scholarly journals Proposed Framework for Predicting Stock Return Volatility Using Neural Network "An Applied Study on the Egyptian Stock Exchange

2019 ◽  
Vol 2 (1) ◽  
pp. 46-57
Author(s):  
Osama EL-Ansary ◽  
Nazeer Elshahat ◽  
Maha Metawea
Keyword(s):  
Neural Network ◽  
Stock Return ◽  
Stock Exchange ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Applied Study ◽  
Egyptian Stock Exchange

Proposed Framework for Predicting Stock Return Volatility Using Neural Network: An Applied Study on the Egyptian Stock Exchange

2018 ◽  
Vol 8 (4) ◽  
pp. 424
Author(s):  
Osama EL-Ansary ◽  
Nazeer Elshahat ◽  
Maha Saad Metawea
Keyword(s):  
Neural Network ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
The Neural Network ◽  
High Volatility ◽  
Internal And External Factors ◽  
Egyptian Stock Exchange

Purpose: the primary purpose of the study is to determine the effect of both internal and external factors on stock returns volatility using different statistical methods, applied on Egyptian stock exchange.Methodology: the researchers have compared the accuracy of (GLS Model, GARCH Model, and Neural Network) in predicting the stock return volatility to choose the most accurate one. Data was collected from the Egyptian Stock Exchange (EGYX 30) for the period (2014 to 2017) on a monthly basis.Findings: The results of the study revealed that the Neural Network Model has proven to outperform the traditional models in the prediction of stock return volatility.Originality: the study contributes to literature as it used Artificial Neural Network in two functions (Prediction of stock return volatility) and (Classification of the volatility to –high volatility and Low volatility). Also few studies concerned with stock return volatility in developing countries, especially Egypt.

scholarly journals Foreign Ownership, Return Volatility, Trading Volume, and Risk of Stocks in Indonesia

2018 ◽  
Author(s):  
Ahmad Maulin Naufa ◽  
I Wayan Nuka Lantara
Keyword(s):  
Panel Data ◽  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Foreign Ownership ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Indonesian Government ◽  
The Relationship

This study examines the relationship between foreign ownership and return volatility, trading volume, and risk of stocks at the Indonesia Stock Exchange (IDX). Panel data of selected companies listed on the LQ45 index of the IDX was employed for the period between 2011 and 2017. Foreign ownership was found to positively affect stock return volatility, trading volume, and risk. Hence, more substantial foreign ownership of stocks meant more drawbacks to Indonesian stocks. Therefore, there is a need for the Indonesian government to limit and regulate foreign shareholders in Indonesia.  

Do Daily Dividends Reduce Stock Return Volatility and Value-at-Risk?

2018 ◽  
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Return ◽  
Stock Exchange ◽  
Return Volatility ◽  
Expected Loss ◽  
Computation Model ◽  
Stock Return Volatility ◽  
Daily Return ◽  
Holding Period

This study offers a daily dividend computation model and extends the two conventional arithmetic and logarithmic return equations to include daily dividend. The author examines the effect of daily dividend inclusion on the daily return volatility and Value-at-Risk (VaR) of the five stocks listed in the Dhaka Stock Exchange (DSE) Limited. The research shows that in most cases the inclusion of daily dividends significantly reduces the daily volatility of returns. Also, with a few exceptions, the VaR of the remaining stocks’ return declines substantially, decreasing the maximum expected loss of return. Finally, after inclusion of a daily dividend, the author finds that a more extended holding period offers a proportionately lower VaR of the daily return.

