The Relationship In Time Between Annual Accounting Returns and Annual Stock Market Returns In the Uk

1991 â—½  
Vol 18 (3) â—½  
pp. 305-314 â—½  
Author(s):  
John O'hanlon
Keyword(s):  
Stock Market â—½  
Market Returns â—½  
Stock Market Returns â—½  
The Uk â—½  
The Relationship

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

2011 â—½  
Vol 7 (3) â—½  
Author(s):  
Robert D. Gay, Jr.
Keyword(s):  
Stock Market â—½  
Emerging Economies â—½  
Stock Market Index â—½  
Market Returns â—½  
Stock Market Returns â—½  
Macroeconomic Variables â—½  
Share Prices â—½  
Market Index â—½  
The Relationship â—½  
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.

Revisiting Macroeconomy–Stock Market Relationship During Times of Economic Crisis: A Study of Emerging Markets

2017 â—½  
Vol 13 (1-2) â—½  
pp. 52-69
Author(s):  
Gagan Deep Sharma â—½  
Mrinalini Srivastava â—½  
Mansi Jain
Keyword(s):  
Latin America â—½  
Financial Crisis â—½  
Stock Market â—½  
Emerging Markets â—½  
Economic Crisis â—½  
Global Financial Crisis â—½  
Market Returns â—½  
Stock Market Returns â—½  
Macroeconomic Variables â—½  
The Relationship

This article examines the relationship between six macroeconomic variables and stock market returns of 13 emerging markets from Latin America, Europe, Africa and Asia in the context of global financial crisis of 2008. The findings reveal some commonality in determination and variation of returns with macroeconomic variables from pre-crisis (1st January 2005–31st March 2009) to post-crisis period (1st April 2009–31st March 2016). Further, results show co-integration among most of the macroeconomic variables depicting significant implications for investors and policymakers.

Aggregate congressional trading and stock market returns

2021 â—½  
Vol ahead-of-print (ahead-of-print) â—½  
Author(s):  
Serkan Karadas â—½  
Minh Tam Tammy Schlosky â—½  
Joshua C. Hall
Keyword(s):  
Stock Market â—½  
Industrial Production â—½  
Market Returns â—½  
Stock Market Returns â—½  
Content Type â—½  
Macroeconomic Information â—½  
Corporate Insiders â—½  
The Media â—½  
Congressional Trading â—½  
The Relationship

Purpose What information do members of Congress (politicians) use when they trade stocks? The purpose of this paper is to attempt to answer this question by investigating the relationship between an aggregate measure of trading by members of Congress (aggregate congressional trading) and future stock market returns. Design/methodology/approach The authors follow the empirical framework used in academic work on corporate insiders. In particular, they aggregate 61,998 common stock transactions by politicians over the 2004–2010 period and estimate time series regressions at a monthly frequency with heteroskedasticity and autocorrelation robust t-statistics. Findings The authors find that aggregate congressional trading predicts future stock market returns, suggesting that politicians use economy-wide (i.e. macroeconomic) information in their stock trades. The authors also present evidence that aggregate congressional trading is related to the growth rate of industrial production, suggesting that industrial production serves as a potential channel through which aggregate congressional trading predicts future stock market returns. Originality/value To the best of the authors’ knowledge, this study is the first to document a relationship between aggregate congressional trading and stock market returns. The media and scholarly attention on politicians’ trades have mostly focused on the question of whether politicians have superior information on individual firms. The results from this study suggest that politicians’ informational advantage may go beyond individual firms such that they potentially have superior information on the overall trajectory of the economy as well.

scholarly journals Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

2019 â—½  
Vol 9 (4) â—½  
pp. 1
Author(s):  
Amalendu Bhunia â—½  
Devrim Yaman
Keyword(s):  
Stock Market â—½  
Stock Markets â—½  
Market Volatility â—½  
Future Market â—½  
Market Returns â—½  
Stock Market Returns â—½  
The Us â—½  
The World â—½  
The Impact â—½  
The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

scholarly journals Effects of Daylight Saving Time Changes on Stock Market Volatility: A Reply

2011 â—½  
Vol 109 (3) â—½  
pp. 863-878 â—½  
Author(s):  
Hakan Berument â—½  
Nukhet Dogan
Keyword(s):  
Stock Market â—½  
Stock Market Volatility â—½  
Market Returns â—½  
Stock Market Returns â—½  
Daylight Saving Time â—½  
Daylight Saving â—½  
Stock Market Return â—½  
Decision Making Processes â—½  
Time Changes â—½  
The Relationship

There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empirical evidence suggests that the positive relationship between return and volatility becomes negative on the Mondays following DST changes.

