scholarly journals The short-term mean reversion of stock price and the change in trading volume

2021 ◽  
Vol 29 (3) ◽  
pp. 190-214
Author(s):  
Woosung Jung ◽  
Mhin Kang
Keyword(s):  
Term Structure ◽  
Stock Price ◽  
Trading Volume ◽  
Price Index ◽  
Mean Reversion ◽  
Ratio Test ◽  
Short Term ◽  
Contemporaneous Correlation ◽  
The Mean ◽  
Response To Change

This study aims to analyze the effect of change in trading volume on the short-term mean reversion of the stock price in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion pattern after 2000, but not before. This study also confirms that the mean reversion property is significantly reduced if the effect of change in trading volume is excluded from the return of a stock with a significant contemporaneous correlation between return and change in trading volume in the post-2000 market. The results appear in both the Korea Composite Stock Price Index and Korea Securities Dealers Automated Quotation. This phenomenon stems from the significance of the return response to change in trading volume per se and not the sign of the response. Additionally, the findings imply that the trading volume has a term structure because of the mean reversion of the trading volume and the return also has a partial term structure because of the contemporaneous correlation between return and change in trading volume. This conclusion suggests that considering the short-term impact of change in trading volume enables a more efficient observation of the market and avoidance of asset misallocation.

scholarly journals The Effect of Macroeconomic Variables On the Saudi Stock Market

2019 ◽  
Vol 7 (12) ◽  
pp. 126-152
Author(s):  
Amani Mohammed Aldukhail
Keyword(s):  
Stock Market ◽  
Performance Indicators ◽  
Stock Price ◽  
Price Index ◽  
Inflation Rate ◽  
Market Value ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Time Deposits

This study aimed at exploring the effect of macroeconomic variables on the activity of the Saudi stock market for the period 1997-2017. Macroeconomic variables were: GDP, interest rate on time deposits, inflation rate. The variables of the Saudi stock market activity were: stock price index, market value of shares, value of traded shares. To achieve this objective, the researcher used the ARDL model for the self-regression of the lagged distributed time gaps. The most important results of the research are: The effect of macroeconomic variables on the performance indicators in the Saudi stock market is not important in the short term and is statistically significant in the long term according to the proposed models, so investors in this market can rely on macroeconomic variables in Predict the movement of the stock market and predict long-term profits and losses.

IMMEDIATE AND LONGER-TERM STOCK PRICE DYNAMICS FOLLOWING LARGE STOCK PRICE CHANGES

2020 ◽  
Vol 15 (01) ◽  
pp. 2050002
Author(s):  
ANDREY KUDRYAVTSEV
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Market Model ◽  
Conditional Volatility ◽  
Short Term ◽  
Price Increases ◽  
Cumulative Abnormal Returns ◽  
Price Reversal

The study explores the correlation between the immediate and the longer-term stock returns following large daily price moves. Following the previous literature, which documents a tendency for price reversals after initial large price moves, I suggest that if a large stock price move is immediately followed by a short-term price drift, then it may indicate that the company-specific shock is more completely incorporated in the stock price, significantly increasing the probability of subsequent longer-term price reversal. Analyzing a vast sample of large stock price moves, I document that negative (positive) longer-term stock price reversals after large price increases (decreases) are significantly more pronounced if the latter are immediately followed by relatively high (low) short-term cumulative abnormal returns, that is, by short-term price drifts. The effect remains significant after accounting for additional company-specific (size, market model beta, historical, or conditional volatility) and event-specific (stock’s return and trading volume on the event day) factors.

scholarly journals The Market Reaction Around Ex-Dates of Stock Splits Before and After Decimalization

2005 ◽  
Vol 08 (02) ◽  
pp. 201-216 ◽  
Author(s):  
Robin K. Chou ◽  
Wan-Chen Lee ◽  
Sheng-Syan Chen
Keyword(s):  
New York ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Exchange ◽  
New York Stock Exchange ◽  
Short Term ◽  
Tick Size ◽  
York Stock Exchange ◽  
Before And After ◽  
Abnormal Trading Volume

This paper examines the stock price behavior around the ex-split dates both before and after the decimalization on the New York Stock Exchange (NYSE). We find that the abnormal ex-split day returns decrease and the abnormal trading volume increases in the 1/16th and decimal pricing eras, relative to the 1/8th pricing era. These findings are consistent with the microstructure-based explanations for the ex-day price movements. Our study also supports the hypothesis that short-term traders perform arbitrage activities during the ex-split dates when transaction costs become lower after the tick size is reduced.

scholarly journals Micro and Macroeconomic Determinants of Indonesian Government’s Bonds Liquidities in the Secondary Market (2012-2016)

