scholarly journals Stock Return, Volume and Volatility in the EGARCH model

2020 ◽  
Vol 31 (1) ◽  
pp. 115-136
Author(s):  
Yi Jiang
Keyword(s):  
Stock Return ◽  
Egarch Model

scholarly journals The effects of policies changes on return and volatility in Vietnamese stock market

2017 ◽  
Vol 6 (1) ◽  
pp. 69-84
Author(s):  
Thi-Du Hoang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Positive Impact ◽  
Regulatory Reform ◽  
Stock Index ◽  
Stock Volatility ◽  
Empirical Results ◽  
The Third ◽  
Egarch Model

Using the stock index data of financial sector spanned from January 2, 2009 to December 31, 2014, this study examines the effects of some policies on stock returns and volatility in Vietnamese stock market. The empirical results of EGARCH model reveal that two policies, namely, M&A and VAMC have an significantly positive impact on stock returns but they do not represent any effects on stock volatility. The third policy, regulatory reform, does not show any affection on stock return but it has an impact on the stock volatility. It implies that investors should adjust and alter their portfolio accordingly when changing policies. Besides, policymaker needs to know when they should prioritize which policy to be issued because some policies sometimes can hurt the stock market if the stock market is efficient.

scholarly journals The Sukuk Effect on Stock Return Volatility in Indonesia

2020 ◽  
Vol 3 (2) ◽  
pp. 125-153
Author(s):  
Legina Legina ◽  
Harjum Muharam ◽  
Ahmad Maulin Naufa
Keyword(s):  
Stock Returns ◽  
Trading Volume ◽  
Stock Return ◽  
Sampling Technique ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Finance Company ◽  
Egarch Model ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Observation Period

The purpose of this research is to examine the effect of the announcement of Sukuk issuance to stock return volatility and to examine the phenomenon of time the varying volatility that occurs in the movement of stock returns and volatility. The data used in this research are daily closing price and trading volume incorporate Sukuk issued during the year 2009-2013 in the D-100 D+100 of Observation period. Samples utilized the purposive sampling technique to obtain the Samples of 13 companies. This study uses EGARCH (Exponential Generalized Autoregressive Conditional Heteroscedasticity) method of analysis. The results show that the best model for each sample in the EGARCH model is different. The results show that the phenomenon of time-varying volatility occurred in 13 samples. From 13 samples, event announcement of the Sukuk issuance does not affect the volatility of stocks returns except for Multi Adira Finance company. Furthermore, the trading volume affects the stock returns volatility on 9 companies, hence do not affect the other four companies.

A Reexamination of the Causes of Time-Varying Stock Return Volatilities

CFA Digest ◽  
2010 ◽  
Vol 40 (4) ◽  
pp. 33-35
Author(s):  
Stephen Phillip Huffman
Keyword(s):  
Stock Return ◽  
Time Varying

Analisis Komparatif Return Saham Dan Volume Perdagangan Saham Sebelum dan Sesudah Harbolnas Pada Perusahaan Dagang Yang Terdaftar Di Bei

2020 ◽  
Vol 17 (2) ◽  
Author(s):  
Devy Putri Milanda ◽  
Taufan Adi Kurniawan
Keyword(s):  
Linear Regression ◽  
Abnormal Return ◽  
Stock Return ◽  
Industrial Revolution ◽  
Online Shopping ◽  
Stock Exchange ◽  
Trade Volume ◽  
Volume Activity ◽  
Significance Level ◽  
Before And After

The industrial revolution resulted in several industries changing their management in order to survive, one of the industries that was affected quite considerably was the trading industry. This study aims to analyze stock return and Trade Volume Activity (TVA) of trading companies in Indonesia Stock Exchange (IDX) before and after Harbolnas (Hari Belanja Online Nasional) or National Online Shopping Days. The samples are all trading companies that have listed on the IDX in the year 2019. This study use multiple linear regression with a significance level of 5%. The results show there are no significant differences in the abnormal return before and after Harbolnas, and there are no significant differences in the TVA before and after the harbolnas

IMPLIKASI RETURN ON EQUITY, RETURN ON ASSET, NET INCOME& DEBT TO EQUITY RATIO TERHADAP RETURN SAHAM PADA PERUSAHAAN PROPERTI

2018 ◽  
Vol 3 (1) ◽  
pp. 59-66
Author(s):  
Muhammad Richo Rianto
Keyword(s):  
Data Analysis ◽  
Capital Market ◽  
Stock Return ◽  
Stock Exchange ◽  
Secondary Data ◽  
Net Income ◽  
Return On Equity ◽  
Property Companies ◽  
Equity Ratio

The research aims to analyze the effect of  Return On Equity (ROE ), Return On Asset (ROA), Net Income (NI) and Debt to Equity  (DER) on partially and simultaneously to Return Investment (RI) in property companies. Data were collected from secondary data in the financial documentation of Indonesian Capital Market  Directory ( ICMD ) and also can download in the official website of the Indonesian Stock Exchange www. IDX.co.id. Data analysis was using Eviews version  7.1. The results show that: ROE, ROA, NI, and DER simultaneously significant effect on the property company’s stock return, but partially only ROE and DER variable that significantly effects on stock return. Keywords: Return on Equity, Return on Asset, Net Income, Debt to Equity, Return Investment

Does Dividend Stability Provide a Promising Stock Return? Evidence from Bursa Malaysia

2007 ◽  
Author(s):  
Fazilah A. Samad ◽  
Roselee Shah Shaharudin ◽  
Guat Ha Soh
Keyword(s):  
Stock Return
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