scholarly journals Volatility of Jakarta Islamic Index

2014 ◽  
Vol 6 (2) ◽  
pp. 207-222
Author(s):  
Hendri Tanjung
Keyword(s):  
Statistical Analysis ◽  
Normal Distribution ◽  
Stock Exchange ◽  
Daily Data ◽  
Using Data ◽  
Simple Statistical Analysis

Volatility of Jakarta Islamic Index. This study investigates the volatility of Jakarta Islamic Index (JII) in Jakarta Stock Exchange. The method that used in this research is used a simple statistical analysis. The normality of JII return is analyzed to answer whether the return of JII follows normal distribution. By using data of Jakarta Islamic Index from 2nd March 2009 to 30th October 2013 (1122 daily data), it is found that the distribution of return of JII is not normal, even the 5 sigma occurred. This means the return of Jakarta Islamic Index is much volatile than the theory predicted. This will make too much gain or loss in one day in the economy  DOI:10.15408/aiq.v6i2.1231

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

Absence of the weekend effect and industry-style portfolios

2019 ◽  
Vol 12 (4) ◽  
pp. 463-475
Author(s):  
Selma Izadi ◽  
Abdullah Noman
Keyword(s):  
New York ◽  
Stock Market ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Structural Break ◽  
Weekend Effect ◽  
Content Type ◽  
Market Portfolio ◽  
The Us ◽  
Using Data

Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

scholarly journals Does the Croatian Stock Market Have Seasonal Affective Disorder?

2021 ◽  
Vol 14 (2) ◽  
pp. 89
Author(s):  
Tihana Škrinjarić ◽  
Branka Marasović ◽  
Boško Šego
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Affective Disorder ◽  
Seasonal Affective Disorder ◽  
Stock Exchange ◽  
Trading Strategies ◽  
Future Research ◽  
Winter Solstice ◽  
Daily Data ◽  
Depressive Episodes

This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights into the investors’ sentiment regarding SAD effects. The purpose of the research is to observe how investors’ sentiment affects the return and risk series on ZSE and if this could be exploitable. Using daily data on stock market return CROBEX for the period January 2010—February 2021, SAD effects are tested to explore if seasonal changes affect the stock returns and risk. Besides the SAD variable in the model, some control variables are included as well: Monday, tax, and COVID-19 effect. The results indicate that SAD effects exist on ZSE, even with controlling for mentioned effects; and asymmetries around winter solstice exist. Implications of such findings can be found in simulating trading strategies, which could incorporate such information to gain profits. Limitations of the research focus on one market, observing static parameters of the estimated models, and observing simple trading strategies. Thus, future research should focus on international diversification possibilities, time-varying models, and fully exploring the exploitation possibilities of such findings.

Intellectual Capital Investment, Stakeholders' Value, Firm Market Value and Financial Performance: The Case of Tunisia Stock Exchange

2013 ◽  
Vol 12 (02) ◽  
pp. 1350010 ◽  
Author(s):  
Hedia Fourati ◽  
Habib Affes
Keyword(s):  
Human Capital ◽  
Financial Performance ◽  
Intellectual Capital ◽  
Capital Investment ◽  
Positive Impact ◽  
Stock Exchange ◽  
Value Added ◽  
Market Value ◽  
Market Valuation ◽  
Using Data

The purpose of this paper is to investigate the role of intellectual capital investment in improving the firm's market value, stakeholders' value and financial performance. Using data drawn from 21 listed companies in Tunisia Stock Exchange, we conducted two studies. On one hand, from using Charreaux (Charreaux (2006). La valeur partenariale: Vers une mesure opérationnelle. Cahier de FARGO no. 1061103, November) measure of stakeholders' value, we demonstrate that financials come to present the weakest stakeholders' value and clients monopolises in term of value acquisition due to a weak ability of negotiation of firms. On the other hand, we construct a regression model of Pulic's value added intellectual capital investment (VAIC) as the measure of the value added from intellectual capital, in market valuation and financial performance. Our results stressed the fact that there is a positive impact of intellectual capital by human capital efficiency and capital employed efficiency on improving firm's market value. Nevertheless, financial performance measured by ROA is still justified by the traditional measure relying on capital employed efficiency. Indeed for Tunisian quoted firms, human capital investment is a pilar for ameliorating firm market valuation of financial performance.

