scholarly journals Measuring Stock Market Predictability with Implications of Financial Ratios: An Empirical Investigation of Pakistan Stock Market

2020 ◽  
Vol 12 (2) ◽  
Author(s):  
Abdul Samad Shaikh ◽  
Muhammad Kashif ◽  
Sadia Shaikh
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Strong Predictor ◽  
Generalized Least Squares ◽  
Financial Ratios ◽  
Arbitrage Pricing Theory ◽  
Market Returns ◽  
Stock Market Returns ◽  
Study Results

This paper investigates the financial ratios prediction on Stock Market Returns for Pakistan Stock Exchange. The research includes three financial ratios; Dividend Yield (DY), Earning Yield Ratio (EYR) and Book-to-Market Ratio (B/M); that have been observed through past researchers as predictors of Stock Market Returns. The theoretical framework is based on Arbitrage Pricing Theory and Capital Asset Pricing Model CAPM by Roll and Ross (1977) and Fama-French 3 factor (1992). Generalized Least Squares (GLS) is applied to estimate the predictive regressions, Cointegration runs are applied to evaluate the long-term relationship, and Generalized Methods of Moments (GMM) to measure the moments over the years and fluctuations in stock returns. The study results show financial ratios as strong predictor of stock return in Pakistan Stock Exchange, the GMM analyses reveal that the EYR has the higher predictive power than DY and B/M respectively. Furthermore, it is found that the financial ratios predictability is enhanced when ratios are combined in the multiple predictive regression models. The research findings are useful for the stock market investors to evaluate their decisions and for academic researchers to evaluate the stock market and investment predictability.

scholarly journals Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Isiaka Akande Raifu ◽  
Terver Theophilus Kumeka ◽  
Alarudeen Aminu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Estimation Methods ◽  
Panel Var ◽  
Impulse Response Functions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Long Run ◽  
Policy Shocks

AbstractGiven the effects COVID-19 pandemic on the financial sectors across the world, this study examined the reaction of stock returns of 201 firms listed in the Nigerian Stock Exchange to the COVID-19 pandemic and lockdown policy. We deployed both Pooled OLS and Panel VAR as estimation methods. Generally, the results from POLS show the stock market returns of the Nigerian firms reacted negatively more to the global COVID-19 confirmed cases and deaths than the domestic COVID-19 confirmed cases and deaths and lockdown policy. The results of the impulse response functions revealed that the effects of COVID-19 confirmed cases and deaths and lockdown policy shocks on stock returns oscillate between negative and positive before the stock market returns converge to the equilibrium in the long run. The FEVD results showed that growth in the COVID-19 confirmed cases, deaths and lockdown policy shocks explained little variations in stock market returns. Given our finding, we advocate for the relaxation of policy of lockdown and the combine use of monetary and fiscal policies to mitigate the negative effect of COVID-19 pandemic on stock market returns in Nigeria.

scholarly journals Stock Returns and The Weather Effect: the Case of Ghana

2020 ◽  
Author(s):  
Sampson Atuahene ◽  
Kong Yusheng ◽  
Geoffrey Bentum-Micah
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Weather Conditions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Significance ◽  
Weather Changes ◽  
Brokerage Firms

In every economy, Stock markets are part of the key elements the build it up. A few decades ago, there has been a significant change in Ghana stock market returns (GSE). Our study examines the statistical and economic significance of investor sentiment, based on weather conditions/changes, on stock market returns. OLS models, assisted by unit root tests were employed in analyzing the data obtained from the Ghana stock exchange platform from 2000 to 2017. From our literature review, we discovered that investors’ perceptions play a central role in finalizing the direction of stock market returns. Regarding our empirical results, we tested whether weather variations influence the investment decisions of investors; we discovered that temperature and cloud cover significantly influences stock market returns. This is because of mood changes is associated with weather conditions variations. However, sunshine per our regression coefficient shows a statistically insignificant impact on investors’ investment choices. Precipitation to a large extend influence stock market activities further affecting its results negatively as our regression results depicted. We concluded stock brokerage firms, companies, and investors (foreign/local) must incorporate weather changes/effects when strategizing about their investment outcomes.

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 Volatility Nexus Between Stock Market and Macroeconomic Variables in Bangladesh: an Extended GARCH Approach

2017 ◽  
Vol 64 (2) ◽  
pp. 233-243 ◽  
Author(s):  
Md. Abu Hasan ◽  
Anita Zaman
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
General Index ◽  
Indian Stock Market ◽  
The Garch Model

Abstract This paper examines the volatility of the Bangladesh stock market returns in response to the volatility of the macroeconomic variables employing monthly data of general index of Dhaka Stock Exchange (DSE) and four macroeconomic variables (Call Money Rate, Crude Oil Price, Exchange Rate and SENSEX of Bombay Stock Exchange) from January 2001 to December 2015. The results of GARCHS models reveal that the volatility of DSE return is significantly guided by the volatility of macroeconomic variables, such as, exchange rate and SENSEX. Specifically, volatility of the DSE is expected to 19% increase by 1% increase of exchange rate. Moreover, the volatility of the Bangladesh stock market returns is expected to dampen down by 2% with an increase in the volatility of Indian stock market of 1%. Thus, we can comment that adding exchange rate or stock returns of India in the GARCH model provides significant knowledge about the behaviour of the DSE volatility.

