Price and Volatility Linkages Between Indian Stocks and Their European GDRs

2019 ◽  
Vol 18 (2_suppl) ◽  
pp. S213-S237
Author(s):  
Vinodh Madhavan ◽  
Partha Ray
Keyword(s):  
Information Disclosure ◽  
Stock Exchange ◽  
Jel Classification ◽  
Share Price ◽  
Stock Index ◽  
Dynamic Correlation ◽  
The Difference ◽  
Underlying Stocks ◽  
Depositary Receipts ◽  
Volatility Linkages

This article tests for price and volatility linkages between Indian global depositary receipts (GDRs) traded in Luxembourg/London and their underlying shares traded in Mumbai. The relationship is studied between the GDR price and the domestic share price along with the appropriate exchange rates, the foreign stock index and the domestic stock index using the vector autoregression (VAR) and dynamic conditional correlation (DCC) specification of multivariate generalised autoregressive conditional heteroscedasticity (GARCH) models. VAR results indicate a similarity between the two prices of scrips: one trading in Mumbai and the other trading in Luxembourg (London). Further, DCC-GARCH model outcomes point to, by and large, a high-dynamic correlation between Indian GDRs traded in Luxembourg/London and their underlying stocks listed in Mumbai. Thus, the price and volatility linkages between the Indian stock and its European counterpart are invariant with respect to the choice of the foreign stock exchange. Such a similarity in findings, notwithstanding the difference in degree of information disclosure as well as listing requirements at London and Luxembourg, is perhaps indicative of the stock-exchange-invariant nature of law of one price. JEL Classification: G15, C22

KINERJA PORTOFOLIO OPTIMAL PADA SAHAM BERBAGAI INDEKS DENGAN KALKULASI RASIO SORTINO, MODIGLIANI SQUARE, DAN ROY’S SAFETY FIRST

2018 ◽  
Vol 6 (1) ◽  
pp. 23-46
Author(s):  
Baiq Nurul Suryawati ◽  
Laila Wardani ◽  
Sulaeman Sarmo ◽  
Iwan Kusmayadi
Keyword(s):  
Stock Exchange ◽  
Price Volatility ◽  
Share Price ◽  
Portfolio Performance ◽  
Investment Portfolio ◽  
Precise Information ◽  
Investment Pattern ◽  
The Difference ◽  
Safety First

ABSTRACTThe main purpose of this research is evaluating portfolio performance of variousindexes that comprises constituent index in Indonesia Stock Exchange. The performance of evaluation calculatesbasedon Sortino,Modigliani Square and Roy Safety First ratio. Hence, the difference between its portfolios performances will shows the significance of each market’s differentite. The indexesare LQ 45, Jakarta Islamic Index (JII), Indeks Saham Syariah Indonesia, and BISNIS 27. The result shows that there is significance different between the share markets whereas the investment pattern of portfolio will represents investor’s desired return. However, as the measurementrealize on adjusting return and risk, thus, it will necessary to enhance investor’s with more pragmatic method such as share price volatility to persuade more investment. Share price volatility, furthermore, will give more precise information about how return created to profit investors.Keywords: Indexes, Investment, Portfolio Mesurement, Sortino, Modigliani Square, Roy Safety First

scholarly journals Penggunaan Metode Orthogonal GARCH untuk Meramalkan Matriks Kovarians Return Indeks Harga Saham Sektoral Di Bursa Efek Indonesia

2019 ◽  
Vol 12 (2) ◽  
pp. 30
Author(s):  
Robiyanto Robiyanto
Keyword(s):  
Risk Factor ◽  
Value At Risk ◽  
Stock Price ◽  
Stock Exchange ◽  
Principal Component ◽  
Jel Classification ◽  
Stock Index ◽  
Price Indices ◽  
Exchange Value ◽  
Autoregressive Conditional Heteroscedasticity

