scholarly journals Monetary Shocks or Real Shocks, Which matters the most for Share Prices

2011 ◽  
Vol 2 (6) ◽  
pp. 246-251
Author(s):  
Muhammad Imtiaz Subhani
Keyword(s):  
Stock Exchange ◽  
Unit Root Test ◽  
Share Price ◽  
Monetary Shocks ◽  
Share Prices ◽  
Time Series Econometrics ◽  
Monthly Period ◽  
Vector Auto Regression ◽  
Real Shocks ◽  
Auto Regression

This study examines that out of monetary shocks (∆M2) and real shocks in share prices (∆Yt-k), which one or both really explain share prices of Karachi stock exchange 100 index. The time series econometrics is used to investigate the data for the monthly period of January 1991 to January 2011 for money supply (M2) and share prices of KSE 100 index. The results of unit root test reveal that there is a real shock in share prices and it explains the share price of KSE 100 index temporarily, while Vector auto regression revealed that Share prices of KSE 100 index is meagerly explained by the monetary shocks.

scholarly journals DETERMINATION OF SHARE PRICE OF AGRO ALLIED FIRMS: EVIDENCE FROM NIGERIA

2020 ◽  
Vol 8 (4) ◽  
pp. 515-521
Author(s):  
Adedoyin Isola LAWAL ◽  
Ezeikel OSENI ◽  
Abiola J. ASALEYE ◽  
Bukola LAWAL-ADEDOYIN ◽  
Crystal O. ELLEKE
Keyword(s):  
Stock Exchange ◽  
Unit Root Test ◽  
Policy Implications ◽  
Share Price ◽  
Return On Assets ◽  
Correction Model ◽  
Share Prices ◽  
Earnings Per Share ◽  
Practical Implications

Purpose: The study aims to investigate the determinant of the share price of agro-related firms listed on the Nigerian stock exchange. Methodology: We employed regression analysis, unit root test as well as vector correction model to determine the degree of relationship between share prices and each of return on assets (ROA), earnings per share (EPS), dividend per share (DPS). Findings: The study found that share price is majorly influenced by earnings per shares, while other variables lag it. Practical implications: Results from the study have some possible policy implications, for instance, it is recommended that policymakers should put in place conducive market environments that will stimulate earnings from investments. Investors should on the other hand pay keen attention to information within and outside the economy when making investment decisions. Originality/Value: This study is one of the first studies on determinants of share prices with a focus on agro-allied firms.

scholarly journals Key Fundamental Factors and Long-run Price Changes in an Emerging Market—A Case Study of Karachi Stock Exchange (KSE)

2002 ◽  
Vol 41 (4II) ◽  
pp. 517-533 ◽  
Author(s):  
Mohammad Irfan Chaudhary ◽  
Mohammed Nishat
Keyword(s):  
Capital Structure ◽  
Stock Exchange ◽  
Emerging Market ◽  
Share Price ◽  
Relevant Factor ◽  
Direct Relation ◽  
Price Changes ◽  
Important Indicator ◽  
Share Prices ◽  
Long Run

Share prices are the most important indicator readily available to the investors for their decision to invest or not in a particular share. Theories suggest that share price changes are associated with changes in fundamental variables which are relevant for share valuation like payout ratio, dividend yield, capital structure, earnings size of the firm and its growth, [Wilcox (1984); Rappoport (1986); Downs (1991)]. Linter (1956) linked dividend changes to earnings while Shapiro valuation model (1962) showed dividend streams discounted by the difference in discount rate and growth in dividend should be equal to share price. This predicts direct relation between pay out ratio and the price-earning multiple. Conversely it means that there is an inverse relation between pay out ratio and share price changes. Several eventbased studies established direct relation between share price changes and either earnings or dividend changes [Ball and Brown (1968); Baskin (1989)]. Sharpe (1964) and Hamada (1972) suggested direct relation between share price changes and capital structure. Beaver, Kettler and Sholes (1970) showed that firms appear to pay less of their earnings if they have higher earning volatility. This suggests payout ratio as relevant factor for share price changes. Investigations of share price changes appear to yield evidence that changes in fundamental variable(s) should jointly bring about changes in share prices both in developed and emerging markets. However, the actual fundamental factors found to be relevant may vary from market to market. For example, changes in asset growth of firms are significant in the case of Japanese shares while earnings appear to be universally a relevant factor [Ariff, et al. (1994)]. However, it is widely agreed that a set of fundamental variables as suggested by individual theories is no doubt relevant as possible factors affecting share price changes in the short and the long-run [Ariff and Khan (2000)].

