scholarly journals THE STUDY OF MARKET TIMING IMPLEMENTATION IN INDONESIAN STOCK MARKET

2019 ◽  
Vol 19 (2) ◽  
pp. 176
Author(s):  
Salman Fajri ◽  
Tony Irawan ◽  
Trias Andati
Keyword(s):  
Stock Market ◽  
Asset Allocation ◽  
Market Timing ◽  
Secondary Data ◽  
Optimal Performance ◽  
Basis Point ◽  
Change Of Variable ◽  
Rotation Strategy ◽  
Simple Rotation ◽  
Sector Rotation

This study is intended to discuss about implementation of market timing as an investment alternative strategic in Indonesian Stock Market. Market timing is procedure for changing portfolio asset allocation to deal with changes in business cycle. The market timing indicator used in this study is interest rate of Bank Indonesia. The active portfolio consist of IHSG and bond for simple rotation strategy. Sector rotation strategy consist of cyclical and non cyclical sector index. The dissecting cycle analyse by two methods, Hamilton Filter and indicator change assumptions. The secondary data used in this study have a span of time from January 2005 - December 2017. The result showed that active strategies produced better performance than passive strategy, and sector rotation were the best performance among other alternative strategies. Optimal performance of simple rotation occurs when change of variable BI rate by ±2% and optimal performance of sector rotation occurs when change of variable BI rate by ±4%. Keywords—Hamilton Filter; Market Timing; Sector Rotation; Simple Rotation AbstrakPenelitian ini bertujuan untuk membahas tentang penerapan market timing sebagai tindakan strategi investasi aktif di pasar modal Indonesia. Market timing merupakan prosedur perubahan alokasi aset portfolio untuk menghadapi perubahan siklus bisnis di suatu negara. Indikator market timing yang digunakan dalam penelitian ini adalah suku bunga acuan Bank Indonesia. Portfolio aktif terdiri dari IHSG dan obligasi untuk strategi aktif rotasi sederhana dan indeks sektor siklikal dan non siklikal untuk rotasi sektoral. Pemilahan siklus dilakukan dengan dua metode yaitu Hamilton Filter dan asumsi perubahan variabel indikator. Seluruh data sekunder yang digunakan dalam penelitian ini memiliki rentang waktu dari Januari 2005 - Desember 2017. Hasil penelitian menunjukkan bahwa strategi aktif menghasilkan kinerja lebih baik relatif terhadap strategi pasif, dan strategi rotasi sektoral secara keseluruhan lebih baik dibandingkan dengan alternatif strategi lain. Strategi rotasi sederhana optimal pada penggunaan asumsi perubahan variabel ±25 bps (basis point) dan strategi rotasi sektoral optimal pada penggunaan asumsi perubahan variabel ±100 bps (basis point). Kata kunci— Hamilton Filter, Market Timing, Rotasi Sederhana, Rotasi Sektoral

scholarly journals Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1411
Author(s):  
Xiaqing Su ◽  
Zhe Liu
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Asset Allocation ◽  
Policy Uncertainty ◽  
Volatility Spillover ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Transmission Structure ◽  
Long Term Impact

Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period. Further research of dynamic analysis shows that each sector acts in a time-varying role in this structure. The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of the inter-sector stock market in China. However, the EPUs do affect some sectors’ spillover indexes in the long run, and they are significantly heterogeneous. This paper can provide regulatory suggestions for policymakers and reasonable asset allocation and risk avoidance methods for investors.

The study of mixed assets allocation based on Black–Litterman model

2021 ◽  
pp. 2150022
Author(s):  
Jianwu Lin ◽  
Mengwei Tang ◽  
Jiachang Wang ◽  
Ping He
Keyword(s):  
Stock Market ◽  
Asset Allocation ◽  
Private Equity ◽  
Equity Market ◽  
Research Topic ◽  
Allocation Model ◽  
Quantitative Models ◽  
Challenging Research ◽  
Qualitative Models ◽  
New Type

With Private Funds having a new type of license for asset allocation practice in China, comprehensive asset allocation cross private equity and stock market has received more attention. However, most of the studies focus more on the stock market, and asset allocation models for private equity market that are mainly made based on experience. Thus, the joint allocation of assets crosses both markets making it a challenging research topic. This paper introduces the Black–Litterman model into the private equity market, realizing the transition from qualitative models to quantitative models. It lays a solid quantitative ground for the mixed asset allocation model in both the markets.

scholarly journals Social and Economic Drivers of Stock Market Performance in Nigeria

2021 ◽  
Vol 3 (3) ◽  
pp. 137-143
Author(s):  
Ismaila Akanni Yusuf ◽  
Mohammed Bashir Salaudeen ◽  
Hope Agbonrofo
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Life Expectancy ◽  
Stock Market ◽  
Positive Impact ◽  
Market Performance ◽  
Secondary Data ◽  
Ordinary Least Squares ◽  
Stock Performance ◽  
Stock Market Performance

