scholarly journals The Impact of COVID-19 on Stock Market Returns in Vietnam

2021 ◽  
Vol 14 (9) ◽  
pp. 441
Author(s):  
Dao Van Hung ◽  
Nguyen Thi Minh Hue ◽  
Vu Thuy Duong
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Emerging Market ◽  
Random Effect Model ◽  
Financial Sector ◽  
Listed Companies ◽  
Government Control ◽  
Stock Market Returns ◽  
The Impact

This paper studies the impacts of COVID-19 on the performance of the Vietnamese Stock Market—a rapidly growing emerging market in a country that has to date successfully controlled the disease outbreak. The study uses a random-effect model (REM) on panel data of stock returns of 733 listed companies on both HOSE (the Ho Chi Minh Stock Exchange) and HNX (the Hanoi Stock Exchange) from 2 January 2020 to 13 December 2020. The study shows that the number of daily COVID-19 confirmed cases in Vietnam has a negative impact on stock returns of listed companies in the market. The impacts were more severe for the pre-lockdown and second-wave period, compared to impact for the lockdown period. The impacts also differed across sectors, with the financial sector being the most affected. With significant government control and influence over the bank-dominated financial system, the financial sector was expected to absorb some of the negative shocks hitting the real sector. Such expectations were reflected in the stock market movement during the pandemic.

Rational–Irrational Investor Sentiments and Emerging Stock Market Returns: A Comparison from Turkey

2017 ◽  
Vol 16 (3) ◽  
pp. 219-245 ◽  
Author(s):  
Sidika Gulfem Bayram
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Risk Premium ◽  
Stock Exchange ◽  
Jel Classification ◽  
Market Returns ◽  
Dynamic Interactions ◽  
Stock Market Returns ◽  
Dynamic Relationship ◽  
The Impact

This study investigates the dynamic relationship between rational and irrational consumer-business sentiments and stock returns in an emerging stock market, Turkey. Consumer and business sentiments are divided into two components: rational and irrational sentiments. Then, the dynamic interactions and the impact of the sentiments on stock returns are examined. The fundamental economic variables used in the study consist of business conditions, economic risk premium, country risk, exchange rate risk, country growth rate, inflation rate, and terms of trade. The results show that Istanbul Stock Exchange (ISE)-100 index returns are positively and significantly affected by the rational sentiments of both consumers and businesses. JEL Classification: G02, G12, G150

scholarly journals The Effects of Extreme Weather Conditions on Hong Kong and Shenzhen Stock Market Returns

2019 ◽  
Vol 7 (4) ◽  
pp. 70
Author(s):  
Zhuhua Jiang ◽  
Sang Hoon Kang ◽  
Chongcheul Cheong ◽  
Seong-Min Yoon
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Weather Conditions ◽  
Extreme Weather ◽  
Strong Impact ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Impact

We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting results. First, extreme weather conditions have a significant impact on the stock returns of the Shenzhen Exchange, indicating that the Shenzhen market is inefficient. Second, during the pre-QFII period, extreme weather conditions have a strong impact on the returns of the Shenzhen stock market, but the impact is significantly weaker in the period after QFII. This means that the efficiency of the Shenzhen stock market has significantly increased since the QFII program due to the market openness to foreign institutional investors. We emphasize the role of foreign investors not affected by local weather conditions by observing how market opening affects extreme weather impacts on stock market returns.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

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 Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

2020 ◽  
Vol 11 (6) ◽  
pp. 318
Author(s):  
Jaber Yasmina
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Trading Activity ◽  
Auto Correlation ◽  
The Asymmetry ◽  
The Impact ◽  
The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

scholarly journals Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Isiaka Akande Raifu ◽  
Terver Theophilus Kumeka ◽  
Alarudeen Aminu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Estimation Methods ◽  
Panel Var ◽  
Impulse Response Functions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Long Run ◽  
Policy Shocks

AbstractGiven the effects COVID-19 pandemic on the financial sectors across the world, this study examined the reaction of stock returns of 201 firms listed in the Nigerian Stock Exchange to the COVID-19 pandemic and lockdown policy. We deployed both Pooled OLS and Panel VAR as estimation methods. Generally, the results from POLS show the stock market returns of the Nigerian firms reacted negatively more to the global COVID-19 confirmed cases and deaths than the domestic COVID-19 confirmed cases and deaths and lockdown policy. The results of the impulse response functions revealed that the effects of COVID-19 confirmed cases and deaths and lockdown policy shocks on stock returns oscillate between negative and positive before the stock market returns converge to the equilibrium in the long run. The FEVD results showed that growth in the COVID-19 confirmed cases, deaths and lockdown policy shocks explained little variations in stock market returns. Given our finding, we advocate for the relaxation of policy of lockdown and the combine use of monetary and fiscal policies to mitigate the negative effect of COVID-19 pandemic on stock market returns in Nigeria.

