scholarly journals PERHITUNGAN NILAI BETA DARI BEBERAPA SAHAM UNGGULAN DI INDONESIA DENGAN MENGGUNAKAN METODE GARCH

2016 ◽  
Vol 5 (2) ◽  
pp. 67
Author(s):  
NI KADEK PUSPITAYANTI ◽  
KOMANG DHARMAWAN ◽  
I PUTU EKA N. KENCANA
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Price ◽  
Secondary Data ◽  
Capital Gain ◽  
Economic Factors ◽  
Risky Assets ◽  
Daily Data ◽  
The Capital Market

The objective of investment in the capital market is to acquire dividends and capital gain. The fact proves that the advantage of investation risky assets is uncertain . This is because of the difficulty in analyzing and predicting Return and stock losses due to factors that affect the movement of the stock price , such as economic factors , political , social , and security. The model can be used by investors in predicting stock returns expected that Generalized Autoregressive Conditional Heteroscedaticity (GARCH). In this study calculations beta value of some leading stocks in Indonesia by using Generalized Autoregressive Conditional Heteroscedaticity (GARCH) are presented . The data used this search is secondary data covering daily data sampled 5 shares of PT Unilever Indonesia Tbk , PT Indosat Tbk , PT Indofood Sukses Makmur Tbk , PT Telkom Indonesia Tbk , PT Holcim Indonesia Tbk. From the results described fifth beta value of these shares using the method GARCH beta greater than the market in the period from 23 September 2013 until 24 September 2014.

ANALISA PREDIKSI INDEKS HARGA SAHAM GABUNGAN MENGGUNAKAN METODE ARIMA

2020 ◽  
Vol 2 (2) ◽  
pp. 454
Author(s):  
Julkifli Purnama ◽  
Ahmad Juliana
Keyword(s):  
Capital Market ◽  
Stock Price ◽  
Time Series Data ◽  
Arima Model ◽  
Secondary Data ◽  
Actual Data ◽  
Series Data ◽  
Analysis Technique ◽  
The Right ◽  
The Capital Market

Investment in the capital market every manager needs to analyze to make decisions so that the right target to produce profits in accordance with what is expected. For that, we need a way to predict the decisions that will be taken in the future. The research objective is to find the best model and forecasting of the composite stock price index (CSPI). Data analysis technique The ARIMA Model time series data from historical data is the basis for forecasting. Secondary data is the closing price of the JCI on July 16 2018 to July 16 2019 to see how accurate the forecasting is done on the actual data at that time. The results of the study that the best Arima model is Arima 2.1.2 with an R-squared value of 0.014500, Schwarz criterion 10.83497 and Akaike info criterion of 10.77973. Results of forecasting actual data are 6394,609, dynamic forecast 6387,551 selisish -7,05799, statistics forecas 6400,653 difference of 6,043909. For investors or the public can use the ARIMA method to be able to predict or predict the capital market that will occur in the next period.

scholarly journals PENGUJIAN ANOMALI PASAR (JANUARY EFFECT) DI BURSA EFEK INDONESIA

2019 ◽  
Vol 8 (9) ◽  
pp. 5571
Author(s):  
Ni Kadek Ema Yunita ◽  
Henny Rahyuda
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Secondary Data ◽  
January Effect ◽  
Test Results ◽  
Average Return ◽  
Abnormal Stock Returns

The January effect is a phenomenon of deviation from the form of efficient capital markets, where the average return in January is higher than in other months. The purpose of this research is to find out whether there is a January effect on the IDX30 index group companies on the Indonesia Stock Exchange in the period February 2013 to January 2018. This study uses secondary data in the form of monthly stock price data used closing price on the Indonesia Stock Exchange. The sample used was 17 companies. The test results using the SPSS program is a t-test which shows that there is no difference in abnormal stock returns in January with months other than January. So, it can be concluded that the phenomenon of the January Effect does not occur in the Indonesian capital market. Keywords: january Effect, abnormal return, IDX30 Index

scholarly journals Capital Market Performance as a Panacea for Economic Growth in Nigeria

