scholarly journals THE IMPACT OF INTRADAY MOMENTUM ON STOCK RETURNS: EVIDENCE FROM S&P500 AND CSI300

2021 ◽  
Vol 24 (4) ◽  
pp. 124-141
Author(s):  
Saddam Hossain ◽  
Beáta Gavurová ◽  
Xianghui Yuan ◽  
Morshadul Hasan ◽  
Judit Oláh
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Negative Impact ◽  
Positive Impact ◽  
Empirical Method ◽  
Monday Morning ◽  
Strategy Analysis ◽  
High Level ◽  
The Impact

This paper analyzes the statistical impact of COVID-19 on the S&P500 and the CSI300 intraday momentum. This study employs an empirical method, that is, the intraday momentum method used in this research. Also, the predictability of timing conditional strategies is also used here to predict the intraday momentum of stock returns. In addition, this study aims to estimate and forecast the coefficients in the stock market pandemic crisis through a robust standard error approach. The empirical findings indicate that the intraday market behavior an unusual balanced; the volatility and trading volume imbalance and the return trends are losing overwhelmingly. The consequence is that the first half-hour return will forecast the last half-hour return of the S&P500, but during the pandemic shock, the last half-hour of both stock markets will not have a significant impact on intraday momentum. Additionally, market timing strategy analysis is a significant factor in the stock market because it shows the perfect trading time, decides investment opportunities and which stocks will perform well on this day. Besides, we also found that when the volatility and volume of the S&P500 are both at a high level, the first half-hour has been a positive impact, while at the low level, the CSI300 has a negative impact on the last half-hour. In addition, this shows that the optimistic effect and positive outlook of the stockholders for the S&P500 is in the first half-hours after weekend on Monday morning because market open during the weekend holiday, and the mentality of every stockholder’s indicate the positive impression of the stock market.

scholarly journals The impact of downside risk on UK stock returns

2019 ◽  
Vol 18 (1) ◽  
pp. 53-70
Author(s):  
Fangzhou Huang
Keyword(s):  
Stock Returns ◽  
Financial Crises ◽  
Negative Impact ◽  
Positive Impact ◽  
Downside Risk ◽  
Content Type ◽  
Portfolio Returns ◽  
Time Sensitivity ◽  
Window Approach ◽  
The Impact

PurposeThis paper aims to investigate patterns in UK stock returns related to downside risk, with particular focus on stock returns during financial crises.Design/methodology/approachFirst, stocks are sorted into five quintile portfolios based on the relevant beta values (classic beta, downside beta and upside beta, calculated by the moving window approach). Second, patterns of portfolio returns are examined during various sub-periods. Finally, predictive powers of beta and downside beta are examined.FindingsThe downside risk is observed to have a significant positive impact on contemporaneous stock returns and a negative impact on future returns in general. In contrast, an inverse relationship between risk and return is observed when stocks are sorted by beta, contrary to the classic literature. UK stock returns exhibit clear time sensitivity, especially during financial crises.Originality/valueThis paper focuses on the impact of the downside risk on UK stock returns, assessed via a comprehensive sub-period analysis. This paper fills the gap in the existing literature, in which very few studies examine the time sensitivity in relation to the downside risk and the risk-return anomaly in the UK stock market using a long sample period.

The Impact of Government Intervention in Banks on Corporate Borrowers’ Stock Returns

2013 ◽  
Vol 48 (5) ◽  
pp. 1635-1662 ◽  
Author(s):  
Lars Norden ◽  
Peter Roosenboom ◽  
Teng Wang
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Banking Sector ◽  
Positive Impact ◽  
Support Programs ◽  
Government Interventions ◽  
Stock Market Performance ◽  
The Impact ◽  
The U.S

AbstractWe investigate whether and how government interventions in the U.S. banking sector influence the stock market performance of corporate borrowers during the financial crisis of 2007–2009. We measure firms’ exposures to government interventions with an intervention score that is based on combined information on the firms’ structure of bank relationships and their banks’ participation in government capital support programs. We find that government capital infusions in banks have a significantly positive impact on borrowing firms’ stock returns. The effect is more pronounced for riskier and bank-dependent firms and for those that borrow from banks that are less capitalized and smaller.

scholarly journals THE IMPACT OF OIL PRICE ON STOCK MARKET:EMPIRICAL EVIDENCE FROM US

2021 ◽  
Vol 9 (1) ◽  
pp. 330-337
Author(s):  
Shanaz hakim , Tugut Tursoy,
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Negative Impact ◽  
Positive Impact ◽  
Oil Price ◽  
P Value ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Interactive Relationship ◽  
The Impact

