scholarly journals Acts Of Terrorism And Their Impacts On Stock Index Returns And Volatility: The Cases Of The Karachi And Tehran Stock Exchanges

2011 ◽  
Vol 8 (12) ◽  
Author(s):  
Anh Phuong Nguyen ◽  
Carl E. Enomoto
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
The Other ◽  
Stock Index ◽  
Financial Capital ◽  
Terrorist Attacks ◽  
Stock Exchanges ◽  
The World ◽  
Investor Reaction ◽  
Stock Index Returns

Terrorist attacks throughout the world have disrupted the flow of financial capital between nations and affected incomes, company profits and stock prices. This paper uses a GARCH(1,1) model to determine how these attacks have affected two specific stock markets: one in Pakistan and the other in Iran. It was found that significant, but different, stock index return shifts and changes in volatility occurred in the two markets. These effects on stock returns have important implications for the economies involved and provide information about investor reaction to terrorism.

Studying the Effect of Changing the Managing Director on the Abnormal Returns of Shares of Companies Listed on the Iraqi Stock Exchange

2021 ◽  
Vol 39 (11) ◽  
Author(s):  
Hussein Hasan ◽  
Hudaa Nadhim Khalbas ◽  
Farqad Mohammed Bakr AL Saadi
Keyword(s):  
Stock Returns ◽  
Significant Relationship ◽  
Stock Prices ◽  
Market Reaction ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Abnormal Returns ◽  
The Other ◽  
Other Hand ◽  
Abnormal Stock Returns

The aim of this research is to study the market reaction to the change of the managing director and how this change affects the abnormal returns of the shares. The research is based on the information published by the companies listed on the Iraq Stock Exchange, and 35 companies were selected for the period from 2015 to 2019. The results of the hypothesis test for this study show that there is a negative and significant relationship between the change of the managing director and abnormal stock returns. On the other hand, investors undervalue stock prices when changing CEOs. As a result, the stock returns are less than expected.

In Search of Stock Market Proxy to Calculate Systematic Risk (Beta) of Stocks in Indonesia Stock Exchange

2020 ◽  
Vol 29 (2) ◽  
pp. 80-88
Author(s):  
Mochammad Chabachib
Keyword(s):  
Stock Market ◽  
Real World ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
The Other ◽  
Stock Index ◽  
Market Return ◽  
Stock Market Return ◽  
Stock Index Returns

The calculation of beta stock in Indonesia is still debatable to this day. Though many researchers who have used sophisticated methods mathematically, the assumptions applied in developing the methods are impossible to happen in the real world, such as the ability of stock market return the day after (lead) affects the market return today. This study was conducted to assess the stock price index in Indonesia Stock Exchange that can be used as a proxy of stock market in Indonesia. The results of this study showed that there was a gap between beta stocks counted with JCI return as a market proxy with beta stocks counted with index returns of LQ-45, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. This study has also found that the beta counted by using KOMPAS-100 return produced the smallest standard error of the estimate (SEE) that it was more applicable compared to the other stock index returns.

Impact of economic sentiment and economic policy uncertainty on travel and leisure stock return

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abobaker Al.Al. Hadood ◽  
Farid Irani
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Stock Index ◽  
Policy Uncertainty ◽  
Medium Term ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
European Economic ◽  
The Uk ◽  
Stock Index Returns

PurposeThis paper considers the role of economic sentiment and economic policy uncertainty (both domestic and European) in explaining the changes in the contemporaneous and future travel and leisure stock index returns in top European Union (EU) tourism destinations, namely, in France, Germany, Spain and the UK.Design/methodology/approachThe authors conducted the ordinary least square (OLS) regression estimations to investigate the impact of changes in economic sentiment and economic policy uncertainty on travel and leisure stock returns. Furthermore, the authors used predictive regressions to determine whether economic sentiment and economic policy uncertainty are useful predictors over the short- or medium-term for travel and leisure stock returns.FindingsEmpirical results revealed that, in France and Spain, the changes in regional economic sentiments predominantly and positively affected travel and leisure stock index returns. Also, results indicated that changes in European economic sentiment have a strong positive effect on the future travel and leisure stock returns in Spain and the UK over the short run, while in France, changes in European economic policy uncertainty have a weak negative effect on the future travel and leisure stock returns over the medium-term.Research limitations/implicationsThis paper provides valuable practical implications for investors who trade travel and leisure stocks. Traders can use economic sentiment and economic policy uncertainty to establish arbitrageur strategies.Originality/valueThis study is the first to examine the effects of economic sentiment and economic policy uncertainty (both domestic and European) on contemporaneous and future travel and leisure stock returns in a top European tourism destination.

