IFRS and Stock Returns: An Empirical Analysis in Brazil

In recent years, the convergence of accounting standards has been an issue that motivated new studies in the accounting field. It is expected that the convergence provides users, especially external users of accounting information, with comparable reports among different economies. Considering this scenario, this article was developed in order to compare the effect of accounting numbers on the stock market before and after the accounting convergence in Brazil. The sample of the study involved Brazilian listed companies at BM&FBOVESPA that had American Depository Receipts (levels II and III) at the New York Stock Exchange (NYSE). For data analysis, descriptive statistics and graphic analysis were employed in order to analyze the behavior of stock returns around the publication dates. The main results indicate that the stock market reacts to the accounting reports. Therefore, the accounting numbers contain relevant information for the decision making of investors in the stock market. Moreover, it is observed that after the accounting convergence, the stock returns of the companies seem to present lower volatility.

Download Full-text

Interdependence And Volatility Spillovers Under Market Reforms: The Case Of National Stock Exchange

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v9i9.627 ◽

2010 ◽

Vol 9 (9) ◽

Author(s):

B.J.Queensly Jeyanthi

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Prices ◽

Structural Changes ◽

Stock Exchange ◽

The United States ◽

Stock Market Returns ◽

Volatility Spillovers ◽

Long Run ◽

Before And After

India, one of the emerging markets in Asia initiated the financial sector reforms by introducing international practices in its financial market. In this paper an attempt has been made to examine whether and to what extent, Indian stock market is integrated with stock markets in the United States, Japan and U.K before and after the structural changes. It also examines whether such a relationship, if it exists, is affected by the structural changes that began in 1998 using daily data for the period April 1998 to December 2008. The main findings are: No evidence of long run relationships was found between the stock prices of India and its major trading partners before and after the structural changes. Second, in terms of short – run movements of international stock market returns, bidirectional Granger causality exist between the stock returns of India and those of US and UK and Japan after the structural changes but unidirectional relationship exists between India and the UK before the structural changes period. The estimates from causality – type models suggest that volatility spillovers from UK and Japan were non –existent prior to structural changes and volatility spillovers from US and Japan have become quite pronounced after the structural changes. The results identify the US and Japan markets as the main sources of volatility spillovers for the NSE.

Download Full-text

Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Risks ◽

10.3390/risks9050089 ◽

2021 ◽

Vol 9 (5) ◽

pp. 89

Author(s):

Muhammad Sheraz ◽

Imran Nasir

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Exchange ◽

Approximate Entropy ◽

Market Volatility ◽

Comparative Approach ◽

Stock Market Volatility ◽

Information Theoretic ◽

Information Theoretic Measures ◽

Garch Modeling

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification of the randomness of PSX-100. The methodology includes two approaches: (i) the implementation of EGARCH, GJR-GARCH, and TGARCH models to estimate the volatilities; and (ii) analysis of randomness in volatilities series, return series, and PSX-100 closing prices for pre-pandemic and pandemic period by using Shannon’s, Tsallis, approximate and sample entropies. Volatility modeling suggests the existence of the leverage effect in both the underlying periods of study. The results obtained using GARCH modeling reveal that the stock market volatility has increased during the pandemic period. However, information-theoretic results based on Shannon and Tsallis entropies do not suggest notable variation in the estimated volatilities series and closing prices. We have examined regularity and randomness based on the approximate entropy and sample entropy. We have noticed both entropies are extremely sensitive to choices of the parameters.

Download Full-text

Absence of the weekend effect and industry-style portfolios

Journal of Financial Economic Policy ◽

10.1108/jfep-04-2019-0066 ◽

2019 ◽

Vol 12 (4) ◽

pp. 463-475

Author(s):

Selma Izadi ◽

Abdullah Noman

Keyword(s):

New York ◽

Stock Market ◽

Structural Breaks ◽

Stock Exchange ◽

Structural Break ◽

Weekend Effect ◽

Content Type ◽

Market Portfolio ◽

The Us ◽

Using Data

Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

Download Full-text

Does the Croatian Stock Market Have Seasonal Affective Disorder?