The analysis of this research focuses on the interactive relationship among the fluctuation of crude oil prices, the real GDP and the stock market of United State. This empirical investigation uses data is in between 1990 and 2018 with the Vector Auto-regression (VAR) analysis, and multiple regressions with its assumption were used in order to analyses data.  Findings, oil price and economic growth are very important determinates of stock market in US because the p-value of this were less than the common alpha α =0.05. For instance, the crude oil price had positive impact on stock market because for each unit increasing of crude oil price, the stock market will increase by (0.276901) after holding all other variable constant. However, we find that GDP has negative impact on the participations of increasing the stock market.

The effect of weather on the European stock market

2016 ◽  
Vol 43 (9) ◽  
pp. 943-958 ◽  
Author(s):  
Nikolaos Sariannidis ◽  
Grigoris Giannarakis ◽  
Xanthi Partalidou
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Negative Impact ◽  
Weather Variables ◽  
Socially Responsible ◽  
Content Type ◽  
Daily Data ◽  
Macroeconomic Indicators ◽  
Significant Negative Impact ◽  
The Impact

Purpose The purpose of this paper is to ascertain whether weather variables can explain the stock return reaction on the Dow Jones Sustainability Europe Index by employing a number of macroeconomic indicators as control variables. Design/methodology/approach The authors incorporate the generalized autogressive conditional heteroskeasticity model in methodology for the period August 26, 2009 to May 30, 2014 using daily data. Findings The empirical results indicate that not only do changes in humidity and wind levels seem to affect positively the European stock market but changes in returns oil and gold prices as well. However, the results show that the volatility of the US dollar/Yen exchange rate and ten-year bond value exerts significant negative impact on companies’ stock returns. Originality/value This study adds to the international literature by documenting the impact of weather variables on socially responsible companies.

scholarly journals Stock index manipulation around election announcements: evidence from Pakistan stock exchange

2017 ◽  
Vol 5 (2) ◽  
pp. 87
Author(s):  
Shahbaz Khan ◽  
Razzi Abbas Jafri ◽  
Nida Baig ◽  
Muhammad Shaique ◽  
Muhammad Usman
Keyword(s):  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Stock Exchange ◽  
Stock Index ◽  
Individual Country ◽  
Policy Makers ◽  
Country Level ◽  
General Elections ◽  
The Impact

The purpose of this study is to find out the impact of political general elections of Pakistan on KSE-100 index. We employed Event study methodology on closing prices of KSE-100 index over the time period January, 1998 to May, 2013. During our sample period, 3 events of political general Elections occurred i.e., Event1 in 2002, Event2 in 2008, and recently Event3 in 2013. We construct an Event window of 11 days consisting of 5 pre-event days, 1 on-event day, and 5 post-event days. Results of this study show that Events 1 -and 2 put significant negative impact on stock returns, while Event3 demonstrates a significant positive impact on stock returns. This study also revealed the pre -and post-event comparison for all of the three events and, suggested that as soon as the political situation of the country changes, behavior of investors towards political general election also changes. Manipulation in stock index has always been remained an inconclusive phenomenon for investors and policy makers. So, further evidence on an individual country level might suggest fruitful guidelines to both investors and policy makers.

scholarly journals Relationship Between Capital Structure and Stock Returns of Jordanian Commercial Banks

2020 ◽  
Vol 13 (2) ◽  
pp. 100
Author(s):  
Sufian Radwan Al-Manaseer
Keyword(s):  
Capital Structure ◽  
Stock Returns ◽  
Firm Size ◽  
Commercial Banks ◽  
Negative Impact ◽  
Positive Impact ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
The Impact ◽  
The Relationship

This study aims to analyze the relationship between capital structure and stock returns of Jordanian banks listed on the Amman Stock Exchange from 2009 to 2018. The study sample is composed of 13 commercial banks in Jordan. The e-views program is used to conduct the statistical analysis of study variables. Initially, a simple linear regression analysis is conducted to determine the impact of capital structure as measured by financial leverage on stock returns and vice versa. Then, several control variables are added: growth in assets, liquidity, firm size, and profitability. This study has found that growth, capital structure, and profitability have a positive impact on stock returns. By contrast, liquidity and firm size have a negative impact on stock returns. Stock returns and firm size have a positive impact on capital structure, whereas liquidity, growth, and profitability have a negative impact on capital structure.