Pengaruh Profitabilitas, Likuiditas dan Solvabilitas terhadap Harga Saham pada Sektor Transportasi yang Terdaftar di BEI Tahun 2014-2018

2021 ◽  
Vol 11 (1) ◽  
pp. 41-53
Author(s):  
Popy Marsela ◽  
One Yantri
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Share Price ◽  
Significant Positive Effect ◽  
Share Prices ◽  
Negative Effect ◽  
Equity Ratio ◽  
Independent Variable ◽  
Positive Effect ◽  
Method Approach

This study aims to determine the effect of Profitability, Liquidity and Solvability on the share prices of sector Transportation on the Indonesia Stock Exchange (IDX) period 2014-2018. The Share Prices as the dependent variable is proxied by Closing Price. The independent variables in this Profitability, Liquidity and Solvability. The Profitability is proxied by Return On Asset (ROA), Liquidity is proxied by Current Ration (CR), Solvability is proxied by Debt to Equity Ratio (DER). The research method uses a quantitative method approach. The results of this experiment showed that the independent variable Profitability has a significant positive effect on stock prices with a significance of 0.000 < 0.00. Liquidity has not a significant negative effect on stock prices with a significance value of 0.181 > 0.005. Solvability has a significant positive effect on stock prices with a significance of 0.001 < 0.005. Profitability, Liquidity, and Solvability together significantly influence the Share Price with a significance value of 0.000 < 0.005.

Bombay Stock Exchange of India

2017 ◽  
pp. 181-212
Author(s):  
Sachin Kamley ◽  
Shailesh Jaloree ◽  
R. S. Thakur
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Share Prices ◽  
Election Results ◽  
Combination Of Methods ◽  
Prediction Techniques ◽  
A Company ◽  
Financial Issues

Stock market nature is considered to be dynamic and susceptible to quick changes because it depends on various factors like share price, fundamental variables like P/E ratio, dividend yield etc. election results, rumors etc. Now a day's prediction is an important process which determines the future worth of a company. The successful prediction brings motivation and awareness in stock community as well as economic growth of the country. In past various theories and methods like Efficient Market Hypothesis (EMH), Random Walk Theory, fundamental and technical analyses have been proposed. These methods or combination of methods have not got as much success even yet because these methods are very complex and time consuming and performed well on short data. These days stock market users mostly rely on intelligent trading system which would be help them to predict share prices based on various situations and conditions. Data mining is a broad area and also supports various business intelligence techniques. It has mastery to raise various financial issues like buying/selling security, bond analysis, contract analyses etc. in this study various prediction techniques like linear regression, multiple regression, association rule mining, clustering, neural network have been proposed and their significant performances will be compared by Bombay Stock Exchange (BSE) data.

Effect of Dividend Policy on Stock Price Volatility in Nigeria Stock Exchange

2019 ◽  
Vol 9 (2) ◽  
pp. 219
Author(s):  
Felix Ebun Araoye ◽  
Akinola Michael Aruwaji ◽  
Emmanuel OlusuyiAjayi
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Positive Impact ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Price Volatility ◽  
Share Price ◽  
Dividend Payout ◽  
Share Prices ◽  
Duration Effect