Journal of Risk and Financial Management ◽

10.3390/jrfm14020089 ◽

2021 ◽

Vol 14 (2) ◽

pp. 89

Author(s):

Tihana Škrinjarić ◽

Branka Marasović ◽

Boško Šego

Keyword(s):

Stock Market ◽

Stock Returns ◽

Affective Disorder ◽

Seasonal Affective Disorder ◽

Stock Exchange ◽

Trading Strategies ◽

Future Research ◽

Winter Solstice ◽

Daily Data ◽

Depressive Episodes

This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights into the investors’ sentiment regarding SAD effects. The purpose of the research is to observe how investors’ sentiment affects the return and risk series on ZSE and if this could be exploitable. Using daily data on stock market return CROBEX for the period January 2010—February 2021, SAD effects are tested to explore if seasonal changes affect the stock returns and risk. Besides the SAD variable in the model, some control variables are included as well: Monday, tax, and COVID-19 effect. The results indicate that SAD effects exist on ZSE, even with controlling for mentioned effects; and asymmetries around winter solstice exist. Implications of such findings can be found in simulating trading strategies, which could incorporate such information to gain profits. Limitations of the research focus on one market, observing static parameters of the estimated models, and observing simple trading strategies. Thus, future research should focus on international diversification possibilities, time-varying models, and fully exploring the exploitation possibilities of such findings.

Download Full-text

Do Indian stock market sentiments impact contemporaneous returns?

South Asian Journal of Business Studies ◽

10.1108/sajbs-06-2018-0064 ◽

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.

Download Full-text

ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR DI BEI

IQTISHODUNA ◽

10.18860/iq.v0i0.2282 ◽

2013 ◽

Author(s):

Sri Yati

Keyword(s):

Stock Market ◽

Stock Returns ◽

Analytical Method ◽

Stock Exchange ◽

Investment Decisions ◽

Portfolio Analysis ◽

Rate Of Return ◽

Expected Returns ◽

Risk Level ◽

Expected Return

This study aims to analyze rate of return and risk as the tools to form the portfolio analysis on 15 the most actives stocks listed in Indonesian Stock Exchange. Descriptive analytical method is used to describe the correlation between three variables: stock returns, expected returns of stock market, and beta in order to measure the risk of stocks to help the investors in making the investment decisions. The research materials are 15 the most actives stocks listed in Indonesian Stock Exchange during 2008-2009. The results show that PT. Astra International Tbk. has the highest average expected return of individual stock (Ri) of 308,3355685, while PT. Perusahaan Gas Negara Tbk. has the lowest of -477,0827847. The average expected return of stock market (Rm) is 0,00247163. PT. Astra International Tbk. has the highest systematic risk level of 20229,14205, while the lowest of -147,5793279 is PT. Kalbe Farma Tbk. Furthermore, the results also indicate that there are 9 stocks can be combined to form optimal portfolio because they have positive expected returns.

Download Full-text

The dynamic relationship between stock returns and trading volumes in Nepalese stock market

Management Dynamics ◽

10.3126/md.v23i2.35819 ◽

2020 ◽

Vol 23 (2) ◽

pp. 161-172

Author(s):

Prem Lal Adhikari

Keyword(s):

