scholarly journals Impact of Terrorism on Stock Market: A Case of South Asian Stock Markets

2019 ◽  
Vol 5 (2) ◽  
pp. 215-242
Author(s):  
Rehana Kousar ◽  
Zahid Imran ◽  
Qaisar Maqbool Khan ◽  
Haris Khurram
Keyword(s):  
Sri Lanka ◽  
Stock Market ◽  
South Asia ◽  
Stock Markets ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Negative Effect ◽  
The Impact

The purpose of this study is to examine the impact of terrorism on stock markets of South Asia namely, Karachi Stock Exchange 100 index (Pakistan), Bombay Stock Exchange (India), Colombo Stock Exchange (Sri Lanka) and Chittagong Stock Exchange (Bangladesh). Monthly panel data has been used for the period of January 2000 to December 2016. Terrorism events happened during the period of 2000 to 2016 have been incorporated to examine the impact of terrorism on stock market returns of South Asia. DCC GARCH through R software is used to analyze the impact of terrorism on stock market returns and to analyze the spillover effect of terrorism in one country and on the stock markets of other countries of South Asia. The results indicate that terrorism has significant and negative effect on stock market returns of Pakistan, India and Bangladesh but insignificant in Sri Lanka. Results also shows that stock markets return of Pakistan, India, and Bangladesh are significant and positively correlated with each other except the Stock market of Sri Lanka.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

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.

scholarly journals Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

2019 ◽  
Vol 9 (4) ◽  
pp. 1
Author(s):  
Amalendu Bhunia ◽  
Devrim Yaman
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Volatility ◽  
Future Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Us ◽  
The World ◽  
The Impact ◽  
The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

scholarly journals Stock Market Returns and Weather Anomaly: Evidence from an Emerging Economy

2012 ◽  
Vol 4 (5) ◽  
pp. 239-244 ◽  
Author(s):  
Hammad Hassan Mirza ◽  
Naveed Mushtaq .
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Weather Condition ◽  
Efficient Market Hypothesis ◽  
Emerging Economy ◽  
Market Returns ◽  
Stock Market Returns ◽  
Factors Affecting ◽  
Temperature Records ◽  
The Impact

Financial economists believe that the arbitrage forces in the market are the main reason of market efficiency and these forces are the fundamental concept of efficient market hypothesis (EMH). During last few years, various theoretical and empirical evidences have been presented to support the work of financial modeling for the markets with less than rational investors whose trading strategies are based on psychological factors like mood and emotions. Weather condition is among the substantial factors affecting investors’ mood and emotions. Present study investigates the impact of temperature on stock market returns in emerging economy of Pakistan. Using the daily temperature records and stock market indices of Karachi and Islamabad, the study has employed auto regressive (AR) – generalized autoregressive conditional heteroscedasticity (GARCH) model from 2006 to 2010. Based on AR (1)-GARCH (1, 1) estimation the study has found that weather temperatures of both Karachi and Islamabad are negatively related with Karachi Stock Exchange (KSE) and Islamabad Stock Exchange (ISE) index returns, respectively.

scholarly journals The Impact of Covid-19 Spread on Stock Markets: The Case of the GCC Countries

2020 ◽  
Vol 13 (11) ◽  
pp. 16
Author(s):  
Nader Alber ◽  
Amr Saleh
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Index ◽  
Stock Market Return ◽  
Gcc Countries ◽  
Developed Stock Markets ◽  
The Impact

This paper attempts to investigate the effects of 2020 Covid-19 world-wide spread on stock markets of GCC countries. Coronavirus spread has been measured by cumulative cases, new cases, cumulative deaths and new deaths. Coronavirus spread has been measured by numbers per million of population, while stock market return is measured by Δ in stock market index. Papers conducted in this topic tend to analyze Coronavirus spread in the highly infected countries and focus on the developed stock markets. Countries with low level of infection that have emerging financial markets seem to be less attractive to scholars concerning with Coronavirus spread on stock markets. This is why we try to investigate the GCC stock markets reaction to Covid-19 spread.   Findings show that there are significant differences among stock market indices during the research period. Besides, stock market returns seem to be sensitive to Coronavirus new deaths. Moreover, this has been confirmed for March without any evidence about these effects during April and May 2020.

Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?

2009 ◽  
pp. 145-180
Author(s):  
Oreste Napolitano
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Stock Markets ◽  
Asymmetric Effect ◽  
Market Returns ◽  
Stock Market Returns ◽  
Fully Integrated ◽  
Markov Switching Models ◽  
Dynamic Relationship ◽  
The Impact

This paper explore, using Markov switching models, the dynamic relationship between stock market returns and the monetary policy innovation in 11 EUM countries and, for five of them, at each single industry portfolios. It also investigates the possibility of asymmetric effects of the ECB decision when stock markets are not fully integrated. The findings indicate that there is statistically significant relationship between policy innovations and stock markets returns. The findings from country size and industry portfolios indicate that monetary policy has larger asymmetric effect on the industry portfolios of big countries (Italy, France and Germany) compared to the same sectors of small countries (Netherlands and Belgium).

