scholarly journals MACRO-ECONOMIC IMPACT ON STOCK PRICES

2021 ◽  
pp. 13-19
Author(s):  
Toufiq Agung Pratomo Sugito Putra ◽  
Sugiyanto Sugiyanto
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Economic Effect ◽  
Financial Sector ◽  
Time Series Models ◽  
Quantitative Methodology ◽  
Vector Autoregressive ◽  
Mathematical Techniques

Macroeconomics is an integral component of economic activity. The goal of this research is to demonstrate the effects of the macro-economic effect on stock returns with a more focused and tailored scope of the financial sector. This research uses a quantitative methodology with mathematical techniques, data used in the period 2001-2018, time series models with Vector Autoregressive (VAR) approaches where the data used are stationary and not co-integrated. The VAR model shows that if there is a parallel interaction between the measured variables, these variables can be considered similarly so that there are no more endogenous and exogenous variables. The findings showed that inflation, exchange rates and interest rates have no significant effect while economic growth had an impact on stock returns in the financial sector on the Indonesian stock exchange in 2001-2018

scholarly journals Asimetris Nilai Tukar Rupiah Terhadap Harga Saham Sektor Keuangan Periode 2013-2019

2020 ◽  
Vol 2 (3) ◽  
pp. 143-152
Author(s):  
Abdul Aziz
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Exchange ◽  
Financial Sector ◽  
Distributed Lag ◽  
Asymmetrical Effect ◽  
The Exchange Rate ◽  
Asymmetrical Impact ◽  
Data Estimation

This paper examines the asymmetrical effect of the rupiah exchange rate on financial sector stock prices on the Indonesian stock exchange using the Non-Linear Autregressive Distributed Lag (NARDL) method with monthly data. Estimation results show that interest rates and exchange rates affect the movement of stock prices in the financial sector, there is a long-term relationship between the exchange rate with financial sector stock prices, our results also show the asymmetrical impact of exchange rate variables on financial sector stock prices, we also find when the exchange rate is positive (appreciation ) the effect is lower than when the exchange rate is negative (depreciation).   Tulisan ini meneliti tentang efek asimetris kurs rupiah terhadap harga saham sektor keuangan di bursa efek Indonesia dengan menggunakan metode Non-Linier Autregressive Distributed Lag (NARDL) dengan data bulanan.  Hasil estimasi menunjukkan bahwa  suku bunga dan kurs berpengaruh terhadap pergerakan harga saham sektor keuangan, terdapat hubungan jangka panjang antara kurs dengan harga saham sektor keuangan, hasil kami juga menunjukkan dampak asimetris variabel kurs terhadap harga saham sektor keuangan, kami juga menemukan ketika kurs positif (apresiasi) pengaruhnya lebih rendah dibandingkan saat kurs negative (depresiasi).

scholarly journals The Effects of Financial Performance on Stock Returns: Evidence of Machine and Heavy Equipment Companies in Indonesia

2020 ◽  
Vol 11 (6) ◽  
pp. 131
Author(s):  
A. Razak ◽  
Febrian Vingky Nurfitriana ◽  
Desty Wana ◽  
Ramli Ramli ◽  
Ismail Umar ◽  
...  
Keyword(s):  
Financial Performance ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Performance Factors ◽  
Heavy Equipment ◽  
Panel Data Regression ◽  
Data Regression ◽  
Equity Ratio

This study was made to determine the effect of Current Ratio (CR), Total Assets Turnover (TAT), Return on Assers (ROA), Debt to Equity Ratio (DER) on stock returns in the machinery and heavy equipment sub-sector companies listed on the Stock Exchange Indonesia (IDX) in the period 2014 - 2018. Stock returns are calculated based on changes in closing stock prices and estimated influence of financial performance factors using the panel data regression method. Based on empirical findings show that financial performance that has been proxy using; CR, TAT, ROA, and DER do not affect stock returns. The results of the study have implications that the company's financial performance is not an important consideration for investors in the decision to buy shares in the Machinery and Heavy Equipment sub-sector company. In many studies, stock prices are much influenced by macroeconomic variables, such as; exchange rates, inflation, interest rates, and oil prices.

Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example

2010 ◽  
Vol 13 (04) ◽  
pp. 621-645 ◽  
Author(s):  
Wen-Rong Jerry Ho ◽  
C. H. Liu ◽  
H. W. Chen
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Investment Decision ◽  
Investment Strategy ◽  
Return Rate ◽  
Selection Strategy ◽  
Stock Selection ◽  
Taiwan Stock Exchange ◽  
Book To Market Ratio

This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.

Studying the Effect of Changing the Managing Director on the Abnormal Returns of Shares of Companies Listed on the Iraqi Stock Exchange

2021 ◽  
Vol 39 (11) ◽  
Author(s):  
Hussein Hasan ◽  
Hudaa Nadhim Khalbas ◽  
Farqad Mohammed Bakr AL Saadi
Keyword(s):  
Stock Returns ◽  
Significant Relationship ◽  
Stock Prices ◽  
Market Reaction ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Abnormal Returns ◽  
The Other ◽  
Other Hand ◽  
Abnormal Stock Returns

The aim of this research is to study the market reaction to the change of the managing director and how this change affects the abnormal returns of the shares. The research is based on the information published by the companies listed on the Iraq Stock Exchange, and 35 companies were selected for the period from 2015 to 2019. The results of the hypothesis test for this study show that there is a negative and significant relationship between the change of the managing director and abnormal stock returns. On the other hand, investors undervalue stock prices when changing CEOs. As a result, the stock returns are less than expected.

scholarly journals Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

2017 ◽  
Vol 20 (1) ◽  
pp. 47
Author(s):  
Muhammad Iqbal ◽  
Buddi Wibowo
Keyword(s):  
Risk Factor ◽  
Stock Returns ◽  
Cross Section ◽  
Stock Prices ◽  
Stock Exchange ◽  
High Growth ◽  
Growth Effect ◽  
Market Anomalies ◽  
Growth Anomaly ◽  
Asset Growth

Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum), confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973), the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

scholarly journals FACTORS AFFECTING OPERATING CASH FLOW TO STOCK RETURN THROUGH STOCK PRICE

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Aprih . Santoso
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Financial Statements ◽  
Manufacturing Companies ◽  
Operating Cash Flow

Abstract : Companies need funds in order to carry out operations such as the financing of production activities, pay employees, pay other expenses related to the operation of the company. One way to obtain these funds is to attract investors to invest in companies in the form of stock, but in making this investment is certainly not easy for investors, because investors need consideration beforehand to find out how the company's performance. The purpose of this study was to examine and analyze the effect of operating cash flow to stock return through stock price at companies listed on the Stock Exchange Year 2012-2015. The data used in this study dala are secondary data from the financial statements of companies listed on the Indonesia Stock Exchange period 2012 - 2015. The data are in the form of financial statements can be obtained from the Indonesian Capital Market Directory (ICMD), the IDX website www.idx.co. id as well as from various other sources to support this research. The population in this research is manufacturing companies listed on the Stock Exchange the period 2012 - 2015. The samples taken by the sampling technique used purposive sampling.From the test results and analysis of the data it can be concluded that operating cash flow directly and indirectly has no effect on stock returns through stock prices showed no significant results. Keywords :  Operating Cash Flow, Stock Price, Stocks Return

scholarly journals Pengaruh Tingkat Suku Bunga, Inflasi Dan Nilai Kurs Terhadap Harga Saham Perusahaan Perhotelan Yang Terdaftar Di Bursa Efek Indonesia Per Triwulannya Periode 2016-2018

2021 ◽  
Vol 4 (2) ◽  
pp. 871-877
Author(s):  
Rahmat Dewa Bagas Nugraha ◽  
H.M Nursito
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Quantitative Study ◽  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Ratio Analysis ◽  
The Interest Rate

