Determining the Importance of Domestic Firms on Stock Market Performance in Terms of Financial Marketing

2020 ◽  
pp. 269-286 ◽  
Author(s):  
İrfan Ersin
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Panel Cointegration ◽  
Stock Index ◽  
Causality Analysis ◽  
Domestic Firms ◽  
Market Values ◽  
Stock Market Performance ◽  
The Relationship

This chapter examines the relationship between stock market value of domestic firms traded in stock markets in OECD countries and stock index for 1990-2018 period. As a result of Pedroni Panel Cointegration and Dumitrescu-Hurlin Panel Causality Analysis, there is a relationship between the market values of domestic firms traded on the stock exchange and the stock index. In addition, a two-way causality relationship was found. This situation indicates that this relationship is very powerful. It can be understood that adding domestic companies to the stock market has a significant effect on the stock prices and this will attract foreign investors to enter the market.

scholarly journals Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications

2019 ◽  
Vol 69 (2) ◽  
pp. 273-287 ◽  
Author(s):  
Florin Aliu ◽  
Besnik Krasniqi ◽  
Adriana Knapkova ◽  
Fisnik Aliu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Weighted Average ◽  
Stock Index ◽  
Risk Level ◽  
Average Return ◽  
Monetary System ◽  
Managerial Implications

Risk captured through the volatility of stock markets stands as the essential concern for financial investors. The financial crisis of 2008 demonstrated that stock markets are highly integrated. Slovakia, Hungary and Poland went through identical centralist economic arrangement, but nowadays operate under diverse stock markets, monetary system and tax structure. The study aims to measure the risk level of the Slovak Stock Market (SAX index), Budapest Stock Exchange (BUX index) and Poland Stock Market (WIG20 index) based on the portfolio diversification model. Results of the study provide information on the diversification benefits generated when SAX, BUX and WIG20 join their stock markets. The study considers that each stock index represents an independent portfolio. Portfolios are built to stand on the available companies that are listed on each stock index from 2007 till 2017. The results of the study show that BUX generates the lowest risk and highest weighted average return. In contrast, SAX is the riskiest portfolio but generates the lowest weighted average return. The results find that the stock prices of BUX have larger positive correlation than the stock prices of SAX. Moreover, the highest diversification benefits are realized when Portfolio SAX joins Portfolio BUX and the lowest diversification benefits are achieved when SAX joins WIG20.

scholarly journals (The impact of oil price shocks on the performance of the Saudi financial market (2003- 2016: تأثير تقلبات أسعار النفط على أداء السوق المالية السعودية (2003-2016)

2019 ◽  
Vol 3 (8) ◽  
Author(s):  
Mohammed Faisal Hassan Mohammed Ahmed
Keyword(s):  
Financial Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Oil Price ◽  
Inductive Method ◽  
Price Fluctuations ◽  
Market Values ◽  
Market Index ◽  
The Impact ◽  
The Relationship

This study sought to analyze the impact of oil price fluctuations on the performance of the Saudi Stock Exchange by analyzing the impact of oil price fluctuations on the volume of trading, the market index and the prices of shares of listed companies in the market. The study used the inductive method to derive hypotheses, and the method of quantitative analysis to test the validity of these hypotheses. The study found that the fluctuations in oil prices do not explain the variation in the performance of the financial market (volume and market index) or the performance of companies listed in the Saudi Stock Exchange (stock prices). The study explained this result in the light of investor interest in other factors such as the financial performance of companies, the results of companies' business, dividends and others, and ignoring the impact of oil price fluctuations. The study recommended testing the relationship between the performance of the financial market and the factors influencing it such as dividends, market values ​​of stocks and other factors.

scholarly journals The Effects of Earnings Per Share and Firm Size to Stock Price LQ45 Company Listed in Indonesian Securities

2018 ◽  
Vol 7 (4.9) ◽  
pp. 247
Author(s):  
Arma Yuliza
Keyword(s):  
Regression Analysis ◽  
Firm Size ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Stock Index ◽  
Earnings Per Share ◽  
The Relationship

This study was conducted by the firm that included the stock index of IDX (Indonesian stock exchange) consist of the 45 best stocks (LQ45 index companies) that are listed on the Indonesian Securities. This study aims to assess the effect of earnings per share and the firm size on stock prices. The purpose of this study is also to prove that the size of the firm can moderate the relationship between earnings per share and stock prices. By conducting a regression analysis, this study gives evidence that earnings per share and firm size have a significant effect on stock prices. The size of the firm is also able to moderate the relationship between earnings per share and stock prices. The results of this study gave evidence that profit and the size of the company can provide important information for investors in making decisions. 

How the Nature of Exogenous Shocks and Crises Impact Company Performance?

2017 ◽  
Vol 6 (4) ◽  
pp. 40-55
Author(s):  
Ji Li ◽  
Wei Sun ◽  
Wanxing Jiang ◽  
He Yang ◽  
Ludan Zhang
Keyword(s):  
New York ◽  
Stock Market ◽  
Stock Exchange ◽  
Company Performance ◽  
Exogenous Shock ◽  
Accounting Performance ◽  
Exogenous Shocks ◽  
Stock Market Performance ◽  
High Event ◽  
The Relationship

The authors develop an empirical study based on Event System Theory (Morgeson, Mitchell & Liu, 2015), which allows a clearer consideration of specific nature of each exogenous shock and crisis, such as its criticality and geographical proximity. More importantly, they highlight the importance of considering industry characteristics when studying how exogenous shocks and crises may impact both accounting and stock-market performances of companies. Finally, when testing the impacts of economic or political shocks respectively, the authors also take into account the effect of company resources. After analyzing data from companies listed in the New York Stock Exchange, they gain interesting insights: (1) Exogenous shocks and crises with high event criticality are more likely to impact company performance. (2) Exogenous shocks and crises with high event proximity are more likely to impact company performance. (3) Exogenous shocks and crises impact in different directions on a company's accounting performance and stock market performance. Finally, (4) Exogenous shocks and crises make salient the relationship between a firm's resources and its performance, while the relationship is contingent on industry characteristics (i.e., industrial-regulative mechanisms).