scholarly journals The effect of ambiguity on the UK stock market: evidence from a new empirical approach

2017 ◽  
Vol 14 (4) ◽  
pp. 133-147
Author(s):  
Run Qing Tan ◽  
Viktor Manahov ◽  
Jacco Thijssen
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Linear Models ◽  
The Other ◽  
Var Model ◽  
Market Returns ◽  
Stock Market Returns ◽  
Bid Ask Spread ◽  
The Uk

This study developed a new ambiguity measure using the bid-ask spread. The results suggest that the degree of ambiguity has an impact on the daily UK stock market returns, but ambiguity does not cause changes in the returns. This implies that UK stock prices or returns cannot be predicted using variation in the degree of ambiguity through linear models, such as the VAR model, which was used in the study. The two sets of results in the study show that the degree of ambiguity from the previous two days might affect stock market returns. The authors observe that an increase in the degree of ambiguity two days ago is associated with a positive premium required by the investors. On the other hand, the degree of ambiguity tends to be affected by its past five-day values. Thus, the degree of ambiguity seems to persist for five days until investors update their priors. The intuition behind the result is that the degree of ambiguity can affect the returns of the UK stock market and UK stock market returns can in turn have an impact on the degree of ambiguity. The authors also observe that the degree of ambiguity does not seem to predict stock market returns in the UK when one applies linear models. However, this does not mean that there is no non-linear relationship between the degree of ambiguity and stock market returns or stock returns.

scholarly journals The Relationship Between of Cash Flows (Financing, Investment and Operating) and Stock Prices, Size of the Firms

2020 ◽  
Vol 11 (5) ◽  
pp. 424
Author(s):  
Tamer Bahjat Sabri ◽  
Khalid Mohammad Hasan Sweis ◽  
Issam Naim Mahammad Ayyash ◽  
Yasmeen Faheem Asaad Qalalwi ◽  
Israa Sami Abbas Abdullah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Null Hypothesis ◽  
Stock Exchange ◽  
Statistical Significance ◽  
Nonparametric Test ◽  
Cash Flows ◽  
The Other ◽  
Significant Difference ◽  
The Relationship

This study sought to test the relationship between cash flows from operating activities, investment activities and financial activities and on one hand and stock returns and the volume of assets on the companies listed in Palestine Stock Exchange on the other hand. The study incorporated 24 companies in 2018 and the required data were obtained through the financial statements. To test the hypotheses of the study, the Mann-Whitny U Test was used, a nonparametric test. Also the Kolmogorov-Smirnov was done. The findings demonstrated that the value of the Whitny U Test was (-3.291) Z with a statistical significance at 1%. Based on this, the null hypothesis was rejected and the alternative one, stating that there is a statistically significant difference between the operating flows of companies with low assets and those companies with high assets, was accepted. However, the other null hypothesis was accepted. The study recommended that companies and investors should take into consideration cash flows when taking an investment decision in Palestine Stock Exchange.

scholarly journals Macroeconomic impact on stock returns in the Croatian hospitality industry

2019 ◽  
Vol 7 (1) ◽  
pp. 53-68
Author(s):  
Siniša Bogdan
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Hospitality Industry ◽  
Price Index ◽  
Explanatory Power ◽  
Consumer Price Index ◽  
Stock Index ◽  
Macro Variables ◽  
The Impact

Tourism is one of the most important sectors in the Republic of Croatia. It plays a significant role in its economic development. This research investigates whether the macro-variables have an impact on the stock returns in the hospitality industry. The focus of the work consists in causality relationship between four macro variables (consumer price index, industrial production, exchange rate and number of tourist arrivals) and a stock index composed of Croatian hospitality companies. After applying Granger-causality tests based on the VAR methodology, results suggest that only consumer price index Granger-cause stock returns in the hospitality industry in the observed period from July 2008 to July 2018. Further analysis through impulse response function indicates that the impulse responses of inflation meet expectations in terms of the direction of impact. In the second month, stock prices react negatively to shock, implying that higher inflation causes negative stock price returns. After applying the variance decomposition method, a very low explanatory power of consumer price index on stock returns in the hospitality industry was revealed. This paper contributes to the existing literature on the topic of the impact of macro-economic variables on hospitality stock returns by extending the scope to Croatia and by testing a different set of variables compared to those from previous studies.

scholarly journals Tingkat Keuntungan Bank di Indonesia setelah Krisis Subprime 2008 di Amerika Serikat

2018 ◽  
Vol 3 (2) ◽  
Author(s):  
Pandu Adi Cakranegara
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Banking Sector ◽  
Financial Statements ◽  
The United States ◽  
Operational Performance ◽  
Economic Downturn ◽  
Subprime Mortgage ◽  
Financial Report ◽  
The World

