scholarly journals Confidence set for connected stocks of stock market

2021 ◽  
Vol 50 (2) ◽  
pp. 12-34
Author(s):  
A.P. Koldanov ◽  
◽  
P.A. Koldanov ◽  
D.P. Semenov ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Pearson Correlation ◽  
Confidence Probability ◽  
Confidence Set ◽  
Testing Procedures ◽  
Multiple Hypotheses Testing ◽  
Elliptical Model ◽  
Kendall Correlation ◽  
Measure Of Dependence

The problem of analysis of pairwise connections between stocks of financial market by observations on stock returns is considered. Such problem arise in stock market network analysis. It is assumed that joint distribution of stock returns belongs to the wide class of elliptical distributions. Classical Pearson correlation, Fechner correlation and Kendall correlation are used as measure of dependence. The construction problems of sets of stocks with strong connections between its returns are investigated. The construction problems of sets of stocks with strong connections between its returns are investigated. To construct such sets the multiple hypotheses testing procedures on values of correlations are used. The properties of these statistical procedures are investigated by simulations. The simulation results show that procedures based on individual Fechner and Kendall tests lead to such sets of stocks with given confidence probability unlike procedure based on Pearson individual tests which do not control the confidence probability. At the same time it is emphasized that for Student distribution the constructed set is nearly the same to the confidence set. The procedure of consistency testing with elliptical model is proposed and exemplified. The peculiarities of the model are discussed.

scholarly journals Assessment of the correlation between price-earnings ratio and stock market returns of universal banks in the Philippines

2019 ◽  
Vol 8 (5) ◽  
pp. 172-181
Author(s):  
Antonio Jaramillo Dayag ◽  
Fernando Trinidad
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Price ◽  
Assessment Tool ◽  
Stock Exchange ◽  
Pearson Correlation ◽  
Banking System ◽  
Price Volatility ◽  
The Philippines ◽  
Stock Market Returns

Universal banks are important economic drivers in the Philippines since they provide the financial backbone for businesses and investments. Universal banks comprise 90% of the country’s banking system resources. Eleven [11] of the twenty-one [21] universal banks in the country are listed in the Philippine Stock Exchange, and these banks are the top universal banks based on capitalization. Price to Earnings Ratio [PER] is a commonly utilized investment assessment tool and this ratio indicates how much investors are willing to pay for a stock and is calculated as the ratio of the stock price over earnings per share. Since the stock price is dictated by the stock market, this paper seeks to determine if the P/E ratio of universal banks in the Philippines is correlated to its stock returns, the implication of which is how to form an appropriate balance between stock price volatility and banks’ valuation. The paper uses panel data of the 11 listed universal banks from 2010 to 2018, using Pearson Correlation. The study resulted in a generally weak correlation, however, there were banks that exhibited strong, positive, significant correlation.

scholarly journals An Analytical Study of the Effect of Inflation on Stock Market Returns

2018 ◽  
Vol 13 (2) ◽  
pp. 48 ◽  
Author(s):  
S. Sathyanarayana ◽  
Sudhindra Gargesa
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Returns ◽  
Price Index ◽  
Pearson Correlation ◽  
Second Phase ◽  
Market Returns ◽  
Stock Market Returns ◽  
Goods And Services ◽  
Global Stock Markets

<span lang="EN-IN">Inflation means a persistent change in the price level of goods and services in an economy. It is generally measured in the consumer price index (CPI) or retail price index (RPI). Inflation reduces the purchasing power of a country's currency, as we need more units of currency over time to buy the same goods and services. The current empirical paper entitled “relationship between inflation and stock market evidence from selected global stock markets” have been undertaken with an intention to investigate the relationship between inflation and stock returns of the chosen economies. In order to realize the stated objectives, the researchers have collected the monthly data 2000 to 2017 for selected indices. In the first phase, log returns were computed and it has been tested for the existence of unit root in the distribution. In the second phase, we ran Pearson correlation coefficient for the collected data to find out the association between the inflation and stock returns. Majority of the chosen indices recorded a negative </span><span lang="EN-IN">coefficient with the dependent variable. </span><span lang="EN-IN">For India, Austria, Belgium, Canada, Chile, China, France, Ireland we found a negative coefficient. However, Brazil </span><span lang="EN-IN">Indonesia, Japanese, Mexico, Spanish and Turkey reported a positive coefficient.  </span><span lang="EN-IN">Current study clearly throws light on the effect of inflation on the stock market returns, therefore; it can help the market participants such as traders, fund managers, and investors to make good portfolio decisions based on the information about expected inflation and unexpected inflation. The study confirms that there exists a significant relationship between the stock returns and inflation for Australian, Belgium, Canadian, Chilean, Chinese, French and Irish stock benchmark indices. Firms can take this one has a clue to adjust their reported profits by raising the prices.  The policymakers can employ contractionary policy to reduce the supply of money by offering a low interest rate on t bills, increasing the interest rates (bank rate policy) and increasing the cash reserve ratios which in turn reduces the lending capacity of the banks.</span>

Can Twitter Help Predict Firm-Level Earnings and Stock Returns?

