scholarly journals Analysis of the impact of foreign investor trading activity on return, liquidity, and volatility of the Indonesian Stock Market before and during the COVID-19 crisis period

2021 ◽  
pp. 5-8
Author(s):  
F.R. Nandaru ◽  
B. Wibowo
Keyword(s):  
Stock Market ◽  
Foreign Investor ◽  
Trading Activity ◽  
Crisis Period ◽  
Investor Trading ◽  
The Impact

scholarly journals The Impact of Foreign Investor Trading Activity on Vietnamese Stock Market

2017 ◽  
Vol 9 (1) ◽  
pp. 109 ◽  
Author(s):  
Tri Minh Nguyen
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Market Performance ◽  
Market Liquidity ◽  
Arch Model ◽  
Trading Activity ◽  
Foreign Investors ◽  
Investor Trading ◽  
The Impact

The empirical research examines the impact of net purchase of foreign investors on performance of stock market and market liquidity. In this study, market performance is proxied by VN-index, which measures growth of equity market and market liquidity is estimated by the trading volume of whole market. The data is collected in Vietnamese Stock Exchange in the period of 1215 intraday from 2011 to 2014. By using ARCH model, main findings of this research are: first, there is positive relationship between market performance and net purchase; second, performance of stock market is influence by lag factor and third, liquidity of market is affected negatively by trading activity of foreign investors.

scholarly journals Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

2020 ◽  
Vol 11 (6) ◽  
pp. 318
Author(s):  
Jaber Yasmina
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Trading Activity ◽  
Auto Correlation ◽  
The Asymmetry ◽  
The Impact ◽  
The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

scholarly journals The performance of the Indian stock market during COVID-19

2020 ◽  
Vol 17 (3) ◽  
pp. 133-147
Author(s):  
Rashmi Chaudhary ◽  
Priti Bakhshi ◽  
Hemendra Gupta
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Stock Exchange ◽  
Health Care Information ◽  
Crisis Period ◽  
Daily Data ◽  
Composite Indices ◽  
Health Care Information Technology ◽  
Indian Stock Market ◽  
The Impact

The current empirical study attempts to analyze the impact of COVID-19 on the performance of the Indian stock market concerning two composite indices (BSE 500 and BSE Sensex) and eight sectoral indices of Bombay Stock Exchange (BSE) (Auto, Bankex, Consumer Durables, Capital Goods, Fast Moving Consumer Goods, Health Care, Information Technology, and Realty) of India, and compare the composite indices of India with three global indexes S&P 500, Nikkei 225, and FTSE 100. The daily data from January 2019 to May 2020 have been considered in this study. GLS regression has been applied to assess the impact of COVID-19 on the multiple measures of volatility, namely standard deviation, skewness, and kurtosis of all indices. All indices’ key findings show lower mean daily return than specific, negative returns in the crisis period compared to the pre-crisis period. The standard deviation of all the indices has gone up, the skewness has become negative, and the kurtosis values are exceptionally large. The relation between indices has increased during the crisis period. The Indian stock market depicts roughly the same standard deviation as the global markets but has higher negative skewness and higher positive kurtosis of returns, making the market seem more volatile.

scholarly journals Periodic Analysis of the Relationship between Gold, Crude Oil, Exchange Rate and India’s Stock Market

2021 ◽  
Vol 2 (1) ◽  
pp. 28-43
Author(s):  
Dr. Anil Kumar Kanungo ◽  
Puneet Dang
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Empirical Analysis ◽  
Global Financial Crisis ◽  
Crisis Period ◽  
Periodic Analysis ◽  
Time Periods ◽  
The Impact ◽  
The Relationship

Purpose: The purpose of this paper is to find out the relationship between price of Gold, price of Crude Oil, Exchange Rate of India, and India’s stock market. The research has been done on Pre-COVID time periods to analyse the relationship in scenarios like pre-global financial crisis, during crisis and post crisis. The authors incorporate the data from pre-crisis phases i.e., 2005 to 2019, to find out the relationship between the variables using Granger causality test, Johansen’s Cointegration, and Vector Autoregression. To study the spill-over effect on India’s stock market, regression has been used. The empirical results indicate that for the Pre-Crisis and Post-Crisis periods, “Gold” does granger cause “USDINR”, for all three periods “Crude oil” does granger cause “Gold”, for the crisis and post crisis periods “Gold” does granger cause “Crude oil”, for the post crisis period “USDINR” does granger cause “Crude oil”. No other causality relationship was established with the help of this empirical analysis. Johansen’s cointegration test revealed that no cointegration exists amongst the three variables. The impact of exchange rate on India’s stock market has changed as compared to the previous time periods. Exchange rate was inversely related to the stock markets for the Pre-Crisis and Crisis periods and is directly related to the stock market for the Post-Crisis period. This study adds to the existing literature on the variables, by using phase wise data and performing empirical analysis to find out the relationship between the variables. Not many literature demonstrate together the relationship among these three variables in three different periods. This is a significant gap that the study aimed to address.

The impact of closing mechanism changes: evidence from the Shanghai stock market

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dan Ma ◽  
Chunfeng Wang ◽  
Zhenming Fang ◽  
Ziwei Wang
Keyword(s):  
Stock Market ◽  
Market Quality ◽  
Market Manipulation ◽  
Trading Behavior ◽  
Content Type ◽  
Price Manipulation ◽  
Closing Price ◽  
Investor Trading ◽  
The Impact ◽  
Closing Mechanism

PurposeThe purpose of this paper is to empirically examine the impact of closing mechanism changes on market quality, investor trading behavior and market manipulation in the Shanghai stock market.Design/methodology/approachA dummy variable is constructed indicating whether the closing mechanism is call auction or continuous auction. Market quality is measured from aspects of liquidity, volatility and price continuity; investor trading behavior is scaled by order timing and order aggressiveness, and a price deviation indicator is the proxy of manipulation. Using panel regression, this study examines the impact of closing mechanism changes based on intraday transaction data from the Shanghai stock market.FindingsThe conclusions are as follows: First, market quality improves after the closing mechanism is reformed in terms of liquidity, volatility and price continuity. Second, order strategy changes significantly in the closing call market, and investors trade more aggressively in the continuous trading period before closing. Third, the closing call mechanism restrains the closing price manipulation and thus prompts an efficient closing price.Originality/valueThis paper examines the policy effects of closing mechanism changes from aspects of market quality, trading behavior and price manipulation, providing pieces of evidence for trading mechanism design and market supervision in emerging markets.

