scholarly journals CONSUMER SENTIMENT AND INDONESIA'S STOCK RETURNS

2020 ◽  
Vol 23 ◽  
pp. 1-12 ◽  
Author(s):  
Deepa Bannigidadmath
Keyword(s):  
Regression Model ◽  
Stock Returns ◽  
Structural Breaks ◽  
Equity Market ◽  
Consumer Sentiment ◽  
Excess Returns ◽  
Predictive Regression ◽  
The Impact

This paper examines whether consumer sentiment predicts the excess returns of theaggregate market and nine industries from the Indonesia equity market. We discoverevidence of predictability for three industries; however, the magnitude of predictabilityare heterogeneous. Some sectors are predictable during expansions, whereas others areonly predictable during recessions. There is no evidence of the reversal of the impact ofconsumer sentiment on stock returns. We conduct several robustness tests that include(i) estimating a predictive regression model with a feasible quasi-generalized leastsquares–based estimator and (ii) accounting for structural breaks. These tests confirmthe baseline results.

scholarly journals Stock returns and liquidity risk in Chile

2019 ◽  
Vol 17 (2) ◽  
Author(s):  
Francisco Javier Vásquez-Tejos ◽  
Hernán Pape-Larre ◽  
Juan Martín Ireta-Sánchez
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Regression Model ◽  
Stock Returns ◽  
Multiple Regression ◽  
Risk Measures ◽  
Liquidity Risk ◽  
Multiple Regression Model ◽  
Developed Markets ◽  
The Impact

This study analyzes the impact of liquidity risk on the return of shares in the Chilean stock market, during the period from January 2000 to July 2018. A large number of studies have focused on measuring this effect in developed markets and few in emerging markets, especially the Chilean one. To do this, we used 6 risk measures in a multiple regression model; four widely used in previous studies and two new proposed measures. We found evidence of the significance of the liquidity risk over the stock return.RESUMENEste estudio analiza el impacto del riesgo de liquidez sobre el retorno de las acciones en el mercado bursátil chileno, durante el periodo de enero de 2000 hasta julio de 2018. Gran cantidad de estudios se han centrado en medir este efecto en los mercados desarrollados y pocos en mercados emergentes, especialmente el chileno. Para ello, se utilizó un modelo de regresión múltiple 6 medidas de riesgo; cuatro utilizadas ampliamente en estudios anteriores y dos medidas nuevas propuestas. Encontramos evidencia de significancia del riesgo de liquidez sobre el retorno accionario.RESUMOEste estudo analisa o impacto do risco de liquidez no retorno das ações no mercado de ações chileno, durante o período de janeiro de 2000 a julho de 2018. Muitos estudos têm se concentrado em medir este efeito em mercados desenvolvidos e poucos nos mercados emergentes, especialmente o chileno. Para isso, utilizamos 6 medidas de risco em um modelo de regressão múltipla; quatro amplamente utilizados em estudos anteriores e duas novas medidas propostas. Encontramos evidências da significância do risco de liquidez sobre o retorno das ações.  

Does US Financial Stress Explain Risk–Return Dynamics in Indian Equity Market? A Logistic Regression Approach

2017 ◽  
Vol 21 (1) ◽  
pp. 13-22 ◽  
Author(s):  
Amanjot Singh ◽  
Parneet Kaur
Keyword(s):  
Logistic Regression ◽  
Regression Model ◽  
Logistic Regression Model ◽  
Financial System ◽  
Financial Stress ◽  
Equity Market ◽  
Risk Return ◽  
The Us ◽  
The Impact ◽  
Return Dynamics

The present study attempts to capture the impact of the US financial stress on the risk–return dynamics in the Indian equity market by employing Markov regime switching and binary logistic regression model. The span of data ranges from 2004 to 2013. The study uses weekly closing local values of benchmark equity indices ‘CNX Nifty 50 and S&P 500’ and St. Louis Fed Financial Stress Index (SFSI). The said index captures stress in the US financial system on a weekly basis. The Markov results support the existence of ‘Bull’ regime as well as ‘Bear’ regime in the Indian equity market. Corresponding to this, the logistic regression model indicates a positive impact of the US financial stress on the probability for the existence of bear regime. Particularly, the probability for the existence of bull regime approaches zero, when the stress in the US financial system crosses the level of two. The results support strong implications for the investors in the Indian equity market against the stress in the US financial system.

THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE

2014 ◽  
Vol 09 (02) ◽  
pp. 1440002 ◽  
Author(s):  
RENFEI GAO ◽  
CINDY S. H. WANG ◽  
CHRISTIAN M. HAFNER
Keyword(s):  
Stock Returns ◽  
New Technology ◽  
Strong Impact ◽  
Excess Returns ◽  
Significant Excess ◽  
Subsequent Performance ◽  
Technology Stocks ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

This paper analyzes the impact of the recent acquisition of Motorola by Google on the subsequent performance of stock returns using an event study methodology. We obtain empirical results by a two-stage regression, by which the impact of market and industry effects can be controlled for. Our findings suggest that the Motorola takeover led to negative and significant excess returns to Google, but positive and highly significant excess returns to Motorola. Additionally, while the event led to significantly positive excess returns to direct competitors, it did not have a strong impact on indirect competitors, suggesting that the importance of the event was restricted to related industries.

scholarly journals Liquidity Risk and Asset Pricing in Pakistan Stock Exchange

2021 ◽  
Vol 19 (1) ◽  
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Risk Measures ◽  
Liquidity Risk ◽  
Excess Returns ◽  
Market Conditions ◽  
Bear Market ◽  
Market Trends ◽  
The Impact

This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors' attitude under bull and bear market conditions. Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by including the interaction between the liquidity risk and the indicators of bull- and bear-market periods to investigate whether the pricing of liquidity risk differs in both upward and downward market trends. The analysis is carried out for a large panel of Pakistani manufacturing firms listed at the Pakistan Stock Exchange for the period January 2000 – December 2015. We use alternative liquidity risk measures to check the robustness of the liquidity risk effect. We observe that higher liquidity risk yields higher excess stock returns, implying pricing of liquidity risk during the examined period. The results also reveal that the liquidity risk is positively and significantly related to excess returns in the high-liquidity-risk beta portfolios, whereas it is negatively or insignificantly related to excess returns of low-liquidity-risk beta portfolios. The results also provide evidence that stocks affected by liquidity risk yield positive expected returns in both bull and bear market conditions. However, we find significant differences in the pricing of liquidity risk under upward and downward market trends. The robustness check confirms that the findings on the pricing of liquidity risk are not driven by any specific measure of liquidity.

scholarly journals The Effect of Covid-19 Pandemic on Large-cap Stocks in Malaysia

2021 ◽  
Vol 7 (2) ◽  
pp. 8-14
Author(s):  
Asmah Mohd Jaapar ◽  
Nurhatiah Ahmad Chukari ◽  
Siti Nurin Salwa Tarmizi
Keyword(s):  
Stock Market ◽  
Regression Model ◽  
Stock Returns ◽  
Stock Markets ◽  
Panel Regression ◽  
Small Impact ◽  
The Impact ◽  
Death Cases

Covid-19 that emerged in Wuhan, China and spread to Malaysia starting from 25th January 2020 has changed people’s lives and impacted the world’s economy, including the stock markets. The study investigates the impact of the Covid-19 pandemic on the stock returns in Malaysia by using a sample of thirty (30) constituents of FBM KLCI. The study utilises Malaysia’s daily Covid-19 new cases, death cases, cumulative cases, and cumulative death cases, as well as Singapore new cases and death cases. The impact is observed from 31st December 2019 until 9th June 2020 using the panel regression model. The results show a significant positive but small impact of Covid-19 variables on the stocks’ returns except for Singapore daily cases and death cases, which were negative. The study also identifies that the Malaysian stock market is more sensitive to Covid-19 local death cases during the pandemic.

scholarly journals Examining the Impact of Structural Breaks on Long Memory of Stock Returns: Evidence from Bombay Stock Exchange of India Long Memory

2020 ◽  
Vol 19 (1) ◽  
Author(s):  
Anju Bala
Keyword(s):  
Stock Returns ◽  
Long Memory ◽  
Hurst Exponent ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Subprime Crisis ◽  
Range Analysis ◽  
Rescaled Range Analysis ◽  
Daily Stock Returns ◽  
The Impact

This study examines the presence of long memory of Stock Returns in India with reference to structural breaks. The study used the Hurst Exponent in Rescaled Range Analysis as proposed by Lo (1991) to measure the presence of long memory on daily stock returns of the Bombay Stock Exchange Indices from January 2000 to December 2017. The analysis indicates that all indices show long memory effects. It is also evident that all indices exhibit long memory effect in the pre and post subprime crisis period. These findings are consistent with Bhattacharya and Bhattacharya (2018), Jha et al.(2018), Goudarzi (2010) and Lillo and Farmer (2004). KEYWORDS: Long Memory, Hurst exponent, Market Efficiency. Structural Breaks

scholarly journals Shifting From Real Estate to Non-Real Estate Lending Activity: Evidence on the Risk and Return Profiles of Thrift Institutions

