scholarly journals The Index and Stock Price Synchronicity: Evidence from Taiwan

2020 ◽  
Vol 198 ◽  
pp. 04029
Author(s):  
Chung-Lien Pan ◽  
Yu-Chun Pan
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Audit Quality ◽  
Stock Exchange ◽  
Small Sample ◽  
Stock Index ◽  
Stock Price Synchronicity ◽  
Taiwan Stock Exchange ◽  
Gray System ◽  
Technical Theory

Research on stock synchronization has always been a topic of concern to scholars and investors. In the past, the focus was mainly on equity concentration, foreign shareholding, audit quality, and other issues, not including indexes. This article uses the monthly data of the Taiwan Stock Exchange Capital Weighted Stock Index (TAIEX) to solve the problem of the index and stock synchronization. And use the technical theory of the gray system to solve the small sample and uncertain problem. The discovery of the synchronization between these indexes and stock prices may provide investors with sufficient reference to make investment decisions.

scholarly journals The Impact of Corona Virus Disease 2019 (COVID-19) on Indonesia Property Stock Index

2021 ◽  
Vol 4 (2) ◽  
pp. 85-96
Author(s):  
Kevin Ronaldo Gotama ◽  
Njo Anastasia
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Virus Disease ◽  
Sampling Technique ◽  
Stock Index ◽  
Event Analysis ◽  
Corona Virus ◽  
Before And After ◽  
The Impact

A promising investment in the property sector is due to appreciation in property value. As an economic instrument, the stock market, inseparable from different environmental factors, was triggered by incident in Wuhan, Hubei Province, China, an outbreak of acute respiratory tract infection 2 (SARS-CoV-2) in December 2019 and then spread across China. This study is a comparative study on the stock index of the property sector on the stock exchange of countries affected by the Corona Virus Disease 2019 (COVID-19) case, with a purposive sampling technique according to certain criteria for sample selection. The event analysis was performed by analyzing market reaction; with COVID-19 incident effect as one of the event tests, the stock price index. The findings of the study indicate that there is an index response to the incident of COVID-19. The reflected reaction shows in the abnormal return and trade volume activity before and after the incident. Thus, this study is expected to be taken into consideration for stock investors regarding the impact of the Corona Virus Disease 2019 (COVID-19) pandemic on stock prices, by providing an overview of changes in stock prices during the monitoring period, so that they can make investment decisions in the period before and after incident.

scholarly journals Application of Genetic Algorithm and Personal Informatics in Stock Market

2018 ◽  
Vol 2 (2) ◽  
pp. 68 ◽  
Author(s):  
Khulood Albeladi ◽  
Salha Abdullah
Keyword(s):  
Genetic Algorithms ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Stock Index ◽  
Target Market ◽  
Technical Data ◽  
Personal Informatics ◽  
Informatics System ◽  
Input Variables

The financial market is extremely attractive since it moves trillion dollars per year. Many investors have been exploring ways to predict future prices by using different types of algorithms that use fundamental analysis and technical analysis. Many professional speculators or amateurs had been analysing the price movement of some financial assets using these algorithms. The use of genetic algorithms, neural networks, genetic programming combined with these tools in an attempt to find a profitable solution is very common. This study presents a prototype that utilizes genetic algorithms (GAs) and personal informatics system (PI) for short-term stock index forecast. The prototype works according to the following steps. Firstly, a collection of input variables is defined through technical data analysis. Secondly, GA is applied to determine an optimal set of input variables for a one-day forecast.  The data is gathered from the Saudi Stock Exchange as being the target market. Thirdly, PI is utilised to create a smart environment, which enables visualisation of stock prices. The outcome indicates that this approach of forecasting the stock price is positive. The highest accuracy obtained is 64.67% and the lowest one is 48.06%.

scholarly journals LQ45 Stock Index Prediction using k-Nearest Neighbors Regression

2019 ◽  
Vol 8 (3) ◽  
pp. 2388-2391 ◽  
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Numerical Data ◽  
Nearest Neighbors ◽  
Stock Index ◽  
K Nearest Neighbors ◽  
Stock Price Prediction ◽  
The Capital Market

The capital market is an organized financial system consisting of commercial banks, intermediary institutions in the financial sector and all outstanding securities. One of the benefits of the capital market is creating opportunities for the community to participate in economic activities, especially in investing. In daily stock trading activities, stock prices tend to have fluctuated. Therefore, stock price prediction is needed to help investors make decisions when they want to buy or sell their shares. One asset for investment is shares. One of the stock price indices that attracts many investors is the LQ45 stock index on the Indonesian stock exchange. One of the algorithms that can be used to predict is the k-Nearest Neighbors (kNN) algorithm. In the previous study, kNN had a higher accuracy than the moving average method of 14.7%. This study uses kNN regression method because it predicts numerical data. The results of the research in making the LQ45 stock index prediction application have been successfully built. The highest accuracy achieved reaches 91.81% by WSKT share.

