scholarly journals Does the Croatian Stock Market Have Seasonal Affective Disorder?

2021 ◽  
Vol 14 (2) ◽  
pp. 89
Author(s):  
Tihana Škrinjarić ◽  
Branka Marasović ◽  
Boško Šego
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Affective Disorder ◽  
Seasonal Affective Disorder ◽  
Stock Exchange ◽  
Trading Strategies ◽  
Future Research ◽  
Winter Solstice ◽  
Daily Data ◽  
Depressive Episodes

This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights into the investors’ sentiment regarding SAD effects. The purpose of the research is to observe how investors’ sentiment affects the return and risk series on ZSE and if this could be exploitable. Using daily data on stock market return CROBEX for the period January 2010—February 2021, SAD effects are tested to explore if seasonal changes affect the stock returns and risk. Besides the SAD variable in the model, some control variables are included as well: Monday, tax, and COVID-19 effect. The results indicate that SAD effects exist on ZSE, even with controlling for mentioned effects; and asymmetries around winter solstice exist. Implications of such findings can be found in simulating trading strategies, which could incorporate such information to gain profits. Limitations of the research focus on one market, observing static parameters of the estimated models, and observing simple trading strategies. Thus, future research should focus on international diversification possibilities, time-varying models, and fully exploring the exploitation possibilities of such findings.

The Effect of Covid-19 Pandemic on Stock Returns: An Evidence of Indonesia Stock Exchange

2021 ◽  
Vol 4 (1) ◽  
pp. 28-37
Author(s):  
Ajeng Mugiarni ◽  
Permata Wulandari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Daily Growth ◽  
Daily Data ◽  
Panel Data Regression ◽  
Data Regression ◽  
Health Related ◽  
The Impact ◽  
Death Cases

The pandemic Covid-19 caused panic not only in health sectors but also weakened the world’s economy. The stock market, as one of the barometers of the economy, was hit by the pandemic Covid-19. The impact of Covid-19 on the stock market provides a signal for investors. Stock returns are what investors look for when investing in stocks. Returns on the stock exchange respond to several events, one of which is the news about health related to the Covid-19 pandemic. This study aims to seek whether the Covid-19 outbreak affects stock returns in Indonesia Stock Exchange. Using daily data of Covid-19 confirmed case, daily data of Covid-19 death cases, and stock returns data in Indonesia from January 2, 2020, to December 31, 2020. The panel-data regression model is used to estimate the result of the study. This study shows that stock returns in Indonesia Stock Exchange respond negatively significantly as the number of confirmed cases increases also stock returns in Indonesia respond negatively significantly to the daily growth of death cases. This study also finds that stock return in consumer goods and basic chemical industry were the impacted industries caused by pandemic Covid-19. Empirical findings could be used for the practitioner to consider investing in the stock market to avoid the significant impact of such outbreaks in the future.

Seasonal Affective Disorder

2016 ◽  
pp. 253-265
Author(s):  
Kelly Rohan ◽  
Jennifer N. Rough
Keyword(s):  
Affective Disorder ◽  
Seasonal Affective Disorder ◽  
Behavioral Therapy ◽  
Light Availability ◽  
Light Therapy ◽  
Future Research ◽  
Treatment And Prevention ◽  
Northern Latitudes ◽  
Major Depressive Episodes ◽  
Depressive Episodes

Winter seasonal affective disorder (SAD) is a subtype of depression, characterized by the recurrence of major depressive episodes in the fall and/or winter months. In North America, SAD prevalence and severity are inversely related to photoperiod, such that SAD is more common at northern latitudes. Photoperiod is the most robust environmental predictor of SAD episode onset. Research has supported a potential role for both physiological and psychological vulnerabilities in the development and maintenance of SAD. Specifically, SAD has been linked to abnormal circadian functioning, retinal sensitivities to low light availability, and maladaptive cognitive and behavioral responses in winter. SAD symptoms can be comparably and effectively treated with different modalities including light therapy, antidepressants, and cognitive–behavioral therapy. Future research should continue to explore and integrate different vulnerabilities as a means to further refine effective treatment and prevention efforts.

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.

Do Indian stock market sentiments impact contemporaneous returns?

