scholarly journals Bad Friday, Monday Effect and Political Issue: Application of ARCH-GARCH Model to Analyze Seasonal Pattern of Stock Return

2018 ◽  
Vol 7 (3.30) ◽  
pp. 38
Author(s):  
Maria Rio Rita ◽  
Sugeng Wahyudi ◽  
Harjum Muharam
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Return ◽  
Seasonal Pattern ◽  
Garch Model ◽  
Statistical Characteristics ◽  
Political Issue ◽  
Political Issues ◽  
Monday Effect ◽  
The Garch Model

At the end of 2016, Indonesia was shaken by a demonstration of the election of the Governor of Jakarta Capital Special Region and political issues related to religious defamation. Does this condition have an impact on stock prices and returns? The aim of this study is to test the week day pattern in IDX using LQ-45 stocks during selected observation period of August 2016-January 2017. Then a GARCH model is used to investigate the presence of week day pattern in the stock market. Therefore, the GARCH model is able to describe observed statistical characteristics of many time series of financial assets return. The test results show that there is a difference in average stock return during the trading day. The lowest and the highest return are observed on Monday and Wednesday, respectively. Meanwhile, the average negative return on Friday is not proven to significantly drive the occurrence of Monday effect. Return on Monday is influenced by the frequency of trading, not by trading volume. Is there anything to do with the psychological aspect of investors solely in assessing risk acceptance to stocks? Research agenda related to this is very relevant to do in the future.  

Analisis Pengaruh Tingkat Harga Saham, Return Saham, dan Volume Perdagangan Saham terhadap Stock Split ISSI Periode 2015– 2020

2021 ◽  
Vol 4 (2) ◽  
pp. 234-245
Author(s):  
Farhan Maulana ◽  
Ahmad Mulyadi Kosim ◽  
Abrista Devi
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Positive Impact ◽  
Secondary Data ◽  
Normality Test ◽  
Stock Split ◽  
Before And After ◽  
Sample Test

For companies that collect funds from the public through capital from capital market, it can be used to meet capital needs and finance the company’s operation. So that company is expected not to rely on commercial debt financing both from within the country and abroad. With stock split, it is hoped that it will increase investors’ interest in buying affordable shares. This study aims to determine whether the stock split has an effect on stock prices, trading volume, and stock return. The method used by the researcher uses quantitative secondary data methods by using descriptive statistical data test, then use the kolgomorov smirnov normality test, and using theaverage paired sample test. The results of this research is that: 1) stock price have a significant effect after the stock split occurs, 2) while the trading volume has no significant effect after the stock split occours, 3)  then stock return has a siginificant impact before and after the stock split because it is expected to have a positive impact for issuers and investors.

scholarly journals Price-volume relation behavior around structural breaks in Kuwait Boursa

2019 ◽  
Vol 15 (2) ◽  
pp. 1-13
Author(s):  
Fayez A. Abdulsalam ◽  
Amani kh. Bouresli
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Structural Breaks ◽  
Emerging Market ◽  
Securities Law ◽  
New Information ◽  
The 2008 Financial Crisis ◽  
Volume Relation ◽  
Sequential Information ◽  
The Garch Model

This study attempts to conduct a comprehensive investigation of the price-volume relation using daily stock prices of all publicly traded firms in Kuwait Boursa over the period 2005–2017. The aim is to provide evidence from an emerging market on the information arrival hypothesis, which is explained by the mixture of distribution and the sequential information arrival hypotheses. The investigation covered two main structural events; the 2008 financial crisis and the activation of Kuwait’s New Securities Law in 2010 (CMA). The GARCH-ARCH test revealed a positive contemporaneous relation between trading volume and market return, which implies that previous information shocks affect current returns and imply that Kuwait stock market is weakly efficient. When trading volume is included in the variance equation in the GARCH model, the test revealed that new information arrival is not simultaneously available to all traders and it takes time to observe, providing support to the sequential information arrival hypothesis (SAIH). Finally, there was no change in the price-volume relation around the two events and urgent assessment of the new market reform is recommended.

