scholarly journals Anomalous Behaviour and Volatility in Stock Returns are still Live - Efficient Markets Hypothesis? : Perspective from Pakistan Stock Exchange (PSX)

2020 ◽  
Vol 6 (2) ◽  
pp. 381-389
Author(s):  
Rana Shahid Imdad Akash ◽  
Iqbal Mahmood ◽  
Muhammad Mudasar Ghafoor
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Design Methodology ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Anomalous Behaviour ◽  
Efficient Market ◽  
Question Mark ◽  
Dummy Variable ◽  
Efficient Markets Hypothesis

Purpose: This empirical study investigates the anomalous behaviour and volatility in stock return of PSX-100 index of Pakistan Stock Exchange (PSX). Design/Methodology/Approach: The data is taken from January, 2006 to December, 2018 to detect variability and predictability of stock returns. ARCH and GARCH models are applied to check the volatility in stock returns using dummy variable. Findings: It is found that there exists positive and significant September effect in Pakistani equity market. The returns are high in the month of September than other months. The constant returns do not exist during the whole year so the efficient market hypothesis contradicts. Implications/Originality/Value: The Efficient Market Hypothesis is question mark due to volatility for mispricing the securities. The mispricing may have implications for undervalue or overvalue the securities and overall economic activity of equity – stock returns.

scholarly journals Impact of return on long-memory data set of volatility of Dhaka Stock Exchange market with the role of financial institutions: an empirical analysis

2017 ◽  
Vol 12 (3) ◽  
pp. 48-60 ◽  
Author(s):  
Muhammad Mahboob Ali ◽  
Aviral Kumar Tiwari ◽  
Naveed Raza
Keyword(s):  
Stock Returns ◽  
Long Memory ◽  
Stock Exchange ◽  
Research Work ◽  
Efficient Market Hypothesis ◽  
Vital Role ◽  
Exchange Market ◽  
Efficient Market ◽  
Data Set ◽  
Real Picture

The current study intends to empirically test a relationship between long-memory features in returns and volatility of Dhaka Stock Exchange market. As such, the study uses the ARFIMA-FIGARCH and FIPARCH structure for the daily data ranging from 15 December 2003 to July 31, 2013 of Dhaka Stock Exchange market index, i.e., DSE General Index (DGEN). The observed indication assembled from long-memory tests supports the occurrence of long memory in Bangladesh stock returns. The study aims at doing research work with long-memory data set, as it provides a superior strategy, as well as gives real picture with short-memory data set. Moreover, the backup indication for existence of long memory in both return and volatility denies the efficient market hypothesis of Fama (1970) that the future return and volatility values are unpredictable. Extra measures ought to be given for the smooth functioning of the Dhaka Stock Exchange market so that both individual and institutional investors can get congenial atmosphere to invest. Authors’ suggested that Bangladesh Bank must play vital role as share market of Bangladesh is dominated by banking shares and in case of other listed shares of the Dhaka Stock Exchange, market authority should deal with transparently and fairly so that the market can be transformed into strong efficient market. This requires suitable directives, groundwork, removing malpractices and also implementation of investors’ friendly decisions. Further, fiscal policy of the country should be pro investor friendly, as well as monetary policy should work as complementary towards investment at stock exchange market as suggested by the authors.

scholarly journals Predictability of Stock Returns on the Dhaka Stock Exchange

The Batuk ◽  
2020 ◽  
Vol 6 (2) ◽  
pp. 87-96
Author(s):  
Yub Raj Dhungana
Keyword(s):  
Random Walk ◽  
Stock Returns ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Daily Basis ◽  
Ratio Test ◽  
Efficient Market ◽  
Random Walk Hypothesis ◽  
Augmented Dickey Fuller

