scholarly journals Impact of the religious festivity on the Tunis Stock Exchange

2021 ◽  
Vol 18 (2) ◽  
pp. 12-19
Author(s):  
Olfa Chaouachi
Keyword(s):  
Stock Market ◽  
Social Life ◽  
Trading Volume ◽  
Stock Exchange ◽  
Working Hours ◽  
Ordinary Least Squares ◽  
Least Squares Regression ◽  
Stock Market Returns ◽  
The Social ◽  
The Impact

The month of Ramadan is anticipated to influence the behavior of the stock market, where the environment in Ramadan is different from other months. During the Ramadan month, transformations in the social life of people are quite apparent and significant, and the overall economic activity tends to decelerate as the number of working hours decreases. This paper aims to explore the impact of the Ramadan month on the stock market returns, volatility, and trading volume on the Tunis Stock Exchange (TSE) between September 2009 and July 2019. To achieve these objectives, the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) technique and the ordinary least squares regression are used. The results show that the impact of the Ramadan month on the daily returns is positive and statistically significant at a 1% level. It is also found that the impact of the Ramadan month on the volatility and trading volume is negative and statistically significant. The findings can help domestic and foreign investors and regulators to better comprehend the Tunisian stock exchange and investor behavior. Moreover, this research can help investors to develop their trading strategies.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

scholarly journals Stock Market Returns and Weather Anomaly: Evidence from an Emerging Economy

2012 ◽  
Vol 4 (5) ◽  
pp. 239-244 ◽  
Author(s):  
Hammad Hassan Mirza ◽  
Naveed Mushtaq .
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Weather Condition ◽  
Efficient Market Hypothesis ◽  
Emerging Economy ◽  
Market Returns ◽  
Stock Market Returns ◽  
Factors Affecting ◽  
Temperature Records ◽  
The Impact

Financial economists believe that the arbitrage forces in the market are the main reason of market efficiency and these forces are the fundamental concept of efficient market hypothesis (EMH). During last few years, various theoretical and empirical evidences have been presented to support the work of financial modeling for the markets with less than rational investors whose trading strategies are based on psychological factors like mood and emotions. Weather condition is among the substantial factors affecting investors’ mood and emotions. Present study investigates the impact of temperature on stock market returns in emerging economy of Pakistan. Using the daily temperature records and stock market indices of Karachi and Islamabad, the study has employed auto regressive (AR) – generalized autoregressive conditional heteroscedasticity (GARCH) model from 2006 to 2010. Based on AR (1)-GARCH (1, 1) estimation the study has found that weather temperatures of both Karachi and Islamabad are negatively related with Karachi Stock Exchange (KSE) and Islamabad Stock Exchange (ISE) index returns, respectively.

Rational–Irrational Investor Sentiments and Emerging Stock Market Returns: A Comparison from Turkey

2017 ◽  
Vol 16 (3) ◽  
pp. 219-245 ◽  
Author(s):  
Sidika Gulfem Bayram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Risk Premium ◽  
Stock Exchange ◽  
Jel Classification ◽  
Market Returns ◽  
Dynamic Interactions ◽  
Stock Market Returns ◽  
Dynamic Relationship ◽  
The Impact

This study investigates the dynamic relationship between rational and irrational consumer-business sentiments and stock returns in an emerging stock market, Turkey. Consumer and business sentiments are divided into two components: rational and irrational sentiments. Then, the dynamic interactions and the impact of the sentiments on stock returns are examined. The fundamental economic variables used in the study consist of business conditions, economic risk premium, country risk, exchange rate risk, country growth rate, inflation rate, and terms of trade. The results show that Istanbul Stock Exchange (ISE)-100 index returns are positively and significantly affected by the rational sentiments of both consumers and businesses. JEL Classification: G02, G12, G150

scholarly journals Do Stock markets welcome signs of changing ruling set-up? An empirical investigation on the impacts of General and Presidential Elections on KSE

2015 ◽  
Vol 03 (01) ◽  
pp. 08-18
Author(s):  
Zaheer Khan ◽  
◽  
Sahar Zeast ◽  
Keyword(s):  
Stock Market ◽  
Presidential Elections ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Study Methodology ◽  
Set Up ◽  
The Impact ◽  
Event Study Methodology