scholarly journals Stock Market Reforms and Stock Market Performance

2021 ◽  
Vol 12 (2) ◽  
pp. 202
Author(s):  
Karthigai Prakasam Chellaswamy ◽  
Natchimuthu N ◽  
Muhammadriyaj Faniband
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Positive Impact ◽  
Market Performance ◽  
Market Reforms ◽  
Disclosure Requirements ◽  
Stock Market Performance ◽  
Event Study Method ◽  
Unfair Trade ◽  
The Impact

This paper analyses the impact of stock market reforms on the stock market performance in India using regression based event-study method. We consider nine stock market reforms introduced from 1998 to 2018. We find that the impact of stock market reforms on Nifty trading volume and Nifty return is different. This paper documents that the impact of the additional volatility measures, T+3 and T+2 settlement cycles, and margin provisions for intra-day crystallized losses reforms show a positive impact on trading volume post-reform. In contrast, internet trading, prohibition of fraudulent and unfair trade practices, delisting of equity shares, substantial acquisition of shares and takeovers listing obligations and disclosure requirements reforms decrease the trading volume post-reform. Our results of Nifty return reveal that the additional volatility measures, the T+2 settlement cycle, the prohibition of fraudulent and unfair trade practices, substantial acquisition of shares and takeovers, listing obligations and disclosure requirements have a significant and positive impact on return post-reform. It is evident that the impact of all nine stock market reforms is insignificant on Nifty return.

Macroeconomic factors and stock returns: Evidence from the emerging market of Asia

2018 ◽  
Vol 5 (3) ◽  
pp. 16-20
Author(s):  
Muhammad Asad Saleem Malik ◽  
Saher Touqeer ◽  
Shumaila Zeb
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Emerging Market ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

This study examines the impact of macroeconomic variables on stock returns of Pakistan, India and Sri Lanka for the period of 1997-2014. GMM approach is used to analyze the impact of macroeconomic variables on stock returns. Variables of the study were T-Bills, Exchange Rate, Consumer Price Index (CPI) and the Industrial Production Index (IPI). The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of the study period.

scholarly journals Fragility of State in Central African Republic: An Econometric Approach to Efficiency Understanding

2018 ◽  
Vol 21 (3) ◽  
pp. 681-697
Author(s):  
Yapatake Kossele Thales Pacific
Keyword(s):  
Central African Republic ◽  
Negative Impact ◽  
Positive Impact ◽  
The State ◽  
Policy Implications ◽  
Long Run ◽  
Short Run ◽  
High Level ◽  
The Impact ◽  
Control Of Corruption

A fragile state contributes to the underdevelopment of the nation and its consequences can be very devastating on the state’s cohesion, characterized by a high level of corruption which led the country to an incessant political instability and the continuous presence of foreign troops. 1 This article used the vector autoregresssion (VAR) model covering the period of 2005–2015 to examine the impact of control of corruption on the fragility of the state in the Central African Republic (CAR). The results show that control of corruption is significant and has a negative impact on the fragility of the state in the short run. The impulse response shows a negative impact of control of corruption in the short run but a positive impact in the long run on the fragility of the state. The policy implications of this fragility are that the CAR must pursue better governance as well as in the investment choices. Unless the CAR leaders and citizens recognize their own fragility, things can only get worse.

scholarly journals NOISE TRADER RISK: EVIDENCE FROM VIETNAM STOCK MARKET

2019 ◽  
Vol 128 (5C) ◽  
pp. 5
Author(s):  
Phan Khoa Cuong ◽  
Tran Thi Bich Ngoc ◽  
Bui Thanh Cong ◽  
Vo Thi Quynh Chau
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Positive Impact ◽  
Moving Average ◽  
Noise Trader ◽  
Daily Stock Returns ◽  
Fundamental Value ◽  
The Impact ◽  
Daily Returns

<p><strong>Abstract: </strong>This paper investigates the existence of noise trader risk in Vietnam’s stock market and its effect on the daily returns of stock prices. The methodologies contain the estimation of GARCH (1,1) model to filter the residuals using the moving average method to calculate the impact of information traders. Noise trader risk or the risk that is caused by noise traders is derived by subtracting the residuals by the rational traders’ impact. We find that the noise trader risk does exist in Vietnam’s stock market and its impact on daily returns of stocks is unpredictable. Meanwhile, we find a positive impact of information traders on the stock returns. It increases the daily stock returns, and in turn, helps the market to correct itself because the stock prices move back to its fundamental value.</p><p><strong>Keywords</strong>: noise trader risk, GARCH (1,1), Vietnam’s stock market</p>

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