scholarly journals Stock Market Returns and Weather Anomaly: Evidence from an Emerging Economy

2012 ◽  
Vol 4 (5) ◽  
pp. 239-244 ◽  
Author(s):  
Hammad Hassan Mirza ◽  
Naveed Mushtaq .
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Weather Condition ◽  
Efficient Market Hypothesis ◽  
Emerging Economy ◽  
Market Returns ◽  
Stock Market Returns ◽  
Factors Affecting ◽  
Temperature Records ◽  
The Impact

Financial economists believe that the arbitrage forces in the market are the main reason of market efficiency and these forces are the fundamental concept of efficient market hypothesis (EMH). During last few years, various theoretical and empirical evidences have been presented to support the work of financial modeling for the markets with less than rational investors whose trading strategies are based on psychological factors like mood and emotions. Weather condition is among the substantial factors affecting investors’ mood and emotions. Present study investigates the impact of temperature on stock market returns in emerging economy of Pakistan. Using the daily temperature records and stock market indices of Karachi and Islamabad, the study has employed auto regressive (AR) – generalized autoregressive conditional heteroscedasticity (GARCH) model from 2006 to 2010. Based on AR (1)-GARCH (1, 1) estimation the study has found that weather temperatures of both Karachi and Islamabad are negatively related with Karachi Stock Exchange (KSE) and Islamabad Stock Exchange (ISE) index returns, respectively.

scholarly journals Measuring Stock Market Predictability with Implications of Financial Ratios: An Empirical Investigation of Pakistan Stock Market

2020 ◽  
Vol 12 (2) ◽  
Author(s):  
Abdul Samad Shaikh ◽  
Muhammad Kashif ◽  
Sadia Shaikh
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Strong Predictor ◽  
Generalized Least Squares ◽  
Financial Ratios ◽  
Arbitrage Pricing Theory ◽  
Market Returns ◽  
Stock Market Returns ◽  
Study Results

This paper investigates the financial ratios prediction on Stock Market Returns for Pakistan Stock Exchange. The research includes three financial ratios; Dividend Yield (DY), Earning Yield Ratio (EYR) and Book-to-Market Ratio (B/M); that have been observed through past researchers as predictors of Stock Market Returns. The theoretical framework is based on Arbitrage Pricing Theory and Capital Asset Pricing Model CAPM by Roll and Ross (1977) and Fama-French 3 factor (1992). Generalized Least Squares (GLS) is applied to estimate the predictive regressions, Cointegration runs are applied to evaluate the long-term relationship, and Generalized Methods of Moments (GMM) to measure the moments over the years and fluctuations in stock returns. The study results show financial ratios as strong predictor of stock return in Pakistan Stock Exchange, the GMM analyses reveal that the EYR has the higher predictive power than DY and B/M respectively. Furthermore, it is found that the financial ratios predictability is enhanced when ratios are combined in the multiple predictive regression models. The research findings are useful for the stock market investors to evaluate their decisions and for academic researchers to evaluate the stock market and investment predictability.

scholarly journals Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Salem Alshihab ◽  
Nayef AlShammari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Prices ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Adf Test

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

scholarly journals Stock Returns and The Weather Effect: the Case of Ghana

2020 ◽  
Author(s):  
Sampson Atuahene ◽  
Kong Yusheng ◽  
Geoffrey Bentum-Micah
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Weather Conditions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Significance ◽  
Weather Changes ◽  
Brokerage Firms

In every economy, Stock markets are part of the key elements the build it up. A few decades ago, there has been a significant change in Ghana stock market returns (GSE). Our study examines the statistical and economic significance of investor sentiment, based on weather conditions/changes, on stock market returns. OLS models, assisted by unit root tests were employed in analyzing the data obtained from the Ghana stock exchange platform from 2000 to 2017. From our literature review, we discovered that investors’ perceptions play a central role in finalizing the direction of stock market returns. Regarding our empirical results, we tested whether weather variations influence the investment decisions of investors; we discovered that temperature and cloud cover significantly influences stock market returns. This is because of mood changes is associated with weather conditions variations. However, sunshine per our regression coefficient shows a statistically insignificant impact on investors’ investment choices. Precipitation to a large extend influence stock market activities further affecting its results negatively as our regression results depicted. We concluded stock brokerage firms, companies, and investors (foreign/local) must incorporate weather changes/effects when strategizing about their investment outcomes.

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