Absence of the weekend effect and industry-style portfolios

2019 ◽  
Vol 12 (4) ◽  
pp. 463-475
Author(s):  
Selma Izadi ◽  
Abdullah Noman
Keyword(s):  
New York ◽  
Stock Market ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Structural Break ◽  
Weekend Effect ◽  
Content Type ◽  
Market Portfolio ◽  
The Us ◽  
Using Data

Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

scholarly journals Impact of gold and oil prices on the stock market in Pakistan

2020 ◽  
Vol 25 (50) ◽  
pp. 279-294
Author(s):  
Aiza Shabbir ◽  
Shazia Kousar ◽  
Syeda Azra Batool
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Structural Break ◽  
Oil Prices ◽  
Current Data ◽  
Small Sample ◽  
Data Set ◽  
Content Type ◽  
The Impact

Purpose The purpose of the study is to find out the impact of gold and oil prices on the stock market. Design/methodology/approach This study uses the data on gold prices, stock exchange and oil prices for the period 1991–2016. This study applied descriptive statistics, augmented Dickey–Fuller test, correlation and autoregressive distributed lag test. Findings The data analysis results showed that gold and oil prices have a significant impact on the stock market. Research limitations/implications Following empirical evidence of this study, the authors recommend that investors should invest in gold because the main reason is that hike in inflation reduces the real value of money, and people seek to invest in alternative investment avenues like gold to preserve the value of their assets and earn additional returns. This suggests that investment in gold can be used as a tool to decline inflation pressure to a sustainable level. This study was restricted to use small sample data owing to the availability of data from 1991 to 2017 and could not use structural break unit root tests with two structural break and structural break cointegration approach, as these tests require high-frequency data set. Originality/value This study provides information to the investors who want to get the benefit of diversification by investing in gold, oil and stock market. In the current era, gold prices and oil prices are fluctuating day by day, and investors think that stock returns may or may not be affected by these fluctuations. This study is unique because it focusses on current issues and takes the current data in this research to help investment institutions or portfolio managers.

scholarly journals Time Varying Volatility in the Indian Stock Market

2004 ◽  
Vol 29 (4) ◽  
pp. 25-42 ◽  
Author(s):  
Harvinder Kaur
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Weekend Effect ◽  
Market Volatility ◽  
Time Varying ◽  
Stock Market Volatility ◽  
The Us ◽  
Forecast Models ◽  
Indian Stock Market ◽  
Volatility Forecast

This paper investigates the nature and characteristics of stock market volatility in India. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. Various volatility estimators and diagnostic tests indicate volatility clustering, i.e., shocks to the volatility process persist and the response to news arrival is asymmetrical, meaning that the impact of good and bad news is not the same. Suitable volatility forecast models are used for Sensex and Nifty returns to show that: The ‘day-of-the-week effect’ or the ‘weekend effect’ and the ‘January effect’ are not present while the return and volatility do show intra-week and intra-year seasonality. The return and volatility on various weekdays have somewhat changed after the introduction of rolling settlements in December 1999. There is mixed evidence of return and volatility spillover between the US and Indian markets. The empirical findings would be useful to investors, stock exchange administrators and policy makers as these provide evidence of time varying nature of stock market volatility in India. Specifically, they need to consider the following findings of the study: For both the indices, among the months, February exhibits highest volatility and corresponding highest return. The month of March also exhibits significantly higher volatility but the magnitude is lesser as compared to February. This implies that, during these two months, the conditional volatility tends to increase. This phenomenon could be attributed to probably the most significant economic event of the year, viz., presentation of the Union Budget. The investors, therefore, should keep away from the market during March after having booked profits in February itself. The surveillance regime at the stock exchanges around the Budget should be stricter to keep excessive volatility under check. Similarly, the month of December gives high positive returns without high volatility and, therefore, offers good opportunity to the investors to make safe returns on Sensex and Nifty. On the contrary, in the month of September, i.e., the time when the third quarter corporate results are announced, volatility is higher but corresponding returns are lower. The situation is, therefore, not conducive to investors. The ‘weekend effect’ or the ‘Monday effect’ is not present. For other weekdays, the ‘higher (lower) the risk, higher (lower) the return’ dictum does not hold consistently and Wednesday provides higher returns with lower volatility making it a good day to invest. The domestic investors and the stock exchange administrators do not need to lose sleep over gyrations in the major US markets since there is no conclusive evidence of consistent relationship between the US and the domestic markets. The volatility forecast models presented for Sensex and Nifty can be used to forecast future volatility of these indices.

