scholarly journals Is Bitcoin Price Driven by Macro-financial Factors and Liquidity? A Global Consumer Survey Empirical Study

2021 ◽  
Vol 12 (2) ◽  
pp. 399-414
Author(s):  
Shinta Amalina Hazrati Havidz ◽  
Viendya Ervina Karman ◽  
Indra Yudha Mambea
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Generalized Method Of Moments ◽  
Fixed Effect Model ◽  
Stock Market Index ◽  
Internal Factor ◽  
Financial Factors ◽  
Market Index ◽  
Effect Model ◽  
Us Dollar

This research aims to utilize macro-financial and liquidity elements as the factors that may affect the price of Bitcoin as the largest cryptocurrency in terms of market capitalization. The macro-financial factors analyzed in this study were foreign exchange, stock market index, interest rates, and gold, while liquidity ratio is the internal factor. This study applied a fixed-effect model (FEM) and Generalized Method of Moments (GMM) on gathered weekly data from 1 January 2017 to 29 December 2019 from 18 countries with the total of 2,826 observations. The analysis revealed that US Dollar amplifies Bitcoin trading; an increase in interest rate will decrease investors’ intention to invest in Bitcoin as a speculative asset, and gold could replace Bitcoin as a substitute asset. Moreover, Bitcoin was found to be highly liquid, which attracts many investors, while the stock market index proved to be insignificant.

scholarly journals PENGARUH NILAI TUKAR, TINGKAT BUNGA, INFLASI, DAN JUMLAH UANG BEREDAR TERHADAP INDEKS HARGA SAHAM SEKTOR KEUANGAN DI BURSA EFEK INDONESIA (BEI) (Studi Kasus pada Indek Harga Saham Sektor Keuangan Di BEI)

2018 ◽  
Vol 5 (2) ◽  
pp. 1-19
Author(s):  
Amna Mawardi
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Financial Sector ◽  
Stock Market Index ◽  
Market Index ◽  
Us Dollar ◽  
Stock Price Index

In the midst of uncertain economic condition, nowadays people tend to secure the potential assests they have, and think how to take advantage of the assets they have in order to keep it high in value for a long period of time. One of the way is by invest in the form of securities traded in the capital market. That is why every investor in the capital market urgently require a relevant informations on trend of transactions as reference in making investment decisions. One of the required information is stock market index. The purpose of this study is to examine the effect 0f macro economic indicators, US Dollar exchange rate, interest rate, inflation rate, and money supply on stock market index in Indonesia Stock Exchange (IDX). The method used in this research is using multiple linear regression. Data obtained from SEKI -  Bank Indonesia (Economic and Financial Statistics - Central Bank of The Republic of Indonesia) and  IDX (Indonesia Stock Exchange), in the form of secondary data of monthly period in year 2011 – 2015, collected by documentation techniniques. The results showed that partially variable of US Dollar exchange rates, interest rates, inflation rates, and money supply have no effect on the stock price index of financial sector. Whereas universally interest rates have a significant positive effect on the stock price index of financial sector. Over all simultaneously US Dollar exchange rates, interest rates, inflation rates, and money supply have an effect on the stock price index of financial sector.   Keywords: exchange rate, interest rate, inflation rate, money supply, and stock market index.

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

scholarly journals Impact of Covid-19 on Interest Rates

2020 ◽  
Vol 1 (1) ◽  
pp. 7-11
Author(s):  
Lo Yi-Wei
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Global Economy ◽  
Banking Sector ◽  
Stock Market Index ◽  
Informal Workers ◽  
Market Index ◽  
The Usa ◽  
Economic Stimulus

The global economy is experiencing a crisis due to the Covid-19 pandemic, the stock market index has collapsed. The rupiah exchange rate against the USA dollar weakened this was due to the large number of foreign investors leaving the Indonesian financial market, the stock market plummeted. The banking sector can carry out an economic stimulus given restructuring authority for all credit or financing without requiring restrictions on the credit ceiling or type of debtor, especially debtors for MSMEs and informal workers. The economic stimulus that needs to be maximized is prundential monetary and macro policies through lowering interest rates and maintaining stability in the rupiah exchange rate. Budget relocation is also enforced to maintain the availability of basic foodstuffs for the community, which has increased due to panic buying or market panic. Also providing assistance to increase people's purchasing power.

scholarly journals ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan

2021 ◽  
Vol 7 (2) ◽  
Author(s):  
Margarita Chrissanthi Kazakakou Powaski ◽  
Carolina Daza Ordoñez ◽  
Laura Jáuregui Sánchez
Keyword(s):  
Stock Returns ◽  
Fixed Effect Model ◽  
Annual Data ◽  
Stock Market Index ◽  
Public Companies ◽  
Operational Strategies ◽  
Portfolio Returns ◽  
Market Index ◽  
Effect Model ◽  
The Impact

Environmental, Social, and Governance investing has undergone a radical shift; companies and investors have focused on the impact of the disclosure of the practices and policies related to the environment, social responsibility, and governance in their operational strategies and investment. The purpose of this paper is to demonstrate the impact that the ESG policies have on public companies' stock returns in Australia and Japan. Accounting and market-based measures are used to determine the impact ESG practices have on stock market index returns. The annual data used is of companies from Australia's S&P/ASX Index and Japan's Nikkei 225 Index, covering the period from 2005 to 2019. Fixed effect model regression was used to test the significant relationship between companies' stock returns and ESG score, accounting, and market-based measures. Portfolios were created to analyze the risk/return relationship between companies with and without ESG across countries. The findings indicate mixed results. Australia´s non-ESG portfolios outperform the S&P500 and ESG portfolios. Japan´s portfolio has positive returns but underperforms the benchmark. Low market capitalization portfolios with and without ESG outperform the higher capitalization portfolios.  

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

scholarly journals Investors’ Reactions to CSR News in Family Versus Nonfamily Firms: A Study on Signal (In)credibility

2021 ◽  
pp. 104225872110104
Author(s):  
Naciye Sekerci ◽  
Jamil Jaballah ◽  
Marc van Essen ◽  
Nadine Kammerlander
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Family Firms ◽  
Signaling Theory ◽  
Family Firm ◽  
Stock Market Index ◽  
Important Condition ◽  
Post Hoc Analysis ◽  
Market Index ◽  
Post Hoc

We study family firm status as an important condition in signaling theory; specifically, we propose that the market reacts more positively to positive, and more negatively to negative, CSR news (i.e., signals) from family firms than to similar news from nonfamily firms. Moreover, we propose that during recessions, the direction of these relationships reverses. Based on an event study of 1247 positive and negative changes in the CSR ratings for all firms listed on the French SFB120 stock market index (2003-2013), we find support for our hypotheses. Moreover, a post hoc analysis reveals that the relationships are contingent on whether a family CEO leads the firm.

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