The study examines the predictability of index returns on the Dhaka stock market within the framework of the weak-form efficient market hypothesis using historical daily returns for a period of 1st June, 2014 to 29th May, 2020. The Jarque-Bera statistics test explored the return distribution of Dhaka Stock Exchange is non-normal. The random walk hypothesis (RWH) was tested using autocorrelation test, runs test, unit root tests(Augmented Dickey-Fuller (ADF) and, Phillip-Perron (PP) test) and variance ratio test. The results explored that all tests rejected the random walk hypothesis required by the weak-form efficient market hypothesis. This provides empirical basis to infer that the DSE is inefficient at weak-form and stock return can be predicted. The rejection of the RWH on a daily basis is possibly an indication that the weak-form inefficient characteristic of the DSE is not sensitive to return frequency.

scholarly journals Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange

2021 ◽  
Vol 124 ◽  
pp. 03002
Author(s):  
Syed Emad Azhar Ali ◽  
Fong-Woon Lai ◽  
Muhammad Kashif Shad
Keyword(s):  
Risk Perception ◽  
Market Efficiency ◽  
Stock Returns ◽  
Portfolio Management ◽  
Stock Exchange ◽  
Composite Index ◽  
Efficient Market Hypothesis ◽  
Primary Objective ◽  
Efficient Market ◽  
Share Prices

The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e. future stock returns cannot be predicted based on past movement patterns. Contrary to that, there are believers of the Adaptive Market Hypothesis (AMH) who have questioned the adaptability of EMH and argues that market efficiency and investor’s risk perception varies across time, thus, stock returns can be predicted through active portfolio management. Various Studies have argued on market efficiency debate for developed markets, however, limited studies have examined the same for emerging markets such as Malaysia and Indonesia, which are most volatile among ASEAN-5 indices. Therefore, the primary objective of this study is to conceptualize the manifestation of efficient market hypothesis and investors’ risk perception in volatile markets of Malaysia (Kuala Lumpur Composite Index) and Indonesia (Jakarta Composite Index) by testing the 10 years (2010-2019) of daily, weekly and monthly data for the return predictability. The findings of this study will provide insight into stock market behavior to help investors to better strategize their portfolio investment positioning to reap the most efficient risk-based return.

scholarly journals Stock Prices’ Variability around Earnings Announcement Dates at Karachi Stock Exchange

2012 ◽  
Vol 2012 ◽  
pp. 1-6
Author(s):  
Muhammad Azeem Qureshi ◽  
Ali Abdullah ◽  
Muhammad Imdadullah
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Earnings Announcement ◽  
Abnormal Stock Returns ◽  
The Impact

The purpose of this study is to investigate how earnings announcement event affects stock returns at Karachi Stock Exchange (KSE). For this purpose we use the KSE-100 Index as our sample. We use the CAR Analysis to analyze the impact of earnings announcement over the stock returns around announcement dates. Our results suggest that KSE experiences abnormal stock returns around earnings announcement dates for the overall market and for different categories which indicate that efficient market hypothesis does not hold in Pakistani market and point out the presence of informational dissemination inefficiencies in the market.

scholarly journals An Investigation of the Weak Form of the Efficient Markets Hypothesis for the Kuwait Stock Exchange

2018 ◽  
Vol 17 (1) ◽  
pp. 1-28 ◽  
Author(s):  
Hesham I. Almujamed ◽  
Suzanne G. M. Fifield ◽  
David M. Power
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Efficient Markets ◽  
Efficient Market ◽  
Emerging Stock Markets ◽  
Kuwait Stock Exchange ◽  
Efficient Markets Hypothesis ◽  
Filter Rules

This article investigates the weak form of the efficient market hypothesis (EMH) for the Kuwait Stock Exchange (KSE). In particular, it tests whether share returns on the KSE exhibit patterns which may be used to predict future share price changes. Ten filter rules are tested on weekly data for 42 firms over the period 1998–2011. The results suggest that the KSE was not weak-form efficient because patterns and trends were present in security prices. In addition, the results are consistent with the substantive literature which has argued that emerging stock markets are informationally inefficient, such as Fifield, Power and Sinclair (2005, 2008) and Xu (2010) and particularly those early studies of Al-Shamali (1989) and Al-Loughani and Moosa (1999) that looked at trading rules for the KSE.

