scholarly journals The Weekend Effect in African Stock Markets

2019 ◽  
pp. 24-28
Author(s):  
Brinwa Kra ◽  
Xing Lu ◽  
Haiyan Yin
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Stock Markets ◽  
Weekend Effect ◽  
Stock Index ◽  
Stock Exchanges ◽  
Market Anomalies ◽  
Time Period ◽  
Negative Effect ◽  
Stock Market Anomalies

This study investigates daily stock market anomalies in the African stock markets, using two most representative stock index ETFs, each over at least eleven-year time period spanning from pre-financial crisis era to ten years into the financial crisis. This research attempts to test the presence of the weekend effect on stock returns in the African stock exchanges during the financial crisis. The results indicate a significant negative effect on Mondays. Our results shed some light on the degree of market efficiency in one of the major emerging capital markets in the world.

Asymmetric price responses to stock addition to and deletion from the Athens Stock Exchange Index

2018 ◽  
Vol 44 (4) ◽  
pp. 406-423
Author(s):  
George Papachristou ◽  
Stephanos Papadamou ◽  
Eleftherios Spyromitros
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Policy Implications ◽  
Stock Index ◽  
Market Model ◽  
Investment Strategies ◽  
Content Type ◽  
Time Period ◽  
Negative Effect

Purpose The purpose of this paper is to investigate the response of investors to the announcements on the inclusion and exclusion of companies from the FTSE-ASE 20 index. Design/methodology/approach Data on the inclusion and exclusion of companies from the FTSE-ASE 20 index in the period 2000-2012 were used. The authors performed an event study analysis using a constant return model and a market model. Two different measures of aggregated abnormal returns, namely the cumulating abnormal returns and the buy-and-hold abnormal return, were used in this investigation. Findings The results suggest that the exclusion of a company from the index has a significant negative effect on stock returns. Specifically, such a stock takes more than 15 days to recover. However, for a company’s inclusion in the index, the authors observe short-lived positive reactions on stock returns. Practical implications Capital market regulators and investors should find the policy implications of this paper meaningful. Investment strategies can be implemented on the basis of the news of exclusion from the index, which can lead to higher performance for investors. As far as authorities are concerned, the decision of inclusion and exclusion to the most significant stock index in the Greek market should be carefully considered because it creates financial instability for a significant time period. Originality/value By using a battery of parametric and non-parametric econometric tests, the existence of abnormal returns of the FTSE-ASE 20 index is explored over a long time period, including the recent financial crisis.

RESPONSE OF STOCK MARKET DURING COVID-19 AND 2008 FINANCIAL CRISIS: A COMPARATIVE EVIDENCE FROM BRICS NATIONS

2021 ◽  
pp. 1-24
Author(s):  
SANJEEV KUMAR ◽  
JASPREET KAUR ◽  
MOSAB I. TABASH ◽  
DANG K. TRAN ◽  
RAJ S DHANKAR
Keyword(s):  
South Africa ◽  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
2008 Financial Crisis ◽  
First Case ◽  
Egarch Model ◽  
The 2008 Financial Crisis ◽  
The Impact

This study attempts to examine the response of stock markets amid the COVID-19 pandemic on prominent stock markets of the BRICS nation and compare it with the 2008 financial crisis by employing the GARCH and EGARCH model. First, average and variance of stock returns are tested for differences before and after the pandemic, t-test and F-test were applied. Further, OLS regression was applied to study the impact of COVID-19 on the standard deviation of returns using daily data of total cases, total deaths, and returns of the indices from the date on which the first case was reported till June 2020. Second, GARCH and EGARCH models are employed to compare the impact of COVID-19 and the 2008 financial crisis on the stock market volatility by using the data of respective stock indices for the period 2005–2020. The results suggest that the increasing number of COVID-19 cases and reported death cases hurt stock markets of the five countries except for South Africa in the latter case. The findings of the GARCH and EGARCH model indicate that for India and Russia, the financial crisis of 2008 has caused more stock volatility whereas stock markets of China, Brazil, and South Africa have been more volatile during the COVID-19 pandemic. The study has practical implications for investors, portfolio managers, institutional investors, regulatory institutions, and policymakers as it provides an understanding of stock market behavior in response to a major global crisis and helps them in taking decisions considering the risk of these events.

