scholarly journals BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET

2020 ◽  
Vol 21 (6) ◽  
Author(s):  
FREDERICO DIMARZIO ◽  
JOSE MATIAS FILHO ◽  
RICARDO A. FERNANDES
Keyword(s):  
Stock Market ◽  
Behavioral Finance ◽  
Design Methodology ◽  
Stock Exchange ◽  
Behavioral Effect ◽  
Magic Formula ◽  
Economic Agents ◽  
Efficient Markets Hypothesis ◽  
Finance Theory ◽  
Made In

ABSTRACT Purpose: Explain the causes of inefficiencies in asset pricing on the Brazilian stock exchange through the behavioral finance hypothesis. Originality/value: Research made in the stock market over the last decades suggests that there is evidence of obtaining returns above the market average, through the purchase of undervalued assets, that is, when it has a low relation between the price and the fundamentals of the company. However, there is a notable discrepancy regarding the interpretation of causes among academics. The efficient markets hypothesis was presented, which is based on the premise of the strict rationality of economic agents. On the other hand, the behavioral finance theory was also discussed, which presents different assumptions. Design/methodology/approach: Using the historical quotes of the shares traded on B3, extracted from economática(r)'s database, the present work used the Magic Formula methodology to investigate the behavioral effect through the inefficiencies found in the pricing of these assets. Findings: The results suggest that the Brazilian stock market, in conformity with works of the same nature performed in markets in other countries, has inefficiencies in the pricing of assets, so that it is possible to obtain advantages from economic agents. The interpretation for the causes of such inefficiencies is based on the premises of behavioral finance, and points to the existence of a limitation in the rationalization of these agents.

Friday the 13th effect on Indian stock market

2020 ◽  
Vol 07 (02) ◽  
pp. 2050010
Author(s):  
Tarika Singh Sikarwar ◽  
Karuna Shrivastava ◽  
Pratibha Jadon
Keyword(s):  
Stock Market ◽  
Design Methodology ◽  
Stock Exchange ◽  
Emerging Market ◽  
Indian Market ◽  
Study Results ◽  
Developed Nations ◽  
Indian Stock Market ◽  
Work Done ◽  
Practical Implications

Purpose: This paper attempts to investigate the presence of Friday the 13th Effect in the Indian stock market. Design/methodology/approach: This paper tests the presence of the Friday the 13th Effect using different sets of hypotheses for 7 days, 15 days and normal versus Friday the 13th by using statistical methods. Findings: The findings of the study do not support the presence of Friday the 13th Effect for all cases. There are few months for certain specific years where the effect was seen. Research limitations/implications: The Friday the 13th effect has been examined for two major indices of the Indian market, i.e., the Bombay Stock Exchange Index SENSEX and the National Stock Exchange Nifty Fifty Index. However, there are other major and sectoral indices as well where in the effect may be checked. Practical implications: The study results indicate that Indian stock market shows phased anomaly. The effect of Friday the 13th is seen only in some cases during certain years only. Originality/value: Friday the 13th effect has been mostly checked for developed nations and again there has been less work done with respect to this particular market anomaly. The present research is an original work done for emerging market naming India.

scholarly journals Bitcoin: its influence on the global World and its relationship with the stock exchange

2018 ◽  
pp. 54-72
Keyword(s):  
Stock Market ◽  
Linear Correlation ◽  
Stock Exchange ◽  
Strong Relationship ◽  
Technological Infrastructure ◽  
Economic Agents ◽  
Advantages And Disadvantages ◽  
Technological Advances ◽  
Market Indexes ◽  
Global World

The new technological advances have brought a revolution on how economic agents interact with society and markets. Nowadays, the use of virtual currencies is more frequent in the financial transactions and bitcoin has been defined as the most important world cryptocurrency due to its high market capitalization and its technological infrastructure. Several studies have been conducted to discuss bitcoin advantages and disadvantages; however, few papers in literature have examined its connection and influence on the stock market. The objective of this paper is precisely cover this gap. Firstly, by providing tools and concepts to understand bitcoin’s dynamic, and then determining its relationship with stock market indexes. In that context, this manuscript examines the definition and function of bitcoin in the global world and its presence in Ecuador. Besides, exploratory and visual analyses are provided using the evolution of bitcoin and other market indexes. Finally, a linear correlation is computed between bitcoin, other cryptocurrencies, stock exchange indexes and commodities. The results in this study, employing visual and statistical analyses, demonstrated that bitcoin has: a strong relationship with other cryptocurrencies; a lineal correlation, not as strong as the previous one, with the main stock market indexes; and no linear correlation with commodities.

scholarly journals Investor Sentiment in Stock Market: A Case of Pakistan Super League in Pakistan Stock Exchange

2021 ◽  
Vol 4 (2) ◽  
pp. 101-121
Author(s):  
FURQAN ULLAH ◽  
MUHAMMAD ASIF ◽  
MUHAMMAD ZAHID ◽  
FAIZA MEHREEN
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
United Arab Emirates ◽  
Behavioral Finance ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Sports Events ◽  
Investor Sentiments ◽  
Super League

