scholarly journals A COMPARATIVE STUDY ON THE INVESTMENT VALUE OF RESIDENTIAL PROPERTY AND STOCKS

2004 ◽  
Vol 8 (2) ◽  
pp. 63-72 ◽  
Author(s):  
Bing Sun ◽  
Hongyu Liu ◽  
Siqi Zheng
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Residential Property ◽  
Investment Value ◽  
Stock Investment ◽  
Property Price ◽  
Weak Negative Correlation

As real estate, residential property comprises not only the value of utilization, but also the value of investment, which is somewhat different from that of securities such as stocks and bonds. In this paper, the investment value of newly‐built residences and stocks are compared and analyzed theoretically and empirically. Firstly, the paper summarizes the diversity of costs, risks, and benefits of these two investments. Secondly, by quoting the quarterly price/rent indices on the housing market and that at the stock exchange in Shanghai, the paper explores the variances of these two investments with respect to their risk‐return characteristics from 1993 to 2003. Thirdly, the paper discusses the correlations between residential property price/rent index, property/general stock price index, and Consumer Price Index (CPI). Finally, by utilizing the Capital Asset Pricing Model (CAPM), the systematic and the unsystematic risks of these investments are segregated and compared with each other, based on a series of assumptions. The result suggests, on a quarterly basis, that residential property investment produces a higher risk‐adjusted return than that of general stock and property stock investment. Because of a weak/negative correlation between residential property and stock returns, residential property is an ideal candidate to be included into the stock investment portfolio. Moreover, residential property and property stock can be used as effective hedges against inflation.

scholarly journals The Effect of Macro Economic Variables on Stock Return of Companies That Listed in Stock Exchange: Empirical Evidence from Indonesia

2019 ◽  
Vol 14 (8) ◽  
pp. 108
Author(s):  
Aminullah Assagaf ◽  
Etty Murwaningsari ◽  
Juniati Gunawan ◽  
Sekar Mayangsari
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Secondary Data ◽  
Foreign Exchange Rates ◽  
Macroeconomic Variables ◽  
Analysis Technique ◽  
Inflation Rates

This study aims to analysis the effect of macroeconomic variables on the overall return of company shares which is a proxy with changes in the composite stock price index. This study uses secondary data in a period of 20 months from November 2016 to June 2018. While the analysis technique uses multiple linear regression This study found that macroeconomic variables consisting of inflation rates, interest rates, money supply, and foreign exchange rates, stock returns have a significant effect on companies on the Indonesia Stock Exchange.

scholarly journals Analisis Perbedaan Return Portofolio Saham Dengan Metode Beta Historis Dengan Beta Akuntansi

2019 ◽  
Vol 15 (2) ◽  
pp. 211
Author(s):  
Lestari Lestari ◽  
Atty Erdiana
Keyword(s):  
High Risk ◽  
Stock Returns ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Statistical Test ◽  
High Rate ◽  
The Difference ◽  
The Right ◽  
Portfolio Structure

This study has the right to select securities that have a high risk of being included in the portfolio structure. High-security securities will offer a high rate of return. Portfolios by choosing high-risk securities that are advantageously seen from the investor's perspective.The object of this study is the Indonesian Stock Exchange. The data needed are price data for the Composite Stock Price Index (CSPI) from 2014 to 2017. The analysis of the technique used is beta estimation as a measure of risk with the historical beta method. While the analysis to test the difference in stock returns with historical beta and accounting accounts using the Paired Sample T statistical test. The results are that there are no differences in stock returns with historical beta and accounting beta from companies that go public on the Indonesia Stock Exchange (IDX).

scholarly journals Macroeconomic impact on stock returns in the Croatian hospitality industry

2019 ◽  
Vol 7 (1) ◽  
pp. 53-68
Author(s):  
Siniša Bogdan
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Hospitality Industry ◽  
Price Index ◽  
Explanatory Power ◽  
Consumer Price Index ◽  
Stock Index ◽  
Macro Variables ◽  
The Impact

