scholarly journals Investigating the Markov Property on Stock Returns: A Case Study of Ghana Stock Exchange

2014 ◽  
Vol 6 (1) ◽  
pp. 1-6
Author(s):  
Sampson Wiredu ◽  
Abubakari A. Ghaniyyu ◽  
W. Abazing Mavis
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Markov Property ◽  
Ghana Stock Exchange

Stock Returns and Long-range Dependence

2019 ◽  
pp. 097215091986696
Author(s):  
Alexander Ayertey Odonkor ◽  
Emmanuel Nkrumah Ababio ◽  
Emmanuel Amoah- Darkwah ◽  
Richard Andoh
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Exchange ◽  
Moving Average ◽  
Efficient Market Hypothesis ◽  
Conditional Heteroskedasticity ◽  
Relevant Market ◽  
Figarch Model ◽  
Ghana Stock Exchange

This article studies the long memory behaviour of stock returns on the Ghana Stock Exchange. The estimates employed are based on the daily closing prices of seven stocks on the Ghana Stock Exchange. The results of the autoregressive fractionally integrated moving average-fractionally integrated generalized autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) model suggest that the stock returns are characterized by a predictable component; this demonstrates a complete departure from the efficient market hypothesis suggesting that relevant market information was only partially reflected in the changes in stock prices. This pattern of time dependence in stock returns may allow for past information to be used to improve the predictability of future returns.

scholarly journals Do the stocks' returns and volatility matter under the COVID-19 pandemic? A Case Study of Pakistan Stock Exchange

2021 ◽  
Vol 3 (1) ◽  
pp. 13-26
Author(s):  
Muhammad Saeed ◽  
Ijaz Ahmad ◽  
Muhammad Ahmad Usman
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Dummy Variable ◽  
The World ◽  
The Government ◽  
The Impact ◽  
Near Future

The catastrophe that the world is now facing in the form of COVID-19, has affected most of the world economies and financial markets as a result of lockdown, travelling restrictions, and social distances. The present study attempted to investigate the effects of COVID-19 on the stock returns of the Pakistan Stock Exchange. The data employed comprises daily prices of Pakistan Stock Exchange, the daily value of exchange rate over the period 01 January 2011 to 30 April 2021, and a dummy variable for COVID-19 which takes 1 for the period during COVID-19 and 0 for the period before. The data were sourced from the Karachi Stock Exchange website, National Institute of Health Sciences Pakistan, and State Bank of Pakistan. We applied the autoregressive conditional heteroskedastic (ARCH) and the associate generalized autoregressive conditionally heteroskedastic (GARCH) approaches to analyze the impact. Our findings revealed that a negative relationship exists between our variables of interest with mean returns and a positive relationship with the volatility of the KSE-100 index. This implies that the COVID-19 pandemic has affected the stock price and increases the volatility of the KSE-100 index, and further affects the financial system. The study recommends that an urgent and powerful response is needed on the part of the government,including strong measures to prevent a severe stock market crash in Pakistan in near future.

scholarly journals The Impact of Bond Rating Announcement on Companies Listed Stock Returns: Evidence from Indonesia

2019 ◽  
Vol 1 (2) ◽  
pp. 75
Author(s):  
Novyandri Taufik Bahtera
Keyword(s):  
Stock Returns ◽  
Sampling Method ◽  
Stock Exchange ◽  
Bond Ratings ◽  
Bond Rating ◽  
Significant Difference ◽  
Before And After ◽  
The Impact ◽  
Observation Period

This study aims to determine whether there is a difference between stock returns before and after the announcement of both increases and decreases in bond ratings. This study is classified as a case study with an observation period of 5 days before and 5 days after the announcement of the bond rating. The population of this study is all companies listed on the Indonesia Stock Exchange that announced the ratings of bonds from 1999 to 2009, which made a total of 331 bond ratings in 52 companies. The sample was chosen using a purposive sampling method and 24 samples were obtained for the announcement of the increase in bond ratings and 18 samples for the announcement of the bond rating decline. Data testing is done using paired sample t-test. Based on the results of the study it can be concluded that (1) there is no significant difference in stock returns around the date of the announcement of the increase in bond ratings. This indicates that the announcement of an increase in bond ratings does not bring information to investors. (2) There is a significant difference in stock returns around the date of the announcement of the decline in bond ratings. This indicates that the announcement of the downgrade of bonds carries information content for investors.

scholarly journals Cointegration of Stock Prices and Domestic Portfolio Diversification Opportunities: Evidence from the Ghana Stock Exchange

2017 ◽  
Vol 4 (5) ◽  
pp. 78
Author(s):  
George Amfo-Antiri ◽  
Edward Quansah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Composite Index ◽  
Cointegration Analysis ◽  
Portfolio Diversification ◽  
Individual Investors ◽  
Long Run ◽  
Ghana Stock Exchange ◽  
Bound Test

This paper employed Engle-Granger test of cointegration and the Bound Test to explore potential domestic portfolio diversification opportunities that are available for individual investors, institutional and other portfolio managers from constructing domestic portfolios. Daily stock prices for the period 1st August, 2011 to July 29th, 2016 have been employed as well as monthly stock return from the Ghana Stock exchange. The result from the cointegration analysis indicated that most equity stocks listed on the Ghana Stock Exchange are not cointegrated with each other in the long run. In addition, majority of the stock returns are statistically insensitive to the GSE– Composite index during the period under consideration. The empirical evidence indicates that domestic investors can benefit from constructing portfolios that consist of equities from the financial sector and other non-financial sectors which are not cointegrated.