scholarly journals Revisiting Herding Investment Behavior on the Zagreb Stock Exchange: A Quantile Regression Approach

2018 ◽  
Vol 3 (2) ◽  
pp. 119-162 ◽  
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Quantile Regression ◽  
Stock Exchange ◽  
Political Crisis ◽  
Investment Behavior ◽  
Investment Strategies ◽  
Herding Behavior ◽  
Policy Makers ◽  
Daily Data ◽  
Regression Approach ◽  
Behavior Models

Herding investment behavior on stock markets has consequences for practitioners, theorists, and policy makers. Thus, empirical research on this topic in the last couple of years has grown exponentially. However, there exist only a few papers dealing with herding behavior that consider the Croatian stock market. This study employs the quantile regression approach of estimating several herding investor behavior models of this market for the first time in the literature. Based upon daily data for the 37 most liquid stocks in the Zagreb Stock Exchange (ZSE) for the period September 22, 2014 to May 8, 2018, several model specifications are determined using quantile regression. Because the quantile regression approach deals with specific characteristics of financial data (stylized facts) better than the OLS method, more robust results can be achieved for evaluating if herding behavior is present in the Croatian market. The results indicate very weak to almost nonexistent evidence of herding behavior in the ZSE. Moreover, market volatility does not have any effect on herding behavior. Finally, the economic and political crisis (regarding concern Agrokor) in 2017 was controlled for in the model and the crisis was found insignificant. It seems that herding behavior does not need to be taken into account when tailoring investment strategies on the ZSE.

scholarly journals Hubungan Perilaku Perdagangan Investor Dengan Volume Perdagangan Di Bursa Efek Indonesia

2009 ◽  
Vol 2 (1) ◽  
Author(s):  
Ghazali Syamni
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Time Interval ◽  
Time Intervals ◽  
Using Data ◽  
Changes Over Time ◽  
Relationship Of ◽  
The Relationship ◽  
Order Pattern ◽  
Over Time

This paper examines the relationship of behavior trading investor using data detailed transaction history-corporate edition demand and order history in Indonesia Stock Exchange during period of March, April and May 2005. Peculiarly, behavior placing of investor order at trading volume. The result of this paper indicates that trading volume order pattern to have pattern U shape. The pattern happened that investors have strong desires to places order at the opening and close of compared to in trading periods. While the largest orders are of market at the opening indicates that investor is more conservatively when opening, where many orders when opening has not happened transaction to match. In placing order both of investor does similar strategy. By definition, informed investors’ orders more large than uninformed investors. If comparison of order examined hence both investors behavior relatively changes over time. But, statistically shows there is not ratio significant. This implies behavior trading of informed investors and uninformed investors stable relative over time. The result from regression analysis indicates that informed investors to correlate at trading volume in all time intervals, but not all uninformed investors correlates in every time interval. This imply investor order inform is more can explain trading volume pattern compared to uninformed investor order in Indonesia Stock Exchange. Finally, result of regression also finds that order status match has greater role determines trading volume pattern intraday especially informed buy match and informed sale match. While amend, open and withdraw unable to have role to determine intraday trading volume pattern.

scholarly journals Verification of normal distribution of welding distortions

2019 ◽  
Vol 91 (3) ◽  
Author(s):  
Damian Grzesiak ◽  
Jarosław Plichta
Keyword(s):  
Statistical Analysis ◽  
Standard Deviation ◽  
Normal Distribution ◽  
Sheet Metal ◽  
Welding Process ◽  
Experiment Planning ◽  
Geometrical Parameters ◽  
Butt Welds ◽  
Planning Methods ◽  
Smirnov Test

The aim of this paper is to answer the question of the distribution of welding distortions. The MIG method was used to make 31 butt welds of 0H18N9 sheet metal, of 6 mm thickness and dimensions 150x350 mm. All joints are made with constant parameters of the welding process. Statistical analysis of the distribution and Kolomogorov-Smirnov test were used in this paper. On the grounds of the analysis it was proved that the distribution of welding deformations is a normal distribution. This justifies the use of experiment planning methods and the use of average values. The relatively high value of the standard deviation makes it necessary to take into account the geometrical parameters of the joint.