scholarly journals Faktor-Faktor yang Mempengaruhi Return Saham Syariah Perusahaan Sub Sektor Tourism, Restaurant, and Hotel

2021 ◽  
Vol 1 (2) ◽  
pp. 384-397
Author(s):  
Harivani Nurwiyati ◽  
Diharpi Herli Setyowati ◽  
Destian Arshad Darulmalshah Tamara
Keyword(s):  
Stock Returns ◽  
Service Sector ◽  
Inflation Rate ◽  
Stock Index ◽  
Current Ratio ◽  
Significance Level ◽  
Return On Equity ◽  
Panel Data Regression ◽  
Negative Effect ◽  
Equity Ratio

The purpose of this study is to analyze the influence of current ratio, debt to equity ratio, return on equity, and inflation rate to return stock of sub sector tourism, restaurant, and hotel companies listed on Indonesia Sharia Stock Index (ISSI). The population used is sharia service sector companies listed on ISSI. The sample is determined using purposive sampling. This research is a descriptive study with a quantitative approach. The data analysis method used is a panel data regression. Based on the results with a significance level of 5%, this study shows: Current ratio, Debt to equity ratio, and Inflation rate partially have No. significant effect to return stock. Return on equity partially has asignificant negative effect to return stock. Current ratio, debt to equity ratio, return on equity, inflation rate simultaneously have a significant effect on stock returns.

After 2008 Global Financial Crisis, Short-Term Dynamics of CDS, Bond, and Stock Markets in South Eastern European Economies

2013 ◽  
pp. 181-194
Author(s):  
Ali Sabri Taylan ◽  
Hüseyin Tatlidil
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Stock Markets ◽  
European Countries ◽  
Stock Index ◽  
Bond Markets ◽  
Eastern European ◽  
South Eastern ◽  
Eastern European Countries

Credit risk pricing is perhaps an understudied topic in comparisons to its profound impact on the world’s financial markets and economies. This study uses established price discovery techniques to develop a method of price discovery for credit risk in three financial markets: equity, debt, and credit derivative. This chapter is motivated by the development of credit-related instruments and signals of stock price movements of South-Eastern European countries—Bulgaria, Croatia, Greece, Hungary, Romania, Slovenia, Slovakia, and Turkey—during the recent financial crisis. In this study, the authors evaluate the dynamics of fiscal risk or country risk measured by sovereign Credit Default Swap (CDS), liquidity risk measured bond markets, and stock markets for the monthly based September 2008 – February 2011 period. The study examines monthly data observing 38 months and 8 countries. A panel vector autoregression model is proposed for changes in Long-Term Interest Rate (LTIR), changes in CDS spreads (CDS), and changes in stock index. In conclusion, CDS markets and stock markets are more significant than bond markets in explaining the post-crisis relationship among developing South-Eastern European countries. The analysis displays that long-term monetary policy did not affect CDS premium and stock index level. A strong relationship is found between the CDS spread and stock market. During financial crisis and after the crisis, the correlations among CDS, stock, and bond markets are collapsed by panicked investors’ rapid movement and wild speculators. This risk perception can explain the difference between the finance theory and practices in the market.

Stock Market Anomalies

2017 ◽  
Author(s):  
Steve Fan ◽  
Linda Yu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Financial Economic ◽  
Economic Research ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Additional Risk ◽  
Asset Pricing Models ◽  
Stock Market Anomalies

Stock market anomalies representing the predictability of cross-sectional stock returns are one of most controversial topics in financial economic research. This chapter reviews several well-documented and pervasive anomalies in the literature, including investment-related anomalies, value anomalies, momentum and long-term reversal, size, and accruals. Although anomalies are widely accepted, much disagreement exists on the underlying reasons for their predictability. This chapter surveys two competing theories that attempt to explain the presence of stock market anomalies: rational and behavioral. The rational explanation focuses on the improvement of the existing asset pricing models and/or searching for additional risk factors to explain the existence of anomalies. By contrast, the behavioral explanation attributes the predictability to human behavioral biases in collecting and processing financial information, as well as in making investment decisions.