Tourism is one of the most important sectors in the Republic of Croatia. It plays a significant role in its economic development. This research investigates whether the macro-variables have an impact on the stock returns in the hospitality industry. The focus of the work consists in causality relationship between four macro variables (consumer price index, industrial production, exchange rate and number of tourist arrivals) and a stock index composed of Croatian hospitality companies. After applying Granger-causality tests based on the VAR methodology, results suggest that only consumer price index Granger-cause stock returns in the hospitality industry in the observed period from July 2008 to July 2018. Further analysis through impulse response function indicates that the impulse responses of inflation meet expectations in terms of the direction of impact. In the second month, stock prices react negatively to shock, implying that higher inflation causes negative stock price returns. After applying the variance decomposition method, a very low explanatory power of consumer price index on stock returns in the hospitality industry was revealed. This paper contributes to the existing literature on the topic of the impact of macro-economic variables on hospitality stock returns by extending the scope to Croatia and by testing a different set of variables compared to those from previous studies.

scholarly journals The Impact of the Covid-19 Pandemic on Stock Investment in the Indonesian Capital Market

2021 ◽  
Vol 1 (1) ◽  
pp. 1
Author(s):  
Maulana Majied Sumatrani Saragih ◽  
Sarman Sinaga ◽  
Faisal Faisal ◽  
Rico Nur Ilham ◽  
T Nurhaida
Keyword(s):  
Financial Services ◽  
Stock Price ◽  
Trading Volume ◽  
Price Index ◽  
Stock Exchange ◽  
Volume Data ◽  
Stock Trading ◽  
Stock Investment ◽  
Stock Price Index ◽  
The Impact

The COVID-19 pandemic has hit various sectors, including the stock market where many people are hesitant to invest in stocks. Many industries have been affected by Covid-19, where since March 2020 the Indonesia Stock Exchange Composite Stock Price Index (IHSG) has decreased because many investors sold their shares, but since the third week of May 2020 to early June 2020 has shown an increase indicating stock trading has begun to show improvement. This study aims to analyze which sector stocks are still able to survive during the COVID-19 pandemic, by using stock trading volume data, Composite Stock Price Index (IHSG), weekly and monthly market capitalization values with a sample of 20 stocks - the highest stocks. based on sales volume and transaction value on the Indonesian stock exchange for the period March 2020 to June 2020 obtained from the Financial Services Authority (OJK) weekly report and the Indonesia Stock Exchange (IDX) Monthly Report. The results show that during the COVID-19 pandemic, investors can still get benefits in investing in stocks if every decision made by these investors is supported by careful calculations.

scholarly journals Measuring the Impact of Some Macroeconomic Variables on the Stock Price Index in the Iraq Stock Exchange for the period (2006-2015)

2019 ◽  
Vol 8 (4) ◽  
pp. 93
Author(s):  
Khalil Gh. Hassan ◽  
Wafaa Sabah
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Negative Effect ◽  
Stock Price Index ◽  
The Impact

This study aims at measuring the impact of some macroeconomic variables on stock prices index in the Iraqi Stock Exchange (ISX) for the monthly data from January 2006 to December 2015 based on (121) observations using the ARDL model. Results indicated that the stock price index of Iraq Stock Exchange (ISX) and macroeconomic variables are co-integrated and a long-run relationship exists between them. The long-run coefficients suggested that the consumer price index (CPI) and money supply (M2) had a negative effect while the Interest-Rate-Current Account (Over Draft) (DR) had a positive effect on the stock prices index. However, the variable exchange rate (EX) did not show significant effect on the stock prices index

scholarly journals ANALISIS PENGARUH NILAI TUKAR RUPIAH PER DOLLAR AS, TINGKAT SUKU BUNGA SBI, DAN INFLASI INDEKS HARGA KONSUMEN (IHK) TERHADAP IHSG DI BEI PERIODE 2003 – 2008