scholarly journals The Effects of Extreme Weather Conditions on Hong Kong and Shenzhen Stock Market Returns

2019 ◽  
Vol 7 (4) ◽  
pp. 70
Author(s):  
Zhuhua Jiang ◽  
Sang Hoon Kang ◽  
Chongcheul Cheong ◽  
Seong-Min Yoon
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Weather Conditions ◽  
Extreme Weather ◽  
Strong Impact ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact

We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting results. First, extreme weather conditions have a significant impact on the stock returns of the Shenzhen Exchange, indicating that the Shenzhen market is inefficient. Second, during the pre-QFII period, extreme weather conditions have a strong impact on the returns of the Shenzhen stock market, but the impact is significantly weaker in the period after QFII. This means that the efficiency of the Shenzhen stock market has significantly increased since the QFII program due to the market openness to foreign institutional investors. We emphasize the role of foreign investors not affected by local weather conditions by observing how market opening affects extreme weather impacts on stock market returns.

Is Pakistan stock exchange a true reflector of economic requisite??

2020 ◽  
Vol 1 (2) ◽  
pp. 1-17
Author(s):  
Mahpara Naeem ◽  
Sadaf Mustafa Sadaf Mustafa
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Time Span ◽  
Financial Health ◽  
Market Returns ◽  
Statistical Software ◽  
Stock Market Returns ◽  
Economic Theories ◽  
Macro Variables

Stock market returns, another indicator of financial health of stock market and investors as well. Deviations in returns may vary country to country, investor to investor and market to market. There are many causes behind deviations in returns such as micro and macro variables. This study is aimed to identify causes behind stock market deviation theoretically and practically. Time span of 2002-2018 is examined as a sample year for practical analysis while literature on implementation of economic theories is considered for theoretical analysis. Statistical software EVIEWS is employed on the driven equation to conclude practical inferences by drawing critical region and sign of coefficient. Results indicates that EMH and APT theories exist in Pakistan while CAMP approach is invalid for Pakistan Stock Exchange. Furthermore, practically stock returns of Pakistan are not true reflector of economic requisite of Pakistan.

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.

Weather, investor psychology and stock returns: evidence from Fiji's stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janesh Sami
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Sunshine Duration ◽  
Market Returns ◽  
Modeling Framework ◽  
Stock Market Returns ◽  
Content Type ◽  
Asset Pricing Models ◽  
Weather Changes ◽  
Practical Implications

PurposeThis paper investigates whether weather affects stock market returns in Fiji's stock market.Design/methodology/approachThe author employed an exponential general autoregressive conditional heteroskedastic (EGARCH) modeling framework to examine the effect of weather changes on stock market returns over the sample period 9/02/2000–31/12/2020.FindingsThe results show that weather (temperature, rain, humidity and sunshine duration) have robust but heterogenous effects on stock market returns in Fiji.Research limitations/implicationsIt is useful for scholars to modify asset pricing models to include weather-related variables (temperature, rain, humidity and sunshine duration) to better understand Fiji's stock market dynamics (even though they are often viewed as economically neutral variables).Practical implicationsInvestors and traders should consider their mood while making stock market decisions to lessen mood-induced errors.Originality/valueThis is the first attempt to examine the effect of weather (temperature, rain, humidity and sunshine duration) on stock market returns in Fiji's stock market.

scholarly journals Forecasting stock returns on the Amman Stock Exchange: Do neural networks outperform linear regressions?

2021 ◽  
Vol 18 (4) ◽  
pp. 280-296
Author(s):  
Abdel Razzaq Al Rababa’a ◽  
Zaid Saidat ◽  
Raed Hendawi
Keyword(s):  
Stock Market ◽  
Regression Models ◽  
Linear Models ◽  
Stock Exchange ◽  
Market Returns ◽  
Stock Market Returns ◽  
Statistical Measures ◽  
Amman Stock Exchange ◽  
Non Linear ◽  
Ann Models

Different models have been used in the finance literature to predict the stock market returns. However, it remains an open question whether non-linear models can outperform linear models while providing accurate predictions for future returns. This study examines the prediction of the non-linear artificial neural network (ANN) models against the baseline linear regression models. This study aims specifically to compare the prediction performance of regression models with different specifications and static and dynamic ANN models. Thus, the analysis was conducted on a growing market, namely the Amman Stock Exchange. The results show that the trading volume and interest rates on loans tend to explain the monthly returns the most, compared to other predictors in the regressions. Moreover, incorporating more variables is not found to help in explaining the fluctuations in the stock market returns. More importantly, using the root mean square error (RMSE), as well as the mean absolute error statistical measures, the static ANN becomes the most preferred model for forecasting. The associated forecasting errors from these metrics become equal to 0.0021 and 0.0005, respectively. Lastly, the analysis conducted with the dynamic ANN model produced the highest RMSE value of 0.0067 since November 2018 following the amendment to the Jordanian income tax law. The same observation is also seen since the emerging of the COVID-19 outbreak (RMSE = 0.0042).

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.

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