scholarly journals Information Content Of Dividend Announcements: An Investigation Of The Indian Stock Market

2011 ◽  
Vol 10 (5) ◽  
pp. 49
Author(s):  
Shania Taneem ◽  
Ayse Yuce
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Information Content ◽  
Stock Exchange ◽  
General Procedure ◽  
Developed Countries ◽  
Share Price ◽  
Dividend Policies ◽  
Dividend Announcements ◽  
Indian Stock Market

According to the dividend information content hypothesis, dividend changes trigger stock returns because they reflect changes in managements assessment of a firms future profitability. This hypothesis has motivated a considerable amount of theoretical and empirical research. The general procedure used in prior research begins with classifying the dividend change announcement into either favorable or unfavorable. Dividend policy of companies operating in the emerging markets is very different from the widely accepted dividend policies operating in the developed countries. The purpose of this research is to examine the information content of dividend announcements and price movements in the emerging Indian stock market. The paper investigates the information content and market reaction to dividend announcements using data from the developing Indian market. We focus on the information content of dividend policies through the share price reaction of 82 companies in India that are listed in the Bombay Stock exchange.

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

Impact of Stock Splits and Rights Issue Announcements on Market Price: Evidence from India

2016 ◽  
Vol 7 (2) ◽  
Author(s):  
Babitha Rohit ◽  
Prakash Pinto ◽  
Shakila B.
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Price ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Splits ◽  
Indian Stock Market ◽  
Rights Issue ◽  
The Impact

The current paper studies the impact of two events i.e stock splits and rights issue announcement on the stock returns of companies listed on the Bombay Stock Exchange. The study consists of a sample of 90 announcements for stock splits and 29 announcements for rights issue during the period 2011-2014. Market model is used to calculate the abnormal returns of securities. Positive Average Abnormal Returns were observed for the two events on the day their announcements, however they are not statistically significant. The study concludes that the Indian stock market is efficient in its semi-strong form.

The Effect of Seasonality over Stock Exchanges in India

2017 ◽  
Vol 4 (1) ◽  
pp. 65-72 ◽  
Author(s):  
Ved Prakash Bansal
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Arima Model ◽  
Regression Equation ◽  
Stock Exchanges ◽  
Monthly Return ◽  
Indian Stock Market ◽  
Return Data

This study investigated to examine stock market seasonality effect in Indian stock market for Bombay Stock Exchange (BSE) 100. The monthly return data of BSE 100 for the period from April, 2001 to March, 2016 was used for analysis. After examining the stationarity of the return series and correlogram, regression equation & ARIMA model is used to find the monthly effect in stock returns in India. The results confirmed the existence of seasonality in stock returns in India.

scholarly journals The Effect of Dividend Announcements on Stock Returns for Companies Listed on the Main Board of the Kuala Lumpur Stock Exchange

2020 ◽  
Author(s):  
Nur-Adiana Hiau Abdullah ◽  
Rosemaliza Abdul Rashid ◽  
Yusnidah Ibrahim
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Agency Cost ◽  
Free Cash Flow ◽  
Market Reactions ◽  
Dividend Announcements ◽  
Dividend Increases

Stock market reactions to the announcements of final dividend increases, decreases and no changes are empirically analyzed in an emerging market environment. A standard event study methodology is adopted to examine the price reactions of 120 listed companies surrounding sixty days of the announcement dates. Although prior studies in developed countries postulate that dividend decreases are associated with negative abnormal returns, such a reaction was not found in the Malaysian capital market. The evidence nevertheless shows that dividend increases lead to positive abnormal returns, supporting the Information Content Hypothesis, Jensen :s Free Cash Flow Hypothesis and Agency Cost Theory. As for the no change dividend announcements, no clear pattern of cumulative average abnormal returns could be observed.  

scholarly journals Liquidity and Asset Pricing: Evidence from Indian Stock Market

2020 ◽  
Vol 4 (1) ◽  
pp. 109-116
Author(s):  
Sharad Nath Bhattacharya ◽  
Mousumi Bhattacharya ◽  
Sumit Kumar Jha
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Stock Returns ◽  
Risk Premium ◽  
Negative Impact ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Liquidity Premium ◽  
Significant Negative Impact ◽  
Indian Stock Market