Stock Market ◽

Stock Returns ◽

Trading Volume ◽

Time Series Data ◽

Stock Exchange ◽

Causal Effect ◽

Empirical Relationship ◽

Insurance Companies ◽

Series Data ◽

Dynamic Relationship

In finance, the relationship between stock returns and trading volume has been the subject of extensive research over the past years. The main motivation for these studies is the central role that trading volume plays in the pricing of financial assets when new information comes in. As being interrelated and interdependent subjects, a study regarding the trading volume and stock returns seem to be vital. It is a well-researched area in developed markets. However, very few pieces of literature are available regarding the Nepalese stock market that explores the association between trading volume and stock return. Realizing this fact, this paper aims to examine the empirical relationship between trading volume and stock returns in the Nepalese stock market using time series data. The study sample is comprised of 49 stocks traded on the Nepal Stock Exchange (NEPSE) from mid-July 2011 to mid-July 2018. This study examines the Granger Causality relationship between stock returns and trading volume using the bivariate VAR model used by de Medeiros and Van Doornik (2008). The study found that the overall Nepalese stock market does not have a causal relationship between trading volume and return on the stock. In the case of sector-wise study, there is a unidirectional causality running from trading volume to stock returns in commercial banks and stock returns to trading volume in finance companies, hydropower companies, and insurance companies. There is no indication of any causal effect in the development bank, hotel, and other sectors. This study also finds that there is no evidence of bidirectional causality relationships in any sector of the Nepalese stock market.

Download Full-text

A new look at the meeting clustering effect

Review of Behavioral Finance ◽

10.1108/rbf-03-2021-0042 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Ángel Pardo ◽

Eddie Santandreu

Keyword(s):

Stock Returns ◽

Stock Exchange ◽

Abnormal Returns ◽

Relevant Information ◽

Investor Attention ◽

Content Type ◽

Potential Link ◽

Clustering Effect ◽

Trading Volumes ◽

The Relationship

PurposeThe study aims to test the existence of a meeting clustering effect in the Spanish Stock Exchange (SSE).Design/methodology/approachThis paper studies the relationship between the clustering of annual general meetings and stock returns in the SSE. A multivariate analysis is carried out in order to analyse the relationship between monthly returns and the clustering of general meetings in the SSE.FindingsThe authors show that meeting clustering exists and that some months exhibit significant and positive additional returns related to the holding of ordinary or extraordinary general meetings.Research limitations/implicationsThe authors have explored some possible explanations for the meeting clustering effect, such as a potential link with the “Halloween” effect or the presence of higher-than-normal levels of volatility, trading volumes or investor attention. However, none of these can explain the meeting clustering effect that emerges as a new anomaly in the SSE.Practical implicationsThe authors have documented significant and positive abnormal returns in some months that coincide with the holding of general meetings. Therefore, the holding of ordinary and/or extraordinary meetings in some months involves the release of relevant information for investors.Originality/valueThis study complements the financial literature because it is focused on the clustering of meetings and its effect on a stock market whose legal order is based on civil law. This fact allows us to shed new light on meeting clustering and its effect on other types of markets.

Download Full-text

Evidence for Some Underlying Time Series Momentum

Global Strategies in Banking and Finance - Advances in Finance, Accounting, and Economics ◽

10.4018/978-1-4666-4635-3.ch013 ◽

2014 ◽

pp. 205-217

Author(s):

Faten Zoghlami

Keyword(s):

Time Series ◽

Stock Market ◽

Stock Returns ◽

Excess Returns ◽

Momentum Strategy ◽

Cross Sectional ◽

Times Series ◽

Before And After ◽

Main Driver ◽

Full Rationality

The chapter documents significant and momentary momentum pattern in stock returns times series. Moreover, the chapter gives evidence that this time series momentum is the main driver of the cross-sectional momentum pattern. The temporary time series momentum pattern is midway between the behavioural and rational financial theories. Given the strong and positive autocorrelation in stock returns time series, the authors argue that investors are temporary under reacting, and they progressively find their full rationality. Using monthly returns inherent to all stocks listed on Tunisian stock market, from January 2000 to December 2009, the authors examine momentum strategy’s excess returns before and after considering time series momentum in stocks returns. Results show that momentum strategy is still profitable, but no longer puzzling. Furthermore, the chapter aims to reconcile between the behavioural and the rational financial theories, through the introduction of the progressive investors rationality.

Download Full-text