Intraday Volatility Smiles, Day of the Week Effect, and Risk Management at Borsa Istanbul Stock Exchange

2016 ◽  
pp. 505-542
Author(s):  
A. Can Inci
Keyword(s):  
Risk Management ◽  
Stock Exchange ◽  
Istanbul Stock Exchange ◽  
Day Of The Week ◽  
Intraday Volatility

scholarly journals Examining The Day Of The Week Effect In Istanbul Stock Exchange (ISE)

2011 ◽  
Vol 8 (11) ◽  
Author(s):  
Murat Cinko ◽  
Emin Avci
Keyword(s):  
Stock Exchange ◽  
Market Capitalization ◽  
Portfolio Returns ◽  
Istanbul Stock Exchange ◽  
Day Of The Week

The existence of day of the week effect for Istanbul Stock Exchange (ISE) was analyzed on the basis of ISE-100 index returns, the returns of all stocks traded in ISE and market capitalization based portfolio returns during 1995-2008. In line with the previous findings, the results of the study presented that the ISE-100 index, ISE traded stocks and market capitalization based portfolios had significant negative Monday and significant positive Thursday and Friday returns.

Effect of Enterprise Risk Management on Firm Value: Empirical Evidence from Non-Financial Firms in Pakistan

GIS Business ◽  
1970 ◽  
Vol 13 (2) ◽  
pp. 15-28
Author(s):  
Nouman Nasir
Keyword(s):  
Risk Management ◽  
Firm Value ◽  
Positive Impact ◽  
Stock Exchange ◽  
Enterprise Risk Management ◽  
Least Square ◽  
Return On Equity ◽  
Financial Firms ◽  
Enterprise Risk ◽  
Ordinary Least Square Regression

This research examines the effect of enterprise risk management on firm value in Pakistan. Further, this study empirically examines company characteristics that establish the execution of an enterprise risk management system. Using a sample of final dataset of 83 non-financial firms located in Pakistan. The sample included non-financial firms from the year 1999 to 2015 and so up to seventeen observation years per company. As in context of Pakistan, most of the organizations are already implement an ERM programs and establish specialized ERM departments because the ERM is now a global term and has become increasingly relevant because of the growing difficulty of risk and an additional development of regulatory frame works. For the empirical evidences, data collected from non-financial firms listed at the Pakistan Stock Exchange (PSX). Results of logistic regression shows that Capital Opacity, Profitability, Financial Leverage, Firm Size and Slack have positive impact on the implementation of an ERM system but Industrial diversification, Industry and Return on Equity are negatively related to an ERM engagement. The results of ordinary least square regression finds positive relationship between use of an ERM and firm value.

PENGUNGKAPAN MANAJEMEN RISIKO DITINJAU DARI UKURAN PERUSAHAAN, KEPEMILIKAN MANAJERIAL, PROFITABILITAS DAN LEVERAGE (Studi pada Perusahaan Manufaktur yang Tercatat di BEI Tahun 2016-2018)

2020 ◽  
Vol 4 (02) ◽  
Author(s):  
Mohammad Hendro Leksmono
Keyword(s):  
Risk Management ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Managerial Ownership ◽  
Company Size ◽  
Manufacturing Companies ◽  
Analysis Technique ◽  
Research Population ◽  
Quantitative Descriptive ◽  
Management Disclosures

Research purposes were determined the effect of company size, management ownership, profitability, and leverage on risk management disclosures in manufacturing companies listed on the Indonesian Stock Exchange in 2016-2018. The research type is a quantitative descriptive. The research population is manufacturing companies listed on the Indonesian Stock Exchange in 2016-2018. Determination of the sample used purposive sampling technique. The data collection method used the documentation method. The data analysis technique used statistical analysis, namely multiple linear test, F test, and t test. The results how that 1) company size has a positive and significant effect on the risk management disclosure of manufacturing companies listed on the Indonesia Stock Exchange in 2016-2018; 2) managerial ownership has no significant effect on the risk management disclosure of manufacturing companies listed on the Indonesia Stock Exchange 2016-2018; 3) profitability has no significant effect on the risk management disclosure of manufacturing companies listed on the Indonesia Stock Exchange in 2016-2018; 4) Laverage has a significant effect on the risk management disclosure of manufacturing companies listed on the Indonesia Stock Exchange 2016-2018; and 5) Company size, managerial ownership, profitability, and leverage simultaneously have a significant effect on the risk management disclosure of manufacturing companies listed on the Indonesia Stock Exchange in 2016-2018. Keywords: company size, managerial ownership, profitability, leverage, risk management disclosure.

Istanbul Stock Exchange

1994 ◽  
Vol 30 (3) ◽  
pp. 133-137
Author(s):  
Bahsayis Temir
Keyword(s):  
Stock Exchange ◽  
Istanbul Stock Exchange

Day-of-the-week effect: A sectoral analysis of Pakistan stock exchange

2021 ◽  
pp. 2141006
Author(s):  
Farah Naz ◽  
Kanwal Zahra ◽  
Muhammad Ahmad ◽  
Salman Riaz
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Investment Strategy ◽  
Ordinary Least Squares ◽  
Financial Decision ◽  
Day Of The Week ◽  
Timing Strategies ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Sector Returns

This study scrutinizes the day-of-the-week effect anomaly in the context of market and industry analysis of the Pakistan stock exchange. For this purpose, daily closing prices of KSE-100, KSE-30, and KSE-All Share Index from January 01, 2009 to December 31, 2018, have been used. Similarly, sector returns are also calculated, taking average log-returns of selected sample firms. To analyze the data ordinary least squares (OLS) regression, general generalized autoregressive conditional heteroscedasticity (GARCH) (1,1) as well as asymmetric threshold GARCH (TGARCH) and exponential GARCH (EGARCH) models have been employed to model the leverage effect of good and bad news on market volatility. The results indicate the evidence of daily seasonality, with significant Monday and Wednesday effect in PSX indices returns as well as in most of the industry returns. Monday is found to be the day with the highest average returns with the highest return volatility. The findings of the study reveal that there exists a weak form of inefficiency in the Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. In terms of return predictability, this study is essential for international and domestic investors and it may affect their investment strategy and return management. The results might be interesting to the financial experts as they ponder the available conditions in the capital market for financial decision-making. This study is one of its first kind that includes both indices as well as industry returns for analysis of manufacturing industries in Pakistan stock exchange.

Sign in / Sign up

Export Citation Format

Share Document