PENGARUH CURRENT RATIO, RETURN ON EQUITY DAN EARNING PER SHARE TERHADAP RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA TAHUN 2010 – 2019

2021 ◽  
Vol 5 (1) ◽  
Author(s):  
Susi Lusiana
Keyword(s):  
Data Collection ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Financial Statements ◽  
Financial Ratios ◽  
Manufacturing Companies ◽  
Current Ratio ◽  
Return On Equity ◽  
Earnings Per Share

The study of this research is to determine the effect of returning shares in manufacturing companies. This study uses the financial ratios contained in the company's financial statements. The financial ratios used in this study are the current ratio, return on equity, and earnings per share to stock returns in manufacturing companies listed on the Indonesian stock exchange in 2010-2019. This type of research used in this research is quantitative and the analytical method used is purposive sampling using SPSS 21 as many 10 manufacturing companies in the food, beverage, textile, rubber goods (tires), fisheries, and agriculture sectors. Data collection techniques are used by retrieving data through the website www.idx.co.id. The results showed that Current Ratio (CR) has a positive and significant effect on Stock Returns, Return On Equity (ROE) has a positive and significant effect on Stock Returns, and Earning Per Share (EPS) has a negative and significant effect on Stock Return.

scholarly journals Does Financial Performance Matter? Evidence on the Impact of Liquidity and Firm Size on Stock Return in Indonesia

2020 ◽  
Vol 11 (4) ◽  
pp. 546
Author(s):  
Mochammad Chabachib ◽  
Ike Setyaningrum ◽  
Hersugondo Hersugondo ◽  
Intan Shaferi ◽  
Imang Dapit Pamungkas
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Significant Relationship ◽  
Stock Return ◽  
Stock Exchange ◽  
Mediating Effect ◽  
Return On Equity ◽  
Stock Investment ◽  
Equity Ratio ◽  
The Impact

In the modern era, stock investment can attract domestic investors or foreign investors. The objective is to invest their funds at the capital market that expect higher stock returns. The study aims to analyze factors that can affect stock returns and know the mediating effect of return on equity. The object of this research is the property and real estate sector that is listed on the Indonesia Stock Exchange from 2013 to 2018. This research used debt to equity ratio, current ratio, total asset turnover, firm size as independent variables and stock returns as dependent variables. Path analysis is used as reseach method tools with SMART PLS.The result says that debt to equity ratio and return on equity has a positive significant relationship with stock return, meanwhile firm size has a significant negative significant relationship with stock returns. Furthermore, return on equity can mediate the relationship between debt and equity ratios to stock returns.

scholarly journals FACTORS AFFECTING OPERATING CASH FLOW TO STOCK RETURN THROUGH STOCK PRICE

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Aprih . Santoso
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Financial Statements ◽  
Manufacturing Companies ◽  
Operating Cash Flow

Abstract : Companies need funds in order to carry out operations such as the financing of production activities, pay employees, pay other expenses related to the operation of the company. One way to obtain these funds is to attract investors to invest in companies in the form of stock, but in making this investment is certainly not easy for investors, because investors need consideration beforehand to find out how the company's performance. The purpose of this study was to examine and analyze the effect of operating cash flow to stock return through stock price at companies listed on the Stock Exchange Year 2012-2015. The data used in this study dala are secondary data from the financial statements of companies listed on the Indonesia Stock Exchange period 2012 - 2015. The data are in the form of financial statements can be obtained from the Indonesian Capital Market Directory (ICMD), the IDX website www.idx.co. id as well as from various other sources to support this research. The population in this research is manufacturing companies listed on the Stock Exchange the period 2012 - 2015. The samples taken by the sampling technique used purposive sampling.From the test results and analysis of the data it can be concluded that operating cash flow directly and indirectly has no effect on stock returns through stock prices showed no significant results. Keywords :  Operating Cash Flow, Stock Price, Stocks Return

scholarly journals MODAL INTELEKTUAL, MANAJEMEN LABA, IMBAL HASIL SAHAM SAAT INI DAN MASA DATANG

