scholarly journals Market Efficiency and Integration: An Examination of Indian Stock Market

2003 ◽  
Author(s):  
Chandra Shekhar Bhatnagar
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Price ◽  
Price Index ◽  
Weak Sense ◽  
Weak Form ◽  
Strong Form ◽  
Emerging Stock Markets ◽  
Stock Price Index ◽  
Indian Stock Market

This paper examines the efficiency and integration of the Indian stock market. The weak form of efficiency has been tested by studying the stationarity characteristics of theMSCI Stock Price Index of India. For testing the semi-strong form of efficiency and integration of the Indian Stock Market with the macro phenomenon of emerging stock markets of the world, the causality between the MSCI Stock Price Index of India and the MSCI EMF Index has been studied. The results point out that the Indian Stock Market is efficient in its weak sense. However, the same is not true for the semi-strong form of market efficiency. Therefore, the utility of a forecasting model having the macro phenomenon (MSCI EMF Index in the present case) as a forecasting variable cannot be ruled out.  

Testing for Overreaction and Return Continuations in Stock Price Index Returns

2012 ◽  
pp. 137-156
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Stock Indices ◽  
Stock Price Index ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

scholarly journals The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market

2013 ◽  
Vol 16 (3) ◽  
pp. 86-100
Author(s):  
Kieu Minh Nguyen ◽  
Diep Van Nguyen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Macroeconomic Factors ◽  
Stock Price Index ◽  
The Exchange Rate ◽  
The Relationship

The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.

scholarly journals Analisa Korelasi Return Indeks – Indeks Saham terhadap Indeks Harga Saham Gabungan pada Bursa Efek Indonesia

2015 ◽  
Vol 6 (2) ◽  
pp. 330 ◽  
Author(s):  
Mulyono Mulyono
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Index ◽  
Stock Trading ◽  
Close Relationship ◽  
Coefficient Corrélation ◽  
Stock Price Index

Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG). During its development, the Indonesia Stock Exchange has many alternative indexes that measure the performance of stock trading. Research that is to be conducted on the correlation between return of the stock index listed in Indonesia Stock Exchange and return of Jakarta Composite Index. Return stock index listed on the Indonesia Stock Exchange, namely, LQ45 Index, Jakarta Islamic Index (JII), KOMPAS100 Index, BISNIS-27 Index, PEFINDO25 Index and SRI-KEHATI Index, has a close relationship with the return Jakarta Composite,Index which is a reflection of the movement of all existing stock in the market. Return of stocks index that have the highest coefficient correlation is KOMPAS100 In dex, which have return index coefficient correlation is 0.949, thus KOMPAS100 Index that consisting of 100 stocks, based on the results of the study can be used as an alternative investment to get a return that is at least equal or close to the yield given by Jakarta Composite Index(IHSG) that consists of 445 stocks

scholarly journals PENGARUH NILAI TUKAR, TINGKAT BUNGA, INFLASI, DAN JUMLAH UANG BEREDAR TERHADAP INDEKS HARGA SAHAM SEKTOR KEUANGAN DI BURSA EFEK INDONESIA (BEI) (Studi Kasus pada Indek Harga Saham Sektor Keuangan Di BEI)

2018 ◽  
Vol 5 (2) ◽  
pp. 1-19
Author(s):  
Amna Mawardi
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Money Supply ◽  
Stock Price ◽  
Price Index ◽  
Financial Sector ◽  
Stock Market Index ◽  
Market Index ◽  
Us Dollar ◽  
Stock Price Index

In the midst of uncertain economic condition, nowadays people tend to secure the potential assests they have, and think how to take advantage of the assets they have in order to keep it high in value for a long period of time. One of the way is by invest in the form of securities traded in the capital market. That is why every investor in the capital market urgently require a relevant informations on trend of transactions as reference in making investment decisions. One of the required information is stock market index. The purpose of this study is to examine the effect 0f macro economic indicators, US Dollar exchange rate, interest rate, inflation rate, and money supply on stock market index in Indonesia Stock Exchange (IDX). The method used in this research is using multiple linear regression. Data obtained from SEKI -  Bank Indonesia (Economic and Financial Statistics - Central Bank of The Republic of Indonesia) and  IDX (Indonesia Stock Exchange), in the form of secondary data of monthly period in year 2011 – 2015, collected by documentation techniniques. The results showed that partially variable of US Dollar exchange rates, interest rates, inflation rates, and money supply have no effect on the stock price index of financial sector. Whereas universally interest rates have a significant positive effect on the stock price index of financial sector. Over all simultaneously US Dollar exchange rates, interest rates, inflation rates, and money supply have an effect on the stock price index of financial sector.   Keywords: exchange rate, interest rate, inflation rate, money supply, and stock market index.

scholarly journals Impacts of Business Confidence and Consumer Confidence on VN-Index

2014 ◽  
Vol 222 ◽  
pp. 76-88
Author(s):  
Thủy Thân Thị Thu ◽  
Thảo Phạm Thị Bích
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Listed Companies ◽  
Consumer Confidence ◽  
Factors Affecting ◽  
Business Confidence ◽  
Stock Price Index ◽  
Positive Impacts

Fluctuations in stock price index are always the focus of investors’ and listed companies’ interest, so the exploration of factors affecting this index is crucial. This paper examines the impacts of business confidence and consumer confidence on VN-Index. The results confirm positive impacts of business confidence and consumer confidence on the index, but they are not remarkably high. Thence, the study proposes solutions to the improvement in business confidence and consumer confidence to help the Vietnam’s stock market grow in a stable and sustainable manner.

scholarly journals INTEREST RATE ADJUSTMENT AND STOCK MARKET – THE CASE STUDY OF CHINA

2021 ◽  
Author(s):  
Ning Zeng ◽  
◽  
Xixi Li ◽  
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Index ◽  
Rate Adjustment ◽  
Stock Price Index ◽  
The Interest Rate ◽  
The Impact

This paper examines the impact of interest rate adjustment on the stock market in China. We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the estab¬lishment of the stock market. Through an Error Correction model together with Granger causality, we investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is existing a long-term reverse relationship between interest rate adjustment and stock index. The impact of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the stock price index is not the granger cause of interest rate.

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