scholarly journals Use of the Black and Scholes model in the pricing of purchasing options based on the index of the Iraq Stock Exchange for the period from 6/2 to 25/2/2019

2019 ◽  
Vol 5 (2) ◽  
pp. 68
Author(s):  
Ammar Shihab Ahmed
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Technical Analysis ◽  
Relative Strength ◽  
Financial Indicators ◽  
Strength Index ◽  
The Future ◽  
The Impact

Due to the increasing number of interested investors in the rights of options, it is necessary to highlight this section of the financial markets, and that one of the main reasons for increasing the attractiveness of investors in this type of market is the reduction of capital required to invest in it, and contribute to maximize their profitability if true (Investors 'profits are unlimited) and reduce their losses to a certain extent (investors know in advance the amount of their losses before the turnout of investment) if their expectations are unhealthy. Investors' losses are determined by the amount of the bonus they pay to the contract editor, After the pricing of the contracts of the rights of the purchase choice, they will be certain of the size of the losses they will incur if their expectations for the future are incorrect, and many techniques of technical analysis help investors to predict the future prices of securities or financial indicators. In the research is the relative strength index, and through this indicator, investors can determine whether the prices in the stock market sold at high or low prices, contributing to the impact on the value of the index of the stock market, so the prospect of the future helps investors In making their investment decisions to buy buying rights in the event of higher prices in the future. Conversely, the expectation of lower prices in the future investors are selling purchase rights rights contracts, and thus achieve profits in both cases.Keywords: Black & Schulz model, RSI, financial choice, pricing of purchase choice.

scholarly journals Effectiveness of Technical Analysis Signals Around the Earning Announcements in Malaysian Stock Market

2018 ◽  
Vol 7 (3.21) ◽  
pp. 109
Author(s):  
Kelvin Lee Yong Ming ◽  
Mohamad Jais
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Moving Average ◽  
Technical Analysis ◽  
Relative Strength ◽  
Kuala Lumpur ◽  
Earning Announcement ◽  
Strength Index ◽  
Corporate Announcements ◽  
Technical Indicator

Technical analysis is an analysis that widely applied by the investor in the stock market. However, various corporate announcements could cause the market to react, and the most significant corporate announcement is the earnings announcement (1). Thus, this study examines the effectiveness of technical analysis signals around the earning announcements dates in Malaysian stock market. In doing so, this study applied and tested four technical indicators, namely Simple Moving Average (SMA), Relative Strength Index (RSI), Stochastic (K line), and Moving Average Convergence/Divergence (MACD) in Malaysian stock market. The sample of this study consisted of 30 largest capitalization companies from the main market of Kuala Lumpur Stock Exchange (KLSE). Meanwhile, the sample period covered from 2nd January 2014 to 31st March 2016. This study found that Moving Average Convergence/Divergence (MACD) significantly produced higher returns as compared to the other technical indicator before the earning announcement dates in financial year 2014 and 2015. The combined indicator of MA-MACD also found to have higher return in financial year 2015. The findings conclude that the technical analysis signals can be used to generate returns before earning announcement dates.  

scholarly journals Financial contagion: The impact of the volatility of global stock exchanges on the Lima-Peru Stock Exchange

2020 ◽  
Vol 1 (1) ◽  
pp. 13-27
Author(s):  
Pedro Pablo Chambi Condori
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Exchange ◽  
Market Volatility ◽  
Financial Contagion ◽  
Stock Market Volatility ◽  
Important Indicator ◽  
Dynamic Correlation ◽  
High Volatility ◽  
The Impact

What happens in the international financial markets in terms of volatility, have an impact on the results of the local stock market financial markets, as a result of the spread and transmission of larger stock market volatility to smaller markets such as the Peruvian, assertion that goes in accordance with the results obtained in the study in reference. The statistical evaluation of econometric models, suggest that the model obtained can be used for forecasting volatility expected in the very short term, very important estimates for agents involved, because these models can contribute to properly align the attitude to be adopted in certain circumstances of high volatility, for example in the input, output, refuge or permanence in the markets and also in the selection of best steps and in the structuring of the portfolio of investment with equity and additionally you can view through the correlation on which markets is can or not act and consequently the best results of profitability in the equity markets. This work comprises four well-defined sections; a brief history of the financial volatility of the last 15 years, a tight summary of the background and a dense summary of the methodology used in the process of the study, exposure of the results obtained and the declaration of the main conclusions which led us mention research, which allows writing, evidence of transmission and spread of the larger stock markets toward the Peruvian stock market volatility, as in the case of the American market to the market Peruvian stock market with the coefficient of dynamic correlation of 0.32, followed by the Spanish market and the market of China. Additionally, the coefficient of interrelation found by means of the model dcc mgarch is a very important indicator in the structure of portfolios of investment with instruments that they quote on the financial global markets.

