scholarly journals Testing for Single Bubble Episode in the Nigerian Stock Market: An Empirical Investigation

2019 ◽  
pp. 29-49
Author(s):  
Jamilu Iliyasu ◽  
Ndayezhin D. Saba
Keyword(s):  
Stock Prices ◽  
Long Memory ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Single Bubble ◽  
Time Varying ◽  
Monthly Data ◽  
Bubble Detection ◽  
Augmented Dickey Fuller ◽  
Memory Parameter

This study tested for a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggested non-existence of a bubble in the NSE between 2010 and 2017. Though there was an indication of one explosive episode in September 2011 at which the Dickey-Fuller statistic lied above the critical values sequence line. However, it was not a bubble but a short deviation from trend. The study also estimated a time-varying long memory parameter, using a fractionally-integrated autoregressive model to check the robustness of the SADF test and it provided further evidence on the absence of a bubble. These findings showed that the behaviour of stock prices was not driven by a bubble in the Nigerian Stock Exchange (NSE). The study, therefore recommended that a time-to-time bubble diagnostic check on the exchange so that symptoms of a bubble can be early detected and managed to avoid losses that may result from the bust.

scholarly journals Effect of Interest Rate on Stock Prices in Ghana

2021 ◽  
Vol 12 (1(S)) ◽  
pp. 1-7
Author(s):  
Peter Arhenful ◽  
Augustine Kwadwo Yeboah ◽  
Kofi Sarfo Adjei
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Time Series Data ◽  
Stock Exchange ◽  
Ordinary Least Squares ◽  
Series Data ◽  
Augmented Dickey Fuller ◽  
Ghana Stock Exchange ◽  
Adf Test

The paper assesses the effect of interest rate on stock prices, with emphases on Ghana Stock Exchange; using monthly time series data from July 2007 to December 2019. The Augmented Dickey-Fuller (ADF) test was employed to establish the stationarity properties of the data or otherwise. Using the Ordinary Least Squares (OLS) estimation technique of Multiple Regression, the results (? = – 0.891, p < 0.05) revealed an indirect association between interest rates and stock prices in the Ghanaian context; which is consistent with the theoretical conclusion that an increase in interest rate results in a decrease in stock prices. Thus, in the light of this finding, it was recommended that policymakers should consider the stock market dynamics due to the significant relationship that exists between the two macroeconomic variables.

scholarly journals Testing Weak-Form Market Efficiency of Dhaka Stock Exchange

2015 ◽  
Vol 4 (2) ◽  
pp. 79-90
Author(s):  
Md.‬ Abu Hasan‬‬‬‬‬‬‬‬
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Jel Classification ◽  
Ratio Test ◽  
Daily Return ◽  
Classification Code ◽  
Augmented Dickey Fuller

Measuring the efficiency of the stock market is an important research topic as there are various implications for investors. This paper investigates the weak form efficiency in the framework of the random walk hypothesis for the stock market in Bangladesh, employing both Non Parametric tests (Runs test and Phillips-Perron test) and Parametric tests (Autocorrelation test, Augmented Dickey-fuller test, and Variance Ratio test). The study uses daily return data for the three stock indices of Dhaka Stock Exchange such as DSI (from 02 January 1993 to 27 January 2013) with a total of 4823 daily return observations, DGEN (from 01 January 2002 to 31 July 2013) with a total of 2903 daily return observations, and DSE-20 (from 01 January 2001 to 27 January 2013) with a total of 3047 daily return observations. The evidence suggests that all the return series do not follow the random walk model, and thus the Dhaka Stock Exchange is inefficient in weak form. Thus, historical stock prices can be used to achieve superior gains from the stock markets in Bangladesh. JEL Classification Code: C22, G10, G14

Stock Returns and Long-range Dependence

2019 ◽  
pp. 097215091986696
Author(s):  
Alexander Ayertey Odonkor ◽  
Emmanuel Nkrumah Ababio ◽  
Emmanuel Amoah- Darkwah ◽  
Richard Andoh
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Exchange ◽  
Moving Average ◽  
Efficient Market Hypothesis ◽  
Conditional Heteroskedasticity ◽  
Relevant Market ◽  
Figarch Model ◽  
Ghana Stock Exchange