ABSTRACT   This study conducted a risk communality assessment on sectoral stock price indices in Indonesia Stock Exchange by using Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (Orthogonal GARCH) method. Data used in this research is daily closing of sectoral stock price indices at Indonesia Stock Exchange which consisting of 10 sectoral price indices. Research period are during January 4, 2011 until July 17, 2017. Of 10 sectoral stock price indices which studied apparently there are two principal component influencing its conditional variance. The result of this research is that stock index of agriculture and mining sector have the same risk factor, while other sectoral stock price indices have the same risk factor. These findings imply that investment managers must differentiate risk factors for agricultural and mining sectors from other sectors.   Keywords : Orthogonal GARCH; Indonesia Stock Exchange; Value-at-Risk (VaR); Sectoral stock price indices; Covariance matrix   JEL Classification : C58; G11.  

scholarly journals Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market

2017 ◽  
Vol 16 (2) ◽  
pp. 169-187 ◽  
Author(s):  
Rajesh Pathak ◽  
Thanos Verousis ◽  
Yogesh Chauhan
Keyword(s):  
Stock Returns ◽  
Information Content ◽  
Stock Exchange ◽  
Jel Classification ◽  
Spot Price ◽  
Spot Prices ◽  
Pricing Errors ◽  
Pricing Error ◽  
The Difference ◽  
Cost Of Carry

This study examines the information content of pricing error, measured by the difference between the implied price computed using the cost of carry model and the spot price of Single Stock Futures (SSFs), traded on National Stock Exchange (NSE), India. The returns of portfolios, based on ranking of such pricing errors, are investigated. The consistency of results is verified by controlling for established risk factors, that is, market, size, value and momentum premium, and idiosyncratic factors such as firm’s liquidity and size. Our study reveals that the pricing error is a priced risk factor that contains incremental information about stock returns of day t, and not beyond. We conclude that implied spot prices from stock futures market are useful for traders to profit in the spot market. JEL Classification: G120, G130

scholarly journals The Effect of Leverage, Board of Commissioner, Foreign Ownership, Company Age, and Company Size Towards the Disclosure of Corporate Social Responsibility (CSR) Implementation

2016 ◽  
Vol 1 (1) ◽  
pp. 27-33
Author(s):  
Clara Cahyani ◽  
Rosita Suryaningsih
Keyword(s):  
Corporate Social Responsibility ◽  
Stock Exchange ◽  
Manufacturing Sector ◽  
Financial Statements ◽  
Foreign Ownership ◽  
Jel Classification ◽  
Company Size ◽  
Regression Approach ◽  
The Difference ◽  
Corporate Social

Objective - The objective of this research is to examine the effect of leverage, board of commissioner, foreign ownership, company age and company size towards the disclosure of CSR implementation. Leverage was measured by debt to asset ratio (DAR), board of commissioner was measured by the number of commissioners, company age was measured by the difference of research year and listing year, and company size was measured by the in total asset. Methodology/Technique - This research usesthe published reports and financial statements of 55 companies listed in the manufacturing sector of the Indonesia Stock Exchange from the period of 2013-2014. Selection was based on purposive sampling. Data were analyzed using the multiple regression approach. Findings - The results showed that leverage that was measured by the DAR, board of commissioners, foreign ownership, company age, and company size, all simultaneously, have a significant effect towards the disclosure of CSR implementation. The board of commissioner has a positive significant effect towards the disclosures of CSR implementation while leverage that was measured by DAR, foreign ownership, company age, and company size have no effect towards the disclosures of CSR implementation. Novelty - This research proves that bigger companiestend to implement CSR more broadly so the disclosure of CSR implementation can be on a wider scope too. Type of Paper Empirical Keywords: Board of Commissioner; Company Age; Company Size; Disclosure of CSR Implementation; Foreign Ownership; Leverage. JEL Classification: M14, M21.

scholarly journals The Impacts of Interest Rate on Stock Market: Empirical Evidence from Dhaka Stock Exchange

2019 ◽  
Author(s):  
Md. Mahmudul Alam ◽  
Gazi Salah Uddin
Keyword(s):  
Interest Rate ◽  
Management Practices ◽  
Stock Exchange ◽  
Empirical Relationship ◽  
Negative Relationship ◽  
Least Square ◽  
Share Price ◽  
Stock Index ◽  
Significant Negative Relationship ◽  
Policy Risk