This paper seeks to determine the effect of dividend policy and dividend payment on share price volatility in Nigeria. Several literatures have showed evidence that dividend policy vary inversely proportional with share price volatility with duration effect. The study used data from the actively trading companies listed in the Nigeria Securities Exchange for a period of ten (10) years from 2005–2014. The estimation is based on panel data analysis between dividend policy measures (dividend payout, dividend per share, earnings after tax, dividend declared and number of share) and Share price volatility. The findings from the random effects regression results showed dividend per share is the major determinants of share price volatility in NSE (β = 0.6870, ρ<0.05). Dividend payout ratio negatively affect share price volatility (β =0.612, ρ>0.05) and earnings after tax negatively affect share price volatility (β =0.038, ρ>0.05).Thus, the higher the payout ratio the less the share price volatility, and the higher the earnings after tax lower the share price volatility. In conclusion, dividend per share has positive effect and inclusive relationship with market share prices. It is recommended that firms should try and improve on their financial performance that will enable consistent increase in the dividend per share for positive impact on market value.

scholarly journals ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PENYALURAN PENGARUH TINGKAT SUKU BUNGA, NISBAH BAGI HASIL DEPOSITOMUDHARABAH, DAN PERTUMBUHAN EKONOMI TERHADAPPERTUMBUHAN DEPOSITO MUDHARABAH DI BANK SYARIAH MANDIRI PERIODE 2006:01-2011:12

Media Ekonomi ◽  
2017 ◽  
Vol 20 (3) ◽  
pp. 73
Author(s):  
Iqra Aulia
Keyword(s):  
Interest Rate ◽  
Unit Root Test ◽  
Secondary Data ◽  
Dynamic Impact ◽  
Causality Test ◽  
Var Analysis ◽  
Disturbance Factor ◽  
Vector Auto Regression ◽  
The Interest Rate ◽  
Auto Regression

<p>Vector Auto Regression (VAR) is an analysis or statistic method which can be used to predict time series variable and to analyst dynamic impact of disturbance factor in the variable system. In addition, VAR analysis is very usefull to assess the interrelationship between economics variable. This research through the following test phases: unit root test, optimal lag test, granger causality test, and form a vector auto regression model (VAR). The data used in this research is interest rate (i), profit low sharing of mudharabah deposits (nBH), economic growth (gGDP, growth of mudharabah deposits volume (gVM) in the period 2006:01-2011:12. The effectiveness was measured by two indicators. This study used secondary data issued by Syariah Mandiri Bank &amp; Bank Indonesia. The result of the study shows that response velocity of variable in growth of mudharabah deposits volume (gVM) towards shock instrument of interest rate(i) until reach the final target about 4 months. Thus we can conclude that growth of mudharabah deosits volume through Interest Rate is not effective in Indonesia period of 2006:01-2011:12. Keyword: Vector Auto Regression (VAR), growth of mudharabah deposits volume (gVM), The Interest Rate.</p>

scholarly journals Efficient Market Hypothesis and Market Anomalies of LQ 45 Index in Indonesia Stock Exchange

2019 ◽  
Vol 3 (2) ◽  
pp. 107
Author(s):  
Helma Malini
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Exchange Market ◽  
Efficient Market ◽  
Market Anomalies ◽  
Share Prices ◽  
Year Effect

The paper attempts to investigate the validity of the Efficient Market Hypothesis and the existence of calendar effect on Indonesia Stock Exchange Market. Initially, this paper discusses types of EMH also the literature available regarding this topic. The sample of research is twenty one securities listed in LQ 45 Index on the Indonesia Stock Exchange Market (IDX), this paper applies non parametric tests which are Run test, Kruskal-Wallis test, Mann-Whitney test  parametric test which are series correlation test, One-way Anova test and independent t-test two sample. Based on the results of the test of this paper, it can be concluded that Weak Form Efficient Market exists in LQ 45 Index of IDX while Day of the Week Effect and Month of the Year Effect are not found to exist in LQ 45 Index of IDX. In conclusion, it is observed that the effect of stock prices for the sample companies on future prices is very meager and an investor cannot reap profits by using the historical share price data as the current share prices already reflect the effect of past share prices data.

scholarly journals THE EFFECT OF THE FINANCIAL RATIOS ON THE SHARE PRICE OF INSURANCE COMPANIES LISTED IN THE IRAQI STOCK EXCHANGE MARKET USING MULTIPLE REGRESSION ANALYSIS (APPLIED RESEARCH IN THE IRAQI STOCK EXCHANGE MARKET)

