Holiday Effect on Stock Market Return: Evidence from Dhaka Stock Exchange (DSE)

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.

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Does Monetary Policy Affect Stock Market Return? Recent Evidence from the Nigerian Stock Exchange (1986-2018)

South Asian Journal of Social Studies and Economics ◽

10.9734/sajsse/2019/v5i330147 ◽

2019 ◽

pp. 1-8

Author(s):

Chinedu Maurice Umezurike ◽

Felix Nwaolisa Echekoba ◽

Amalachukwu Chijindu Ananwude

Keyword(s):

Monetary Policy ◽

Stock Market ◽

Central Bank ◽

Stock Exchange ◽

Cash Flows ◽

Reasonable Doubt ◽

Single Digit ◽

High Interest Rate ◽

Market Return ◽

Stock Market Return

The nexus between monetary policy and stock market return has remained a topic of debate in the literature. We determined whether stock market return in Nigerian Stock Exchange (NSE) is affected by monetary policy or not. To this end, we employed the Autoregressive Distribute Lag (ARDL) model using data from 1986 to 2018 bearing in mind that our conclusion in this subject matter may be used to make assertion by other researchers who have interest in this area of study in finance. We are convinced beyond reasonable doubt based on the data we employed that the stock market return in Nigeria is not significantly affected by adjustments in monetary policy instruments of the Central Bank of Nigeria (CBN): The apex regulator of the financial system in Nigeria. This paper wholeheartedly reflects the opinion that the Central Bank of Nigeria should consider reducing the current double digit monetary policy rate to a single digit say 9% at most to attract investments in the stock market. This would reduce the prime lending rate because, high interest rate reduces cash flows of firms quoted in the exchange, and thus contraction in values of securities traded on the market.

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Macroeconomic Variables and Stock Market Returns in Sri Lanka

Asian Journal of Finance & Accounting ◽

10.5296/ajfa.v9i2.11832 ◽

2017 ◽

Vol 9 (2) ◽

pp. 206

Author(s):

Saseela Balagobei

Keyword(s):

Exchange Rate ◽

Sri Lanka ◽

Stock Market ◽

Inflation Rate ◽

Stock Exchange ◽

Market Returns ◽

Stock Market Returns ◽

Macroeconomic Variables ◽

Market Return ◽

Stock Market Return

The stock market is one of the most energetic sectors that play an important role in contributing to the wealth of the economy. It plays a crucial role in the economic growth and development of an economy which would benefit industries, trade and commerce as a whole. The aim of this study is to investigate the impact of macroeconomic variables on stock market returns in Sri Lanka. Dependent variable of this study is stock market return measured by All Share Price Index (ASPI) and All Share Total Return Index (ASTRI) and independent variables are macroeconomic variables, such as Interest Rate (IR), Inflation Rate (INF), Exchange Rate (ER), Factory Industry Production Index (FIPI) and money supply (MS). The study targets all the companies listed and active in Colombo Stock Exchange (CSE) from 2006 to 2015. For analysis, secondary data was collected from annual reports of Central bank of Sri Lanka, Colombo Stock Exchange, Securities and Exchange Commission and Department of Census and Statistics. The results of the study reveal that the stock market returns is influenced by macroeconomic variables except money supply in Sri Lanka. Interest rate and factory industry production have negative influence on stock market return in Colombo Stock exchange while inflation rate and exchange rate have positive influence on stock market return. The findings of the study may be useful to public and economy especially stock market investors to focus the macroeconomic variables for making their effective decisions in order to enhance their stock market returns.

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Commonality in Liquidity and Stock Market Return, Cross-Section: Evidence from the Stock Exchange of Malaysia

SSRN Electronic Journal ◽

10.2139/ssrn.1663996 ◽

2010 ◽

Author(s):

Mohammed Hassan Abuzaid

Keyword(s):

Stock Market ◽

Cross Section ◽

Stock Exchange ◽

Market Return ◽

Stock Market Return

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Does Weather Has Same Effect on Different Countries Stock Market Return

International Journal of Social Science Research ◽

10.5296/ijssr.v6i2.13034 ◽

2018 ◽

Vol 6 (2) ◽

pp. 1

Author(s):

Sayed Kifayat Shah ◽

Yang Yiwen ◽

Farman Ali

Keyword(s):

Stock Market ◽

South Asian ◽

Behavioral Finance ◽

Stock Exchange ◽

Variable Temperature ◽

Asian Country ◽

Effect Of Temperature ◽

Stock Exchanges ◽

Market Return ◽

Stock Market Return

In the field of behavioral finance mood, emotions and other different effecting factors have been investigated regarding stock market return. Weather is one of the most important and vital factor that has been analyzed. In this empirical study the two different stock exchanges (Eastern Asian and South Asian) are compared with respect to the weather variable temperature. The analysis and investigation has been made by utilizing the six years record of both stock exchange (China, Pakistan) indexes (SSE-180, KSE 100). The Autoregressive (AR) Conditional Heteroscedasticity (GARCH) technique has been utilized for analysis. It has been found that temperature is the most affecting factor that has negative effect on both stock exchanges. The effect of temperature on both stock exchanges has been compared and found that Eastern Asian Country have more effect as compared South Asian country. The results are given in detail by using Eviews Package.

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Psychology of Indian Stock Market: An Evidence of Seasonal Affected Disorder

Asia-Pacific Journal of Management Research and Innovation ◽

10.1177/2319510x20915146 ◽

2020 ◽

Vol 16 (2) ◽

pp. 146-156

Author(s):

Rajdeep Kumar Raut ◽

Rohit Kumar

Keyword(s):

Stock Market ◽

Seasonal Affective Disorder ◽

Stock Exchange ◽

Negative Relationship ◽

Vital Role ◽

Least Square ◽

Market Return ◽

Stock Market Return ◽

Indian Stock Market ◽

The Impact

This article examines the association between daylight hours as a proxy for the seasonal affective disorder (SAD) and stock market return. Past studies have documented different decision-making mechanisms induced by investors’ cognition mainly influenced by greed and fear. However, this study appears to be different from evidence where investors’ mood is affected by seasonality, which plays a vital role in risk-taking propensity. Data have been taken from three indexes of Bombay Stock Exchange (BSE), for the period between April 2003 and December 2016. The impact of SAD on stock market return was examined by using naïve ordinary least square (OLS) model. This study reports a negative relationship between daylight hours and pattern of midcap as well as smallcap indexes, which are in alignment with mood maintenance hypothesis (MMH). The result of negative correlation suggests a summer-type SAD, which is an addition to the findings of the existing literature.

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