Estimating Spillover Effect and Leverage Effect Using EGARCH-ARMA Approach in Mongolian Stock Exchange

Jurnal METRIS ◽  
2019 ◽  
Vol 20 (2) ◽  
pp. 71-76
Author(s):  
Cheng-Wen Lee ◽  
Dolgion Gankhuyag
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Time Frame ◽  
Stock Index ◽  
Leverage Effect ◽  
Financial Instruments ◽  
Stock Volatility ◽  
Market Index

This study checked the spillover effect and leverage effect from 2 January 2012 to 27 December 2017 in the Mongolian Stock Index MSE20 time frame. We found spillover effect on individual stock prices from the market index, but our analysis did not support individual stock has a spillover effect on stock index. In terms of volatility, only market and stock volatility have a bilateral spillover effect. Stock index in particular has a much stronger influence on stock price. Our research did not support previous studies for the leverage effect of the EGARCH-ARMA method, suggesting negative asymmetric influence of volatility such that two financial instruments overlap in their value.

scholarly journals The Effects of Earnings Per Share and Firm Size to Stock Price LQ45 Company Listed in Indonesian Securities

2018 ◽  
Vol 7 (4.9) ◽  
pp. 247
Author(s):  
Arma Yuliza
Keyword(s):  
Regression Analysis ◽  
Firm Size ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Stock Index ◽  
Earnings Per Share ◽  
The Relationship

This study was conducted by the firm that included the stock index of IDX (Indonesian stock exchange) consist of the 45 best stocks (LQ45 index companies) that are listed on the Indonesian Securities. This study aims to assess the effect of earnings per share and the firm size on stock prices. The purpose of this study is also to prove that the size of the firm can moderate the relationship between earnings per share and stock prices. By conducting a regression analysis, this study gives evidence that earnings per share and firm size have a significant effect on stock prices. The size of the firm is also able to moderate the relationship between earnings per share and stock prices. The results of this study gave evidence that profit and the size of the company can provide important information for investors in making decisions. 

scholarly journals Stock Price Synchronicity and Current and Potential Credit Ratings

2019 ◽  
Vol 11 (10) ◽  
pp. 1
Author(s):  
Bruno Figlioli ◽  
Rafael Moreira Antônio ◽  
Fabiano Guasti Lima
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Credit Rating ◽  
Stock Exchange ◽  
Credit Ratings ◽  
Relevant Information ◽  
General Information ◽  
Specific Information ◽  
Stock Price Synchronicity ◽  
Risk Levels

This study examines whether the stock prices reflet the relevant information on the companies´current and potential credit ratings. This investigation was carried out from the construct of stock price synchronicity, that is, the more the stock prices reflect the specific information of a certain company, the less the synchronicity of these prices in relation to the market general information tends to be. It would imply that the stock prices tend to be more informative on the companies´potential in generating future economic benefit and on their risk levels. For carrying out this study, information on the companies which have their shares listed at the Brazilian Stock Exchange (Brazil, Stock Exchange and Over-the-counter – B3) from 2010 to 2015 were analyzed. The results obtained point that the stock prices not only embody information on the alterations of the companies´s current credit ratings regarding the upgrade, but also reflect, with certain antecipation, the potential credit ratings. Nevertheless, the results indicate that not every credit rating class is associated with relevant information for the capital market.

Forecasting of Stock Price Using Autoregressive Integrated Moving Average Model

2019 ◽  
Vol 16 (8) ◽  
pp. 3519-3524
Author(s):  
Loh Chi Jiang ◽  
Preethi Subramanian
Keyword(s):  
New York ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Stock Exchange ◽  
Moving Average ◽  
Arima Model ◽  
Stock Index ◽  
Series Data ◽  
Autoregressive Integrated Moving Average

Finance sector is highly volatile where the stock prices fluctuate rapidly and it is usually challenging to forecast. The unstable conditions and rapid changes can drastically modify the monetary value of an organization or an individual. Hence, the prediction of stock prices continues to remain as one of the sizzling and vital topics in the applications of data mining in the finance sector. This forecasting is significant as it has the potential to reduce the losses that happen mainly due to erroneous intuitions and blind investment. Moreover, the prediction of stock prices endure to increase in complexity with accumulation of more and more historical data. This paper focuses on American Stock Market (New York Stock Exchange and NASDAQ Stock Exchange). Taking into account the complexity of the prediction, this research proposes Autoregressive Integrated Moving Average (ARIMA) model for estimating the value of future stock prices. ARIMA demonstrated better results for prediction as it can handle the time series data very well which is suitable for forecasting the future stock index.