2019 ◽  
Vol 8 (2) ◽  
pp. 113
Author(s):  
Yogie Kristianto Soebagio ◽  
Akhmad Solikin
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Trading Volume ◽  
Price Index ◽  
The Philippines ◽  
Bond Market ◽  
Secondary Market ◽  
Government Bonds ◽  
Lending Rate ◽  
Stock Price Index

Despite having registered the trade volume since 2005, Indonesia's bond market trading and liquidity level in the secondary market are still the lowest in Asia. Neighboring countries like the Philippines and Singapore started registering trading volume records in the same year as Indonesia has exceeded the liquidity level of the Indonesian market. This raises the question of what makes the rate of development in Indonesia's bond market not as fast as other countries in Asia. Therefore, this article aims to analyze the determinants of liquidity in the secondary market of Indonesian bonds, especially government bonds. In the case of Indonesia, research on government liquidity is still limited. Various studies have been conducted to determine the factors affecting liquidity and also the method to calculate them but mostly focus on private bonds. This research uses the level of liquidity of bonds based on turnover ratio as a dependent variable and variable of maturity rate, coupon rate, exchange rate, stock price index, and lending rate as independent variables. The method used is multiple linear regression. The results show that the liquidity of 10-years benchmark government bonds in Indonesia is significantly influenced by the coupon rate and lending rate positively but influenced by the exchange rate and stock price index negatively. These results indicate that liquidity is influenced by macroeconomic variables. Thus, the Indonesian government should monitor macroeconomic indicators closely and change policy related to its bonds accordingly.

scholarly journals Analisis Efek Ramadhan Terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan Yang Masuk dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia Periode 2014-2018

AL-TIJARY ◽  
2019 ◽  
Vol 5 (1) ◽  
pp. 37-47
Author(s):  
Ahmad Faih ◽  
Rohmatun Nafiah
Keyword(s):  
Significant Influence ◽  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Price Index ◽  
Stock Exchange ◽  
Secondary Data ◽  
T Test ◽  
Volume Activity ◽  
Stock Price Index

This study is a study of events aimed at knowing the effects of Ramadhan, to companies listed on the Jakarta Islamic Index on the Indonesia Stock Exchange period 2014-2018, using abnormal return and trading volume activity indicators. This study uses secondary data in the form of daily stock price index for the period 2014-2018 , Composite Stock Price Index (IHSG) and trading volume, with the population of companies entering the Jakarta Islamic Index on The Indonesian Stock Exchange , The statistical test used to test the hypothesis is the normality test, and the paired sample t-test. Result of T-test on Abnormal Return between year 2014-2018 know that there is no significant influence between Ramadhan month to abnormal return from year 2014 until 2018. While for T-test on trading volume activity between year 2014 until 2018 know that only in 2014, 2015, and 2017, 2018 there are significant influence which means the market responds to the event. The result of the test of Ramadhan event has the information even though it does not happen in every year of the research period, this is because Ramadhan is a routine event occuring in Indonesia so investors have been able to predict how the stock movemonts in Indonesia Stock Exchange.

scholarly journals PENGARUH VARIABEL MAKROEKONOMI TERHADAP INDEKS HARGA SAHAM SYARIAH (STUDI KASUS DI INDONESIA DAN MALAYSIA)

2018 ◽  
Vol 9 (2) ◽  
Author(s):  
DESY TRISHARDIYANTI ADININGTYAS
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Price ◽  
Price Index ◽  
Gold Price ◽  
Oil Price ◽  
Crude Oil Price ◽  
Short Term ◽  
Correction Model

Abstract. The Effect of Macroeconomic Variables on Sharia Stock Price Index (Case Study in Indonesia and Malaysia). The purpose of this research is to know the effect of macroeconomic variables (inflation, exchange rate, world crude oil price and world gold price) on sharia stock price index in Indonesia and Malaysia. By using Error Correction Model as the method, this research utilizes time series monthly data from March 2015 until February 2018. The finding shows that in long-term, inflation in Indonesia, exchange rate of rupiah, world crude oil price and world gold price had significant effect on Jakarta Islamic Index. In short-term, inflation in Indonesia, world crude oil price, world gold price had not significant effect on Jakarta Islamic Index and exchange rate of rupiah had significant effect on Jakarta Islamic Index. Meanwhile, inflation in Malaysia, world crude oil price, world gold price had not significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term. And exchange rate of ringgit had significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term.   Abstrak. Pengaruh Variabel Makroekonomi Terhadap Indeks Harga Saham Syariah (Studi Kasus di Indonesia dan Malaysia). Tujuan dari penelitian ini adalah untuk mengetahui pengaruh variabel makroekonomi (inflasi, kurs, harga minyak mentah dunia dan harga emas dunia) terhadap indeks harga saham syariah di Indonesia dan Malaysia. Penelitian ini menggunakan metode Error Correction Model, dengan data time series bulanan dari Maret 2015 sampai dengan Februari 2018. Hasil penelitian ini menunjukan bahwa pada jangka panjang, inflasi Indonesia, kurs rupiah, harga minyak mentah dunia dan harga emas dunia berpengaruh terhadap Jakarta Islamic Index. Pada jangka pendek, inflasi Indonesia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap Jakarta Islamic Index dan kurs rupiah berpengaruh terhadap Jakarta Islamic Index. Sementara itu, inflasi Malaysia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek. Dan kurs ringgit berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek.