This study investigates whether sentiments play any role while investors make financial decisions which results in the stock returns. The paper analyzes the major two sports events (2016-2017) of Pakistan Super League (PSL). The study utilizes the stock market data from Pakistan Stock Exchange (PSX)-100 index for the period of two financial years starting from June 2015 to July 2017. PSL T20 data is collected from the official PSL website. The empirical results of the studyshow that PSL sports events are highly statistically significant and imply that the events trigger investor sentiments (optimistic and pessimistic behaviors) in the PSX.When the whole PSL games were played on United Arab Emirates (UAE) grounds in 2016, later on, which badly affected the investor moods and resulted in a negative abnormal return in PSX-100 index. While in case of PSL event in 2017, in which only final match of the event was held in Lahore, Pakistan and resulted in a positive abnormal return in PSX-100 index. The study provides implications for different authorities such as Pakistan Cricket Board (PCB), PSX and other development authorities in order to promote such activities for the overall economic and social benefits. While founding no previous studies concerning the subject in the Pakistani context, the Scholar selected the issue to conduct a research and make a considerable contribution for investors in Pakistan with respect to PSL events and its impact on PSX. Keywords: Investor Sentiments, Stock returns, behavioral finance, Pakistan Super League, Pakistan Stock Exchange

scholarly journals An Unconventional Example of Big Data: BIST-100 Banking Sub-Index of Turkey

2018 ◽  
Author(s):  
Sadullah Çelik ◽  
Elif İşbilen
Keyword(s):  
Big Data ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Exchange ◽  
Great Influence ◽  
Wavelet Coherence ◽  
Exchange Market ◽  
Economic Agents ◽  
Turkish Economy ◽  
Rich Data

This paper applies Big Data concept to an emerging economy stock exchange market by examining the relationship between price and volume of the Banking index in BIST-100. Stock markets have been commonly analyzed in big data studies as they are one of the main sources of rich data with recordings of hourly and minutely transactions. In this sense, nowcasting the economic outlook has been related to the fluctuations in the stock exchange market as news from companies open to public became important sources of changes in expectations for economic agents. However, most of the previous studies concentrated on the main stock market indices rather than the major sub-indices. This study covers the period 13 December 2017 – 12 March 2018, with minute data and approximately 31000 observations for each of the 11 bank stocks. The effects of stock market movements on exchange rates and interest rates are also examined. The methodologies used are frequency domain Granger causality of Breitung and Candelon (2006) and wavelet coherence of Grinsted et al. (2004). The main finding is the supremacy of the banking index as it seems to have great influence on economic fluctuations in Turkish economy through other high frequency variables and the households’ expectations.

scholarly journals Volatility at Karachi Stock Exchange

1995 ◽  
Vol 34 (4II) ◽  
pp. 651-657 ◽  
Author(s):  
Aslam Farid ◽  
Javed Ashraf
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Policy Implications ◽  
Positive Sign ◽  
Expected Returns ◽  
Portfolio Insurance ◽  
Almost All ◽  
Made In

Frequent “crashes” of the stock market reported during the year 1994 suggest that the Karachi bourse is rapidly converting into a volatile market. This cannot be viewed as a positive sign for this developing market of South Asia. Though heavy fluctuations in stock prices are not an unusual phenomena and it has been observed at almost all big and small exchanges of the world. Focusing on the reasons for such fluctuations is instructive and likely to have important policy implications. Proponents of the efficient market hypothesis argue that changes in stock prices are mainly dependent on the arrival of information regarding the expected returns from the stock. However, Fama (1965), French (1980), and French and Rolls (1986) observed that volatility is to some extent caused by trading itself. Portfolio insurance schemes also have the potential to increase volatility. Brady Commission’s Report provides useful insights into the effect of portfolio insurance schemes. It is interesting to note that many analysts consider the so-called “crashes” of Karachi stock market as a deliberate move to bring down prices. An attempt is made in this study to examine the effect of trading on the volatility of stock prices at Karachi Stock Exchange (KSE). Findings of the study will help understand the mechanism of the rise and fall of stock prices at the Karachi bourse.

scholarly journals Does Weather Has Same Effect on Different Countries Stock Market Return

2018 ◽  
Vol 6 (2) ◽  
pp. 1
Author(s):  
Sayed Kifayat Shah ◽  
Yang Yiwen ◽  
Farman Ali
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Behavioral Finance ◽  
Stock Exchange ◽  
Variable Temperature ◽  
Asian Country ◽  
Effect Of Temperature ◽  
Stock Exchanges ◽  
Market Return ◽  
Stock Market Return

In the field of behavioral finance mood, emotions and other different effecting factors have been investigated regarding stock market return. Weather is one of the most important and vital factor that has been analyzed. In this empirical study the two different stock exchanges (Eastern Asian and South Asian) are compared with respect to the weather variable temperature. The analysis and investigation has been made by utilizing the six years record of both stock exchange (China, Pakistan) indexes (SSE-180, KSE 100). The Autoregressive (AR) Conditional Heteroscedasticity (GARCH) technique has been utilized for analysis. It has been found that temperature is the most affecting factor that has negative effect on both stock exchanges. The effect of temperature on both stock exchanges has been compared and found that Eastern Asian Country have more effect as compared South Asian country. The results are given in detail by using Eviews Package.