This study was an attempt to analyze the impact of general and presidential elections on stock market returns of Karachi Stock Exchange. The event study methodology was employed and the data from 1997 to 2013 was used to identify the impact. This study investigated the impact of general and presidential elections held in Pakistan individually and collectively. The results established that there was a significant impact of elections on stock market returns of Karachi Stock Exchange.

scholarly journals Impact of Terrorism on Stock Market: A Case of South Asian Stock Markets

2019 ◽  
Vol 5 (2) ◽  
pp. 215-242
Author(s):  
Rehana Kousar ◽  
Zahid Imran ◽  
Qaisar Maqbool Khan ◽  
Haris Khurram
Keyword(s):  
Sri Lanka ◽  
Stock Market ◽  
South Asia ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Negative Effect ◽  
The Impact

The purpose of this study is to examine the impact of terrorism on stock markets of South Asia namely, Karachi Stock Exchange 100 index (Pakistan), Bombay Stock Exchange (India), Colombo Stock Exchange (Sri Lanka) and Chittagong Stock Exchange (Bangladesh). Monthly panel data has been used for the period of January 2000 to December 2016. Terrorism events happened during the period of 2000 to 2016 have been incorporated to examine the impact of terrorism on stock market returns of South Asia. DCC GARCH through R software is used to analyze the impact of terrorism on stock market returns and to analyze the spillover effect of terrorism in one country and on the stock markets of other countries of South Asia. The results indicate that terrorism has significant and negative effect on stock market returns of Pakistan, India and Bangladesh but insignificant in Sri Lanka. Results also shows that stock markets return of Pakistan, India, and Bangladesh are significant and positively correlated with each other except the Stock market of Sri Lanka.

scholarly journals Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

2020 ◽  
Vol 17 (18) ◽  
pp. 6729 ◽  
Author(s):  
Ștefan Cristian Gherghina ◽  
Daniel Ștefan Armeanu ◽  
Camelia Cătălina Joldeș
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Exchange ◽  
Causality Analysis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Quantitative Evidence ◽  
Granger Causality Analysis ◽  
Gold Silver ◽  
The Impact

This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019–April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths’ cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.

scholarly journals THE IMPACT OF COVID-19 ON IRAQI STOCK MARKET: AN EVENT TO STUDY METHODOLOGY

2021 ◽  
Vol 11 (2) ◽  
Author(s):  
Azzam Khalid Chyad ◽  
Dr. Ayad Taher Aljubori
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Scatter Plot ◽  
Market Index ◽  
Time Period ◽  
Study Methodology ◽  
The Impact ◽  
Exchange Data

The research aims to study the impact of the economic crisis caused by the Corona pandemic on the Iraqi stock market by studying the event, specifically the impact of two pandemic events on the returns and volume of shares circulation, for companies listed on the Iraq Stock Exchange across sectors (banks - communications - insurance - services - Industry - Hotels and Tourism - Agriculture), and the Iraqi market for financial stocks represents the place of application, while the market sectors, which number (7), represent the research community, and the sample of the study of the impact of the pandemic on the market index, companies included in the Iraq Stock Exchange Index (SIX60) which Its number reached (60) companies from all market sectors, while the sample for studying the impact of the pandemic on the sector’s returns and trading volume in them was (102) companies representing all companies listed on the Iraq Stock Exchange. Data and information were obtained from reports (daily, weekly and monthly) issued. From the Iraq Stock Exchange and the Securities Commission for the time period (2019-2020), and the financial methods represented by stock returns, trading volume and market momentum index were relied upon, and some statistical methods were adopted. For my description of (arithmetic mean, standard deviation, and percentages), as well as inferential statistics methods (autocorrelation coefficient - simple regression - T-test - histogram - scatter plot - QQ chart) across applications (SPSS V25-Excle 2020- Py Charme2020) to compare Results and testing of research hypotheses. This is to determine the impact of the Corona pandemic (the first and second event) on the returns and trading of ordinary shares on the Iraq Stock Exchange.