2017 ◽  
Vol 15 (3) ◽  
Author(s):  
Fransisca Kurnia ◽  
Linda Santioso
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Financial Statement ◽  
Important Thing ◽  
Stock Price Index ◽  
A Company

Financial statement is an important thing for a company. The financial statement of the company can indicate the company's condition and the investors always wait it for setting their investments. The purpose of this survey is to observe whether Rupiah exchange rate per US Dollars, Interest rate of SBI and Inflation of Consumer Price Index (CPI) have influence Composite Stock Price Index at Jakarta Stock Exchange either through partial and also simultan. The result shows that variable of Interest rate of SBI and Inflation of Consumer Price Index (CPI) significantly influence on the Composite Stock Price Index. If it is analyzed simultaneously, three variables have significant influences on the Composite Stock Price Index.

scholarly journals Return Predictability of Stock Price Index in Tehran Stock Exchange

2013 ◽  
Vol 9 ◽  
pp. 59-64
Author(s):  
Mohsen Mehrara
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Asset Price ◽  
Estimation Method ◽  
Return Predictability ◽  
Recursive Estimation ◽  
Parameter Estimates ◽  
Daily Stock Returns

The question of whether asset price changes are predictable has long been the subject of many studies. Many studies, using historical returns based on random walk tests, have shown that stock return is not predictable. We study return predictability of the Tehran Exchange Price Index (TEPIX) based on monthly data from 2000 to 2011. For forecasting the return, we used a recursive estimation method in which the parameter estimates were updated recursively in light of new weekly observations, and also its regressors were changed recursively according to the Schwarz Bayesian Criterion. The results show that the daily stock returns are not predictable using publicly available information.

Determinants of stock return of property and real estate companies in the developing market

2021 ◽  
Vol 5 (2, special issue) ◽  
pp. 184-193
Author(s):  
Endri Endri ◽  
Dani Fahmi Amrullah ◽  
Haryo Suparmun ◽  
Hilda Mary ◽  
Maya Sova ◽  
...  
Keyword(s):  
Real Estate ◽  
Financial Performance ◽  
Interest Rates ◽  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Expected Return ◽  
Macroeconomic Risk ◽  
Property Price ◽  
Negative Effect

Macroeconomic risk factors can determine the expected return on property and real estate stocks (Khan, Khan, Ahmad, & Bashir, 2021), in addition to other factors: property prices (Das, Füss, Hanle, & Russ, 2020) and financial performance (Medyawati & Yunanto, 2017). This study aims to empirically prove the effect of interest rates (SB), exchange rates (KURS), commercial property price index (IHPK), return on assets (ROA), debt-to-equity ratio (DER), and current ratio (CR) on stock returns estimated using panel data regression model. The sample of this research is 23 companies from 63 companies in the property and real estate industry which are listed on the Indonesia Stock Exchange (IDX) during the 2015–2019 period. The empirical findings of this study prove that the ROA, CR, IHPK, and KURS variables have a negative effect on stock returns, while the SB variable has a positive effect. The level of corporate debt (DER) was not proven to determine stock returns. The exchange rate has the greatest influence on stock returns, and the fact does show that the Indonesian stock market is dominated by foreign investors, so that every time foreign currencies appreciate because they leave the stock exchange, the stock price immediately declines. The results of this study have implications for investors that investment decisions to buy shares of property and real estate companies must understand the changes that occur, especially macroeconomic variables and also the company’s financial performance

Canonical correlation analysis

2014 ◽  
Vol 6 (2) ◽  
pp. 179-196 ◽  
Author(s):  
Peter Mazuruse
Keyword(s):  
Correlation Analysis ◽  
Stock Returns ◽  
Canonical Correlation Analysis ◽  
Stock Prices ◽  
Canonical Correlation ◽  
Price Index ◽  
Stock Exchange ◽  
Consumer Price Index ◽  
Content Type ◽  
Macroeconomic Variables