scholarly journals Macroeconomic Variables and Stock Market Returns in Sri Lanka

2017 ◽  
Vol 9 (2) ◽  
pp. 206
Author(s):  
Saseela Balagobei
Keyword(s):  
Exchange Rate ◽  
Sri Lanka ◽  
Stock Market ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Market Return ◽  
Stock Market Return

The stock market is one of the most energetic sectors that play an important role in contributing to the wealth of the economy. It plays a crucial role in the economic growth and development of an economy which would benefit industries, trade and commerce as a whole. The aim of this study is to investigate the impact of macroeconomic variables on stock market returns in Sri Lanka. Dependent variable of this study is stock market return measured by All Share Price Index (ASPI) and All Share Total Return Index (ASTRI) and independent variables are macroeconomic variables, such as Interest Rate (IR), Inflation Rate (INF), Exchange Rate (ER), Factory Industry Production Index (FIPI) and money supply (MS).  The study targets all the companies listed and active in Colombo Stock Exchange (CSE) from 2006 to 2015. For analysis, secondary data was collected from annual reports of Central bank of Sri Lanka, Colombo Stock Exchange, Securities and Exchange Commission and Department of Census and Statistics. The results of the study reveal that the stock market returns is influenced by macroeconomic variables except money supply in Sri Lanka. Interest rate and factory industry production have negative influence on stock market return in Colombo Stock exchange while inflation rate and exchange rate have positive influence on stock market return. The findings of the study may be useful to public and economy especially stock market investors to focus the macroeconomic variables for making their effective decisions in order to enhance their stock market returns.

Rational–Irrational Investor Sentiments and Emerging Stock Market Returns: A Comparison from Turkey

2017 ◽  
Vol 16 (3) ◽  
pp. 219-245 ◽  
Author(s):  
Sidika Gulfem Bayram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Risk Premium ◽  
Stock Exchange ◽  
Jel Classification ◽  
Market Returns ◽  
Dynamic Interactions ◽  
Stock Market Returns ◽  
Dynamic Relationship ◽  
The Impact

This study investigates the dynamic relationship between rational and irrational consumer-business sentiments and stock returns in an emerging stock market, Turkey. Consumer and business sentiments are divided into two components: rational and irrational sentiments. Then, the dynamic interactions and the impact of the sentiments on stock returns are examined. The fundamental economic variables used in the study consist of business conditions, economic risk premium, country risk, exchange rate risk, country growth rate, inflation rate, and terms of trade. The results show that Istanbul Stock Exchange (ISE)-100 index returns are positively and significantly affected by the rational sentiments of both consumers and businesses. JEL Classification: G02, G12, G150

scholarly journals Do Stock markets welcome signs of changing ruling set-up? An empirical investigation on the impacts of General and Presidential Elections on KSE

2015 ◽  
Vol 03 (01) ◽  
pp. 08-18
Author(s):  
Zaheer Khan ◽  
◽  
Sahar Zeast ◽  
Keyword(s):  
Stock Market ◽  
Presidential Elections ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Study Methodology ◽  
Set Up ◽  
The Impact ◽  
Event Study Methodology

This study was an attempt to analyze the impact of general and presidential elections on stock market returns of Karachi Stock Exchange. The event study methodology was employed and the data from 1997 to 2013 was used to identify the impact. This study investigated the impact of general and presidential elections held in Pakistan individually and collectively. The results established that there was a significant impact of elections on stock market returns of Karachi Stock Exchange.

scholarly journals The The Impact of the Exchange Rate Volatility on Stock Markets Dynamics in Tunisia and Turkey: An Artificial Neural Network Analysis

2021 ◽  
pp. 1-21
Author(s):  
Nesrine Mechri ◽  
Christian De Peretti ◽  
Salah BEN HAMAD
Keyword(s):  
Neural Network ◽  
Artificial Neural Network ◽  
Exchange Rate ◽  
Stock Market ◽  
Multiple Regression ◽  
Stock Markets ◽  
Exchange Rate Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact

The present research provides an overview of links between exchange rate volatility and the dynamics of stock market returns in order to identify the influence of several macroeconomic variables on the volatility of stock markets, useful for political decision makers as well as investors to better control the portfolio risk level. More precisely, this research aims to identify the impact of exchange rate volatility on the fluctuations of stock market returns, considering two countries that belong to the Middle East and North Africa (MENA) zone: Tunisia and Turkey. Previous works in the literature used very specified and short periods of study, many important variables were neglected, and most of the earlier research was concentrated on the developed countries. In this research, we integrate several control variables of stock market returns that have not been simultaneously studied before. In addition, we spread out our research period up to 15 years including many events and dynamics. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and multiple regression models are first employed. Then, an Artificial Neural Network (ANN) is used and compared with the results of the multiple regression. Hence, the results show that for both Tunisia and Turkey, exchange rate volatility has a significant effect on stock market fluctuations.

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