scholarly journals Company Size Effect in the Stock Market of Thailand

2017 ◽  
Vol 8 (3) ◽  
pp. 105 ◽  
Author(s):  
Gerardo “Gerry” Alfonso Perez
Keyword(s):  
New York ◽  
Sri Lanka ◽  
Stock Market ◽  
Size Effect ◽  
Emerging Markets ◽  
Stock Exchange ◽  
Emerging Market ◽  
Listed Companies ◽  
Stock Performance ◽  
The Us

The outperformance of small capitalization companies over large capitalization companies is a well-known occurrence in developed markets (Gorn, 1962), (Jacobs, 1989) with (Banz, 1981) numerically showing that this effect on stocks in the New York Stock Exchange. This phenomenon is based on the idea that some company specific characteristics can have a statistically significant impact on stock performance. The existence, or otherwise of this effect in emerging markets has received less attention. Given the very different characteristics of emerging markets compared to mature markets like the US is not immediately evident that the same conclusions can be extrapolated. One of the immediate clear differences between emerging and mature markets is the depth with markets like the US having a large amount of listed companies as well as large average trading volumes. In fact, when this analysis has been repeated in some emerging markets, such as Sri Lanka, the results seem to indicate that there is no statistically appreciable difference between the return of small and large capitalization stocks (Macn, 2013). It should be noted that in the case of the Sri Lanka case there were only, at the time of the article, 25 listed companies, of which only 12 were included in the analysis. The specific case of the stock market of Thailand is analyzed in this paper. The results of this article seem to point towards the existence of a size effect, affecting stock performance, in the Thai stock market. Some articles covering emerging market as a whole as pointed towards the opposite results. Given the substantial differences among emerging markets countries it is perhaps a better approach to follow an individualized analysis, country per country, rather than treat it as a homogenous group.

scholarly journals Estimando Betas de Mercado com Quebras Estruturais

2018 ◽  
Vol 15 (2) ◽  
pp. 251
Author(s):  
Fernando Nascimento Oliveira ◽  
Fernando Cesar dos Santos Cunha
Keyword(s):  
New York ◽  
North American ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Structural Break ◽  
New York Stock Exchange ◽  
Economic Sectors ◽  
York Stock Exchange ◽  
Market Beta

This study verifies the contribution of a structural break (if any) to CAPM models. Therefore, we used all the assets listed in Bovespa and New York Stock Exchange in monthly frequencies. Three famous structural breaks tests were used. The results show that structural breaks are relevant in most models for most sectors of the economy. Then, the identified structural breaks are inserted in the models and the betas of CAPM models were re-estimated. The Betas that were statistically significant were chosen and their results compared to Market Beta for each sector of the economy. The results show that the estimated Betas resemble Market Beta in more than 78% of the economic sectors of the Brazilian and North-American markets.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

scholarly journals Measuring Historical Urban Neighborhood Sustainability: America’s Grand Avenues

2021 ◽  
Vol 13 (3) ◽  
pp. 1358
Author(s):  
Michael R. Greenberg
Keyword(s):  
New York ◽  
New York City ◽  
Kansas City ◽  
White Supremacy ◽  
Urban Neighborhood ◽  
Industrial Cities ◽  
The Us ◽  
Education Medical ◽  
Using Data ◽  
Us Cities

From 1850 through approximately 1920, wealthy entrepreneurs and elected officials created “grand avenues” lined by mansions in New York City, Chicago, Detroit, and other developing US cities. This paper examines the birthplaces of grand avenues to determine whether they have remained sustainable as magnets for healthy and wealthy people. Using data from the US EPA’s EJSCREEN system and the CDC’s 500 cities study across 11 cities, the research finds that almost every place where a grand avenue began has healthier and wealthier people than their host cities. Ward Parkway in Kansas City and New York’s Fifth Avenue have continued to be grand. Massachusetts Avenue in Washington, D.C., Richmond’s Monument Avenue, St. Charles Avenue in New Orleans, and Los Angeles’s Wilshire Boulevard are national and regional symbols of political power, culture and entertainment, leading to sustainable urban grand avenues, albeit several are challenged by their identification with white supremacy. Among Midwest industrial cities, Chicago’s Prairie Avenue birthplace has been the most successful, whereas the grand avenues of St. Louis, Cleveland, Detroit, and Buffalo have struggled, trying to use higher education, medical care, and entertainment to try to rebirth their once pre-eminent roles in their cities.

scholarly journals Loss aversion, overconfidence of investors and their impact on market performance evidence from the US stock markets