scholarly journals IMPACT OF COVID 19 ON THE INDIAN STOCK MARKET

2021 ◽  
Vol 23 (07) ◽  
pp. 1085-1090
Author(s):  
Harsh Vikram Arora ◽  
Keyword(s):  
United States ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Price ◽  
Stock Exchange ◽  
The United States ◽  
World Health ◽  
Health Crisis ◽  
The World ◽  
The Impact

The COVID19 pandemic which came unprecedentedly has brought forward a lot of confusion and unrest in the world. There are a lot of changes with regard to the global landscape in multiple ways. SARS-CoV-2 is the primary virus, which is the root contributor to the COVID19 outbreak, which started in Wuhan, Hubei Province, China, in December 2019. It did not take much time to spread across the world. This pandemic has resulted in a universal health crisis, along with a major decline in the global economy. One of the major reasons for the fluctuation in the stock price is supply and demand. When the number of people who want to sell their stocks outnumbers those who want to purchase it, the stock price drops. Due to the result in the gap, the financial markets will suffer in the short duration, but in the long run, markets will correct themselves and would increase again. There is a sharp decline in the stock price because of the pandemic. The current scenario has resulted in a world health crisis which has contributed to global and economic crises. Almost all financial markets across the world have been affected by the recent health crisis, with stock and bond values falling gradually and severely. In the United States, the Dow Jones and S& P 500 indices have fallen by more than 20%. The Shanghai Stock Exchange and the New York Dow Jones Stock Exchange both indicate that they had a significant impact on China’s and the United States’ financial markets. The primary purpose of this paper is to determine the impact of COVID19 on stock markets. The rapid spread of the virus has left a major impact on the global financial markets. There is a link between the pandemic and the stock market, and this has been studied in this paper. Along with it, an attempt is taken to compare stock price returns in pre-COVID19 and post-COVID19 scenarios. The stock market in India faced uncertainty during the pandemic, according to the findings.

scholarly journals Optimization of investment management in Warsaw stock market

2014 ◽  
Vol 15 (2) ◽  
pp. 143-156 ◽  
Author(s):  
Maciej Janowicz ◽  
Arkadiusz Orłowski ◽  
Franciszek Michał Warzyński
Keyword(s):  
Stock Market ◽  
Time Perspective ◽  
Moving Average ◽  
Technical Analysis ◽  
Relative Strength ◽  
Optimal Management ◽  
Brute Force ◽  
Exchange Market ◽  
Strength Index ◽  
Optimal Values

Abstract Application of simple prescriptions of technical analysis on the Warsaw Exchange Market (GPW) has been analyzed using several stocks belonging to WIG20 group as examples. Only long positions have been considered. Three well-known technical-analysis indicators of the market have been investigated: the Donchian channels, the Relative Strength Index, and Moving Average Convergence-Divergence indicator. Optimal values of parameters of those indicators have been found by „brute force“ evaluation of (linear) returns. It has been found that trading based on both Donchian channels and Relative Strength Index easily outperform the „buy and hold“ strategy if supplied with optimal values of parameters. However, those optimal values are by now means universal in the sense that they depend on particular stocks, and are functions of time. The optimal management of capital in the stock market strongly depends on the time perspective of trading. Finally, it has been argued that the criticism of technical analysis which is often delivered by academic quantitative financial science is unjustified as based of false premises.

scholarly journals Investor sentiment by relative strength index and stock return: Empirical evidence on Vietnam's stock market

Accounting ◽  
2021 ◽  
pp. 451-456
Author(s):  
Lai Cao Mai Phuong
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Daily Basis ◽  
Relative Strength ◽  
Least Square ◽  
Trading Behavior ◽  
Strength Index ◽  
Near Term

This article examines how investor sentiment affects stock returns on Vietnam's stock market. Investor sentiment index is measured by a relative strength index (RSI) of 57 companies listed on the Ho Chi Minh Stock Exchange from January 1, 2015 to July 31, 2020. Control variables include investors' stock trading behavior, firm size, and cash flow per share. Using Fama-MacBeth regression estimation and general least square estimation (GSL) on a daily basis, both methods find the sentiment of high investors producing higher stock returns, on the contrary, the sentiment of low investors erodes stock returns. Different from the results of Brown and Cliff (2004) [Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27], the article found that the investor sentiment factor plays the most important role in explaining the return of the stock market compared to the rest of the factors.