scholarly journals ESG disclosure patterns in the Baltics

2020 ◽  
Author(s):  
Ilze Zumente ◽  
Nataļja Lāce ◽  
Jūlija Bistrova
Keyword(s):  
Content Analysis ◽  
Statistical Analysis ◽  
Stock Exchange ◽  
Financial Disclosure ◽  
Social Dimensions ◽  
Key Characteristics ◽  
Wide Range ◽  
Financial Metrics ◽  
The Baltic ◽  
Disclosure Patterns

The goal of this article is to provide evidence on the volume of ESG disclosures of 34 companies listed on the NASDAQ Baltic stock exchange. It provides a broad view of the non-financial disclosure thoroughness and offers conclusions on the key characteristics of the Baltic listed companies in terms of ESG. By performing content analysis of the publicly available reports based on 106 ESG criteria and statistical analysis of the retrieved data, the disclosure patterns across reporting dimensions, industries, and company characteristics are analyzed. Authors find a wide range (8% to 67%) ESG transparency scores with an average of 41%. On aggregate, governance and social dimensions are reported better (49% and 44%) than environmental (24%). Correlation analysis was performed to test the correlation between ESG and selected financial metrics revealing that the ESG disclosure score correlates with the firm’s market capitalization.

Investors overconfidence behaviour at Bombay Stock Exchange

2018 ◽  
Vol 14 (5) ◽  
pp. 613-632 ◽  
Author(s):  
Venkata Narasimha Chary Mushinada ◽  
Venkata Subrahmanya Sarma Veluri
Keyword(s):  
Private Information ◽  
Trading Volume ◽  
Negative Impact ◽  
Stock Exchange ◽  
Public Information ◽  
Response Analysis ◽  
Content Type ◽  
Daily Data ◽  
Level Data ◽  
Attribution Bias

PurposeThe purpose of the paper is to empirically test the overconfidence hypothesis at Bombay Stock Exchange (BSE).Design/methodology/approachThe study applies bivariate vector autoregression to perform the impulse-response analysis and EGARCH models to understand whether there is self-attribution bias and overconfidence behavior among the investors.FindingsThe study shows the empirical evidence in support of overconfidence hypothesis. The results show that the overconfident investors overreact to private information and underreact to the public information. Based on EGARCH specifications, it is observed that self-attribution bias, conditioned by right forecasts, increases investors’ overconfidence and the trading volume. Finally, the analysis of the relation between return volatility and trading volume shows that the excessive trading of overconfident investors makes a contribution to the observed excessive volatility.Research limitations/implicationsThe study focused on self-attribution and overconfidence biases using monthly data. Further studies can be encouraged to test the proposed hypotheses on daily data and also other behavioral biases.Practical implicationsInsights from the study suggest that the investors should perform a post-analysis of each investment so that they become aware of past behavioral mistakes and stop continuing the same. This might help investors to minimize the negative impact of self-attribution and overconfidence on their expected utility.Originality/valueTo the best of the authors’ knowledge, this is the first study to examine the investors’ overconfidence behavior at market-level data in BSE, India.

A STATISTICAL MODEL OF WINTER/SPRING POLAR OZONE

2021 ◽  
pp. 16-24
Author(s):  
N. S. Ivanova ◽  
Keyword(s):  
Statistical Analysis ◽  
Statistical Model ◽  
Zonal Wind ◽  
The Arctic ◽  
Satellite Measurements ◽  
Latitude Zone ◽  
Using Data ◽  
Polar Ozone

Satellite measurements provided by NASA (USA) at http://ozonewatch.gsfc.nasa.gov are used to study the variability and interdependence of polar ozone, polar temperature, and mean zonal wind. A model of winter/spring polar ozone in the Arctic and Antarctic is constructed using data on polar temperatures at 30, 70, and 100 hPa levels and mean zonal wind at 10 and 70 hPa levels in the latitude zone of 45°-75°. The results of the statistical analysis of the 1979-2020 polar ozone calculation errors are presented.

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