Stock Market Linkages Before and After the Asian Financial Crisis: Evidence from Three Greater China Economic Area Stock Markets and the US

2006 ◽  
Vol 09 (02) ◽  
pp. 297-315 ◽  
Author(s):  
Hwahsin Cheng ◽  
John L. Glascock
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
The United States ◽  
Asian Financial Crisis ◽  
Greater China ◽  
Market Linkages ◽  
Economic Area ◽  
Before And After

We investigate the stock market linkages between the United States and three Greater China Economic Area stock markets — China, Hong Kong, and Taiwan, before and after the 1997 Asian financial crisis. Daily stock market indices from January 1995 to December 2000 are used for the analysis. Results from Granger causality test indicate increased feedback relationships between the markets in the post-crisis period. We also find, from the principal component analysis, fewer common factors affecting stock returns after the crisis, suggesting more harmonious market co-movements after the financial crisis. Additionally, results from a variance decomposition analysis suggest that stock markets are more responsive to foreign shocks after the crisis. This further strengthens the evidence that stock markets become more interrelated after the 1997 Asian financial crisis.

scholarly journals EMPIRICAL ANALYSIS OF STOCK RETURNS AND VOLATILITY: EVIDENCE FROM ASIAN STOCK MARKETS

2016 ◽  
Vol 22 (6) ◽  
pp. 808-829 ◽  
Author(s):  
Nawaz AHMAD ◽  
Rizwan RAHEEM AHMED ◽  
Jolita VVEINHARDT ◽  
Dalia STREIMIKIENE
Keyword(s):  
Hong Kong ◽  
Stock Returns ◽  
Stock Markets ◽  
Graphical Representation ◽  
Stock Exchange ◽  
Causal Relation ◽  
Preliminary Examination ◽  
Long Run ◽  
Daily Data ◽  
Time Period

The objective of this research isto measure and examine volatilities among important stock markets of Asia and to ascertain a causal relation between volatility and stock returns. For this purpose six markets KSE100 (Karachi, Pakistan), BSE Sensex (Mumbai, India), NIKKEI 225 (Tokyo, Japan), Hang Seng (Hong Kong), Shanghai Stock Exchange (SSE) (Shanghai, China) and KOSPI (Seoul, South Korea) were considered. Stock market indices comprise of daily data from the period January 2002 to December 2009. The graphical representation of time series shows the preliminary examination of stock behaviors. The analysis shows the high correlation and heteroskedastic trend (volatility) among the stock markets in selected time period. After preliminary analysis the formal descriptive method of mean, standard deviation and coefficient of variation have been applied for measuring and ranking purposes. The results show that KOSPI has the highest average annual return of 12.67% and followed by BSE with 11.61%, whereas, KSE 100 has the least annual average returns of 9.31%. The highest volatility coefficient of 3.097 has been observed in Hang Seng (Hong Kong) followed by 2.87 in Nikkei (Tokyo). However, the KSE 100 observed the lowest volatility coefficient of 2.078. Bartlett’s test is applied for the inferential analysis to investigate whether the equality of volatility is the same in each market return. Finally, GARCH (1, 1) model is applied which concludes a significant ARCH (1) and GARCH (1) effects and confirms all markets’ returns are statistically significant since p < 0.01 and their Long Run Average Variances (LRAV) range from 1.52% to 2.54% for KSE100 Index and Shanghai Stock Exchange respectively.

scholarly journals The January barometer in emerging markets: new evidence from the Gulf Cooperation Council stock exchanges

2019 ◽  
Vol 16 (4) ◽  
pp. 61-71
Author(s):  
Costas Siriopoulos ◽  
Layal Youssef
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Predictive Power ◽  
Gulf Cooperation Council ◽  
Least Square ◽  
January Effect ◽  
Stock Exchanges ◽  
Market Anomalies ◽  
Gulf Countries ◽  
International Investors