DCC Analysis of the Two Stock Market Returns by a Threshold Model: Empirical Study of the Stock Markets in Japan and Canada

2012 â—½  
Vol 468-471 â—½  
pp. 181-185
Author(s):  
Wann Jyi Horng â—½  
Tien Chung Hu â—½  
Ming Chi Huang
Keyword(s):  
Stock Market â—½  
Empirical Result â—½  
Stock Markets â—½  
Threshold Model â—½  
Conditional Correlation â—½  
Market Returns â—½  
Stock Market Returns â—½  
Asymmetrical Effect â—½  
Relationship Of â—½  
The Relationship

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH (1, 2) model is appropriate in evaluating the relationship of the Japan’s and the Canada’s stock markets. The empirical result also indicates that the Japan and the Canada’s stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.2514, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Japan’s and the Canada’s stock markets have an asymmetrical effect, and the variation risks of the Japan’s and the Canada’s stock market returns also receives the influence of the good and bad news, respectively.

On the relationship between weather and stock market returns

2011 â—½  
Vol 28 (1) â—½  
pp. 5-13 â—½  
Author(s):  
Christos Floros
Keyword(s):  
Stock Market â—½  
Market Returns â—½  
Stock Market Returns â—½  
The Relationship

scholarly journals The effect of ambiguity on the UK stock market: evidence from a new empirical approach

2017 â—½  
Vol 14 (4) â—½  
pp. 133-147
Author(s):  
Run Qing Tan â—½  
Viktor Manahov â—½  
Jacco Thijssen
Keyword(s):  
Stock Market â—½  
Stock Returns â—½  
Stock Prices â—½  
Linear Models â—½  
The Other â—½  
Var Model â—½  
Market Returns â—½  
Stock Market Returns â—½  
Bid Ask Spread â—½  
The Uk

This study developed a new ambiguity measure using the bid-ask spread. The results suggest that the degree of ambiguity has an impact on the daily UK stock market returns, but ambiguity does not cause changes in the returns. This implies that UK stock prices or returns cannot be predicted using variation in the degree of ambiguity through linear models, such as the VAR model, which was used in the study. The two sets of results in the study show that the degree of ambiguity from the previous two days might affect stock market returns. The authors observe that an increase in the degree of ambiguity two days ago is associated with a positive premium required by the investors. On the other hand, the degree of ambiguity tends to be affected by its past five-day values. Thus, the degree of ambiguity seems to persist for five days until investors update their priors. The intuition behind the result is that the degree of ambiguity can affect the returns of the UK stock market and UK stock market returns can in turn have an impact on the degree of ambiguity. The authors also observe that the degree of ambiguity does not seem to predict stock market returns in the UK when one applies linear models. However, this does not mean that there is no non-linear relationship between the degree of ambiguity and stock market returns or stock returns.

scholarly journals Inflation And Stock Market Returns In South Africa

2012 â—½  
Vol 11 (6) â—½  
pp. 677
Author(s):  
Joel Hinaunye Eita
Keyword(s):  
South Africa â—½  
Stock Market â—½  
Stock Prices â—½  
Positive Association â—½  
Market Returns â—½  
Stock Market Returns â—½  
The Relationship

This paper investigated the relationship between stock market returns and inflation in South Africa and revealed that stock market returns and inflation in South Africa are positively related. An increase in inflation results in an increase in stock prices. The results also indicate that when all-share index is used as the measure of stock market returns, the causality is bi-directional. However, when gold index is used as a proxy for stock market returns, the causality is unidirectional, running from inflation to stock market returns. The positive association between these two variables suggests that equities are a hedge against inflation in South Africa.

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