2003 ◽  
Author(s):  
Harold A. Black ◽  
Elijah Brewer III ◽  
William E. Jackson III
Keyword(s):  
Real Estate ◽  
Stock Returns ◽  
Equity Market ◽  
Mortgage Lending ◽  
Equity Returns ◽  
Risk And Return ◽  
Consumer Lending ◽  
Banking Strategy ◽  
Lending Activity ◽  
The Impact

In this paper we study the important period where many thrifts shifted from traditional mortgage products into consumer loan products. Specifically, we examine the impact of this move toward consumer banking on the risk and return profiles of thrift institutions. One reason given for this shift was the shrinldng margins associated with the traditional mortgage lending business of the thrift industry. Other reasons are increased competition from pure-play competitors and the increased merger activity among commercial banks enabling thrifts to market themselves as consumer banks. All of these reasons help to explain why the traditional thrift model became less viable.   What strategic changes are necessary for thrift institutions to survive and compete effectively in the today’s financial environment? Thrifts may choose to rearrange their product mix, expand their investment portfolio, manage the enterprise more efficiently, or some combination of these, strategies. One strategy chosen by certain thrifts has been to shift from the traditional model of a mortgage-oriented lender to that of a consumer bank.   Using market data from the first quarter of 1985 to the fourth quarter of 1992, we examine whether thrift organizations that followed this consumer banking strategy increased or decreased their overall exposure to risk. Employing the volatility of equity returns as our measure of total thrift risk, we find that thrifts that specialized in consumer lending exhibited lower risk while maintaining similar common stock returns, relative to thrifts that did not specialize in consumer lending. This suggests that thrifts employing a strategy of significantly diversifying their asset portfolios by specializing in consumer lending were rewarded by the equity market. Conversely, thrifts that invested only a small proportion of their assets in the consumer banking strategy did not receive a similar reward from the equity market for diversifying into consumer banking.

scholarly journals The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model

ETIKONOMI ◽  
2021 ◽  
Vol 20 (2) ◽  
pp. 225-238
Author(s):  
Noreen Khalid ◽  
Raja Fawad Zafar ◽  
Qasim Raza Syed ◽  
Roni Bhowmik
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Regression Model ◽  
Stock Returns ◽  
Market Returns ◽  
Stock Market Returns ◽  
Quantile Regression Model ◽  
Heterogeneous Effects ◽  
Panel Quantile Regression ◽  
The Impact

The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market; however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.JEL Classification: G24, G30, O16How to Cite:Khalid, N., Zafar, R. F., Syed, Q. R., Bhowmik, R., & Jamil, M. (2021). The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model. Etikonomi, 20(2), xx – xx. https://doi.org/10.15408/etk.v20i2.20587.

Ease of Doing Business and Its Impact on Inward FDI

2018 ◽  
Vol 1 (1) ◽  
pp. 52 ◽  
Author(s):  
Mohamed Tareq Hossain ◽  
Zubair Hassan ◽  
Sumaiya Shafiq ◽  
Abdul Basit
Keyword(s):  
Regression Model ◽  
Causal Relationship ◽  
World Bank ◽  
Least Square ◽  
Doing Business ◽  
Least Square Regression ◽  
Foreign Countries ◽  
Ease Of Doing Business ◽  
The Impact ◽  
Starting A Business

This study investigates the impact of Ease of Doing Business on Inward FDI over the period from 2011 to 2015 across the globe. This study measures ease of doing business using starting a business, getting credit, registering property, paying taxes and enforcing contracts. The research used a sample of 177 countries from 190 countries listed in World Bank. Least square regression model via E-views software used to examine causal relationship. The study found that ease of doing business indicators ‘Enforcing Contracts’ was found to have a positive significant impact on Inward FDI. Nevertheless, ‘Getting Credit’ and ‘Registering Property’ were found to have a negative significant impact on Inward FDI. However, ‘Starting a Business’ and ‘Paying Taxes’ have no significant impact on Inward FDI in the studied timeframe of this research. The findings of the study suggested the ease of doing business enables inward FDI through better contract enforcements, getting credit and registering property. The findings of the research will assist international managers and companies to know the importance of ease of doing business when investing in foreign countries through FDI.

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