scholarly journals The Pengaruh Harga Saham, Return Saham, Volume Perdagangan, dan Risiko Return Saham Terhadap Bid Ask Spread pada Perusahaan di Indeks LQ45

2021 ◽  
Vol 3 (2) ◽  
pp. 275-289
Author(s):  
Fita Krisdayanti ◽  
Tuti Zakiyah
Keyword(s):  
Panel Data ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Secondary Data ◽  
Sampling Technique ◽  
Total Sample ◽  
Bid Ask Spread

The purpose of this study was to determine the effect of Stock Price, Stock Return, Trade Volume and Stock Return Risk partially or simultaneously on the bid ask spread of the LQ45 index companies 2019. The data source used in this study was daily secondary data. The population used in this study are companies listed in the 2019 LQ45 index, totaling 45 companies. The sampling technique used purposive sampling method which resulted in a total sample size of 37 companies and 245 days, thus forming a panel data of 9,065 samples. The analysis technique used is the Fixed Effect Model panel data regression analysis with the help of eviews 10 software application. The results show that: 1) stock prices have a significant effect on the bid ask spread, 2) stock returns have no significant effect on the bid ask spread, 3) volume stock trading has a significant effect on the bid ask spread, 4) the risk of stock return has a significant effect on the bid ask spread, 5) the stock price, stock return, trading volume, and the risk of stock return have a significant effect on the bid ask spread.

scholarly journals Stock price volatility during the COVID-19 pandemic: The GARCH model

2021 ◽  
Vol 18 (4) ◽  
pp. 12-20
Author(s):  
Endri Endri ◽  
Widya Aipama ◽  
A. Razak ◽  
Laynita Sari ◽  
Renil Septiano
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Practical Implication ◽  
Abnormal Returns ◽  
Garch Model ◽  
Price Volatility ◽  
Efficient Market Hypothesis ◽  
Empirical Literature ◽  
Stock Price Volatility ◽  
The Garch Model

This study examined the response of stock prices on the Indonesia Stock Exchange (IDX) to COVID-19 using an event study approach and the GARCH model. The research sample is the closing price of the Composite Stock Price Index (JCI) and companies that are members of LQ-45 in the 40-day period before the COVID-19 incident, 1 day during the COVID-19 incident (March 2, 2020) and 10 days after, January 6, 2020 – March 16, 2020. Empirical findings prove that abnormal returns react negatively to COVID-19, JCI volatility fluctuates widely during the COVID-19 event, and the GARCH(1,2) model can be used to assess volatility and predict stock abnormal returns in IDX in market conditions infected with COVID-19. The practical implication of the study’s findings for investors is that the COVID-19 event caused stock price volatility, which affects abnormal returns. Therefore, to face the conditions of uncertainty and increased volatility in the future, several lines of risk management are needed in managing a stock portfolio. In addition, it also opens up opportunities for speculators to profit in an inefficient market environment. This study is based on the empirical literature currently being developed to investigate the phenomenon of stock price volatility behavior during COVID-19 on the IDX. The GARCH model used proves that during the COVID-19 pandemic, stock price volatility increases and leads to a decrease in abnormal returns. The empirical findings also validate the efficient market hypothesis theory related to the study of events and the theory of financial behavior related to uncertainty.

scholarly journals The Impact of Tax Amnesty Announcement towards Share Performance and Market Reaction in Indonesia

2018 ◽  
Vol 7 (2) ◽  
pp. 39
Author(s):  
Lidya Agustina ◽  
Yuliana Gunawan ◽  
Windawaty Chandra
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Trading Volume ◽  
Stock Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Test Method ◽  
Tax Amnesty ◽  
The Impact