2019 ◽  
Vol 13 (2) ◽  
pp. 1
Author(s):  
Akpokerere Othuke Emmanuel ◽  
Okoroyibo Eloho Elizabeth
Keyword(s):  
Economic Growth ◽  
Capital Market ◽  
Stock Exchange ◽  
Market Performance ◽  
Secondary Data ◽  
Least Square ◽  
Ex Post ◽  
Ordinary Least Square Regression ◽  
Market Variables ◽  
The Capital Market

The paper examined capital market performance as a panacea for economic growth in Nigeria from 1986-2016. A number of related literatures have shown that the Nigerian capital market variables studied has satisfactory market performance and has contributed to economic growth. Yet some researchers observed that the capital market has not significantly mobilized and effectively channeled substantial capital to the real sector of the economy. What could have been the reason for the divergences? The study was anchored on the demand following hypothesis. Secondary data were sourced from Central Bank of Nigeria Statistical Bulletin and Nigeria Stock Exchange fact-book of various editions. The paper adopted the ex-post facto research design while ordinary least square regression techniques was used to process the data gathered using E-views 9.0 software. The null hypotheses (Ho) were tested at 5% level of significance. The findings of the paper revealed that there is negative and insignificant relationship between capital market and the variables studied. The paper conclude that liquidity of the capital market is pivotal for economic growth in Nigeria while the study recommended that all tiers of government should be encouraged to fund their realistic long term developmental program through the Nigeria capital market.

Growth of Capital Market in Nepal: Impact on Capitalization, GDP and NEPSE Index

2020 ◽  
Vol 11 ◽  
pp. 66-83
Author(s):  
Dhan Raj Chalise
Keyword(s):  
Capital Market ◽  
Significant Contribution ◽  
Positive Impact ◽  
Stock Exchange ◽  
Secondary Data ◽  
Secondary Market ◽  
Financial Resources ◽  
Descriptive Research ◽  
The Impact ◽  
The Capital Market

The capital market plays an importance role in an economy and provides the opportunity to the investor for the mobilization and channelization of funds. Nepalese capital market is in growing and improving phase. The objective of this study is to analyze the evaluation of the existing status of the capital market in term of its composition of types of the capital market and to examine the impact of capital mobilization in Gross Domestic Product (GDP) and to examine the contribution of capital market in financial resources and GDP. Besides, the study examines the share transaction in Nepal Stock Exchange (NEPSE) and its impact on NEPSE Index. The study period of 2000/01 to 2018/19 has been used for study purposes. Through the use of descriptive research design, the trends of capital market development track after 2000/01 to present status has been presented. Secondary data are analyzed through the use of regression and other descriptive statists to convert the information into data. The result indicates that the ordinary shares in the primary capital market and market capitalization in the secondary market has significant contribution for the capital market in Nepal. Also, the study reveals that there is a significant and positive impact of capital mobilization on GDP and the number of share transactions on the NEPSE Index in the Nepalese capital market. Hence there is a significant contribution of the capital market for financial resources mobilization and GDP of Nepal. The study reports for modernization and systematization of the capital market need more optimal efforts from concerned stakeholders.

scholarly journals Capital Market Determinants and Market Capitalization in Nigeria

2019 ◽  
Vol 11 (1) ◽  
pp. 462
Author(s):  
Cordelia Onyinyechi Omodero
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Capital Market ◽  
Positive Impact ◽  
Harmful Effect ◽  
National Development ◽  
Secondary Data ◽  
Economic Indicators ◽  
Market Capitalization ◽  
The Capital Market

Capital market plays a crucial role in a country’s national development and economic capacity building. However, there are economic forces that determine the success of a capital market development in every nation. This study investigates the role of these economic indicators in determining the capital market performance in Nigeria using secondary data covering a period from 1998 to 2018. These data have been sourced from the World Bank Development Indicators, International Monetary Fund and CBN Statistical Bulletin, 2018 edition. The results from the regression analysis indicate that exchange rate and inflation rate have immaterial undesirable consequence on capital market capitalization (CMC) while the interest rate exerts a weighty harmful effect on CMC. The study also provides evidence that the gross domestic product (GDP) has a substantial positive impact on CMC. The study among others suggests that the growth of the economy should be sustained in order to keep boosting the capital market. However, the economic indicators such as inflation, interest rate and exchange rate should be kept under strict control by the relevant authorities in the country.

scholarly journals Capital Market Returns to New Product Development Success: Informational Effects on Product Market Advertising

