scholarly journals Prediction of stock performance by using logistic regression model: evidence from Pakistan Stock Exchange (PSX)

2018 ◽  
Vol 8 (7) ◽  
pp. 247-258 ◽  
Author(s):  
Kashif Imran
Keyword(s):  
Logistic Regression ◽  
Regression Model ◽  
Logistic Regression Model ◽  
Stock Exchange ◽  
Stock Performance ◽  
Model Evidence

scholarly journals Trading Volume as a Predictor of Market Movement

2019 ◽  
Vol 8 (2) ◽  
pp. 57-69
Author(s):  
Edson Kambeu
Keyword(s):  
Logistic Regression ◽  
Stock Market ◽  
Regression Model ◽  
Trading Volume ◽  
Logistic Regression Model ◽  
Predictive Analytics ◽  
Stock Exchange ◽  
Stock Market Index ◽  
Trading Volumes ◽  
Popular Language

A logistic regression model is has also become a popular model because of its ability to predict, classify and draw relationships between a dichotomous dependent variable and dependent variables. On the other hand, the R programming language has become a popular language for building and implementing predictive analytics models. In this paper, we apply a logistic regression model in the R environment in order to examine whether daily trading volume at the Botswana Stock Exchange influence daily stock market movement. Specifically, we use a logistic regression model to find the relationship between daily stock movement and the trading volumes experienced in the recent five previous trading days. Our results show that only the trading volume for the third previous day influence current stock market index movement. Overall, trading volumes of the past five days were found not have an impact on today’s stock market movement. The results can be used as a basis for building a predictive model that utilizes trading as a predictor of stock market movement.

The Timescale Effects of Corporate Governance Measure on Predicting Financial Distress

2008 ◽  
Vol 11 (01) ◽  
pp. 35-46 ◽  
Author(s):  
Hsin-Hung Chen
Keyword(s):  
Corporate Governance ◽  
Logistic Regression ◽  
Regression Model ◽  
Financial Distress ◽  
Logistic Regression Model ◽  
Historical Data ◽  
Stock Exchange ◽  
Taiwan Stock Exchange ◽  
Prediction Horizon ◽  
The Empirical Analysis

This study aims to investigate the timescale effects of the corporate governance measure on predicting financial distress of corporations. A new corporate governance measure is adopted in the logistic regression model. Historical data of the companies listed on the Taiwan Stock Exchange Corporation (TSEC) were used in the empirical analysis. The analysis was based on three different prediction horizons comprising one-, two- and three-year horizons. The results confirmed that the accuracy of the logistic regression model for predicting corporate financial distress can be improved by incorporating the corporate governance measure. Moreover, the improvements of the correct rate for classification by incorporating the corporate governance measure increased as the prediction horizon was raised. The improvements of the correct rate for classification by incorporating the corporate governance measure are 2.9%, 4.4% and 5.8% for "Year 1", "Year 2" and "Year 3" models respectively.

scholarly journals Uji Model Keseimbangan Teori Keagenan: Pengaruh Kebijakan Utang dan Kebijakan Dividen Terhadap Kepemilikan Manajerial [Testing a Model of Balance Agency Theory: The Influence of Policy Liabilities and Dividend Policy towards Managerial Ownership]

2016 ◽  
Vol 11 (1) ◽  
pp. 102 ◽  
Author(s):  
Shiela Liviani ◽  
Putu Anom Mahadwartha ◽  
Liliana Inggrit Wijaya
Keyword(s):  
Logistic Regression ◽  
Regression Model ◽  
Agency Theory ◽  
Logistic Regression Model ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Fixed Effect ◽  
Managerial Ownership ◽  
Trade Off ◽  
Debt Policy