Subprime Mortgage in America has a wide impact on the world including Indonesia. The researcher examines its relationship with banks in Indonesia. The economic downturn in the United States will have an impact on the global economic downturn. Thus, the Indonesian economy will also be affected. If there is an economic downturn, the financial sector in this case is represented by the banking sector, which will first decrease its value. The analysis used uses the method of analyzing financial statements. Based on the data from the Audited Financial Report, the banking sector growth and operational performance can be analyzed. The results found were the linkage of Du Pont's Stock Returns and ROE. High ROE will result in rising stock prices on the market. Nevertheless, market appreciation for each bank is not the same because there are banks that are more appreciated by the market or conversely there are banks that are not appreciated as high as other banks.

scholarly journals Monday Effect in the Chinese Stock Market

2017 ◽  
Vol 9 (1) ◽  
pp. 1 ◽  
Author(s):  
Gerardo “Gerry” Alfonso Perez
Keyword(s):  
Stock Returns ◽  
Mainland China ◽  
Equity Market ◽  
Stock Exchanges ◽  
Chinese Stock Market ◽  
Chinese Market ◽  
Monday Effect ◽  
The World ◽  
Fundamental Reason ◽  
Market Indexes

The Monday effect is a well know effect in some countries around the world. The Monday effect is the observation that stock returns on Monday are statically significantly lower than for the rest of the days of the week. There is no obvious fundamental reason behind this occurrence and if it actually exists it might be due to human behavioral patterns. This Monday effect observation originated in the U.S. several decades ago and it has since being observed in several other countries. In this article the occurrence of the Monday effect is analyzed in the mainland China equity market. It was found that for the period from 2011 to 2016 there was no statistically significant Monday effect but interestingly there are indications of a possible Thursday effect. This concept was tested with several market indexes covering the two major mainland China stock exchanges (Shanghai and Shenzhen). These indexes covered also a broad spectrum of company sizes. The ChiNext index, which is a Nasdaq like type of index for the Chinese market, was also included. In this article it was also tested and confirmed that the returns on Chinese equities, as expected, do not follow a normal distribution.

scholarly journals Jordan Role in Compacting International Terrorism

2016 ◽  
Vol 9 (9) ◽  
pp. 65
Author(s):  
Ziad M. Rabie
Keyword(s):  
Point Of View ◽  
The Other ◽  
International Terrorism ◽  
Terrorist Attacks ◽  
Great Role ◽  
Other Hand ◽  
The World ◽  
Terrorist Acts

<p class="Body">Many Arabic countries are suffering from big waves of International terrorism, to a point that it requires from all countries to unify their efforts in compacting the international terrorism; Jordan in other hand had played a great role in compacting it, and as a result many laws had been issued in Jordan criminalizing such terrorist acts.</p><p class="Body">Not only that, but Jordan had joined the international coalition to compact the International terrorism effectively; as a result, the Jordanian forces are participating effectively in targeting many terrorist locations around the world, on the other hand it was targeted by many terrorist attacks resulted in many deaths and casualties among Jordanian citizens.</p><p class="Body">In this research I addressed the International terrorism concept and the laws issued in Jordan to compact terrorism, in addition pinpointing the acts that are considered terrorist acts.</p>the research ended with a conclusion that include the most important recommendations from the restate point of view.

Equities and Exchanges, 2007–20

2020 ◽  
pp. 481-533
Author(s):  
Ranald C. Michie
Keyword(s):  
Financial Crisis ◽  
Technological Change ◽  
Global Financial Crisis ◽  
The Other ◽  
Stock Exchanges ◽  
The World ◽  
Clearing And Settlement ◽  
Data Provision ◽  
The One ◽  
The Global Financial Crisis

Throughout the Global Financial Crisis and its aftermath the world of equities and stock exchanges operated to its own agenda though it was affected by what was happening to banks and financial markets generally. The focus of those involved in equities and exchanges continued to revolve around the disruptive effects of technological change and globalization, and the actions of regulators motivated by a desire to protect investors and stimulate competition. In response stock exchanges increasingly opted for either the horizontal or vertical model or a combination of both. In the horizontal model exchanges merged to create multiproduct platform, which combined trading in equities with that in derivatives and other financial productsn With the vertical model trading in equities was integrated with the processing and clearing of transactions, providing users with a single venue covering the placing of an order through to its completion. Increasingly it was the combination of equities and derivatives on the one hand and trading, clearing, and settlement on the other that proved to be the winning formula, as it also led exchanges into the lucrative field of data provision. This was despite opposition from regulators because the vertical-silo limited competition between individual exchanges.

Sign in / Sign up

Export Citation Format

Share Document