2018 ◽  
Vol 7 (3) ◽  
pp. 332-346
Author(s):  
Divya Aggarwal ◽  
Pitabas Mohanty
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Temporal Dynamics ◽  
Stock Exchange ◽  
Principal Component ◽  
Stock Index ◽  
Content Type ◽  
Investor Sentiments ◽  
Indian Stock Market ◽  
The Impact

Purpose The purpose of this paper is to analyse the impact of Indian investor sentiments on contemporaneous stock returns of Bombay Stock Exchange, National Stock Exchange and various sectoral indices in India by developing a sentiment index. Design/methodology/approach The study uses principal component analysis to develop a sentiment index as a proxy for Indian stock market sentiments over a time frame from April 1996 to January 2017. It uses an exploratory approach to identify relevant proxies in building a sentiment index using indirect market measures and macro variables of Indian and US markets. Findings The study finds that there is a significant positive correlation between the sentiment index and stock index returns. Sectors which are more dependent on institutional fund flows show a significant impact of the change in sentiments on their respective sectoral indices. Research limitations/implications The study has used data at a monthly frequency. Analysing higher frequency data can explain short-term temporal dynamics between sentiments and returns better. Further studies can be done to explore whether sentiments can be used to predict stock returns. Practical implications The results imply that one can develop profitable trading strategies by investing in sectors like metals and capital goods, which are more susceptible to generate positive returns when the sentiment index is high. Originality/value The study supplements the existing literature on the impact of investor sentiments on contemporaneous stock returns in the context of a developing market. It identifies relevant proxies of investor sentiments for the Indian stock market.

scholarly journals Force majeure events and stock market reactions in Ukraine

2019 ◽  
Vol 16 (1) ◽  
pp. 334-345 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun ◽  
Inna Makarenko
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Trading Strategies ◽  
Social Force ◽  
Stock Market Index ◽  
Market Reactions ◽  
Technological Disasters ◽  
Daily Data ◽  
Force Majeure ◽  
Student’S T

This paper examines reactions in the Ukrainian stock market to force majeure events, which are divided into four groups: economic force majeure, social force majeure, terrorist acts, natural and technological disasters. More specifically, using daily data for the main Ukrainian stock market index (namely PFTS) over the period from January 1, to December 31, 2018 this study investigates whether or not force majeure events create (temporary) inefficiencies and there exist profitable trading strategies based on exploiting them. For this purpose, cumulative abnormal returns and trading simulation approaches are used in addition to Student’s t-tests. The results suggest that the Ukrainian stock market absorbs new information rather fast. Negative returns in most cases are observed only on the day of the event. The only exception is technological disasters, the market needing up to ten days to react fully in this case. Despite the presence of a detectable pattern in price behavior after force majeure events (namely, a price decrease on the day of the event) no profitable trading strategies based on it are found as their outcomes do not differ from those generated by random trading.

scholarly journals ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR DI BEI

IQTISHODUNA ◽  
2013 ◽  
Author(s):  
Sri Yati
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Analytical Method ◽  
Stock Exchange ◽  
Investment Decisions ◽  
Portfolio Analysis ◽  
Rate Of Return ◽  
Expected Returns ◽  
Risk Level ◽  
Expected Return

This study aims to analyze rate of return and risk as the tools to form the portfolio analysis on 15 the most actives stocks listed in Indonesian Stock Exchange. Descriptive analytical method is used to describe the correlation between three variables: stock returns, expected returns of stock market, and beta in order to measure the risk of stocks to help the investors in making the investment decisions. The research materials are 15 the most actives stocks listed in Indonesian Stock Exchange during 2008-2009. The results show that PT. Astra International Tbk. has the highest average expected return of individual stock (Ri) of 308,3355685, while PT. Perusahaan Gas Negara Tbk. has the lowest of -477,0827847. The average expected return of stock market (Rm) is 0,00247163. PT. Astra International Tbk. has the highest systematic risk level of 20229,14205, while the lowest of -147,5793279 is PT. Kalbe Farma Tbk. Furthermore, the results also indicate that there are 9 stocks can be combined to form optimal portfolio because they have positive expected returns.

scholarly journals IFRS and Stock Returns: An Empirical Analysis in Brazil

2016 ◽  
Vol 7 (2) ◽  
pp. 179 ◽  
Author(s):  
Rodrigo F. Malaquias ◽  
Anderson Martins Cardoso ◽  
Gabriel Alves Martins
Keyword(s):  
New York ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Relevant Information ◽  
Graphic Analysis ◽  
Accounting Numbers ◽  
Before And After ◽  
Accounting Reports ◽  
Accounting Convergence