2018 ◽  
Author(s):  
Othman Amin
Keyword(s):  
Multiple Regression ◽  
Stock Exchange ◽  
Multiple Regression Model ◽  
Share Price ◽  
Financial Ratios ◽  
Insurance Companies ◽  
Exchange Market ◽  
Share Prices ◽  
Research Population ◽  
The Relationship

<p><em>This research aims to identify the most important financial ratios affecting the share price of insurance companies listed in the Iraqi Stock Exchange Market (ISEM) during the period 2006-2015, and to indicate which ratios are more influential than others on share prices. The research population which consisted of (4 companies) is taken from insurance companies listed in the Iraqi Stock Exchange Market. The research sample consisted of one of these companies, representing  25% of the research population. In the statistical analysis a multiple regression model was used to determine the relationship between the independent and the dependent variables and the results of this study showed that there is a statistically significant relationship and effect between some financial ratios and the share price. The study gave a general background on the financial markets and the Iraqi Stock Exchange Market in particular.What characterizes this study from previous ones is demonstrating the effect of the financial ratios on the share price in the Iraqi setting for insurance companies listed in the Iraqi Stock Exchange using the multiple regression method.</em></p>

scholarly journals PENGUJIAN KAUSALITAS ANTARA VARIABEL MAKROEKONOMI DENGAN RETURN PASAR DI BURSA EFEK INDONESIA : SEBUAH PENDEKATAN VECTOR AUTO

Media Ekonomi ◽  
2017 ◽  
Vol 19 (3) ◽  
pp. 23
Author(s):  
Anggi Hapsari Nurullita
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Return ◽  
Vector Auto Regression ◽  
Auto Regression

<p>Indicators of macroeconomic have major impact on capital markets in general and stocks in particular. Influence of these indicators can be positive or negative. Vector Auto Regression (VAR) is a method of analysis used to predict the time series variable and analyze the dynamic impact factor interference in a system variable. VAR analysis is very useful to assess the linkages between economic variables. This research aims to see the influence of iIndicators of macroeconomic such as the exchange rate (EXCHANGE), interest rate Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG) in Indonesian Stock Exchange in the period 2004:1-2011:10. Data obtained from the Monthly Stock Price Index Statistics JSX. This research appllying several stages of testing as follows: unit root test, the optimal lag test, Granger causality test and Vector Auto Regression model (VAR). The results of unit root test in this study suggests that the data used for processing in the first degree and VAR Granger test because only the stationary stock index return variable in zero degree (level). On the test results suggested the optimal lag is the lag 3. On the Granger causality test is known that the Granger test variable rate (EXCHANGE) has a one-way impact or the exchange rate (EXCHANGE) affect market return (REIHSG) interest rate of Bank Central of Indonesia Certificates (SBI) and the rate of inflation (INFLATION) has a two direction or impact mutual Causality. These results indicate that there is a weak Granger causality between interest rates Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG).<br />Keywords: Vector Auto Regressive (VAR), Macroeconomic, Granger Causality, IHSG stock return</p>

scholarly journals Impact of Corporate Social Responsibility Awards on Share Prices

2019 ◽  
Vol 5 (1) ◽  
pp. 141-154
Author(s):  
Zeeshan Mahmood ◽  
Javed Iqbal ◽  
Waris Ali ◽  
Muhammad Aamir
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Stock Exchange ◽  
Business Case ◽  
Share Price ◽  
Event Window ◽  
Share Prices ◽  
Study Methodology ◽  
Corporate Social ◽  
The Impact

This paper provides empirical evidence to evaluate the business case of corporate social responsibility. In contrast to former studies, we choose to examine the relationship between corporate social responsibility awards and share prices. We examined this relationship in the contextual setting of Pakistan, where several award schemes are operating to reward CSR performance. An event study methodology was adopted to investigate the impact of award announcement on the abnormal return of TOP 100 companies listed on the Pakistan Stock Exchange. A daily price for each company was collected during the estimation window of 120 days before the event window and an event window of 3 days [-1, 0, 1]. Our analysis shows that the overall announcement of CSR awards has an insignificant impact on share price.                                             

Sign in / Sign up

Export Citation Format

Share Document