scholarly journals Investor sentiment measurement based on technical analysis indicators affecting stock returns: Empirical evidence on VN100

2021 ◽  
Vol 18 (4) ◽  
pp. 297-308
Author(s):  
Lai Cao Mai Phuong ◽  
Vu Cam Nhung
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Risk Premium ◽  
Investor Sentiment ◽  
Price Volatility ◽  
Principal Component ◽  
Technical Analysis ◽  
Relative Strength ◽  
Least Square ◽  
The Impact

The purpose of this study is to examine whether investor sentiment as measured by technical analysis indicators has an impact on stock returns. The research period is from 2015 to mid-2020. 1-year government bond yields, financial data, transaction data of 57 companies in the VN100 basket, and VNIndex are analyzed. The investor sentiment variable is measured by each technical analysis indicator (Relative Strength Index – RSI, Psychological Line Index – PLI), and the general sentiment variable is established based on extracting the principal component from individual indicators. The paper uses two regression methods – Fama-MacBeth and Generalized Least Square (GLS) – for five different research models. The results show that sentiment plays an important role in stock returns in the Vietnamese stock market. Even controlling the factors such as cash flow per share, firm size, market risk premium, and stock price volatility in the studied models, the impact of sentiment is significant in both the model using individual technical indicators and the model using the general sentiment variable. Furthermore, investor sentiment has a stronger power to explain excess stock returns than their trading behavior. The implication from the results shows that the Vietnamese stock market is inefficient, in which psychology is a very important issue and participants need to pay due attention to this factor. AcknowledgmentThis study was funded by the Industrial University of Ho Chi Minh City (IUH), Vietnam (grant number: 21/1TCNH03).

scholarly journals Technical analysis on select stocks of banking sector

2016 ◽  
Vol 6 (3) ◽  
pp. 231-242
Author(s):  
Sharmila R ◽  
Kavitha R ◽  
Ananthi S
Keyword(s):  
Banking Sector ◽  
Weather Forecasting ◽  
Stock Exchange ◽  
Moving Average ◽  
Technical Analysis ◽  
Relative Strength ◽  
Rate Of Change ◽  
Strength Index ◽  
Price Movements ◽  
Over Time

Technical Analysis is the forecasting of future financial price movements based on an examination of past price movements. Like weather forecasting, technical analysis does not result in absolute predictions about the future. Instead, technical analysis can help investors anticipate what is “likely” to happen to prices over time. Technical analysis uses a wide variety of charts that show price over time. This study is based on the analysis of four Nifty Bank Index stocks namely Axis Bank, Bank of Baroda, State Bank of India and ICICI bank listed in National Stock Exchange. Technical indicators such as Relative strength index (RSI), Rate of change (ROC) and Moving Average (MA) are used in the study. This paper aims at carrying out Technical Analysis of the securities of the selectedbanking stocks and to assist investment decisions in this Indian Market.

scholarly journals IMPACT OF GLOBAL FINANCIAL CRISIS ON JAPAN, CHINA, INDIA AND USA STOCK EXCHANGE AND INTER-LINKAGE BETWEEN THEM

2016 ◽  
Vol 4 (5) ◽  
pp. 189-197
Author(s):  
Rabia Najaf
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Garch Model ◽  
The World ◽  
Prime Objective ◽  
The Impact

In this paper, we analyzed the impact of financial crisis on different countries by the using of E-GARCH model .our main finding is that in the financial crisis has impact on the stock exchange of different countries. We proved that due to financial crisis most of countries stock exchange have been affected badly. In the world,the American stock exchange was established in 1792. Two dozen brokers were started the stock trading.Now a day, 2,429 companies are listed under this stock exchange. The prime objective of the scholars is to find out the impact of financial crisis on the different stock market. Scholars have proved that financial crisis have always impacted on the financial markets.

scholarly journals ANALISIS TEKNIKAL DENGAN MENGGUNAKAN MOVING AVERAGE CONVERGENCE-DIVERGENCE DAN RELATIVE STRENGTH INDEX PADA SAHAM PERBANKAN

