exchange rate and the stock market in Jakarta, Singapore, Malaysia, Thailand, Philippine and Hongkong using a high frequency data. We applied the Vector Autoregressive method on the daily data covering 1 July 1997 to 30 June 2006.The analysis provides several results as follows: (i) the exchange rate movements is influenced by the regional and the Hongkong stock market index, except Thailand, (ii) Jakarta stock market index is influenced by the regional stock market except Thailand, (iii) the Rupiah rate influence the regional and Hongkong stock index, (iv) the Jakarta's stock market index is integrated to the regional stock market index. These results may be a usefull as an additional guidance to evaluate the Rupiah's exchange rate and the regional stock market movement in general.JEL Classification: C32, F31, G15                 Keywords: Stock, Vector Autoregressive, exchange rate.

scholarly journals An Empirical Analysis of the Relationship between Oil Prices and Stock Markets

2016 ◽  
Vol 8 (12) ◽  
pp. 120 ◽  
Author(s):  
S. N. Markoulis ◽  
N. Neofytou
Keyword(s):  
Stock Market ◽  
Portfolio Management ◽  
Stock Markets ◽  
Oil Prices ◽  
Stock Market Index ◽  
Stock Market Returns ◽  
Bric Countries ◽  
Market Index ◽  
Long Run ◽  
The Relationship

This paper investigates the relationship between oil prices and stock market returns for the G7 and the BRIC countries for the period 1991-2016 using cointegration and a vector error correction model. Results reveal that there is no long-run relationship between oil prices and the stock market indices of the G7 countries. However, they also reveal that there is a long-run relationship between oil prices and the stock market indices of three out of the four BRIC countries (Brazil, China and Russia). This result appears to be broadly aligned with the idea that over the past quarter of a century emerging countries have been more exposed to oil prices (either as producers or consumers) than developed ones. Furthermore, from an investments’ and international portfolio management perspective, it seems that there might be benefits from diversification when holding the stock market index of a G7 country or India and oil assets since these appear to be segmented. On the other hand, such benefits might not be applicable in the case of the stock markets of Brazil, China or Russia and oil assets as these seem to be integrated.

Impact of monetary policy on house prices: case of Pakistan

2019 ◽  
Vol 13 (3) ◽  
pp. 503-512
Author(s):  
Muhammad Umar ◽  
Moin Akhtar ◽  
Muhammad Shafiq ◽  
Zia-Ur-Rehman Rao
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Time Series Data ◽  
House Prices ◽  
Series Data ◽  
Stock Market Index ◽  
Content Type ◽  
Market Index ◽  
The Impact ◽  
The Relationship

Purpose This study aims to explore the impact of monetary policy on house prices in Pakistan. Design/methodology/approach This study uses monthly time-series data of house prices, monetary policy, inflation and stock market index ranging from January 2011 to December 2016. All the series were checked for stationarity by using augmented Dickey–Fuller test, and lag length of 11 was decided on the basis of Schwert’z rule of thumb. Vector autoregressive (VAR) model was used because the series were not co-integrated. Findings The analysis revealed that monetary policy significantly affects house prices in Pakistan. Tight monetary policy results in lower house prices and vice versa. The relationship between monetary policy and house prices is unidirectional. The study also finds that higher inflation also leads to soaring house prices, but the variation in stock market index does not affect house prices. Originality/value To the best of authors’ knowledge, none of the existing studies explores the impact of monetary policy on house prices in Pakistan. The findings help investors and policy makers to understand the relationship between monetary policy and house prices to make better decisions.

scholarly journals Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China

2016 ◽  
Vol 15 (3) ◽  
pp. 119-126 ◽  
Author(s):  
Robert D. Gay
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
India And China

The relationship between share prices and macroeconomic variables is well documented for the United States and other major economies.  However, what is the relationship between share prices and economic activity in emerging economies?  The goal of this study is to investigate the time-series relationship between stock market index prices and the macroeconomic variables of exchange rate and oil price for Brazil, Russia, India, and China (BRIC) using the Box-Jenkins ARIMA model.  Although no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns, warranting further research.  Also, there was no significant relationship found between present and past stock market returns, suggesting the markets of Brazil, Russia, India, and China exhibit the weak-form of market efficiency.

scholarly journals CROBEX AND INDUSTRY PERFORMANCE IN THE CASE OF CROATIA: EVIDENCE FROM WAVELET COHERENCE

2021 ◽  
Vol 21 (1) ◽  
Author(s):  
Ivan Novak
Keyword(s):  
Stock Market ◽  
Market Price ◽  
Wavelet Coherence ◽  
Stock Market Index ◽  
Market Prices ◽  
Market Index ◽  
Dependent Relationship ◽  
Novel Approach ◽  
Industry Performance ◽  
The Relationship

Determinants of the stock market index movement have always been of interest to scholars and practitioners. Various time series techniques have already been applied to determine the relationship between the stock market prices and macroeconomic variables. Many of these techniques are unable to reveal the frequency and time dependent relationship often leading to incorrect specification. Furthermore, results may differ depending on the level of the economic development. This paper is using the Wavelet coherence as a rather novel approach compensating for some limitations of the conventional approach bringing further insight into the stock market price movement of the Croatian capital market. Wavelet transform enables observation of the connection between the CROBEX and the industry performance across time and frequency domain. This relationship is tested using monthly data for CROBEX and industrial production index volume in the period from January 1998 to September 2019. Significant positive relationship was confirmed in the period from 1998 to 2015 identifying CROBEX as the leading variable.

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