Dividend Taxes, Investor Horizon and Idiosyncratic Volatility

2020 ◽  
Author(s):  
Oliver Zhen Li ◽  
Hang Liu ◽  
Chenkai Ni
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Share Price ◽  
Idiosyncratic Volatility ◽  
Individual Investors ◽  
Short Term ◽  
Price Informativeness ◽  
Holding Period ◽  
Lock In ◽  
Dividend Tax

We examine whether dividend tax induced lock-in reduces idiosyncratic volatility. The 2012 Dividend Tax Reform in China tied individual investors' dividend tax to the length of their share holding period, with short-term individual investors entering into higher tax brackets. We find that high dividend firms experience a reduction in idiosyncratic volatility, relative to low dividend firms, after the reform. The effect is more pronounced when high dividend firms have more retail investors and exhibit greater uncertainty. High dividend firms also experience a reduction in stock price crashes. Finally, with reduced trading by individual investors who are likely less informed, earnings announcements of high dividend firms trigger less trading volume during the event window post-reform, but enable more complete price reactions. We conclude that dividend tax induced lock-in, through discouraging short-term individual investors' trading, stabilizes the market and improves share price informativeness.

scholarly journals The Impact of the Covid-19 Pandemic on Stock Investment in the Indonesian Capital Market

2021 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Maulana Majied Sumatrani Saragih ◽  
Sarman Sinaga ◽  
Faisal Faisal ◽  
Rico Nur Ilham ◽  
T Nurhaida
Keyword(s):  
Financial Services ◽  
Stock Price ◽  
Trading Volume ◽  
Price Index ◽  
Stock Exchange ◽  
Volume Data ◽  
Stock Trading ◽  
Stock Investment ◽  
Stock Price Index ◽  
The Impact

The COVID-19 pandemic has hit various sectors, including the stock market where many people are hesitant to invest in stocks. Many industries have been affected by Covid-19, where since March 2020 the Indonesia Stock Exchange Composite Stock Price Index (IHSG) has decreased because many investors sold their shares, but since the third week of May 2020 to early June 2020 has shown an increase indicating stock trading has begun to show improvement. This study aims to analyze which sector stocks are still able to survive during the COVID-19 pandemic, by using stock trading volume data, Composite Stock Price Index (IHSG), weekly and monthly market capitalization values with a sample of 20 stocks - the highest stocks. based on sales volume and transaction value on the Indonesian stock exchange for the period March 2020 to June 2020 obtained from the Financial Services Authority (OJK) weekly report and the Indonesia Stock Exchange (IDX) Monthly Report. The results show that during the COVID-19 pandemic, investors can still get benefits in investing in stocks if every decision made by these investors is supported by careful calculations.

scholarly journals Analysis The Effect of Trading Volume Activity and External Factors to Composite Stock Price Index

2020 ◽  
Vol 4 (3) ◽  
pp. 201-214
Author(s):  
Mega Barokatul Fajri ◽  
Wihandaru Wihandaru ◽  
Adi Lukman Hakim
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Price Index ◽  
Time Series Data ◽  
Stock Exchange ◽  
External Factors ◽  
Series Data ◽  
Volume Activity ◽  
Negative Effect ◽  
Stock Price Index

This research as a purpose to analyze the effect of trading volume activity and external factors such as exchange rates, BI Rate to composite stock price index listed on the Indonesian Stock Exchange. The object of this research is on the Indonesia Stock Exchange and Bank Indonesia. In this study, the data used were time-series data and the sampling method used was purposive sampling. The method of analysis used in this study is multiple regression models. Based on the analysis that has been done, it is known that the trading volume activity and BI Rate has no effect on the composite stock price index, while the exchange rate has a negative effect on the composite stock price index.

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