scholarly journals Accessing the Equity Return Volatility Effect of East and South Asian Nations: The Econometrics Modelling Method

2019 ◽  
Vol 8 (3S) ◽  
pp. 594-603
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Market News ◽  
Institutional Investors ◽  
Garch Model ◽  
Equity Market ◽  
Stock Index ◽  
Critical Element ◽  
Market Returns ◽  
The Garch Model

In financial management, the equity market performance is the critical element of equity market returns volatility wherever the shareholder’s resilience around the instability subsists. The data is collected from the authenticated secondary sources for the analysis. This paper shows that the 2008economicpredicament, as well as the effect above proceeding developing financial prudence of the globe, is found in the equity return instability connation of developing financial prudence (2004-2015). By the GARCH model, it can be examined that as the information from the U.S.A. stock market news has an essential consequences on the earnings of the S&P 500 stock market index, the indices of the east, as well as south Asian nations, has also influenced by the news of U.S.A. The GARCH model is estimated for the U.S.A. stock market news has a substantial effect or not on East and South Asian nation's daily share market returns. The outcomes show that market earnings in the equity market in east and south Asian nations are incredibly reliant on their historical earnings. It is found that Tokyo Topic (4.8929) is a highly volatile stock index among the East and South Asian stock returns, and the low volatile stock index is DSEX (0.0068). The news of the U.S.A. stock market has affected the equity market of India, Japan, China, and Korea, which are included in the East and South Asian stock market. In all the country’s share markets, found most significant variance in the equity income instability. This study is essential for the shareholders looking for the diversification in the portfolio, domestic institutional investors and foreign institutional investors

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

scholarly journals International portfolio diversification: United States and south Asian equity markets

2014 ◽  
Vol 61 (2) ◽  
pp. 241-252 ◽  
Author(s):  
Rizwan Mushtaq ◽  
Zulfiqar Shah
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Equity Markets ◽  
Equity Market ◽  
Causality Test ◽  
Market Index ◽  
International Portfolio Diversification ◽  
The Us ◽  
Short And Long Term

This paper explores the dynamic liaison between US and three developing South Asian equity markets in short and long term. To gauge the long-term relationship, we applied Johansen co-integration procedure as all the representative indices are found to be non-stationary at level. The findings illustrate that the US equity market index exhibits a reasonably different movement over time in contrast to the three developing equity markets under consideration. However, the Granger-causality test divulge that the direction of causality scamper from US equity market to the three South Asian markets. It further indicates that within the three developing equity markets the direction of causality emanates from Bombay stock market to Karachi and Colombo. Overall, the results of the study suggest that the American investors can get higher returns through international diversification into developing equity markets, while the US stock market would also be a gainful upshot for South Asian investors.

scholarly journals Ramadan Effect and Volatility Risk by Garch Model: Evidence in Indonesia Stock Market

2021 ◽  
pp. 73-82
Author(s):  
Dery Westryananda Putra ◽  
Sri Hasnawati ◽  
Muslimin Muslimin
Keyword(s):  
Stock Market ◽  
Sampling Method ◽  
Stock Exchange ◽  
Garch Model ◽  
Analytical Tool ◽  
Volatility Risk ◽  
Purposive Sampling ◽  
Model Evidence ◽  
The Garch Model

This study aims to analyze the effect of the Ramadan effect and volatility risk on the Indonesian stock market using the GARCH model. The population in this study are companies listed on the LQ45 index on the Indonesia Stock Exchange during 2019. There are 42 companies used as samples in this study. The research sample was taken using purposive sampling method. This study uses the GARCH model as an analytical tool. The results of this study indicate that there is no Ramadan effect on the LQ45 index, but the volatility in the month of Ramadan affects the volatility in the LQ45 index. Keywords: Ramadan Effect, Volatility Risk, GARCH Model Abstrak Penelitian ini bertujuan untuk menganalisis pengaruh Ramadhan effect dan risiko volatilitas terhadap pasar saham Indonesia dengan menggunakan model GARCH. Populasi dalam penelitian ini adalah perusahaan yang terdaftar pada indeks LQ45 di Bursa Efek Indonesia selama tahun 2019. Terdapat 42 perusahaan yang dijadikan sampel dalam penelitian ini. Sampel penelitian diambil dengan menggunakan metode purposive sampling. Penelitian ini menggunakan model GARCH sebagai alat analisis. Hasil penelitian ini menunjukkan bahwa tidak ada pengaruh Ramadhan terhadap indeks LQ45, namun volatilitas pada bulan Ramadhan berpengaruh terhadap volatilitas pada indeks LQ45. Kata Kunci: Ramadhan Effect, Risiko Volatilitas, Model GARCH

scholarly journals Factor analysis of the Lithuanian equity market indices

2009 ◽  
Vol 50 ◽  
Author(s):  
Svetlana Danilenko
Keyword(s):  
Factor Analysis ◽  
Stock Market ◽  
Stock Prices ◽  
Equity Market ◽  
Stock Index ◽  
Change Dynamics ◽  
Statistical Measures ◽  
Components Method ◽  
Main Components ◽  
Stock Indexes

Statistical measures that can reproduce the state of the stock market and the tendencies of its change dynamics are the stock indexes. Having in mind the more complicated state of the finance system it is important to answer the question of what impacts the fluctuations of the stock prices. The article discusses various factors that impact the fluctuations of the Lithuanian stock index OMXV ; also stock index factor analysis is performed. Factors are determined using the main components method.

Volatility transmission within financial markets during the COVID-19 pandemic: are faith-based investors well off in Tunisia?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mustapha Ishaq Akinlaso ◽  
Aroua Robbana ◽  
Nura Mohamed
Keyword(s):  
Stock Market ◽  
Stock Index ◽  
Lower Amount ◽  
Leverage Effect ◽  
Market Returns ◽  
Content Type ◽  
Volatility Transmission ◽  
Standard And Poor's ◽  
Future Return ◽  
Diversification Benefit

Purpose This paper aims to investigate the risk-return and volatility spillover within the Tunisian stock market during the COVID-19 pandemic analyzing both the Islamic and conventional stocks’ performance. Design/methodology/approach Both symmetric (GARCH and GARCH-M) and asymmetric (Threshold GARCH and Exponential GARCH) models are used to analyze the market returns and volatility response. Standard and Poor’s (S&P) index has been used to test both the Islamic and conventional stocks within the Tunisian stock market. Findings The findings suggest that both Tunisia Islamic and conventional stock markets are highly persistent; however, the conventional stock index showed a negative return spillover on the Islamic stocks during the pandemic. The conventional stock index has also shown a higher exposure to risk for a lower amount of return, and evidence of potential diversification benefit between both indexes was found during the pandemic, whereas the Islamic market showed a positive leverage effect, indicating a positive correlation between past return and future return; the conventional index implied a negative leverage effect. Originality/value The value of this paper emerges in studying three main aspects that are specific to the Tunisian stock market. This includes COVID-19 effect of return spillovers, volatility transmission across both conventional and Islamic stock market within the local financial market.

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