scholarly journals Analyzing the leverage effect in stock indexes with autoregressive generalized variance models

2017 ◽  
Vol 7 (1) ◽  
pp. 178-197
Author(s):  
Ilhami Karahanoglu ◽  
Harun Ercan
Keyword(s):  
New York ◽  
Stock Market ◽  
Stock Exchange ◽  
General Structure ◽  
Leverage Effect ◽  
Developed Economies ◽  
Stock Indices ◽  
Financial Events ◽  
The Right ◽  
Stock Indexes

In developing and developed economies understanding the movement of stock market is extremely important to understand the riskiness of the investment, general behavior of the economy and taking the right position against the forthcoming financial events. In this study, the volatility of Turkish, Brazilian, German, London and New York Stock Indices are analyzed with ARCH type of modeling and the leverage effect is researched for the period between 04.01.2011 to 26.05.2015. There are two interesting results of this study. Firstly; it was seen that in all of those stock markets there is a leverage effect which means the negative movement in volatility is stronger than the positive one. Secondly the general structure of the ARCH type of modeling which explains the leverage effect shows similarity between those developed and developing markets.   Keywords: GARCH, TGARCH, leverage, stock exchange.

DAMPAK PANDEMI COVID-19 TERHADAP PASAR MODAL DI INDONESIA:

2020 ◽  
Vol 2 (2) ◽  
pp. 109-138
Author(s):  
Dedi Junaedi ◽  
Faisal Salistia
Keyword(s):  
New York ◽  
Hong Kong ◽  
Stock Market ◽  
Negative Impact ◽  
Positive Impact ◽  
Task Force ◽  
Stock Exchange ◽  
Stock Index ◽  
Social Distancing ◽  
Stock Indexes

ABSTRACT This study aims to: (1) examine the influence of a pandemic on the development of the stock market (CSPI) in Indonesia; (2) analyzing the effect of externalities on the dynamics of stock market developments in Indonesia; and (3) examine whether differences in social distancing policies affect the dynamics of Indonesian capital market movements. The research method uses quantitative analysis with a dummy variable multiple regression approach. JCI as a bound variable, while the independent variable is the number of Covid-19 pandemic cases in Indonesia, China and Spain, then the movement of the FTSE100 stock indexes (London), Hangseng (Hong Kong) and NASDAQ (New York), as well as differences in social distancing policies in Indonesia (Indonesia) Task Force, WFH and PSBB). The results of the study concluded: The movement of the composite stock index (CSPI) on the Jakarta Stock Exchange is influenced by internal and external conditions. Internally the condition of the Covid-19 pandemic and social distancing (WFH and PSBB) policies in the country have influenced the dynamics of the stock market (indicated by the movement of the IHSG index on the JSX). Externally, the Covid-19 pandemic in China and Spain also influenced the dynamics of the stock market in Indonesia (IHSG index). Likewise, the dynamics of the stock market in Hong Kong (Hangseng), London (FTSE100) and News York (NASDAQ). The coronavirus pandemic in Indonesia, China, the dynamics of the Nasdaq stock market in New York, and the social dintancing (WFH and PSBB) policies had a negative impact on the movement of the JCI stock index. While the pandemic in Spain, the dynamics of the stock market in Hong Kong (Hangseng) and London (FTSE100) actually had a positive impact on stock market conditions in Indonesia (JSX). Keywords: IHSG, Stock Market, Pandemic Covid-19, Social Distancing  

DAMPAK PANDEMI COVID-19 TERHADAP PASAR MODAL DI INDONESIA:

2020 ◽  
Vol 2 (2) ◽  
pp. 109-138
Author(s):  
Dedi Junaedi ◽  
Faisal Salistia
Keyword(s):  
New York ◽  
Hong Kong ◽  
Stock Market ◽  
Negative Impact ◽  
Positive Impact ◽  
Task Force ◽  
Stock Exchange ◽  
Stock Index ◽  
Social Distancing ◽  
Stock Indexes

