Testing for Overreaction and Return Continuations in Stock Price Index Returns

2012 ◽  
pp. 137-156
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Stock Indices ◽  
Stock Price Index ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

Testing for Overreaction and Return Continuations in Stock Price Index Returns

2010 ◽  
Vol 1 (2) ◽  
pp. 93-112 ◽  
Author(s):  
Nathan Lael Joseph ◽  
Khelifa Mazouz
Keyword(s):  
Market Efficiency ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Abnormal Returns ◽  
Market Size ◽  
Price Shocks ◽  
Price Changes ◽  
Stock Indices ◽  
Initial Results

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency, but these result depend on the magnitude of the price shocks. Whilst the market is efficient when the positive shocks are large, the market also over-reacts when negative shocks are large. To illustrate, for large stock markets that are more liquid, positive shocks of more than 5% generate an insignificant day one CAR of -0.004%, whilst negative shocks of more than 5% generate a positive and significant day one CAR of 0.662%. In contrast, positive (negative) shocks of less than 5% generate a significant one day CAR of 0.119% (-0.174%) for these same (large) stock markets.

scholarly journals Market Efficiency and Integration: An Examination of Indian Stock Market

2003 ◽  
Author(s):  
Chandra Shekhar Bhatnagar
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Price ◽  
Price Index ◽  
Weak Sense ◽  
Weak Form ◽  
Strong Form ◽  
Emerging Stock Markets ◽  
Stock Price Index ◽  
Indian Stock Market

This paper examines the efficiency and integration of the Indian stock market. The weak form of efficiency has been tested by studying the stationarity characteristics of theMSCI Stock Price Index of India. For testing the semi-strong form of efficiency and integration of the Indian Stock Market with the macro phenomenon of emerging stock markets of the world, the causality between the MSCI Stock Price Index of India and the MSCI EMF Index has been studied. The results point out that the Indian Stock Market is efficient in its weak sense. However, the same is not true for the semi-strong form of market efficiency. Therefore, the utility of a forecasting model having the macro phenomenon (MSCI EMF Index in the present case) as a forecasting variable cannot be ruled out.  

On the Chinese Lunar New Year Effect in Six Asian Stock Markets: An Empirical Analysis (1991–2000)

2001 ◽  
Vol 04 (04) ◽  
pp. 463-478 ◽  
Author(s):  
Gili Yen ◽  
Cheng F. Lee ◽  
Cheng-Lung Chen ◽  
Wei-Chi Lin
Keyword(s):  
Hong Kong ◽  
Financial Crisis ◽  
Stock Markets ◽  
Stock Price ◽  
Price Index ◽  
Investment Strategy ◽  
Asian Financial Crisis ◽  
Sample Period ◽  
Year Effect ◽  
Stock Indices

This paper examines the existence/nonexistence of the Chinese Lunar New Year effect in Hong Kong, Japan, South Korea, Malaysia, Singapore, and Taiwan in recent years. Using longitudinal stock price index data from 1991 to 2000, the authors find that cumulative returns based on stock indices in the above mentioned Asian markets exhibit a consistently up-moving trend before or after the Chinese Lunar New Year, providing evidence for continued existence of the Chinese Lunar New Year effect in these six Asian stock markets in recent years. However, when the sample period is divided into before- vs. after-Asian financial crisis period, different patterns emerge. In the wake of the Asian financial crisis, the crisis effect has some role to play, especially, for Malaysia and Singapore. In viewing the timing and patterns of the Chinese Lunar New Year effect in these six Asian markets differ from each other, the authors also recommend to investors the best investment strategy to capture the largest returns.

ANALISIS PENGARUH INFLASI, KURS DAN IHSG TERHADAP RETURN REKSA DANA SAHAM PT NIKKO SECURITIES INDONESIA PERIODE 2014-2017

2019 ◽  
Vol 2 (2) ◽  
pp. 103
Author(s):  
Muhammad Rois Rois ◽  
Manarotul Fatati Fatati ◽  
Winda Ihda Magfiroh
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Linear Regression ◽  
Multiple Linear Regression ◽  
Stock Price ◽  
Price Index ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Equity Fund ◽  
Stock Price Index

This study aims to determine the effect of Inflation, Exchange Rate and Composite Stock Price Index (IHSG) to Return of PT Nikko Securities Indonesia Stock Fund period 2014-2017. The study used secondary data obtained through documentation in the form of PT Nikko Securities Indonesia Monthly Net Asset (NAB) report. Data analysis is used with quantitative analysis, multiple linear regression analysis using eviews 9. Population and sample in this research are PT Nikko Securities Indonesia. The result of multiple linear regression analysis was the coefficient of determination (R2) showed the result of 0.123819 or 12%. This means that the Inflation, Exchange Rate and Composite Stock Price Index (IHSG) variables can influence the return of PT Nikko Securities Indonesia's equity fund of 12% and 88% is influenced by other variables. Based on the result of the research, the variables of inflation and exchange rate have a negative and significant effect toward the return of PT Nikko Securities Indonesia's equity fund. While the variable of Composite Stock Price Index (IHSG) has a negative but not significant effect toward Return of Equity Fund of PT Nikko Securities Indonesia

MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

2009 ◽  
Vol 54 (04) ◽  
pp. 605-619 ◽  
Author(s):  
MOHD TAHIR ISMAIL ◽  
ZAIDI BIN ISA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Regime Shifts ◽  
Var Model ◽  
Vector Autoregressive ◽  
Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

scholarly journals ANALISIS FAKTOR PENENTU INDEKS HARGA SAHAM GABUNGAN DI INDONESIA

2019 ◽  
Vol 1 (4) ◽  
pp. 37
Author(s):  
Yulizar Fikri ◽  
Ali Anis
Keyword(s):  
Economic Growth ◽  
Foreign Exchange ◽  
Stock Price ◽  
Price Index ◽  
Time Series Data ◽  
Secondary Data ◽  
Coefficient Of Determination ◽  
Series Data ◽  
Foreign Exchange Reserves ◽  
Stock Price Index

This study aims to determine the analysis of the determinants of the composite stock price index in Indonesia. The independent variables in this study are inflation as X1, foreign exchange reserves as X2, exchange rates as X3, and economic growth as X4, and the dependent variable of the composite stock price index as Y. The data used are secondary data in the formof time series data from 2010Q1 until 2019Q2, with data collection techniques, namely documentation from Bank Indonesia publications, the Central Statistics Agency, investing. comsite and library research. The research methods used are: (1) Multiple Linear Regression, (2) Classical Assumption Test (3) coefficient of determination. The results of this study indicate that:(1) inflation does not significantly influence the composite stock price index. (2) foreign exchange reserves have a significant positive effect on the composite stock price index. (3) the rupiah exchange rate has an influence on the composite stock price index and (4) economic growth hasno significant effect on the composite stock price index.

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