scholarly journals The Western Balkans Stock Exchanges Unification in Response to the Pandemic Crisis

2021 ◽  
Vol 27 (3) ◽  
pp. 372-388
Keyword(s):  
Stock Exchange ◽  
Economic Life ◽  
Remote Access ◽  
Stock Exchanges ◽  
Eastern European ◽  
Western Balkans ◽  
Economic Agents ◽  
Eastern European Countries ◽  
National Economies ◽  
Made In

Western Balkans is a term describing Eastern European countries that include North Macedonia, Montenegro, Serbia, Albania, and Kosovo. The report puts Bulgaria next to the Western Balkan countries. The pandemic situation since the beginning of 2020 creates a need for fresh capital in all national economies. During the pandemic, non-standard decisions should be made in favor local economic agents to support and standardize economic processes. The pandemic necessitates the creation of alternative financing for economies. The Balkan Stock Exchange project faces thе opportunity to be implemented through the Committee of the European Parliament. In stock market history a merger is not a precedent. The first steps were in 2001, by Euronext. The Balkan Stock Exchange problems are mainly in the legislation and the tax treatment of income from financial instruments and dividends. The biggest positive for countries will be if, owing to the Balkan Stock Exchange, the possibility of remote access and investment keeps economies running. Through funding from an effective Balkan stock exchange, economic life should continue, albeit transformed into a remote one, so that the pandemic can be overcome with the least possible damage and without complete closure of the economies.

scholarly journals Economic Factors And Individual Investor Behavior: The Case Of The Greek Stock Exchange

2011 ◽  
Vol 20 (4) ◽  
Author(s):  
Anna A. Merikas ◽  
Andreas G. Merikas ◽  
George S. Vozikis ◽  
Dev Prasad
Keyword(s):  
Behavioral Finance ◽  
Stock Exchange ◽  
Investor Behavior ◽  
Economic Factors ◽  
Individual Investor ◽  
Font Size ◽  
Empirical Survey ◽  
Athens Stock Exchange ◽  
The Individual ◽  
Finance Theory

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This study undertook an empirical survey of the factors, which mostly influence individual investor behavior in the Greek stock exchange.<strong> </strong>The results revealed by our sample of 150 respondents confirm that there seems to be a certain degree of correlation between the factors that behavioral finance theory and previous empirical evidence identify as the influencing factors for the average equity investor, and the individual behavior of active investors in the Athens Stock Exchange (ASE) influenced by the overall trends prevailing at the time of the survey in the ASE.</span></span></p>

Effect of Overconfident Investor Behavior to Stock Market

2010 ◽  
Vol 14 (6) ◽  
pp. 661-668 ◽  
Author(s):  
Ryota Inaishi ◽  
◽  
Kaoru Toya ◽  
Fei Zhai ◽  
Eisuke Kita
Keyword(s):  
Stock Market ◽  
Behavioral Finance ◽  
Efficient Market Hypothesis ◽  
Investor Behavior ◽  
Efficient Market ◽  
Multiagent Simulation ◽  
Finance Theory ◽  
The Relationship ◽  
Psychological Bias

Behavioral finance theory has been presented to explain the phenomena not explainable by conventional finance theory based on efficient market hypothesis from the investor psychology. We focused on overconfidence – an important psychological bias –, and analyzed the effect of overconfident investor behavior in stock market using multiagent simulation. We found that, based on the increase in overconfident market investors, market dealing increases and rising trends occur more often. An analysis of the relationship between overconfidence and rising trends shows that rising trends make investors even more overconfident.

scholarly journals Research on the Relationship between CEO's Overconfidence and Corporate Investment Financing Behavior

2018 ◽  
Vol 10 (1) ◽  
pp. 8
Author(s):  
Yan-liang Zhang ◽  
Zi-wei Yang
Keyword(s):  
Corporate Finance ◽  
Behavioral Finance ◽  
Stock Exchange ◽  
Private Company ◽  
Corporate Leaders ◽  
Investment Financing ◽  
Owned Company ◽  
Financing Behavior ◽  
Finance Theory ◽  
The Relationship

At present, the classic corporate finance theory is challenged by various behavioral visions of corporate leaders in the actual decision-making of corporate finance. From the perspective of behavioral finance, this paper selects the data of A-share listed companies in China's Shanghai Stock Exchange and Shenzhen Stock Exchange in 2003-2016 to study the relationship between CEO's overconfidence and business operations. The study found that: Overconfidence CEOs will tend to increase the level of leverage, increase the number of loans, especially to increase the number of short-term loans; When the economic growth is faster, the listed company's CEO is more inclined to overconfidence; However, unlike the results of foreign studies, overconfident companies did not replace CEOs more frequently than non-overconfident companies, and did not increase the probability of bankruptcy. Finally, the CEO of a state-owned company does not appear to be more overconfident than the CEO of a private company.

Sign in / Sign up

Export Citation Format

Share Document