2020 ◽  
Vol 25 (50) ◽  
pp. 451-478
Author(s):  
Ahmed Bouteska ◽  
Boutheina Regaieg
Keyword(s):  
Stock Market ◽  
Economic Performance ◽  
Loss Aversion ◽  
Market Performance ◽  
Ordinary Least Squares ◽  
Company Performance ◽  
Service Firms ◽  
Content Type ◽  
The Us ◽  
The Impact

Purpose The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on market performance was discussed. Design/methodology/approach This study used around 6,777 quarterly observations on the population of US-insured industrial and services companies over the 2006-2016 period. Ordinary least squares (OLS) regression in two panel data models were used to test the hypotheses formulated for the study. Findings It was documented that the loss-aversion bias negatively affects the economic performance of companies and this is achieved for both sectors. In contrast, the findings suggest that overconfidence positively affects market performance of industrial firms but negatively affects market performance in service firms. Further robust evidence was found that overconfidence bias seems to be dominant, and hence, investors may tend to be more overconfident rather than more loss-averse. Originality/value This research can be extended by focusing on the following question: What is the impact of the contradictory (positive and negative) effects of an investor's loss aversion and overconfidence on the US company performance in case of realization of a stock market crisis or stock market crash?

scholarly journals The effect of creative corporate culture and intangibility on the performance of foreign firms traded on the NYSE

2018 ◽  
Vol 15 (4) ◽  
pp. 356-372 ◽  
Author(s):  
Marcia Martins Mendes De Luca ◽  
Paulo Henrique Nobre Parente ◽  
Emanoel Mamede Sousa Silva ◽  
Ravena Rodrigues Sousa
Keyword(s):  
New York ◽  
Least Squares ◽  
Corporate Culture ◽  
Corporate Performance ◽  
Stock Exchange ◽  
Generalized Least Squares ◽  
Ordinary Least Squares ◽  
Foreign Firms ◽  
Content Type ◽  
Negative Effect

Purpose Following the tenets of resource-based view, the present study aims to investigate the effect of creative corporate culture according to the competing values framework model at the level of corporate intangibility and its respective repercussions on performance. Design/methodology/approach The sample included 117 non-USA foreign firms traded on the New York Stock Exchange (NYSE), which issued annual financial reports between 2009 and 2014 using the 20-F form. To meet the study objectives, in addition to the descriptive and comparative analyses, the authors performed regression analyses with panel data, estimating generalized least-squares, two-stage least-squares and ordinary least-squares. Findings Creative culture had a negative effect on the level of intangibility and corporate performance, while the level of intangibility did not appear to influence corporate performance. When combined, creative culture and intangibility had a potentially negative effect on corporate results. In conclusion, creative corporate culture had a negative effect on performance, even in firms with higher levels of intangibility, characterized by elements like experimentation and innovation. Originality/value Although the study hypotheses were eventually rejected, the analyses are relevant to both the academic setting and the market because of the organizational and institutional aspects evaluated, especially in relation to intangibility and creative culture and in view of the unique cross-cultural approach adopted. Within the corporate setting, the study provides a spectrum of stakeholders with tools to identify the profile of foreign firms traded on the NYSE.

Exploring the inflationary effect of oil price in the US

2019 ◽  
Vol 13 (1) ◽  
pp. 60-76 ◽  
Author(s):  
Amine Lahiani
Keyword(s):  
Growth Rate ◽  
Structural Breaks ◽  
Oil Prices ◽  
Oil Price ◽  
Inflation Expectations ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
The Us ◽  
The Relationship

PurposeThe purpose of this paper is to explore the effect of oil price shocks on the US Consumer Price Index over the monthly period from 1876:01 to 2014:04.Design/methodology/approachThe author uses the Bai and Perron (2003) structural break test to split the data sample into sub-periods delimited by the computed break dates. Afterwards, the author uses the quantile treatment effects over the full sample and then, by including sub-periods dummies to accommodate the selected structural breaks that drive the relationship between inflation and oil price growth.FindingsThe findings include a decreased transmission effect of oil price changes on inflation in recent years; a varied elasticity of inflation to the growth rate of oil prices across the distribution; and, finally, evidence of asymmetry in the relationship between the growth rate of oil prices and inflation, with a higher transmission mechanism for decreasing rather than increasing oil prices.Practical implicationsPolicymakers should remain alert to monitoring potential inflation increases and should take precautionary measures to anchor inflation expectations, because inflation reacts differently to positive and negative oil price shocks. Moreover, authorities should consider the asymmetric reaction of inflation to oil price shocks to adopt an appropriate monetary policy strategy to achieve the price stability target.Originality/valueThe paper used a quantile regression model with structural breaks, which has not yet been used in the literature.

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

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