Purpose – The purpose of this paper was to construct a canonical correlation analysis (CCA) model for the Zimbabwe stock exchange (ZSE). This paper analyses the impact of macroeconomic variables on stock returns for the Zimbabwe Stock Exchange using the canonical correlation analysis (CCA). Design/methodology/approach – Data for the independent (macroeconomic) variables and dependent variables (stock returns) were extracted from secondary sources for the period from January 1990 to December 2008. For each variable, 132 sets of data were collected. Eight top trading companies at the ZSE were selected, and their monthly stock returns were calculated using monthly stock prices. The independent variables include: consumer price index, money supply, treasury bills, exchange rate, unemployment, mining and industrial index. The CCA was used to construct the CCA model for the ZSE. Findings – Maximization of stock returns at the ZSE is mostly influenced by the changes in consumer price index, money supply, exchange rate and treasury bills. The four macroeconomic variables greatly affect the movement of stock prices which, in turn, affect stock returns. The stock returns for Hwange, Barclays, Falcon, Ariston, Border, Caps and Bindura were significant in forming the CCA model. Research limitations/implications – During the research period, some companies delisted due to economic hardships, and this reduced the sample size for stock returns for respective companies. Practical implications – The results from this research can be used by policymakers, stock market regulators and the government to make informed decisions when crafting economic policies for the country. The CCA model enables the stakeholders to identify the macroeconomic variables that play a pivotal role in maximizing the strength of the relationship with stock returns. Social implications – Macroeconomic variables, such as consumer price index, inflation, etc., directly affect the livelihoods of the general populace. They also impact on the performance of companies. The society can monitor economic trends and make the right decisions based on the current trends of economic performance. Originality/value – This research opens a new dimension to the study of macroeconomic variables and stock returns. Most studies carried out so far in Zimbabwe zeroed in on multiple regression as the central methodology. No study has been done using the CCA as the main methodology.

Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers

2021 ◽  
pp. 097226292110225
Author(s):  
Rakesh Kumar Verma ◽  
Rohit Bansal
Keyword(s):  
Stock Returns ◽  
Financial Institutions ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Developed Countries ◽  
Low Carbon ◽  
Bond Issue ◽  
The Government ◽  
The Impact

Purpose: A green bond is a financial instrument issued by governments, financial institutions and corporations to fund green projects, such as those involving renewable energy, green buildings, low carbon transport, etc. This study analyses the effect of green-bond issue announcement on the issuer’s stock price movement. It shows the reaction of the stock price after the issue of green bonds. Methodology: This study is based on secondary data. Green-bond issue dates have been collected from newspaper articles from different online sources, such as Business Standard, The Economic Times, Moneycontrol, etc. The closing prices of stocks have been taken from the NSE (National Stock Exchange of India Limited) website. An event window of 21 days has been fixed for the study, including the 10 days before and after the issue date. Data analysis is carried out through the event study method using the R software. Calculation of abnormal returns is done using three models: mean-adjusted returns model, market-adjusted returns model and risk-adjusted returns model. Findings: The results show that the issue of green bonds has a significant positive effect on the stock price. Returns increase after the green-bond issue announcement. Although the announcement day shows a negative return for all the samples taken for the study, the 10-day cumulative abnormal return (CAR) is positive. Thus, green-bond issues lead to positive sentiments among investors. Research implications: This research article will help the government issue more green bonds so that the proceeds can be utilized for green projects. The government should motivate corporations and financial institutions to issue more green bonds to help the economy grow. In India, very few organizations have issued a green bond. It will be beneficial if these players issue green bonds, as it will increase the firms’ value and boost returns to the investors. Originality/value: The effect of green-bond issue on stock returns has been analysed in some studies in developed countries. This is the first study to examine the impact of green-bond issue on stock returns in the Indian context, to the best of our knowledge.

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