This article studies the long memory behaviour of stock returns on the Ghana Stock Exchange. The estimates employed are based on the daily closing prices of seven stocks on the Ghana Stock Exchange. The results of the autoregressive fractionally integrated moving average-fractionally integrated generalized autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) model suggest that the stock returns are characterized by a predictable component; this demonstrates a complete departure from the efficient market hypothesis suggesting that relevant market information was only partially reflected in the changes in stock prices. This pattern of time dependence in stock returns may allow for past information to be used to improve the predictability of future returns.

scholarly journals Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index

2015 ◽  
Vol 1 (1) ◽  
pp. 071 ◽  
Author(s):  
Muhammad Rizky Prima Sakti ◽  
MD. Yousuf Harun
Keyword(s):  
Stock Prices ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Policy Instruments ◽  
Impulse Response Functions ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Variance Decompositions ◽  
The Relationship

This paper attempts to analyze the relationship between Jakarta Stock Exchange Islamic Index (JII) and selected macroeconomic variables namely exchange rate, industrial production, inflation rate, and money supply. We used monthly data from January 2000 toDecember 2010.The methodology used in this paper is time series techniques of co-integration and vector autoregression (VAR). In the analysis, we rely on variance decompositions and impulse-response functions to capture the strength of interactions among variables. The results revealed that there is co-integration between Islamic stock prices and macroeconomic variables. Specifically, Indonesian Islamic stock market are driven more by domestic factors. These macroeconomic factors considered to be emphasized as the policy instruments by the governments in order to stabilize Islamic stock prices.

scholarly journals The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange

2016 ◽  
Vol 6 (2) ◽  
pp. 13 ◽  
Author(s):  
Mondher Kouki ◽  
Mosbeh Hsini
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Empirical Test ◽  
Past Performance ◽  
Behavioral Bias ◽  
Portfolio Returns ◽  
Explanatory Factors ◽  
Market Trends

This paper examines the behavioral bias in Tunisia, a country with a small stock market in terms of capital, but surprisingly dynamic in comparison to other emerging markets. Our study is consistent with Jegadeesh & Titman (1993)’ approach as presented to highlight an analysis of  such reversal phenomena of portfolio returns, and provides explanatory factors  to the so-called market trends reversal. The empirical investigation is based on a weekly database for a period from January 2002 to January 2013 related to stock prices and index values of market capitalization (TUNINDEX). The empirical test demonstrates the existence of winner-loser phenomenon in accordance with over-reaction hypothesis stating that portfolios with the worst past performance outperform, during the subsequent periods, those having produced best past performance and vice versa. 

scholarly journals Money Supply, Stock Prices and the Efficient Market Hypothesis: The Case of Malaysia

2020 ◽  
Author(s):  
Muzafar Shah Habibullah ◽  
Ahmad Zubaidi BAHARUMSHAH
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Informational Efficiency ◽  
Kuala Lumpur ◽  
Empirical Relationships ◽  
Correction Model ◽  
Monthly Data ◽  
Monetary Aggregates

The purpose of the present study is to investigate the empirical relationships between money supply and stock prices in the Kuala Lumpur Stock Exchange (KLSE) using monthly data that span from January 1978 to September 1992. More specifically, we tested market informational efficiency in the KLSE by testing the causal relationships between money supply and stock prices using the co-integration technique. In the analysis, we used alternative monetary aggregates namely, the Simple-Sum and Divisia monies. Results from- our error-correction model suggest that market informational efficiency hypothesis can be rejected for KLSE with respect to the growth of money supply (for both Simple-sum and Divisia monetary aggregates).  

scholarly journals Capital Market And The Transmission Channel Of The Monetary Policy: An Empirical Evidence On The Money View

2010 ◽  
Vol 9 (9) ◽  
Author(s):  
Caroline Geetha
Keyword(s):  
Money Supply ◽  
Stock Prices ◽  
Stock Exchange ◽  
Monetary Transmission ◽  
Kuala Lumpur ◽  
Monthly Bulletin ◽  
Monthly Data ◽  
Long Run ◽  
Short Run ◽  
The Relationship

The aim of this study is to find the relationship between the monetary transmission channels with the stock prices.  The study utilizes the monthly data from 1990 to 2001 obtained from the Kuala Lumpur Stock Exchange Report and the monthly bulletin of the Central Bank of Malaysia.  The result revealed that all the variables are non-stationary at the level form and stationary at the first difference.  The Johansen Cointegration revealed that a long-run relationship does exist for the unanticipated changes in money supply, unlike the anticipated changes in money supply that only established a short-run relationship with stock prices.  This is due to the level of monetization that is unable to eliminate the excess in the money market in the long run. 

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