The study examines the effect of the social and economic indicators on the stock market performance in Nigeria between 1981 and 2019. The study employs secondary data from the World Bank and Central Bank of Nigeria using the ordinary least squares as the technique of estimation. Findings show that regarding the economic drivers, interest rate, exchange rate, and inflation rate negatively impact the stock market while only income exerts a positive impact. However, both income and interest rate are significant economic drivers of stock performance. Regarding social drivers, life expectancy, poverty, and population exert a positive impact on stock performance. Similarly, both life expectancy and population are significant social drivers of stock market performance in Nigeria. The study recommends that monetary authorities should be cautious in avoiding discretionary policies that might hike the exchange rate; otherwise, the flow of funds to the stock market will be derailed. Also, the fiscal authority should invest massively in safety nets programmes to enhance the capacity of the growing population and reduce poverty.

scholarly journals Market Timing For active Asset Allocation: A Discrete Regression Model Approach

2011 ◽  
Vol 11 (1) ◽  
pp. 125
Author(s):  
Glen A. Larsen, Jr. ◽  
Gregory D. Wozniak
Keyword(s):  
Regression Model ◽  
Asset Allocation ◽  
Market Timing ◽  
The Other ◽  
Portfolio Performance ◽  
Empirical Results ◽  
Portfolio Strategies ◽  
Fixed Weight ◽  
Asset Class ◽  
Model Approach

A discrete regression model (DRM) approach to timing the asset class markets for stocks, bonds, and cash in active asset allocation is presented. The technique involves investing in the asset class whose return is predicted to exceed the other asset class return after observing a sequential signal of estimated probabilities. The empirical results show that the DRM approach provides enhanced portfolio performance when compared to more passive fixed-weight portfolio strategies.

scholarly journals Presidential Election Results and Stock Market Performance: Evidence From Nigeria

2018 ◽  
Vol 5 (2) ◽  
pp. 117
Author(s):  
A.E. Osuala ◽  
U.A. Onoh ◽  
G.U. Nwansi
Keyword(s):  
Stock Market ◽  
Presidential Election ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Secondary Data ◽  
Election Result ◽  
Stock Market Performance ◽  
Event Date ◽  
Study Methodology ◽  
Election Results

The study investigates the effect of Presidential election results on the performance of an emerging stock market using the case of the 2011 and 2015 Presidential elections in Nigeria. Adopting Event Study methodology to analyse the secondary data obtained from the Nigerian Stock Exchange (NSE) and some national dailies, the results of the study suggest that the 2011 presidential election result had negative significant impact on the performance of the stock market. On the other hand, the 2015 Presidential election result had positive but insignificant impact on the stock market as evidenced by the average and cumulative abnormal returns on the event date and one day post-event date- an indication that the result of the 2015 Presidential election was a welcomed development as leadership changed from PDP to All Progressives Congress (APC).

scholarly journals Stock Market Returns and Shareholders’ Wealth Sustainability of Companies Listed on the Nigerian Stock Exchange

2020 ◽  
pp. 27-45
Author(s):  
Adekunle Orelope Koleosho ◽  
Folajimi Festus Adegbie ◽  
Ayooluwa Olotu Ajayi- Owoeye
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Market Price ◽  
Secondary Data ◽  
Target Population ◽  
Validity And Reliability ◽  
Market Returns ◽  
Stock Market Returns ◽  
Ex Post ◽  
Negative Effect

Sustainability of shareholder’s wealth has been a subject of discussion globally due to various decisions of the managers and the effect it has on company’s performance. Various corporate actions and information about the companies are disseminated over time and studies have shown the effect on shareholder's wealth. This study examined the effect of capital market returns on sustainability of shareholder's wealth in Nigeria Listed Companies. The study adopted ex-post facto research design. A sample of 57 companies from a target population of 168 companies listed on the Nigerian Stock Exchange (NSE) as December 2018 was randomly drawn across the various market sectors for the panel data. The study used secondary data from the NSE, CBN and companies’ data on the Bloomberg Terminals. Validity and reliability were premised on the statutory audit of the financial statement. The study adopted descriptive and inferential (Regression and Correlation) statistics to analyze the data. The study found that the stock market returns indicators (dividend per share, earnings and Leverage) have joint and statistically significant relationship with market price per share: DPS, EPS and LEV with Adjusted R2 = 0.738, F(3, 796) = 54.74, p = 0.108 > 0.05. The study concluded that stock market returns measured by dividend and earnings have a significant effect on the shareholders' wealth while leverage exerts a negative effect on Market Price per share. The study recommended that the management of the companies should embrace the payment of dividend to shareholders while ensuring the growth of earnings over the period to sustain shareholder's wealth.

The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market

2020 ◽  
Vol 28 (Supp01) ◽  
pp. 99-111
Author(s):  
Bao Quoc Ta ◽  
Thao Vuong
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Market Equilibrium ◽  
Management Model ◽  
Optimal Portfolios ◽  
Allocation Model ◽  
Allocation Process ◽  
Allocation Decisions

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

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