scholarly journals Examining the Impact of Structural Breaks on Long Memory of Stock Returns: Evidence from Bombay Stock Exchange of India Long Memory

2020 ◽  
Vol 19 (1) ◽  
Author(s):  
Anju Bala
Keyword(s):  
Stock Returns ◽  
Long Memory ◽  
Hurst Exponent ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Subprime Crisis ◽  
Range Analysis ◽  
Rescaled Range Analysis ◽  
Daily Stock Returns ◽  
The Impact

This study examines the presence of long memory of Stock Returns in India with reference to structural breaks. The study used the Hurst Exponent in Rescaled Range Analysis as proposed by Lo (1991) to measure the presence of long memory on daily stock returns of the Bombay Stock Exchange Indices from January 2000 to December 2017. The analysis indicates that all indices show long memory effects. It is also evident that all indices exhibit long memory effect in the pre and post subprime crisis period. These findings are consistent with Bhattacharya and Bhattacharya (2018), Jha et al.(2018), Goudarzi (2010) and Lillo and Farmer (2004). KEYWORDS: Long Memory, Hurst exponent, Market Efficiency. Structural Breaks

Long Memory of NSE Indices

GIS Business ◽  
2018 ◽  
Vol 13 (6) ◽  
pp. 21-28
Author(s):  
Vijaya Kumar
Keyword(s):  
Key Words ◽  
Long Memory ◽  
Hurst Exponent ◽  
Stock Exchange ◽  
Fractional Dimension ◽  
Range Analysis ◽  
Temporal Dependence ◽  
Rescaled Range ◽  
Rescaled Range Analysis ◽  
Periodic Cycles

Long range memory in share indices show temporal dependence between observations spaced by long intervals of time and has distinct non-periodic cycles. This paper examines the presence of long memory of various indices of National Stock Exchange (NSE). The data consists of closing values of indices over different periods of time. The tests applied to examine long memory are Hurst exponent, Manderbolt-Hurst exponent, Lo’s rescaled-range analysis and Geweke and Porter-Hudak (GPH) test. The results of the estimated Hurst exponent, Manderbolt-Hurst exponent and GPH test show that invariably all NSE indices series have long memory. However, the results of Lo’s rescaled-range analysis indicate the absence of long memory for all indices. Key words: Long memory, rescaled range analysis, fractional dimension, Hurst exponent, GPH test, NSE indices

scholarly journals Margin requirements and Stock Market Volatility in Bangladesh

2012 ◽  
Vol 3 (2) ◽  
pp. 29
Author(s):  
A. F. M. Mainul Ahsan ◽  
Mohammad Osman Gani ◽  
Md. Bokhtiar Hasan
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Margin Requirements ◽  
Margin Requirement ◽  
Daily Stock Returns ◽  
The Impact

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

scholarly journals The impact of earnings management on market liquidity

2020 ◽  
Vol 17 (2) ◽  
pp. 389-396
Author(s):  
Do Thi Van Trang ◽  
Dinh Hong Linh
Keyword(s):  
Earnings Management ◽  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Fixed Effect Model ◽  
Market Liquidity ◽  
Listed Firms ◽  
Daily Stock Returns ◽  
The Impact ◽  
Dollar Volume

This article investigates the impact of earnings management on market liquidity measured by the depth of the market. Managers have desired to provide amazing performance of companies, manage their earnings through non-discretionary accruals. Consequently, investors have trouble evaluating the stock value and misunderstanding of the market liquidity because of manipulated information.To this aim, the fixed-effect model (FEM) is implemented to analyze the financial information of 170 listed firms on the Vietnam Stock Exchange over the period 2013–2016. The empirical results emphasized that market liquidity is influenced by earnings management that means the higher level of earnings management, the better equity liquidity. The findings provide additional insight into the determinants of stock liquidity such as earnings management, firm size, daily trading dollar volume of stock, average daily trading dollar volume of the firm, daily returns of stock, daily stock returns, average closing stock price of the firm.

International Real Estate Review

2012 ◽  
Vol 15 (3) ◽  
pp. 283-305
Author(s):  
Sanjay Rajagopal ◽  
◽  
Patrick Hays ◽  
Keyword(s):  
Real Estate ◽  
Long Memory ◽  
Stock Exchange ◽  
Emerging Market ◽  
Real Estate Market ◽  
Policy Implications ◽  
Population Pressure ◽  
Range Analysis ◽  
Rescaled Range ◽  
Rescaled Range Analysis

Over the last decade, numerous factors including robust economic growth, population pressure, and the mounting need for office space among growth sectors such as information technology have placed significant upward pressure on Indian realty prices. The easing of government restrictions on foreign investments and venture capital into Indian real estate have provided an additional fillip to the real estate market in the country, and the confluence of such factors appears to have contributed to a speculative bubble in Indian real estate equities in the latter part of the decade. By using this bubble period as a case study, we test for the existence of long memory among real estate equities. For the January 2006-December 2008 period, we employ three self-affine fractal analysis techniques (classical rescaled range, roughness-length, and the variogram/structure function methods) to estimate the Hurst exponent, and find significant evidence of long memory in the Bombay Stock Exchange (BSE) Realty Index. Return persistence is further confirmed by the more powerful Lo¡¦s modified rescaled range analysis (MRSA), which is robust to short-term dependence. In addition to potential regulatory policy implications for this emerging market, our results have ramifications for modeling and forecasting returns, as well as for technical trading rules.

