The Day of the Week Effect on Islamic Stock Market Returns : Evidence from Dow Jones Islamic Market Index

2015 ◽  
Vol 11 (3) ◽  
pp. 25-46
Author(s):  
Ahmed Chakir ◽  
Ali Kafou
Keyword(s):  
Stock Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Index ◽  
Day Of The Week

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

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

scholarly journals The Impact of Covid-19 Spread on Stock Markets: The Case of the GCC Countries

2020 ◽  
Vol 13 (11) ◽  
pp. 16
Author(s):  
Nader Alber ◽  
Amr Saleh
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Index ◽  
Stock Market Return ◽  
Gcc Countries ◽  
Developed Stock Markets ◽  
The Impact

This paper attempts to investigate the effects of 2020 Covid-19 world-wide spread on stock markets of GCC countries. Coronavirus spread has been measured by cumulative cases, new cases, cumulative deaths and new deaths. Coronavirus spread has been measured by numbers per million of population, while stock market return is measured by Δ in stock market index. Papers conducted in this topic tend to analyze Coronavirus spread in the highly infected countries and focus on the developed stock markets. Countries with low level of infection that have emerging financial markets seem to be less attractive to scholars concerning with Coronavirus spread on stock markets. This is why we try to investigate the GCC stock markets reaction to Covid-19 spread.   Findings show that there are significant differences among stock market indices during the research period. Besides, stock market returns seem to be sensitive to Coronavirus new deaths. Moreover, this has been confirmed for March without any evidence about these effects during April and May 2020.

SHORT-TERM HERDING EFFECT ON MARKET INDEX RETURNS

2019 ◽  
Vol 14 (01) ◽  
pp. 1950004
Author(s):  
ANDREY KUDRYAVTSEV
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Price ◽  
Herd Behavior ◽  
Market Returns ◽  
Short Term ◽  
Cross Sectional ◽  
Stock Market Returns ◽  
Market Return ◽  
Market Index

The study analyzes the predictability of stock market returns based on the previous day’s cross-sectional market-wide herd behavior. Assuming that herding may lead to stock price overreaction and result in subsequent price reversals, I suggest that daily stock market returns may be higher (lower) following trading days characterized by negative (positive) market returns and high levels of herding. Analyzing the daily price data for S&P 500 Index and all its constituents and employing two alternative market-wide herding measures based on cross-sectional daily deviation of stock returns, I document that the days of both positive and negative market returns tend to be followed by price reversals (drifts), if the market-wide levels of herding are high (low). The herding effect on the next day’s stock market returns is found to be more pronounced following the days when the sign of the market return corresponds to the direction of the longer-term stock market tendency and the days characterized by relatively large stock market movements. The effect also remains significant after accounting for the specific numerical value of the market return.

NONLINEARITIES AND GARCH INADEQUACY FOR MODELING STOCK MARKET RETURNS: EMPIRICAL EVIDENCE FROM LATIN AMERICA

2010 ◽  
Vol 15 (5) ◽  
pp. 713-724 ◽  
Author(s):  
Claudio A. Bonilla ◽  
Rafael Romero-Meza ◽  
Carlos Maquieira
Keyword(s):  
Stock Market ◽  
Latin American ◽  
Spillover Effects ◽  
Stock Index ◽  
Output Volatility ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Index ◽  
Data Generating Process

In this paper, we analyze the adequacy of using GARCH as the data-generating process to model conditional volatility of stock market index rates-of-return series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fail to provide an adequate characterization for the underlying process of the main Latin American stock market indices. Policymakers need to be careful when using autoregressive models for policy analysis and forecast because the inadequacy of GARCH models has strong implications for the pricing of stock index options, portfolio selection, and risk management. In particular, measures of spillover effects and output volatility may not be correct when GARCH-type models are used to evaluate economic policy.

scholarly journals Oil Price And Stock Market Linkages In A Small And Oil Dependent Economy: The Case Of Greece

2010 ◽  
Vol 26 (4) ◽  
Author(s):  
Katrakilidis Constantinos ◽  
Lake Andreas Ektor ◽  
Mardas Dimitrios
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Causal Effects ◽  
Font Size ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Index ◽  
Causality Tests ◽  
Of Greece

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="font-family: Times New Roman;"><span style="color: black; font-size: 10pt; mso-ansi-language: EN-US; mso-themecolor: text1;">We </span><span style="color: black; font-size: 10pt; mso-ansi-language: EN-GB; mso-themecolor: text1;" lang="EN-GB">investigate the dynamic linkages between oil prices and the stock market behaviour in a small and oil dependent economy. Particularly, we analyse empirically the relationships among stock market returns, the volatility of the stock market index, the oil price and the volatility of oil price in Greece. We employ VAR modelling in conjunction with Granger-causality tests. Contrary to the majority of the internationally reported evidence, our findings show the existence of significant positive causal effects from oil price changes on the stock market.</span></span><strong style="mso-bidi-font-weight: normal;"><span style="color: black; font-size: 10pt; mso-ansi-language: EN-US; mso-themecolor: text1;"></span></strong></p>

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

2016 ◽  
Vol 15 (3) ◽  
pp. 119-126 ◽  
Author(s):  
Robert D. Gay
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
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.

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