Stock exchange and interest rate are two crucial factor of economic growth of a country. The impacts of interest rate on stock exchange provide important implications for monitory policy, risk management practices, financial securities valuation and government policy towards financial markets. This study seeks evidence supporting the existence of market efficiency on the Dhaka Stock Exchange (DSE) based on the daily general price index 1994 to 2005 and also shows empirical relationship between stock index and interest rate in Bangladesh based on monthly data from May 1992 to June 2004. Stationary of market return is tested and found DSE Index does not follow random walk model indicate DSE is not efficient in week form. The linear relationship between share price and interest rate, share price and growth of interest rate, growth of share price and interest rate, and growth of share price and growth of interest rate were determined through ordinary least-square (OLS) regression. For all of the cases, included and excluded outlier, it is found that Interest Rate has significant negative relationship with Share Price and Growth of Interest Rate also has significant negative relationship with Growth of Share Price. So if the interest rate is considerably controlled in Bangladesh than it will be the great benefit of Dhaka Stock Exchange through demand pull way of more investor in share market and supply pull way of more extensional investment of companies.

Piecewise Linier Model Untuk Manajemen Laba: Investigasi Sebelum dan Sesudah Implementasi IFRS pada Perusahaan Manufaktur di Bursa Efek Indonesia

2015 ◽  
Vol 2 (01) ◽  
pp. 97-105
Author(s):  
Rizki Fitrah Ramadhani ◽  
Nurmala Ahmar ◽  
Nuraini Rokhmania
Keyword(s):  
Earnings Management ◽  
Linear Model ◽  
Stock Exchange ◽  
Piecewise Linear ◽  
Financial Statements ◽  
Jel Classification ◽  
Manufacturing Companies ◽  
Piecewise Linear Model ◽  
Before And After ◽  
The Difference

A B S T R A C T This study aimed to examine differences in accrual earnings management by using piecewise linear model of approaching the companies listed on the Indonesian Stock Exchange (BEI) before and after the implementation of IFRS. Samples are 108 manufacturing companies. Year study was conducted during the period 2011 to calculate before the implementation of IFRS and 2013 to calculate after the implementation of IFRS. Criteria in the selection of the research object, among others, the company that serves the complete financial statements, the company does not move the sector, does not cease trading companies, as well as companies that serve the financial statements with the currency. The research proves the difference in accrual earnings management with Piecewise Linear Model approach in 2011 and in 2013. A B S T R A K Penelitian ini bertujuan untuk menguji perbedaan manajemen laba akrual dengan menggunakan model piecewise linear mendekati perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) sebelum dan setelah pelaksanaan IFRS. Sampel adalah 108 perusahaan manufaktur. Tahun penelitian ini dilakukan selama periode 2011 untuk menghitung sebelum pelaksanaan IFRS dan 2013 untuk menghitung setelah pelaksanaan IFRS. Kriteria dalam pemilihan objek penelitian, antara lain, perusahaan yang melayani laporan keuangan yang lengkap, perusahaan tidak bergerak sektor, tidak menghentikan perdagangan perusahaan, serta perusahaan yang melayani laporan keuangan dengan mata uang. Hasil penelitian membuktikan adanya perbedaan manajemen laba akrual dengan Piecewise Linear pendekatan Model pada tahun 2011 dan pada tahun 2013. JEL Classification: G14

Futures and Forward Prices - Theory and Hungarian Experience

2004 ◽  
Vol 54 (2) ◽  
pp. 159-174
Author(s):  
M. Radnai
Keyword(s):  
Stock Exchange ◽  
Relative Difference ◽  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Futures Prices ◽  
Index Futures ◽  
Forward Prices ◽  
The Difference ◽  
Hungarian Experience

Researchers have examined the difference between forward and futures prices since the introduction of futures contracts. In this paper we derive the explicit formula for stock-index futures prices under the assumptions of lognormal asset prices, determine the relative difference between futures and forward prices, and test the model for BUX contracts traded on the Budapest Stock Exchange between 1997 and 2002.

scholarly journals Piecewise Linier Model Untuk Manajemen Laba: Investigasi Sebelum dan Sesudah Implementasi IFRS pada Perusahaan Manufaktur di Bursa Efek Indonesia