Pengaruh Kualitas Auditor, Leverage, Harga Saham, Inflasi, Capital Expenditure Terhadap Manajemen Laba Pada Perusahaan Manufaktur yang Terdaftardi BEI

2020 ◽  
Vol 1 (1) ◽  
pp. 74-94
Author(s):  
Annisa Silfiana ◽  
Diana Dwi Astuti ◽  
Wiwik Fitria Ningsih
Keyword(s):  
Earnings Management ◽  
Stock Prices ◽  
Stock Price ◽  
Audit Quality ◽  
Capital Expenditure ◽  
Stock Exchange ◽  
Well Being ◽  
Discretionary Accruals ◽  
Manufacturing Companies ◽  
Price Inflation

This study aims to determine the effect of Audit Quality, Leverage, Stock Prices, Inflation, Capital Expenditure, on earnings management as measured by discretionary accruals. In agency theory, agency problems arise because of the opportunistic behavior of the agent, namely the behavior of management to maximize their own well-being that is contrary to the principal's interests. Managers have the urge to choose and implement accounting methods that can show good performance to get bonuses and principals, the choice of methods deliberately chosen by management is known as earnings management.This type of research is an empirical study. The study was conducted on cigarette manufacturing sub-sector manufacturing companies listed on the Indonesia Stock Exchange in 2014-2018. Data obtained through documentation, by collecting annual report data and company financial reports on the Indonesia Stock Ecchange (IDX) web. Data regarding discretionary accruals to measure earnings management, dummy to measure auditor quality, debt equity ratio to measure leverage, earnings per share to measure stock prices, inflation at certain periods to measure inflation, capex ratio to measure capital expenditure and tested using regression tests linear regression with the help of SPSS analysis.The results of this study indicate that audit quality and leverage significantly influence earnings management while the other three variables are stock price, inflation, capital expendiure, and no effect on earnings management.

scholarly journals Rogalsky Effect pada Bursa Efek Indonesia Tahun 2013–2017 (Studi Kasus Indeks Saham Bisnis-27)

2019 ◽  
Vol 4 (2) ◽  
pp. 146
Author(s):  
Muhammad Yusril Laksana Amrullah ◽  
Khairunnisa Khairunnisa
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Research Data ◽  
Stock Index ◽  
Distributed Data ◽  
Market Anomalies ◽  
Smirnov Test ◽  
The Capital Market

Market anomalies described the price of shares outstanding in the market show that performance in contravention of the concept of the capital market efficient in other words the stock price does not reflect all the information is in the capital market efficient. The purpose of this research is to see if is going on the phenomenon of market anomalies seasonal in nature namely rogalsky effect in the index bisnis-27 indonesia stock exchange a period of 2013 - 2017. A method of testing using Kolmogrov-Smirnov test to see normally distributed data, Independent Sample T-Test to hypothesis. The research data the stock price is secondary. Testing of statictic using SPSS 25 version software. The result of this research suggests that not happened Rogalsly Effect on stock index bisnis-27 period 2013 - 2017. The implications of this research indicates that appear new phenomenon but rogalsky effect that occurs on Wednesday.The results that not found Rogalsky Effect, investors can buy stock prices than on Wednesday for a cheap price and sell back in the Wednesday with higher prices especially for January to get maximum return.

scholarly journals Applications of Parameterized Nonlinear Ordinary Differential Equations and Dynamic Systems: An Example of the Taiwan Stock Index

2018 ◽  
Vol 2018 ◽  
pp. 1-11
Author(s):  
Meng-Rong Li ◽  
Tsung-Jui Chiang-Lin ◽  
Yong-Shiuan Lee
Keyword(s):  
Dynamic Systems ◽  
Stock Prices ◽  
Dynamic Models ◽  
Stock Exchange ◽  
Stock Index ◽  
Logistic Growth ◽  
Bear Market ◽  
Taiwan Stock Exchange ◽  
The Mean ◽  
Future Work

Considering the phenomenon of the mean reversion and the different speeds of stock prices in the bull market and in the bear market, we propose four dynamic models each of which is represented by a parameterized ordinary differential equation in this study. Based on existing studies, the models are in the form of either the logistic growth or the law of Newton’s cooling. We solve the models by dynamic integration and apply them to the daily closing prices of the Taiwan stock index, Taiwan Stock Exchange Capitalization Weighted Stock Index. The empirical study shows that some of the models fit the prices well and the forecasting ability of the best model is acceptable even though the martingale forecasts the prices slightly better. To increase the forecasting ability and to broaden the scope of applications of the dynamic models, we will model the coefficients of the dynamic models in the future. Applying the models to the market without the price limit is also our future work.

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