International investors’ interest in the capital markets in the region of Gulf countries has dramatically increased in last two decades. Thus, it would be motivating to investigate their characteristics, where the January anomaly is a major one. This paper studies the veracity of the January effect rule in the Gulf Cooperation Council (GCC) stock markets and examines the predictive power of January returns. Seven GCC stock markets are tested – the market indices in Bahrain, Abu Dhabi, Dubai, Kuwait, Oman, Qatar, and Saudi Arabia – from January 1, 2001 until December 31, 2018, a timeframe which has rarely been analyzed. Ordinary least square (OLS)-based dummy variable regression equation was used as the conventional econometric procedure in the works of financial calendar anomalies in stock markets. Some evidence is reported for the markets of Dubai and Kuwait. The paper also provides an additional explanation for the performance of stock market of Kuwait. The findings are opposite to the well documented evidence that emerging markets are less efficient and hence it is likely that several market anomalies are further pronounced. The results suggest that the predictive power of the January anomaly can be considered as a temporary anomaly in the GCC markets, since it is concentrated in only a couple of GCC markets and does not persist in time.

scholarly journals Anomalies In Asian Stock Market

2008 ◽  
Vol 8 (2) ◽  
pp. 151
Author(s):  
Kamaludini ,
Keyword(s):  
Stock Market ◽  
Key Words ◽  
Stock Markets ◽  
Emerging Market ◽  
Weekend Effect ◽  
Market Anomalies ◽  
Year Effect ◽  
Analysis Methods ◽  
Research Show ◽  
Market Anomaly

<p class="Style14">Anomaly phenomena in many stock markets show various results achieved by each researcher. The various results very much depend on time and method used. Most of Asian Stock Market is emerging market. The objective in this research are to know market anomalies, especially those of weekend effect, turn of the month effect, and turn of the yeareffect, in Asian stock markets region. The analysis methods to test for market anomalies are GARCH and AAIOVA. The result in this research is: anomalies that happen on weekend effect and turn of the month effect. Anomalies on the turn of the year effect in this research show no significant result. Anomaly will occur in several condition, in weekend and early of the week, turn of and first the month. Anomaly will happen also in several event, such as; independent and religious day.</p><p class="Style1"><strong><em>Key words : Emerging market, GARCH, ANOVA, market anomaly, weekend effect, turn of the </em></strong><strong><em>month effect, and turn of the year effect.</em></strong></p>

scholarly journals Mood Sensitive Stocks and Sustainable Cross-Sectional Returns During the COVID-19 Pandemic: An Analysis of Day of the Week Effect in the Chinese A-Share Market

2021 ◽  
Vol 12 ◽  
Author(s):  
Qurat ul Ain ◽  
Tamoor Azam ◽  
Tahir Yousaf ◽  
Muhammad Zeeshan Zafar ◽  
Yasmeen Akhtar
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Excess Returns ◽  
Chinese Market ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Day Of The Week ◽  
Stock Market Anomalies ◽  
New Evidence ◽  
A Share

This study examines two stock market anomalies and provides strong evidence of the day-of-the-week effect in the Chinese A-share market during the COVID-19 pandemic. Specifically, we examined the Quality minus Junk (QMJ) strategy return on Monday and FridayQuality stocks mean portfolio deciles that earn higher excess returns. As historical evidences suggest that less distressed/safe stocks earn higher excess returns (Dichev, 1998).. The QMJ factor is similar to the division of speculative and non-speculative stocks described by Birru (2018). Our findings provide evidence that the QMJ strategy gains negative returns on Fridays for both anomalies because the junk side is sensitive to an elevated mood and, thus, performs better than the quality side of portfolios on Friday. Our findings are also consistent with the theory of investor sentiment which asserts that investors are more optimistic when their mood is elevated, and generally individual mood is better on Friday than on other days of the week. Therefore, the speculative stocks earned higher sustainable stock returns during higher volatility in Chinese market due to COVID-19. Intrinsically, new evidence emerges on an inclined strategy to invest in speculative stocks on Fridays during the COVID-19 pandemic to gain sustainable excess returns in the Chinese A-share market.

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