A Primer on U.S. Stock Price Indices

CFA Digest ◽  
1999 ◽  
Vol 29 (3) ◽  
pp. 92-93
Author(s):  
Johann deVilliers
Keyword(s):  
Stock Price ◽  
Price Indices

scholarly journals Penggunaan Metode Orthogonal GARCH untuk Meramalkan Matriks Kovarians Return Indeks Harga Saham Sektoral Di Bursa Efek Indonesia

2019 ◽  
Vol 12 (2) ◽  
pp. 30
Author(s):  
Robiyanto Robiyanto
Keyword(s):  
Risk Factor ◽  
Value At Risk ◽  
Stock Price ◽  
Stock Exchange ◽  
Principal Component ◽  
Jel Classification ◽  
Stock Index ◽  
Price Indices ◽  
Exchange Value ◽  
Autoregressive Conditional Heteroscedasticity

ABSTRACT   This study conducted a risk communality assessment on sectoral stock price indices in Indonesia Stock Exchange by using Orthogonal Generalized Autoregressive Conditional Heteroscedasticity (Orthogonal GARCH) method. Data used in this research is daily closing of sectoral stock price indices at Indonesia Stock Exchange which consisting of 10 sectoral price indices. Research period are during January 4, 2011 until July 17, 2017. Of 10 sectoral stock price indices which studied apparently there are two principal component influencing its conditional variance. The result of this research is that stock index of agriculture and mining sector have the same risk factor, while other sectoral stock price indices have the same risk factor. These findings imply that investment managers must differentiate risk factors for agricultural and mining sectors from other sectors.   Keywords : Orthogonal GARCH; Indonesia Stock Exchange; Value-at-Risk (VaR); Sectoral stock price indices; Covariance matrix   JEL Classification : C58; G11.  

scholarly journals ECONOMETRIC MODELS OF THE IMPACT OF MACROECONOMIC PROCESSES ON THE STOCK MARKET IN THE BALTIC COUNTRIES

2014 ◽  
Vol 20 (4) ◽  
pp. 783-800 ◽  
Author(s):  
Rimantas Rudzkis ◽  
Roma Valkavičienė
Keyword(s):  
Open Economy ◽  
Stock Price ◽  
Small Open Economy ◽  
Security Market ◽  
Regression Equations ◽  
Price Indices ◽  
Baltic Countries ◽  
The Baltic ◽  
The Individual ◽  
The Impact

The article examines the dependencies of individual sectoral stock price indices of OMX Baltic security market on macroeconomic indicators, using econometric methods. Regression models are constructed using quarterly time series of 2000–2011 years while the methodology is backed with the findings of Lithuanian and foreign scientists from an extensive overview of specific literature. Regression equations, obtained in the paper, allows us to identify the key macroeconomic and global indicators that statistically significantly affect the Baltic securities market and to quantify their impact on the stock price indices of individual sectors in the Baltic countries. Econometric analysis of OMX Baltic security market proves the hypothesis that the set of macroeconomic regressors may vary considerably depending on the individual sector's price indices, especially in the case of small open economy with immature stock markets. The paper provides investors who are shaping their portfolios taking into account the macroeconomic forecasts with additional opportunities on the basis of sectoral stock price indices regression equations.

Do stock price indices respond asymmetrically?

2003 ◽  
Vol 14 (4) ◽  
pp. 541-563 ◽  
Author(s):  
Joshua Seungwook Bahng ◽  
Seung-myo Shin
Keyword(s):  
Stock Price ◽  
Price Indices

scholarly journals PENGARUH PASAR SAHAM DUNIA TERHADAP PASAR SAHAM INDONESIA

ETIKONOMI ◽  
2012 ◽  
Vol 11 (2) ◽  
Author(s):  
Elvin Adityara
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Stock Price ◽  
Price Indices ◽  
Global Stock Markets ◽  
Global Stock

This research was intended to analyze the causality of the global stock markets to Indonesian stock market. The variables of this research were used stock price indices from nine countries. This research using Granger Causality and VAR from 2004 up to 2010. USA, Japan, and England were selected because those countries had strong economics. The results, there are causality Granger among the global stock markets to Indonesian stock market.The global stock markets that has bi-directional causality were Australian stock market, England stock market, Singapore stock market, and Philipine stock market. Meanwhile, the global stock markets that has uni-directional causality were Japan stock market, USA stock market, Hongkong stock market, and Malaysia stock market.DOI: 10.15408/etk.v11i2.1887

scholarly journals Pengaruh Kurs, Suku Bunga BI, Indeks STI, Indeks KLSE dan Indeks MC Terhadap Indeks Harga Saham Gabungan Di BEI Periode September 2014-Desember2015

2018 ◽  
Vol 5 (2) ◽  
pp. 178
Author(s):  
Melisa Puspita Dewi ◽  
Nurhayati Nurhayati ◽  
Hadi Paramu
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Stock Price ◽  
Quantitative Research ◽  
Stock Exchange ◽  
Composite Index ◽  
Secondary Data ◽  
Kuala Lumpur ◽  
Price Indices

The aims of this research are to analyze the influence of Strait Times Index, Kuala Lumpur Stock Exchange index, and Manila Composite index on strengthening or weakening relation of exchange rate and BI rate against Jakarta Composite Index from September 2014-December 2015. This research used secondary data and a quantitative research . The type of research used is explanatory research ,the population are stock price indices in Bursa Efek Indonesia and sample used is Jakarta Composite Index which shows daily prices fluctuation of all stocks. Analysis methode used is moderated regression analysis. The results showed Strait Times Index able to strengthen exchange rate with Jakarta Composite Index and unable to strengthen BI rate with Jakarta Composite Index, Kuala Lumpur Stock Exchange index able to strengthen exchange rate and BI rate with Jakarta Composite Index, last Manila Composite index unable to strengthen exchange rate with Jakarta Composite Index and able to strengthen BI rate with Jakarta Composite Index. Keywords: Strait Times Index, Kuala Lumpur Stock Exchange, Manila Composite, Indeks Harga Saham Gabungan, Moderated Regression Analysis.    

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