scholarly journals Capturing impact of dividend announcement on stock returns: an event analysis study of KSE

2013 ◽  
Vol 01 (01) ◽  
pp. 08-15
Author(s):  
Amir Iqbal ◽  
Rana Muhammad Shahzad ◽  
Muhammad Yasir Karim
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Financial Sector ◽  
Event Analysis ◽  
Event Window ◽  
Analysis Study ◽  
Abnormal Stock Returns ◽  
Study Methodology ◽  
Daily Stock Returns ◽  
The Impact

This study examines the impact of dividend announcement on stock returns of 30 non-financial sector companies listed on Karachi Stock Exchange. Daily stock returns have been used, covering period from 2007 to 2008. The study has used event analysis study methodology; a fifteen days event window has been created to examine the effects of dividend announcement on KSE stock returns. The study finds that dividend announcement has no significant impact on sample companies abnormal stock returns.

scholarly journals The holiday effects in stock returns: a challenge for the textile and clothing industry of India

2020 ◽  
Vol 71 (04) ◽  
pp. 327-333
Author(s):  
BOLAR SHAKILA ◽  
PINTO PRAKASH ◽  
IQBAL THONSE HAWALDAR ◽  
CRISTI SPULBAR ◽  
RAMONA BIRAU
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Methodological Approach ◽  
Clothing Industry ◽  
Holiday Effect ◽  
Equality Of Means ◽  
Daily Stock Returns ◽  
Holiday Effects ◽  
The Impact ◽  
The Empirical Analysis

This research paper examines the holiday effects presence on the Bombay Stock Exchange (BSE), which is a major Indian stock exchange. Textile and clothing industry in India is one of the most important producers in the world, but also the second exporter of textile and apparels globally. The empirical analysis investigates the impact of holiday effect on the development of textile and clothing industry in India. The holiday effect is one of the most important calendar anomalies identified in the financial markets. The methodological approach includes the non-parametric Mann-Whitney U-test used to test the equality of means for different sub-sets. The findings revealed that the mean returns for pre-holiday and post holidays were greater compared to that of remaining days, but the empirical results showed that they were not statistically significant for selected stocks of BSE based on daily stock returns data for Ruby Mills and Mafatlal Industries

The performance of the Broad Based Black Economic Empowerment compliant listed property firms in South Africa

2016 ◽  
Vol 34 (1) ◽  
pp. 3-26 ◽  
Author(s):  
Omokolade Akinsomi ◽  
Katlego Kola ◽  
Thembelihle Ndlovu ◽  
Millicent Motloung
Keyword(s):  
Stock Returns ◽  
Factor Model ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Economic Empowerment ◽  
Content Type ◽  
Black Economic ◽  
Black Economic Empowerment ◽  
The Government ◽  
The Impact

Purpose – The purpose of this paper is to examine the impact of Broad-Based Black Economic Empowerment (BBBEE) on the risk and returns of listed and delisted property firms on the Johannesburg Stock Exchange (JSE). The study was investigated to understand the impact of Black Economic Empowerment (BEE) property sector charter and effect of government intervention on property listed markets. Design/methodology/approach – The study examines the performance trends of the listed and delisted property firms on the JSE from January 2006 to January 2012. The data were obtained from McGregor BFA database to compute the risk and return measures of the listed and delisted property firms. The study employs a capital asset pricing model (CAPM) to derive the alpha (outperformance) and beta (risk) to examine the trend amongst the BEE and non-BEE firms, Sharpe ratio was also employed as a measurement of performance. A comparative study is employed to analyse the risks and returns between listed property firms that are BEE compliant and BEE non-compliant. Findings – Results show that there exists differences in returns and risk between BEE-compliant firms and non-BEE-compliant firms. The study shows that BEE-compliant firms have higher returns than non-BEE firms and are less risky than non-BEE firms. By establishing this relationship, this possibly affects the investor’s decision to invest in BEE firms rather than non-BBBEE firms. This study can also assist the government in strategically adjusting the policy. Research limitations/implications – This study employs a CAPM which is a single-factor model. Further study could employ a multi-factor model. Practical implications – The results of this investigation, with the effects of BEE on returns, using annualized returns, the Sharpe ratio and alpha (outperformance), results show that BEE firms perform better than non-BEE firms. These results pose several implications for investors particularly when structuring their portfolios, further study would need to examine the role of BEE on stock returns in line with other factors that affect stock returns. The results in this study have several implications for government agencies, there may be the need to monitor the effect of the BEE policies on firm returns and re-calibrate policies accordingly. Originality/value – This study investigates the performance of listed property firms on the JSE which are BEE compliant. This is the first study to investigate listed property firms which are BEE compliant.

Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

2021 ◽  
pp. 097226292110225
Author(s):  
Rakesh Kumar Verma ◽  
Rohit Bansal
Keyword(s):  
Stock Returns ◽  
Financial Institutions ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Low Carbon ◽  
Bond Issue ◽  
The Government ◽  
The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

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