ABSTRACT This study aims to: (1) examine the influence of a pandemic on the development of the stock market (CSPI) in Indonesia; (2) analyzing the effect of externalities on the dynamics of stock market developments in Indonesia; and (3) examine whether differences in social distancing policies affect the dynamics of Indonesian capital market movements. The research method uses quantitative analysis with a dummy variable multiple regression approach. JCI as a bound variable, while the independent variable is the number of Covid-19 pandemic cases in Indonesia, China and Spain, then the movement of the FTSE100 stock indexes (London), Hangseng (Hong Kong) and NASDAQ (New York), as well as differences in social distancing policies in Indonesia (Indonesia) Task Force, WFH and PSBB). The results of the study concluded: The movement of the composite stock index (CSPI) on the Jakarta Stock Exchange is influenced by internal and external conditions. Internally the condition of the Covid-19 pandemic and social distancing (WFH and PSBB) policies in the country have influenced the dynamics of the stock market (indicated by the movement of the IHSG index on the JSX). Externally, the Covid-19 pandemic in China and Spain also influenced the dynamics of the stock market in Indonesia (IHSG index). Likewise, the dynamics of the stock market in Hong Kong (Hangseng), London (FTSE100) and News York (NASDAQ). The coronavirus pandemic in Indonesia, China, the dynamics of the Nasdaq stock market in New York, and the social dintancing (WFH and PSBB) policies had a negative impact on the movement of the JCI stock index. While the pandemic in Spain, the dynamics of the stock market in Hong Kong (Hangseng) and London (FTSE100) actually had a positive impact on stock market conditions in Indonesia (JSX). Keywords: IHSG, Stock Market, Pandemic Covid-19, Social Distancing  

Tunisian revolution and stock market volatility: evidence from FIEGARCH model

2015 ◽  
Vol 41 (10) ◽  
pp. 1112-1135 ◽  
Author(s):  
Ahmed Jeribi ◽  
Mohamed Fakhfekh ◽  
Anis Jarboui
Keyword(s):  
Stock Market ◽  
Financial Services ◽  
Stock Exchange ◽  
Leverage Effect ◽  
Stock Market Volatility ◽  
Political Uncertainty ◽  
Content Type ◽  
Stock Indices ◽  
Tunisian Revolution ◽  
The Impact

Purpose – Previously elaborated research works, dealing with the political uncertainty effect on stock market, have been primarily concerned with such political events as terrorist attacks, elections, wars, natural catastrophes and financial crashes. Such little research has been concerned with civil uprisings and revolutionary movements, as crucial sources of political uncertainty. The purpose of this paper is to study the impact of political uncertainty (resulting from the Tunisian Revolution) on the volatility of major sectorial stock indices in the Tunisian Stock Exchange (TSE). Design/methodology/approach – The authors apply the fractionally integrated exponential generalized autoregressive conditional heteroscedasticity model (FIEGARCH), which helps maintain a direct shock-persistence as well as a shock asymmetric volatility measurement. This model is applied to the daily returns relevant to nine sectorial stock indices and to the Tunisian benchmark index (TUNINDEX) with respect to three sub-periods (before, during and follows the Tunisian Revolution). Findings – The reached findings suggest that the shock impact throughout the Revolution period on construction, industries, consumer services, financial services, financial companies indices’ sectorial and the TUNINDEX return volatilities have proven to be permanent, while its persistence on the other indices has been discovered to be transitory. In addition, the achieved results appear to reveal a low leverage effect on all indices. This result seems to be very important since the Tunisian Revolution turns out to have a very important effect on the TSE. Originality/value – The paper’s empirical contribution lies in using the FIEGARCH approach to model the Tunisian sectorial indices’ volatility dynamics, persistence degree and leverage effect. This contribution goes a long way in helping regulators and international investors to further recognize the extent to which political instability does participate in affecting the TSE.

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 Diversification opportunities in European stock markets and their impact on textile industry development based on a financial education approach

2021 ◽  
Vol 72 (05) ◽  
pp. 528-537
Author(s):  
CRISTI SPULBĂR ◽  
RAMONA BIRĂU ◽  
VICTOR OLUWI ◽  
ABDULLAH EJAZ ◽  
TIBERIU HORAȚIU GORUN ◽  
...  
Keyword(s):  
Stock Market ◽  
Textile Industry ◽  
Stock Exchange ◽  
Financial Education ◽  
Sustainable Growth ◽  
Stock Exchanges ◽  
Portfolio Risk ◽  
Stock Indices ◽  
High Investment ◽  
European Stock Markets

This research study explores the diversification opportunity among 18 European stock market indices for the sample period from January 2001 to December 2019. However, financial education plays an important role in the development of the textile industry, considering the dynamics of the companies listed on the European stock exchanges. The correlation matrix, pairwise cointegration and Johansen cointegration reveal that selected 18 European stock market indices do not reduces the portfolio risk because exhibit higher positive correlation among them, and their movement pulsed in tandem. Potential investors are attracted by high investment opportunities in order to maximize their return based on portfolio diversification. Financial education can effectively contribute to the sustainable growth of the textile industry in Europe. This empirical research provides an integrated perspective on the long-term evolution of certain major European stock exchange indices. The findings have significant implications for investors interested in selecting these European stock indices in order to diversify their portfolio risk. Our study also imply that selected stock indices have been strongly affected by similar political and financial belies across Europe thus, eliminating the possibility of portfolio risk diversification.