This study aims to determine and analyze the factors that affect stock prices through appropriate ratio analysis. As for the ratio of interest rates, inflation and exchange rates. Researchers want to know and analyze the effect partially or simultaneously between interest rates, inflation, and exchange rates on stock prices. This research is a quantitative study using secondary data. The object of this research is hotel companies listed on the Indonesia Stock Exchange for the period 2016-2018. The sample used in this study were 3 hotel with certain characteristics. The results of research simultaneously using the F test show that there is no influence between interest rates, inflation and exchange rates on stock prices because the calculated value is smaller than the table. Partially with the t test it can be concluded that there is no influence between interest rates on stock prices because the tcount value in the interest rate variable is smaller than the t table. Likewise, the t calculation of inflation and the exchange rate is smaller than the t table, so that there is no partial effect of the two variables on stock prices. Keywords: Stock Prices, Interest Rates, Inflation and Exchange Rates

scholarly journals Systematic illiquidity, characteristic illiquidity, and stock returns: Timeseries analysis

2022 ◽  
Vol 9 (2) ◽  
pp. 72-80
Author(s):  
Soltane et al. ◽  
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Timeseries Analysis ◽  
The Relationship

The objective of this research is to investigate the relationship between illiquidity and stock prices on the Tunisian stock exchange. While previous researches tended to focus on one form of illiquidity to examine this relationship, our study unifies three forms of illiquidity at the same time. Indeed, we simultaneously consider illiquidity as systematic risk, as a characteristic of the market, and as a characteristic of the stock. The aggregate illiquidity of the market is the average of individual stock illiquidity. The illiquidity risk is the sensitivity of the stock price to illiquidity shocks. Shocks of market illiquidity are estimated by the innovations in the expected market illiquidity. Results show that investors on the Tunisian stock exchange do not require higher returns when they expect a rise of market illiquidity, whereas investors on U.S markets are compensated for higher expected market illiquidity. In addition, shocks of market illiquidity provoke a fall in stock prices of small caps, while large caps are not sensitive to market illiquidity shocks. This differs slightly from results based on U.S. data where illiquidity shocks reduce all stock prices but most notably those of small caps. Robustness tests validate our findings. Our results are consistent with previous studies which reported that the “zero-return” ratio predicts significantly the return-illiquidity relationship on emerging markets.

Growth and returns across countries

2021 ◽  
pp. 78-87
Author(s):  
Jesper Rangvid
Keyword(s):  
Economic Growth ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
Economic Activity ◽  
Wide Margin ◽  
The Past ◽  
Long Run ◽  
The Us ◽  
Long Run Risk

This chapter examines the relation between long-run economic growth and returns across countries. Have countries that have experienced high GDP growth historically also experienced high stock returns? The chapter contains three main messages. First, there is no clear tendency that countries that have grown fast in the past are also countries that have delivered high stock returns in the past. Second, as in the US, stock prices have in many countries followed economic activity in the long run. Third, real interest rates relate to economic growth across countries in the long run.Another conclusion emerging from this chapter is that long-run stock returns exceed long-run rates of economic growth and long-run risk-free rates by a wide margin.

scholarly journals Macroeconomic News and Stock Returns in the United States and Germany

2006 ◽  
Vol 7 (2) ◽  
pp. 189-210 ◽  
Author(s):  
Norbert Funke ◽  
Akimi Matsuda
Keyword(s):  
United States ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Prices ◽  
The United States ◽  
Good News ◽  
Macroeconomic News ◽  
Hourly Data ◽  
Different Types ◽  
The Impact

Abstract Using daily data for the January 1997 to June 2002 period, we analyze similarities and differences in the impact of macroeconomic news on stock returns in the United States and Germany. We consider 27 different types of news for the United States and 12 different types of news for Germany. For the United States, we present evidence for asymmetric reactions of stock prices to news. In a boom (recession) period, bad (good) news on GDP growth and unemployment or lower (higher) than expected interest rates may be good news for stock prices. In the period under consideration there is little evidence for asymmetric effects in Germany. However, in the case of Germany, international news appears at least as important as domestic news. There is no evidence that US stock prices are influenced by German news. The analysis of bi-hourly data for Germany confirms these results.

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