2018 ◽  
Vol 56 (1) ◽  
pp. 37-56 ◽  
Author(s):  
Kyung M. Park ◽  
Pradeep K. Chintagunta ◽  
Inho Suk
Keyword(s):  
Product Development ◽  
Stock Returns ◽  
New Product Development ◽  
Capital Market ◽  
Abnormal Returns ◽  
Product Market ◽  
New Product ◽  
Direct To Consumer ◽  
Direct To Consumer Advertising ◽  
The Capital Market

The authors aim to answer the following question: If the capital market reacts with abnormal stock returns to new product development success events, do these returns influence subsequent marketing decisions? Drawing on informational market feedback and managerial learning theories, the authors posit that when firms are uncertain about how responsive the product market will be to their marketing activities, signals received from the capital market help them update their beliefs about the product market’s responsiveness. In the pharmaceutical context, the authors decompose the abnormal returns at a new drug approval event into components that the firm can and cannot predict (i.e., predicted and unpredicted abnormal returns) and find that the postapproval advertising budget is larger when unpredicted abnormal approval returns are higher. Furthermore, this tendency is more pronounced for spending on detailing than for direct-to-consumer advertising. Consistent with these higher budgets, the authors find that postlaunch advertising is more effective when unpredicted abnormal approval returns are higher, particularly for detailing spending (vs. direct-to-consumer advertising). Overall, this study suggests that information flows from the capital market’s initial perceptions at new product introduction play an important role in subsequent marketing decisions in the product market.

scholarly journals The Effect of Macro Economic Variables on Stock Return of Companies That Listed in Stock Exchange: Empirical Evidence from Indonesia

2019 ◽  
Vol 14 (8) ◽  
pp. 108
Author(s):  
Aminullah Assagaf ◽  
Etty Murwaningsari ◽  
Juniati Gunawan ◽  
Sekar Mayangsari
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Secondary Data ◽  
Foreign Exchange Rates ◽  
Macroeconomic Variables ◽  
Analysis Technique ◽  
Inflation Rates

This study aims to analysis the effect of macroeconomic variables on the overall return of company shares which is a proxy with changes in the composite stock price index. This study uses secondary data in a period of 20 months from November 2016 to June 2018. While the analysis technique uses multiple linear regression This study found that macroeconomic variables consisting of inflation rates, interest rates, money supply, and foreign exchange rates, stock returns have a significant effect on companies on the Indonesia Stock Exchange.

scholarly journals Stock Returns and Trading Volume Relationship of the Nigerian Banking Sector: An Empirical Assessment

2011 ◽  
Vol 2 (1) ◽  
pp. 5-13
Author(s):  
Ugwu Ugwu ◽  
Sule . ◽  
Kehinde Oluwatoyin . ◽  
Emerole . ◽  
Gideon Ahamuefula .
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Banking Sector ◽  
Price Changes ◽  
Developed Markets ◽  
Daily Data ◽  
Volume Relationship ◽  
Nigerian Banking

This study assessed the relationship between stock returns and trading volume, using daily data of some Nigerian Banking Sector Stocks. It further checked for both the contemporaneous and causal relationship between stock return and trading volume utilizing data covering ten (10) companies from the Banking Sector. Six hundred and nineteen to seven hundred and six (619-706) observations for a period of thirty – six months (36) from 1st March, 2004 to 28th February, 2007, were empirically tested with the Granger-Causality tests. This determined if the Wall Street adage which says, “It takes volume to make prices” was true in the Nigerian Banking Sector. Using the daily data, we first found a negative relation between and absolute value of price changes (return) and price changes itself in the Nigerian Banking Stocks. However, the results from the Granger-Causality test failed to find strong evidence on stock price changes leading volume. This was contrary to evidence reported by study on developed markets but consistent with previous result from the Latin American Market which is an emerging market like that of Nigeria. In fact, in all the ten banks studied, volume seems to lead stock price changes. Thus, we concluded that these set of emerging markets with different institutions and information flows than the developed markets, do not present similar stock/return-volume relationship to the preponderance of studies employed U.S data. The implication of these results was that differences in institutions and information flows in the set of emerging markets are important enough to affect the valuation process of equity securities and warrant further analysis.

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