Macroeconomic Sensitivity, Risk-Return Trade-Off and Volatility Dynamics Evidence From Developed and Developing Markets

2019 ◽  
Vol 6 (1) ◽  
pp. 1-16
Author(s):  
Faisal Khan ◽  
Hashim Khan ◽  
Saif Ur-Rehman Khan ◽  
Muhammad Jumaa ◽  
Sharif Ullah Jan
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Three Dimensions ◽  
Leverage Effect ◽  
Return Volatility ◽  
Macroeconomic Factors ◽  
Stock Return Volatility ◽  
Risk Return ◽  
The Impact

This study aims to examine the impact of macroeconomic factors on the stock return volatility along with the pricing of risk, and asymmetry and leverage effect on a comparative basis for the USA and UAE markets. Further, these three dimensions are also investigated with regard to various firm's features (such as firm's size and age). The daily data for the period 4th January 2010 to 29th December 2017 of firm stock returns from the New York Stock Exchange (NYSE), the Abu Dhabi Securities Exchange (ADSE), and the Dubai Financial Market (DFM) is considered and three time-series models were applied. The results from GARCH (1. 1) indicated that all the economic factors have significant impact on the stock return volatility in both the markets. Similarly, the study also found evidence of asymmetry & leverage effect using EGARCH in the NYSE (for all firms) and the UAE (partially). Finally, for a majority of the firms, a positive risk-return relationship is found in the UAE and a negative risk-return relationship is found in the NYSE using GARCH-in the mean. Interestingly, these results in context of both markets were different with respect to various firm features such as firm size and age. In light of these results, it is concluded that both the markets have different dynamics with regard to all three dimensions. Hence, the investors have a clear opportunity to diversify their risk and investments across developed and emerging markets.

Impact of board structure, board activities and institutional investors on the firm risk: evidence from India

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Pankaj Chaudhary
Keyword(s):  
Institutional Investors ◽  
Stock Return ◽  
Stock Exchange ◽  
Independent Directors ◽  
Board Structure ◽  
Return Volatility ◽  
Method Of Moment ◽  
Content Type ◽  
Stock Return Volatility ◽  
The Impact

PurposeStock return volatility is an important aspect of financial markets which requires specific attention of researchers. This study examines the impact of board structure, board activities and institutional investors on the stock return volatility of the Indian firms.Design/methodology/approachThe author had selected the non-financial companies of the National Stock Exchange (NSE), which form the part of the NSE 500 index. Regression models had been estimated using the system generalised method of moment (GMM) framework designed by Arellano and Bover (1995) and Blundell and Bond (1998) to deal with endogeneity concerns.FindingsThe author found that the stock return volatility was affected by the institutional investors, particularly pressure-insensitive (PI) investors. Moreover, this study supported the non-linear relationship between stock return volatility and institutional investors. Unlike developed world, the author found that the independent directors were positively associated with the stock return volatility.Research limitations/implicationsIt is important for the investors and regulators to understand that the behaviour of the institutional investors depends on its class and having more independent directors will not ensure containment of the stock return volatility as suggested in previous literature reviews.Originality/valueMost of the prior studies have used simple standard deviation (SD) to compute stock return volatility. In this study, besides SD, the author used the generalised autoregressive conditional heteroskedasticity (GARCH) model to compute the stock return volatility of the firms.

scholarly journals Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)

2021 ◽  
Author(s):  
Mona Mortazian
Keyword(s):  
Multivariate Analysis ◽  
Stock Return ◽  
Stock Exchange ◽  
Empirical Finding ◽  
Information Environment ◽  
Return Volatility ◽  
Stock Liquidity ◽  
Stock Return Volatility ◽  
Long Period ◽  
Bid Ask Spread

AbstractCompanies moving from the Main market of London Stock Exchange to the AIM impair their information environment when entering the AIM; the information environment is measured by the stock’s liquidity and volatility. The primary empirical finding is that movement from the Main Market to the AIM decreases the liquidity and volatility of stocks. After controlling for the effects of factors that are known to affect stock liquidity and for the change in company characteristics after the movement date in the multivariate analysis, it is found that moving to the AIM is associated with a significant increase in Amihud illiquidity and the bid–ask spread and with a decrease in stock return volatility. The documented effects of movement to the AIM are found to be sustained over a long period of time following the movement event. This therefore implies that moving from the Main Market to the AIM is not improving the companies’ liquidity and volatility.

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