2015 ◽  
Vol 2 (01) ◽  
pp. 97-105
Author(s):  
Rizki Fitrah Ramadhani ◽  
Nurmala Ahmar ◽  
Nuraini Rokhmania
Keyword(s):  
Earnings Management ◽  
Linear Model ◽  
Stock Exchange ◽  
Piecewise Linear ◽  
Financial Statements ◽  
Jel Classification ◽  
Manufacturing Companies ◽  
Piecewise Linear Model ◽  
Before And After ◽  
The Difference

A B S T R A C T This study aimed to examine differences in accrual earnings management by using piecewise linear model of approaching the companies listed on the Indonesian Stock Exchange (BEI) before and after the implementation of IFRS. Samples are 108 manufacturing companies. Year study was conducted during the period 2011 to calculate before the implementation of IFRS and 2013 to calculate after the implementation of IFRS. Criteria in the selection of the research object, among others, the company that serves the complete financial statements, the company does not move the sector, does not cease trading companies, as well as companies that serve the financial statements with the currency. The research proves the difference in accrual earnings management with Piecewise Linear Model approach in 2011 and in 2013. A B S T R A K Penelitian ini bertujuan untuk menguji perbedaan manajemen laba akrual dengan menggunakan model piecewise linear mendekati perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) sebelum dan setelah pelaksanaan IFRS. Sampel adalah 108 perusahaan manufaktur. Tahun penelitian ini dilakukan selama periode 2011 untuk menghitung sebelum pelaksanaan IFRS dan 2013 untuk menghitung setelah pelaksanaan IFRS. Kriteria dalam pemilihan objek penelitian, antara lain, perusahaan yang melayani laporan keuangan yang lengkap, perusahaan tidak bergerak sektor, tidak menghentikan perdagangan perusahaan, serta perusahaan yang melayani laporan keuangan dengan mata uang. Hasil penelitian membuktikan adanya perbedaan manajemen laba akrual dengan Piecewise Linear pendekatan Model pada tahun 2011 dan pada tahun 2013. JEL Classification: G14

scholarly journals Fluxo de Capital Estrangeiro e Desempenho do Ibovespa

2006 ◽  
Vol 4 (1) ◽  
pp. 79
Author(s):  
Roberto Meurer
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Exchange ◽  
The United States ◽  
Country Risk ◽  
The Other ◽  
Stock Index ◽  
Foreign Investors ◽  
The Difference ◽  
Domestic Companies

In this paper it is discussed and empirically tested the influence of foreign investors flow of resources on the Ibovespa index of the Sao Paulo Stock Exchange from January 1995 to july 2005. Other important variables are considered in the test, including a stock index of the United States, internal and external interest rates, the markets liquidity, exchange rate and country risk. The foreign influence is measured by the difference between the purchases and sells of foreign investors in the market of their participation in the Brazlian market capitalization. The effect of the inflow of resources was not detected straightly, but through an increase of the liquidity, what is compatible with the hypothesis that the foreign investors represent an increase of the base of stockholders of the domestic companies. The inflow of resources, on the other hand, anticipates the behavior of index. Country risk, exchange rate and liquidity of the market were important to explain variations of the Ibovespa.

scholarly journals ANALISIS KOMPONEN TINGKAT KESEHATAN BANK TERHADAP HARGA SAHAM BANK UMUM SWASTA NASIONAL DEVISA YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2012-2016

2018 ◽  
Vol 3 (1) ◽  
pp. 21-31
Author(s):  
Hana Medyawicesar ◽  
Eded Tarmedi ◽  
Imas Purnamasari
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Research Result ◽  
Secondary Data ◽  
Share Price ◽  
Positive Sign ◽  
Analysis Technique ◽  
Verification Methods ◽  
Approach Method ◽  
The Difference

Purpose - The purpose of this study was to analyze the description of Bank Soundness by using RGEC method and influence on stock priceDesign / methodology / approach - Method in this research used descriptive and verification methods. Data that used are secondary data of each Public bank foreign exchange on Indonesia Stock Exchange with analysis technique using multiple linear regression. Sampling in this research use purposive samplingFindings - The result of this research shows that NPL and ROA have positive effect to share price, GCG and NIM have no effect to stock price, LDR and CAR do not have an effect on stock price but regression direction with positive sign showing relationship with stock price.Originality -The difference of this research with previous research is on research object and method, population and research sample, research period, measuring instrument and research result, as well as foreign theory and journal source and foreign book and research result.

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