Impact of Macroeconomic Variables on Stock Returns: A Case Study from Karachi Stock Exchange

2021 ◽  
Vol 2 (1) ◽  
pp. 75-86
Author(s):  
HAMZA KHWAJA ◽  
NIDA JAMAL ◽  
SAQIB SHAHZAD
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Main Theme ◽  
Macroeconomic Variables ◽  
Multiple Regression Models ◽  
The Impact

The main theme behind this research is to find out how different macroeconomic variables affect the returns of the Karachi stock exchange. The three variables like interest rate, inflation rate and exchange rate which are taken under consideration are the back bone of any economy and this impact the economy in different ways if some sort of fluctuations occurs in these variables. Fifteen years annul data from 1992 to 2007 is taken and multiple regression models applied on this data. The results are very significant and the strong correlation is found among dependent and independent variables which shows that the model is a strong model. The impact of interest rate, exchange rate and inflation rate are significant on the stock returns of KSE 100 index

The impact of COVID-19 on stock returns of listed firms on the stock market: Ghana's experience

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Kenneth Ofori-Boateng ◽  
Williams Ohemeng ◽  
Elvis Kwame Agyapong ◽  
Ben Justice Bribinti
Keyword(s):  
High Risk ◽  
Stock Returns ◽  
Stock Exchange ◽  
Risk Mitigation ◽  
Mitigation Strategies ◽  
Content Type ◽  
Negative Effect ◽  
Risk Mitigation Strategies ◽  
Ghana Stock Exchange ◽  
The Impact

PurposeIn Ghana, even though scholars and experts in the field of economics and finance have expressed their opinions and perceptions on the effect of the pandemic on the Ghana Stock Exchange, there has been no study conducted to that effect. This study, therefore, aimed at examining the impact of COVID-19 on the stock returns on the Ghana stock exchange. This would help policy makers and investors in making efficient decisions.Design/methodology/approachThe outbreak of the novel COVID-19 has been a thorn in the flesh of the world in its entirety, affecting many aspects of life including the stock market. This study, therefore, examined the impact of the outbreak on the stock returns of the Ghana Stock Exchange. The study utilized data from the All Share Prices of the Ghana stock exchange, commonly known as the Ghana stoke exchange composite index (GSECI) for analysis. The data covered the period before the outbreak of COVID-19 and during the outbreak. It was revealed that the Ghana stock exchange experienced better returns on the market before the outbreak of the virus. The outbreak of COVID-19 has led to wide variations in the market increasing the risk of investments. The exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) (1, 1) model also reveals that the outbreak of COVID-19 has a significant negative effect on the returns in the market. The market in these periods of COVID-19 is highly volatile. It is recommended that investors should carefully consider risk mitigation strategies to enable them diversify their investments effectively and efficiently against the high risk associated with the market in this COVID-19 era.FindingsIt was revealed that the Ghana stock exchange experienced better returns on the market before the outbreak of the virus. The outbreak of COVID-19 has led to wide variations in the market increasing the risk of investments. The EGARCH (1, 1) model also revealed that the outbreak of COVID-19 had a significant negative effect on stock returns in the market. The market during these periods of COVID-19 was viewed as highly volatile.Research limitations/implicationsThe outbreak of COVID-19 is hence deduced to have a negative impact on the Ghana stock exchange. However, the knowledge of how the market has been affected by the disease, it is important that financial risk mitigation studies be undertaken. This goes beyond what this study has done. The study can further be expanded to include other important economic variables such as GDP, inflation, exchange rates and the likes in to the model.Practical implicationsInvestors should carefully consider risk mitigation strategies to enable them diversify their investments effectively and efficiently against the high risk associated with the market in this COVID-19 era.Social implicationsIt is also important that investors consider diversification of their investments in order to reduce the risk in their investments. It will be more appropriate for most investors to invest with companies such as banks and the telecommunications companies listed on the on the market. This is because most of the telecommunication companies in these times have taken advantage and are making good profit on their businesses. Likewise, some of the financial institutions are considered essential institution in these times. Investing in industries such as manufacturing and the oil and gas sector may be more risky.Originality/valueThe decline in economic and financial market indicators could be credited to the failure of most business entities, organizations and firms which are struggling to sustain their operations in these times of COVID-19. These also include firms listed on the Ghana stock exchange with whom investors transact their daily businesses. However, about 70% of the Ghanaian economy heavily depends on these business and firms found in the private and informal sector. According to the Ghana Statistics Service COVID-19 Business Tracker Survey, about 131,000 businesses expressed their uncertainties with the business environment and also faced the challenge of financial accessibility. The study is appropriate to unearth the true effect and offer policy interventions.

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