Periodic Analysis of the Relationship between Gold, Crude Oil, Exchange Rate and India’s Stock Market

2020 ◽  
Vol 2 (1-2) ◽  
pp. 28-43
Author(s):  
Anil Kumar Kanungo ◽  
Puneet Dang
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Empirical Analysis ◽  
Global Financial Crisis ◽  
Crisis Period ◽  
Periodic Analysis ◽  
Time Periods ◽  
The Impact ◽  
The Relationship

Purpose: The purpose of this paper is to find out the relationship between price of Gold, price of Crude Oil, Exchange Rate of India, and India’s stock market. The research has been done on Pre-COVID time periods to analyse the relationship in scenarios like pre-global financial crisis, during crisis and post crisis. The authors incorporate the data from pre-crisis phases i.e., 2005 to 2019, to find out the relationship between the variables using Granger causality test, Johansen’s Cointegration, and Vector Autoregression. To study the spill-over effect on India’s stock market, regression has been used. The empirical results indicate that for the Pre-Crisis and Post-Crisis periods, “Gold” does granger cause “USDINR”, for all three periods “Crude oil” does granger cause “Gold”, for the crisis and post crisis periods “Gold” does granger cause “Crude oil”, for the post crisis period “USDINR” does granger cause “Crude oil”. No other causality relationship was established with the help of this empirical analysis. Johansen’s cointegration test revealed that no cointegration exists amongst the three variables. The impact of exchange rate on India’s stock market has changed as compared to the previous time periods. Exchange rate was inversely related to the stock markets for the Pre-Crisis and Crisis periods and is directly related to the stock market for the Post-Crisis period. This study adds to the existing literature on the variables, by using phase wise data and performing empirical analysis to find out the relationship between the variables. Not many literature demonstrate together the relationship among these three variables in three different periods. This is a significant gap that the study aimed to address.

Global financial crisis, foreign portfolio investment and volatility

2020 ◽  
Vol 32 (2) ◽  
pp. 177-195
Author(s):  
Abdelkader Derbali ◽  
Ali Lamouchi
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Emerging Markets ◽  
Global Financial Crisis ◽  
Portfolio Investment ◽  
Content Type ◽  
Foreign Portfolio Investment ◽  
Crisis Period ◽  
Asian Emerging Markets ◽  
The Impact

Purpose The purpose of this paper is to understand and compare the extent and nature of the impact of foreign portfolio investment (FPI) on the stock market volatility, particularly in the Southeast Asian emerging markets, and compare that against the corresponding experience of Indian economy, in the context of a global financial crisis of the recent past. Design/methodology/approach The Asian emerging markets are now being perceived as becoming financially more and more vulnerable to international events because of their growing exposure to unstable foreign investment flows. The daily net FPI inflow and the daily leading stock market composite index of four countries, namely, Thailand, the Philippines, Indonesia and India, have been analyzed using autoregressive conditional heteroscedasticity (ARCH)-generalized ARCH group of models dividing the study period from 2000 to 2014 among pre-crisis, crisis and post-crisis period separately. Findings The study reveals that the net inflow of FPI has been a significant determinant of stock market returns in all countries. The impact of volatility spillover from the FPI market to the stock market in the sample countries has been found to be different under different market conditions. The past information and volatility clustering have been significantly influencing the stock market return volatilities of all these Southeast Asian countries on average. Originality/value However, there are significant country-wise differences in the relative importance and direction of the relationship of each of these effects with the volatility of the FPI and the stock markets. These effects have been different in these four different markets and they have significantly altered in strength and significance during the global financial crisis and in the post-financial crisis period.

scholarly journals Leveraged Trading, Irrational Sentiment and Sustainability in the Stock Market: Evidence from China

2020 ◽  
Vol 12 (4) ◽  
pp. 1310 ◽  
Author(s):  
Zhen Peng ◽  
Changsheng Hu
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Empirical Support ◽  
Chinese Stock Market ◽  
Chinese Market ◽  
Leverage Ratio ◽  
Investor Trading ◽  
The Impact ◽  
The Relationship ◽  
Feedback Trading

Leveraged trading exhibits the characteristics of “strong margin trading and weak short selling” in the Chinese stock market. On the basis of monthly data on leveraged trading in the Chinese stock market from January 2014 to December 2016, we aim to empirically examine the relationship between leveraged trading and investor sentiment, and analyze the characteristics of investor sentiment contained in the leverage ratio. The results show that (1) as the leverage ratio increases, the pattern of investor trading changes from the positive feedback trading of “chasing up and down” to the negative feedback trading of “selling high and buying low”; (2) leveraged trading has the typical characteristics of irrational sentiment; (3) inverse arbitrage strategies based on leverage ratios is effective in one month in the Chinese market. The findings in this paper provide empirical support for clarifying the influence mechanism between leveraged trading and investor sentiment, and can serve as a useful reference for reducing the impact of leveraged trading on volatility and maintaining the sustainability of the stock market.

Sign in / Sign up

Export Citation Format

Share Document