In recent years, the convergence of accounting standards has been an issue that motivated new studies in the accounting field. It is expected that the convergence provides users, especially external users of accounting information, with comparable reports among different economies. Considering this scenario, this article was developed in order to compare the effect of accounting numbers on the stock market before and after the accounting convergence in Brazil. The sample of the study involved Brazilian listed companies at BM&FBOVESPA that had American Depository Receipts (levels II and III) at the New York Stock Exchange (NYSE). For data analysis, descriptive statistics and graphic analysis were employed in order to analyze the behavior of stock returns around the publication dates. The main results indicate that the stock market reacts to the accounting reports. Therefore, the accounting numbers contain relevant information for the decision making of investors in the stock market. Moreover, it is observed that after the accounting convergence, the stock returns of the companies seem to present lower volatility.

scholarly journals The dynamic relationship between stock returns and trading volumes in Nepalese stock market

2020 ◽  
Vol 23 (2) ◽  
pp. 161-172
Author(s):  
Prem Lal Adhikari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Time Series Data ◽  
Stock Exchange ◽  
Causal Effect ◽  
Empirical Relationship ◽  
Insurance Companies ◽  
Series Data ◽  
Dynamic Relationship

 In finance, the relationship between stock returns and trading volume has been the subject of extensive research over the past years. The main motivation for these studies is the central role that trading volume plays in the pricing of financial assets when new information comes in. As being interrelated and interdependent subjects, a study regarding the trading volume and stock returns seem to be vital. It is a well-researched area in developed markets. However, very few pieces of literature are available regarding the Nepalese stock market that explores the association between trading volume and stock return. Realizing this fact, this paper aims to examine the empirical relationship between trading volume and stock returns in the Nepalese stock market using time series data. The study sample is comprised of 49 stocks traded on the Nepal Stock Exchange (NEPSE) from mid-July 2011 to mid-July 2018. This study examines the Granger Causality relationship between stock returns and trading volume using the bivariate VAR model used by de Medeiros and Van Doornik (2008). The study found that the overall Nepalese stock market does not have a causal relationship between trading volume and return on the stock. In the case of sector-wise study, there is a unidirectional causality running from trading volume to stock returns in commercial banks and stock returns to trading volume in finance companies, hydropower companies, and insurance companies. There is no indication of any causal effect in the development bank, hotel, and other sectors. This study also finds that there is no evidence of bidirectional causality relationships in any sector of the Nepalese stock market.

scholarly journals Size, Value and Momentum in Pakistan Equity Market: Size and Liquidity Exposures

2018 ◽  
Vol III (I) ◽  
pp. 376-394 ◽  
Author(s):  
Romana Bangash ◽  
Faisal Khan ◽  
Zohra Jabeen
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Stock Exchange ◽  
Equity Market ◽  
Future Research ◽  
Momentum Strategy ◽  
Monthly Data ◽  
Average Value ◽  
Asset Pricing Models ◽  
Fama And French

The study inspects the size and liquidity pattern in Pakistan equity market. Sample size contains 278 non-financial firm's monthly data listed on Pakistan Stock Exchange (PSX) from 2001 to 2012. This study uses three asset pricing models (eq.5), (eq.6) and (eq.7). Four factors asset pricing model estimates that momentum factor is positively and negatively linked with winner and loser stocks, both in size and liquidity patterns. Although it is observed that the presence of size and liquidity does not affect the coefficient results but average value of momentum premium in larger in liquidity than size pattern. Further, the study reveals high average stock returns on momentum strategy in liquidity pattern than size that is 8.05% Vs 6.67%, respectively. Results of this study contradicts Fama and French (2012) who concluded that size pattern in momentum factor outperform the equity market. But this study conclude that liquidity pattern outperforms the size pattern in momentum factor. This study raises the question that should investors and academicians consider size or liquidity pattern in momentum factor for high returns and future research?

scholarly journals Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

2019 ◽  
Vol 12 (2) ◽  
pp. 81 ◽  
Author(s):  
Dzung Phan Tran Trung ◽  
Hung Pham Quang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Ho Chi Minh City ◽  
Stock Exchanges ◽  
Ratio Test ◽  
Time Varying ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
The Relationship

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.

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