2017 ◽  
Vol 93 (3) ◽  
pp. 25-57 ◽  
Author(s):  
Eli Bartov ◽  
Lucile Faurel ◽  
Partha S. Mohanram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Future Prospects ◽  
Traditional Media ◽  
Stock Trading ◽  
Firm Level ◽  
Quarterly Earnings ◽  
Announcement Returns ◽  
Twitter Activity ◽  
Original Information

ABSTRACT Prior research has examined how companies exploit Twitter in communicating with investors, and whether Twitter activity predicts the stock market as a whole. We test whether opinions of individuals tweeted just prior to a firm's earnings announcement predict its earnings and announcement returns. Using a broad sample from 2009 to 2012, we find that the aggregate opinion from individual tweets successfully predicts a firm's forthcoming quarterly earnings and announcement returns. These results hold for tweets that convey original information, as well as tweets that disseminate existing information, and are stronger for tweets providing information directly related to firm fundamentals and stock trading. Importantly, our results hold even after controlling for concurrent information or opinion from traditional media sources, and are stronger for firms in weaker information environments. Our findings highlight the importance of considering the aggregate opinion from individual tweets when assessing a stock's future prospects and value.

Financial Constraints, Stock Returns and R&D in Indian Stock Market

2021 ◽  
pp. 097226292098839
Author(s):  
Pankaj Sinha ◽  
Priya Sawaliya
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Financial Constraints ◽  
Fixed Effect Model ◽  
Quantitative Information ◽  
Common Shocks ◽  
External Finance ◽  
Negative Effect ◽  
Security Returns ◽  
Indian Stock Market

When the accessibility of external finance prohibits a firm from taking the optimum decision related to investment, that firm is called financially constrained. By applying the methodology of Kaplan and Zingales (1997) and Lamont et al. (2001), the current study has created a construct to gauge the level of financial constraints (FC) of the companies which emanate from quantitative information. The study explores whether FC factor is present in the Indian stock market and explores whether the security returns of those firms that are financially constrained move in tandem. The study also attempts to establish the association between security returns and R&D of financially constrained firms. On a sample of 63 R&D reporting companies of S&P BSE 500, traded over the period March 2008 to February 2019, the study used the Fama–French methodology, fixed effect model and the ordered logistic regression. The study finds that firms that are highly constrained earn more returns than low constrained firms. Second, the security returns of firms that are financially constrained move in tandem because these firms are affected by common shocks. This suggests that the FC factor exists in the Indian stock market. Finally, when R&D interacts with the level of FC, then this interaction effect has a negative effect on returns.

scholarly journals Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Risks ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 89
Author(s):  
Muhammad Sheraz ◽  
Imran Nasir
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Approximate Entropy ◽  
Market Volatility ◽  
Comparative Approach ◽  
Stock Market Volatility ◽  
Information Theoretic ◽  
Information Theoretic Measures ◽  
Garch Modeling

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification of the randomness of PSX-100. The methodology includes two approaches: (i) the implementation of EGARCH, GJR-GARCH, and TGARCH models to estimate the volatilities; and (ii) analysis of randomness in volatilities series, return series, and PSX-100 closing prices for pre-pandemic and pandemic period by using Shannon’s, Tsallis, approximate and sample entropies. Volatility modeling suggests the existence of the leverage effect in both the underlying periods of study. The results obtained using GARCH modeling reveal that the stock market volatility has increased during the pandemic period. However, information-theoretic results based on Shannon and Tsallis entropies do not suggest notable variation in the estimated volatilities series and closing prices. We have examined regularity and randomness based on the approximate entropy and sample entropy. We have noticed both entropies are extremely sensitive to choices of the parameters.

Predicting US recessions with stock market illiquidity

2016 ◽  
Vol 16 (1) ◽  
Author(s):  
Shiu-Sheng Chen ◽  
Yu-Hsi Chou ◽  
Chia-Yi Yen
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Cross Section ◽  
Market Liquidity ◽  
Credit Spreads ◽  
Stock Market Liquidity ◽  
Predictive Content ◽  
Dynamic Link

AbstractIn this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the illiquidity measure proposed by (Amihud, Y. 2002. “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects.”

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