scholarly journals IFRS and Stock Returns: An Empirical Analysis in Brazil

2016 ◽  
Vol 7 (2) ◽  
pp. 179 ◽  
Author(s):  
Rodrigo F. Malaquias ◽  
Anderson Martins Cardoso ◽  
Gabriel Alves Martins
Keyword(s):  
New York ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Relevant Information ◽  
Graphic Analysis ◽  
Accounting Numbers ◽  
Before And After ◽  
Accounting Reports ◽  
Accounting Convergence

In recent years, the convergence of accounting standards has been an issue that motivated new studies in the accounting field. It is expected that the convergence provides users, especially external users of accounting information, with comparable reports among different economies. Considering this scenario, this article was developed in order to compare the effect of accounting numbers on the stock market before and after the accounting convergence in Brazil. The sample of the study involved Brazilian listed companies at BM&FBOVESPA that had American Depository Receipts (levels II and III) at the New York Stock Exchange (NYSE). For data analysis, descriptive statistics and graphic analysis were employed in order to analyze the behavior of stock returns around the publication dates. The main results indicate that the stock market reacts to the accounting reports. Therefore, the accounting numbers contain relevant information for the decision making of investors in the stock market. Moreover, it is observed that after the accounting convergence, the stock returns of the companies seem to present lower volatility.

scholarly journals A Predictive Meta Model for Forecasting Stock Price using Time Series Data

2021 ◽  
Vol 10 (1) ◽  
pp. 345-356
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Price ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Meta Model ◽  
Price Range ◽  
Stock Traders ◽  
The Right

Stock market prediction through time series is a challenging as well as an interesting research areafor the finance domain, through which stock traders and investors can find the right time to buy/sell stocks. However, various algorithms have been developed based on the statistical approach to forecast the time series for stock data, but due to the volatile nature and different price ranges of the stock price one particular algorithm is not enough to visualize the prediction. This study aims to propose a model that will choose the preeminent algorithm for that particular company’s stock that can forecastthe time series with minimal error. This model can assist a trader/investor with or without expertise in the stock market to achieve profitable investments. We have used the Stock data from Stock Exchange Bangladesh, which covers 300+ companies to train and test our system. We have classified those companies based on the stock price range and then applied our model to identify which algorithm suites most for a particular range of stock price. Comparative forecasting results of all algorithms in diverse price ranges have been presented to show the usefulness of this Predictive Meta Model

Are stock market networks non-fractal? Evidence from New York Stock Exchange

2016 ◽  
Vol 17 ◽  
pp. 97-102 ◽  
Author(s):  
Zhi-Jian Zeng ◽  
Chi Xie ◽  
Xin-Guo Yan ◽  
Jue Hu ◽  
Zhou Mao
Keyword(s):  
New York ◽  
Stock Market ◽  
Stock Exchange ◽  
New York Stock Exchange ◽  
York Stock Exchange ◽  
Market Networks

Revisiting the viability to allow dual-class share structure companies to list in the financial market of Hong Kong

2018 ◽  
Vol 47 (3) ◽  
pp. 167-195 ◽  
Author(s):  
John Kong Shan Ho
Keyword(s):  
New York ◽  
Hong Kong ◽  
Initial Public Offering ◽  
Financial Market ◽  
Stock Exchange ◽  
The One ◽  
Public Offering ◽  
The Right ◽  
Dual Class ◽  
Share Structure

The request of Alibaba, China’s largest e-commerce company, to allow a self-selected group of its past and present management known as the ‘partners’ the right to nominate a majority of the directors in its negotiation with the Hong Kong Stock Exchange (HKEx) for an initial public offering (IPO) in 2013 reignited a new round of debate over the one share, one vote policy, which has survived for three decades in Hong Kong. Alibaba’s IPO application to list on the HKEx was eventually rejected which ultimately led to the company’s decision to list on the New York Stock Exchange. In late 2017, the debate on whether companies with dual-class share (DCS) structure should be allowed to list in Hong Kong re-emerged as the HKEx has announced that it would amend its listing rules to enable companies with DCS structure to list on its exchange, subject to certain safeguards and restrictions. This article examines what measures Hong Kong could adopt to allow companies with DCS structure to list on its exchange despite legal and institutional shortcomings of its financial market. In doing so, it will also make reference to other major financial markets in the world and examine how other jurisdictions have handled the issue of DCS structure companies.

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