2021 ◽  
Vol 11 (1) ◽  
pp. 51-65
Author(s):  
Suryanto Suryanto
Keyword(s):  
Moving Average ◽  
Descriptive Analysis ◽  
Investment Decisions ◽  
Technical Analysis ◽  
Relative Strength ◽  
Investment Analysis ◽  
Analysis Method ◽  
Strength Index ◽  
Stock Investment ◽  
Before And After

ABSTRACT Stock investment is an investment that has a high risk. An investor needs to do an investment analysis before deciding to invest. Investment analysis can be carried out using both fundamental and technical approaches. Technical analysis is often an option because it is fast and easy to apply. This study aims to examine the level of differences in the use of technical analysis with the moving average convergence-divergence (MACD) method and the relative strength index (RSI) as a means of making stock investment decisions. The research method used in this research is the descriptive analysis method. This research was conducted on a group of banking stocks that are included in LQ45. The results showed that there was no difference between the price of the buy signal and the sell signal before and after using the MACD and RSI methods. The results also show that there is no difference between the buy signal and the sell signal between MACD and RSI. Therefore, it can be stated that for the same object and period, the MACD and RSI methods produce the same investment decisions (buy signal and sell signal). Keywords: technical analysis, MACD, RSI, buy signal, sell signal   ABSTRAK Investasi saham merupakanjenis investasi yang memiliki resiko tinggi. Seorang investor perlu melakukan analisis investasi sebelum memutuskan untuk berinvestasi. Analisis investasi dapat dilakukan dengan menggunakan pendekatan fundamental dan teknikal. Analisis teknikal seringkali menjadi pilihan karena cepat dan mudah diterapkan. Penelitian ini bertujuan untuk menguji tingkat perbedaan penggunaan analisa teknikal dengan metode moving average convergence-divergence (MACD) dan relative strength index (RSI) sebagai alat pengambilan keputusan investasi saham. Metode penelitian yang digunakan dalam penelitian ini adalah metode analisis deskriptif. Penelitian ini dilakukan pada sekelompok saham perbankan yang termasuk dalam LQ45. Hasil penelitian menunjukkan bahwa tidak ada perbedaan harga antara sinyal beli dan sinyal jual sebelum dan sesudah menggunakan metode MACD maupun RSI. Hasil penelitian juga menunjukkan bahwa tidak ada perbedaan antara sinyal beli dan sinyal jual antara MACD dan RSI. Dengan demikian dapat dikatakan bahwa untuk objek dan periode yang sama, metode MACD dan RSI menghasilkan keputusan investasi yang sama (sinyal beli dan sinyal jual). Kata kunci: analisa teknikal, MACD, RSI, sinyal beli, sinyal jual

scholarly journals COMPARATIVE ANALYSIS OF RETURN AND VOLATILITY OF THE KAZAKH AND UKRAINIAN STOCK MARKET SUBJECT TO THE INVESTMENT TIME HORIZON

THE BULLETIN ◽  
2021 ◽  
Vol 3 (391) ◽  
pp. 133-138
Author(s):  
О.О. Zakharkin ◽  
L.L. Hrytsenko ◽  
L.S. Zakharkina ◽  
Iu.O. Myroshnychenko
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Time Horizon ◽  
Stock Exchange ◽  
Scientific Work ◽  
Investment Horizon ◽  
Financial Investment ◽  
High Return ◽  
The Impact

The development of the state's economy is inconceivable without the revitalization of investment processes in the field of financial investment, which are based on operations in the stock market. Simultaneously, the financial investment is characterized by speculative risk, which involves the possibility of obtaining both income and losses from the tradable securities. Such risk creates volatility of financial markets, an indicator of which is the dynamics of changes in stock indices that reflect the value of share capital of the largest enterprises and financial institutions of the state. The analysis of the results of recent scientific work carried out in the paper has shown a significant interest among the world's leading financial scientists to the issue of assessing the volatility of stock markets, which becomes of particular relevance subject to the investment time horizon. The study revealed a strong linear direct correlation between the indices of the Kazakhstan Stock Exchange (KASE) and the Ukraine Stock Exchange (PFTS). The analysis of the impact of the investment time horizon on the indicators of return and volatility was carried out for the Kazakh and Ukrainian stock markets. As a result, it was determined that the stock markets of both countries are characterized by a significant level of volatility, which is offset by high return and tends to decrease with increasing investment horizon. Analysis of the return and risk ratio using the Sharpe Ratio demonstrated an increase in investment attractiveness with increasing investment horizon.

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