The Impact of Treasury Bill Rate and Interest Rate On The Stock Market Returns: Case Of Ghana Stock Exchange

2013 ◽  
Vol 8 (2) ◽  
Author(s):  
Augustine  Addo ◽  
Fidelis Sunzuoye
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Market Returns ◽  
Treasury Bill ◽  
Stock Market Returns ◽  
Long Run ◽  
Ghana Stock Exchange ◽  
The Impact

Several studies have suggested that macroeconomic variables affect Stock market returns using Treasury bill rate as a measure of interest rate. The study examines the joint impact of  interest rates and Treasury bill rate on  stock market returns on Ghana Stock Exchange over the period between January 1995 and December 2011. Using Johansen’s Multivariate Cointegration Model and Vector Error  Correction Model the study establish that there is cointegration between Interest rate, Treasury bill rate and stock market returns indicating long run relationship. On the basis of the Multiple Regression Analysis (OLS) carried out by Eviews 7 program, the results show that Treasury bill rate and interest rate both have a negative relationship with stock market returns but  are not  significant. These results lend support to the idea that interest rate and Treasury bill rate has both  negative  relationship  but  weak predictive  power on stock market returns independently. The study conclude that interest rate and Treasury bill rate jointly impact on stock market returns in the long run. Understanding the effects of both  Treasury bill rate and interest rate dynamics on stock market returns will help investors, fund  and portfolio managers and firms make better investment decisions.

scholarly journals Assessing the Impact of S&P SL20 Index Construction on Listed Companies in Colombo Stock Exchange (CSE)

2016 ◽  
Vol 8 (7) ◽  
pp. 159
Author(s):  
Upeksha Perera ◽  
Rohana Dissanayake ◽  
Mangalika Jayasundara
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Market Index ◽  
Index Construction ◽  
Price Series ◽  
Adjusted Model ◽  
The Impact

<p>A stock market index is designed to measure the performance of value of a set of stocks. The set of stock can be entire market of a particular country or a sector. Indices can be used not only to see how the stock market, for instance, has changed over time, but it allows easy comparison between stocks that represent different sectors or even different stocks. An index construction or rebalancing of existing index is a major market event that investor might know before the event take place. The index inclusion reflects a positive situation about the quality, risks and possible future return of the stock. This study examine whether any price and trading volume effects arise from S&amp;P SL 20 index construction. S&amp;P SL 20 index was launched in 26, June 2012, based on 20 blue chip companies in Sri Lanka. The current study employs the standard event study methodology to identify the abnormal returns associated with the launching of the S&amp;P SL 20 index. Three normal return benchmarks, namely the market-adjusted model, mean-adjusted model and the market model have been used for the purpose of finding abnormal returns. Price series and volumes of stocks in S&amp;P SL 20 list (after and before) were considered and those are retrieved from Colombo stock exchange.</p><p>The study finds that the abnormal returns following the launch of the S&amp;P SL 20 index is statistically insignificant.</p>

scholarly journals The Impact of COVID-19 on Stock Market Returns in Vietnam

2021 ◽  
Vol 14 (9) ◽  
pp. 441
Author(s):  
Dao Van Hung ◽  
Nguyen Thi Minh Hue ◽  
Vu Thuy Duong
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Random Effect Model ◽  
Financial Sector ◽  
Listed Companies ◽  
Government Control ◽  
Stock Market Returns ◽  
The Impact

This paper studies the impacts of COVID-19 on the performance of the Vietnamese Stock Market—a rapidly growing emerging market in a country that has to date successfully controlled the disease outbreak. The study uses a random-effect model (REM) on panel data of stock returns of 733 listed companies on both HOSE (the Ho Chi Minh Stock Exchange) and HNX (the Hanoi Stock Exchange) from 2 January 2020 to 13 December 2020. The study shows that the number of daily COVID-19 confirmed cases in Vietnam has a negative impact on stock returns of listed companies in the market. The impacts were more severe for the pre-lockdown and second-wave period, compared to impact for the lockdown period. The impacts also differed across sectors, with the financial sector being the most affected. With significant government control and influence over the bank-dominated financial system, the financial sector was expected to absorb some of the negative shocks hitting the real sector. Such expectations were reflected in the stock market movement during the pandemic.

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