In this research article, we present a liquidity premium based asset pricing model and test it in the Indian stock market. Using high-frequency data of stocks listed in the National Stock Exchange, we show that observed illiquidity has a significant negative impact on realized stock returns even after controlling for the up and down market, volatility, and effects of derivatives trading. The illiquidity measure is modified for its time variations, and then the modified measure is used to assess its impact on returns. Using a cross-section of stocks, we show the year wise results of the model and extend it to show that it has some role in explaining returns across industries. Findings show that the down market has contemporaneous systematic risk at higher levels, and the market risk premium is higher in down markets. Finance, utility and real estate sector companies have higher systematic risk in both up and down market and investors of these sectors has relatively higher expected higher returns in comparison to companies from the rest of the segments.

scholarly journals Volatility Nexus Between Stock Market and Macroeconomic Variables in Bangladesh: an Extended GARCH Approach

2017 ◽  
Vol 64 (2) ◽  
pp. 233-243 ◽  
Author(s):  
Md. Abu Hasan ◽  
Anita Zaman
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
General Index ◽  
Indian Stock Market ◽  
The Garch Model

Abstract This paper examines the volatility of the Bangladesh stock market returns in response to the volatility of the macroeconomic variables employing monthly data of general index of Dhaka Stock Exchange (DSE) and four macroeconomic variables (Call Money Rate, Crude Oil Price, Exchange Rate and SENSEX of Bombay Stock Exchange) from January 2001 to December 2015. The results of GARCHS models reveal that the volatility of DSE return is significantly guided by the volatility of macroeconomic variables, such as, exchange rate and SENSEX. Specifically, volatility of the DSE is expected to 19% increase by 1% increase of exchange rate. Moreover, the volatility of the Bangladesh stock market returns is expected to dampen down by 2% with an increase in the volatility of Indian stock market of 1%. Thus, we can comment that adding exchange rate or stock returns of India in the GARCH model provides significant knowledge about the behaviour of the DSE volatility.

scholarly journals Studying the Stock Market – Economic Activity Nexus in Poland with a VAR‑VECM Approach

2020 ◽  
Vol 3 (348) ◽  
pp. 65-89
Author(s):  
Piotr Pietraszewski
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Economic Activity ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Developed Countries ◽  
Stock Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run

The paper discusses the links between stock market performance and real economic activity and presents results of an empirical inquiry into dynamic relationships between the main stock index quoted on the Warsaw Stock Exchange (WIG) and GDP in Poland over the years 1995–2019. In many empirical studies for highly developed countries not only short‑run dynamic interactions but also a long‑run cointegrating relationship between the stock index and output have been found. Previous studies for Poland reported mainly short‑run linkages between stock returns and changes of economic activity whereas the evidence for a long‑run cointegrating relationship is still quite scarce. In this paper, the VAR‑VECM methodology with the Johansen tests for cointegration is used to study a substantially longer quarterly data interval than has been investigated so far. Research results show that stock returns Granger‑cause GDP growth with up to three‑quarters lead. The evidence for the existence of a long‑term cointegrating relationship has also been found.

Financial Constraints, Stock Returns and R&D in Indian Stock Market

2021 ◽  
pp. 097226292098839
Author(s):  
Pankaj Sinha ◽  
Priya Sawaliya
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Financial Constraints ◽  
Fixed Effect Model ◽  
Quantitative Information ◽  
Common Shocks ◽  
External Finance ◽  
Negative Effect ◽  
Security Returns ◽  
Indian Stock Market

When the accessibility of external finance prohibits a firm from taking the optimum decision related to investment, that firm is called financially constrained. By applying the methodology of Kaplan and Zingales (1997) and Lamont et al. (2001), the current study has created a construct to gauge the level of financial constraints (FC) of the companies which emanate from quantitative information. The study explores whether FC factor is present in the Indian stock market and explores whether the security returns of those firms that are financially constrained move in tandem. The study also attempts to establish the association between security returns and R&D of financially constrained firms. On a sample of 63 R&D reporting companies of S&P BSE 500, traded over the period March 2008 to February 2019, the study used the Fama–French methodology, fixed effect model and the ordered logistic regression. The study finds that firms that are highly constrained earn more returns than low constrained firms. Second, the security returns of firms that are financially constrained move in tandem because these firms are affected by common shocks. This suggests that the FC factor exists in the Indian stock market. Finally, when R&D interacts with the level of FC, then this interaction effect has a negative effect on returns.

Risk-Managed Momentum: An Evidence from Indian Stock Market

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta
Keyword(s):  
Stock Market ◽  
Asset Management ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Relative Momentum ◽  
Extended Time ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Indian Stock Market ◽  
Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

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