2019 ◽  
Vol 11 (2) ◽  
pp. 88-94
Author(s):  
Vicky Dwi Putra ◽  
Jaja Suteja ◽  
Erik Syawal Alghifari
Keyword(s):  
Stock Returns ◽  
Intellectual Capital ◽  
Quantitative Research ◽  
Stock Return ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Earning Management ◽  
Manufacturing Companies ◽  
Quantitative Research Methods ◽  
Panel Data Regression

Future stock returns are factors for investors to consider investing. This research aims to identify the influence of intellectual capital, earning management, and stock return toward future stock return in manufacturing companies of sub sectors food and beverages industry listed in Indonesia Stock Exchange period 2012 to 2017. This research used quantitative research methods with the sample as many as 7 companies. The sampling technique is used, as well as purposive sampling done based on certain criteria. The type of data used is secondary with analysis using panel data regression model with Eviews 10. The result shows that simultaneosly intellectual capital, earning management, and stock returns gave influence on future stock returns as much as 76.15%. Partially, intellectual capital had a positve but not significant, earning management had a negative and significant, stock returns had a positive and significant effects to future stock returns.

scholarly journals Die Johannesburgse Effektebeurs as rasionele kapitaalmark

1981 ◽  
Vol 12 (3) ◽  
pp. 53-59 ◽  
Author(s):  
Leon M. Brummer ◽  
Pieter J. Jacobs
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Small Degree ◽  
Point Of View ◽  
Efficient Market ◽  
Price Changes ◽  
Economic Point ◽  
Johannesburg Stock Exchange ◽  
Measure Of Dependence

The Johannesburg Stock Exchange as an efficient market. Finality has not yet been reached on the question whether the Johannesburg Stock Exchange complies with the requirements of the efficient market hypothesis. The results of the research that are published in this article is therefore an attempt to make a contribution to the debate regarding the Johannesburg Stock Exchange as an efficient market. By way of serial correlations as well as runs tests an investigation was carried out into the behaviour of the prices of 94 quoted shares for the period 1970 to 1977. The results of the study give rise to the conclusion that the Johannesburg Stock Exchange does not statistically comply with the weak form of the efficient market hypothesis (the random walk hypothesis), as a measure of dependence between successive price changes was found. Seen from an economic point of view it is, however, doubtful whether investors could use this small degree of dependence between price changes to gain higher returns on share investments.Uitsluitsel met betrekking tot die mate waartoe die Johannesburgse Effektebeurs aan die vereistes vir 'n rasionele mark voldoen, is nog nie verkry nie. Die resultate wat in hierdie artikel voorkom is daarom 'n poging om 'n bydrae in die debat rakende die Johannesburgse Effektebeurs as 'n rasionele mark, te maak. 'n Ondersoek na die markpryse van 94 genoteerde aandele vir die periode 1970-77 is deur middel van reekskorrelasiekoeffisiente en die lopietoets uitgevoer. Die resultate van die studie gee aanleiding tot die gevolgtrekking dat die Johannesburgse Effektebeurs nie statisties aan die swak vorm van die rasionele markhipotese (die willekeurige beweging van markpryse) voldoen nie, aangesien 'n mate van afhanklikheid tussen opeenvolgende prysveranderings gevind is. Uit 'n ekonomiese oogpunt gesien is dit egter twyfelagtig of beleggers hierdie afhanklikheid sal kan aanwend om hoer opbrengste op aandelebeleggings te bewerkstellig.

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