<p>This study aims to analyze the balancing model of agency theory in the effect of debt policy and dividend policy to managerial ownership in manufacture sector companies, which are listed in Indonesia Stock Exchange. Companies in Indonesia tend to have concentrated ownership structure. This condition is contradictory to the previous studies which mostly done in the widely ownership-dispersed countries. Balancing model argues that there is a trade-off between each monitoring and controlling mechanism, i.e. the effect of debt policy to managerial ownership and dividend policy to managerial ownership. This study uses a quantitative approach with fixed effect logistic regression model to analyze the data. Total sample of this study is 1,060 observations of 106 listed Indonesian manufacture firms during the period of 2004-2014. This study found debt policy to be a significant and negative determinant of the level of managerial ownership, as predicted by balancing model of agency theory. This study also found dividend policy has an insignificant positive effect to the level of managerial ownership, which rejected the balancing model of agency theory in the effect of dividend policy to managerial ownership.</p><p>Penelitian ini bertujuan untuk menguji model keseimbangan teori keagenan pada pengaruh kebijakan utang dan kebijakan dividen terhadap kepemilikan manajerial dalam perusahaan sektor manufaktur yang terdaftar di Bursa Efek Indonesia. Struktur kepemilikan dalam perusahaan-perusahaan di Indonesia cenderung terkonsentrasi. Kondisi ini berbeda dengan penelitian terdahulu yang banyak dilakukan di negara yang struktur kepemilikannya cenderung tersebar. Model keseimbangan menyatakan bahwa terdapat <em>trade-off</em> antar suatu mekanisme pengawasan dan pengendalian dengan mekanisme lainnya, yaitu pengaruh kebijakan utang terhadap kepemilikan manajerial dan kebijakan dividen terhadap kepemilikan manajerial. Penelitian ini menggunakan pendekatan kuantitatif dengan <em>fixed effect logistic regression model</em> untuk menganalisis data. Jumlah sampel yang digunakan dalam penelitian ini adalah 1.060 observasi dari 106 perusahaan sektor manufaktur di Indonesia selama periode 2004-2014. Penelitian ini menemukan bahwa kebijakan utang berpengaruh negatif signifikan terhadap tingkat kepemilikan manajerial, seperti yang diprediksi oleh model keseimbangan teori keagenan. Penelitian ini juga menemukan bahwa kebijakan dividen memiliki pengaruh positif tidak signifikan terhadap tingkat kepemilikan manajerial, yang mana menolak model keseimbangan teori keagenan dalam pengaruh kebijakan dividen terhadap kepemilikan manajerial.</p>

scholarly journals Logistic Regression Model for Assessing Factors Affecting Timeliness of Financial Statement Submission

2021 ◽  
Vol 31 (12) ◽  
pp. 3000
Author(s):  
Eri Ayu Rumiyani ◽  
Siti Resmi ◽  
Ralina Transistari ◽  
Muhammad Roni Indarto
Keyword(s):  
Logistic Regression ◽  
Regression Model ◽  
Logistic Regression Model ◽  
Stock Exchange ◽  
Financial Statements ◽  
Financial Statement ◽  
Company Size ◽  
Current Ratio ◽  
Financial Reports ◽  
Factors Affecting

Financial information is helpful if it fulfills fundamental characteristics. One of these characteristics is timeliness. This article aims to examine the elements that affect financial statement timeliness. This research is conducted on mining companies listed on the Indonesian stock exchange from 2016 to 2018. The data analyzed were panel data of 69 observations obtained from 23 companies over three years. The data was processed using Eviews9 and logit regression analysis techniques. The investigation demonstrates that the current ratio has a considerable favorable influence on the timeliness of financial statements for a variety of mining businesses listed on the Indonesian Stock Exchange (IDX) between 2016 and 2018. On the other hand, return on assets, and company size has no significant effect on the timeliness of financial statements. The implication of the results of this study is that better regulations are needed to improve public companies in submitting financial reports on time. Published financial statements are information for making informed decisions by interested users. Keywords : Current Ratio; Return on Asset; Company Size; Financial Statement; Logistic Regression Model.

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