The Indonesian Government reviewed back the tax amnesty in 2016. Various reactions came up along with the announcement of tax amnesty, the investors did not accept- which led to the announcement of the Tax Forgiveness regulation through the market reactions and stock market performances in Indonesia Stock Exchange. This research is to analyze event study using information based on government-related announcements to show the impact of the new regulation towards stock performance and market reaction. The effect of the announcement will be seen from the changes in stock-prices or stock-returns that provide abnormal returns in the event period as well as market reaction which reflected in trading volume. This research used stock-return data and trading volume from all companies listed in IDX in 2016 and analyzed using the Paired Sample T-Test method. The result of this research shows there are differences among the average of stock-return, average abnormal-return of stock, and stock trading volume before and after the tax amnesty announcement.

scholarly journals Stock Market Anomaly: Day of the Week Effect in Bombay Stock Exchange with the Application of GARCH Model

2020 ◽  
Vol 9 (5) ◽  
pp. 2244-2249
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Garch Model ◽  
Effect Analysis ◽  
Day Of The Week ◽  
Index Value ◽  
The Garch Model ◽  
Daily Returns

It has observed from many stock markets around the world that index value used to vary due to fluctuation in stock prices. One of the most important factors of variation in the stock prices is the day of the week effect, which indicates calendar irregularities in stock markets. Investment in the stock market is the most uncertain; therefore investors get worried regarding the appropriate day to trade in the financial market. The main objective of the present study is to find out the appropriate day of the week effect of developing the stock market of an emergent nation like India from 1st January 2000 to 31st December 2018. For fulfilling the objectives of the study, the daily closing value of four major indices of the Bombay Stock Exchange has been taken into consideration. To test the equality between average returns to different days and to examine the distribution pattern of daily returns series that measure the day of the week analysis, the parametric tools alike Mean and Standard deviation have employed. Apart from the parametric test, t-test has also applied to the daily returns in order to test the hypothesis. In this study, descriptive statistics and the GARCH model has also used with the purpose of measuring the day of the week effect analysis. Conferring to the results, the coefficients express that the return among different days of the week are statistically significant

scholarly journals TESTING THE GARCH MODEL IN THE VIETNAMESE STOCK MARKET

2010 ◽  
Vol 13 (4) ◽  
pp. 5-14
Author(s):  
Hien Thu Nguyen ◽  
Nghi Dinh Le
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Trading Volume ◽  
Garch Model ◽  
Conditional Variance ◽  
Investment Risk ◽  
The Garch Model

An important factor of interest of investors on stock markets is investment risk. Risk can undergo a quantitative process through volatility, be measured by conditional variance of stock returns. GARCH is an effective and popularly used model for volatility effect on stock returns. This study tests the GARCH model and analyzes other aspects of volatility on stock returns on the two stock markets of Vietnam. In addition, the study provides evidence of the existence of GARCH effect on Vietnamese stock markets. Besides, the study also assesses price margin policy, trading volume and leverage effects on volatility of stock returns.

scholarly journals Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19

2021 ◽  
Vol 14 (7) ◽  
pp. 314
Author(s):  
Najam Iqbal ◽  
Muhammad Saqib Manzoor ◽  
Muhammad Ishaq Bhatti
Keyword(s):  
Stock Returns ◽  
Garch Model ◽  
Bad News ◽  
Good News ◽  
Fiscal Policies ◽  
News Shocks ◽  
Australian Health ◽  
Egarch Model ◽  
Negative Effect ◽  
The Garch Model

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a generalised autoregressive conditional heteroskedasticity (GARCH) model and extend the analysis using the exponential GARCH (EGARCH) model to capture asymmetry and allegedly leverage. We proxy the news related to the negative effect of COVID-19 on the Australian health system and its economy as bad news, and on the other hand, measures taken by government economic stimulus packages through their monetary and fiscal policies as good news. The S&P ASX200 (ASX-200) index is used as a proxy to the Australian stock market, and we use value-weighted returns of the stocks listed on ASX-200 for the period 27 January 2020 to 29 December 2020. The empirical results suggest the EGARCH model fits better in capturing asymmetry and leverage than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative (positive) shocks on the conditional volatility compared to its variant with the news.

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