Chicken-Egg Dilemma for the Relationship Between Price and Volume in Borsa Istanbul

2019 ◽  
pp. 46-69
Author(s):  
Sadullah Çelik ◽  
Ayben Koy
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Distinct Pattern ◽  
Wavelet Coherence ◽  
Coherence Analysis ◽  
Causality Analysis ◽  
Chicken Egg ◽  
Wavelet Coherence Analysis ◽  
The Relationship ◽  
Foreign Shocks

This chapter empirically examines the relationship between stock prices and stock volumes for Borsa Istanbul, the only stock exchange in Turkey. The price-volume debate has been a common focus in the literature as the chicken-egg dilemma probably since the financial markets started to operate in a competitive manner. This chapter employs Borsa Istanbul and also considers the sector indices of the market. The authors employ frequency domain causality analysis of Breitung and Candelon and wavelet coherence analysis of Grinsted et al. with comparisons of the results for each sector. The findings show that (1) it is hard to argue for the existence of a distinct pattern in an emerging stock market like Borsa Istanbul; (2) there are several periods that propose challenges like the increasing foreign share, foreign shocks transmitted to the domestic market, and local effects; and (3) speculation is an inherit part of stock markets; and it is not possible to get rid of but rather act timely to minimize the adverse consequences and to deter market-wide repercussions.

scholarly journals Studying the Stock Market – Economic Activity Nexus in Poland with a VAR‑VECM Approach

2020 ◽  
Vol 3 (348) ◽  
pp. 65-89
Author(s):  
Piotr Pietraszewski
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Economic Activity ◽  
Stock Exchange ◽  
Empirical Studies ◽  
Developed Countries ◽  
Stock Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run

The paper discusses the links between stock market performance and real economic activity and presents results of an empirical inquiry into dynamic relationships between the main stock index quoted on the Warsaw Stock Exchange (WIG) and GDP in Poland over the years 1995–2019. In many empirical studies for highly developed countries not only short‑run dynamic interactions but also a long‑run cointegrating relationship between the stock index and output have been found. Previous studies for Poland reported mainly short‑run linkages between stock returns and changes of economic activity whereas the evidence for a long‑run cointegrating relationship is still quite scarce. In this paper, the VAR‑VECM methodology with the Johansen tests for cointegration is used to study a substantially longer quarterly data interval than has been investigated so far. Research results show that stock returns Granger‑cause GDP growth with up to three‑quarters lead. The evidence for the existence of a long‑term cointegrating relationship has also been found.

scholarly journals Macroeconomic factors and LQ45 stock price index: evidence from Indonesia

2019 ◽  
Vol 16 (3) ◽  
pp. 251-259 ◽  
Author(s):  
Sugeng Hadi Utomo ◽  
Dwi Wulandari ◽  
Bagus Shandy Narmaditya ◽  
Puji Handayati ◽  
Suryati Ishak
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Price ◽  
Price Index ◽  
Stock Exchange ◽  
Market Performance ◽  
Macroeconomic Variables ◽  
Stock Market Performance ◽  
Stock Price Index ◽  
The Relationship

This paper provides the relationship between macroeconomic variables, including exchange rate, BI rate and inflation, and stocks performance, particulary bluechip stocks listed in LQ45 index in Indonesia Stock Exchange. The study particularly gives insights on bluechip stocks listed in LQ45 stock price index in Indonesia Stock Exchange between 2015 and 2017. The data were obtained from various sources during the period, including the Indonesia Stock Exchange (IDX), the Central Bank of Indonesia (BI), and the Ministry of Trade. This study followed a Vector Error Correction Model (VECM) attempting to estimate the relationship between variables both in the short term and in the long term. The findings of the study showed that in the long run, exchange rate, BI rate and inflation have a negative impact on stock market performance, particularly on LQ45 index in Indonesia Stock Exchange. It implies that an increase in macroeconomic variables results in the decline of stock market performance. Meanwhile, in the short run, two variables, namely the exchange rate and inflation, positively affect stock market performance in Indonesia. On the contrary, the relationship between BI rate and stock market performance showed a negative correlation. These findings have significant implication for the understanding of how macroeconomic variables affect the stock market performance, particularly LQ45 price index in Indonesia Stock Exchange.

META-ANALYSIS ON AMERICAN PRESIDENTIAL ELECTION - 2016 AND AMERICAN STOCK MARKET

2020 ◽  
Vol 38 (1) ◽  
Author(s):  
Farhan Ahmed ◽  
Salman Bahoo ◽  
Sohail Aslam ◽  
Muhammad Asif Qureshi
Keyword(s):  
Content Analysis ◽  
Stock Market ◽  
Event Study ◽  
Presidential Election ◽  
Republican Party ◽  
Stock Exchange ◽  
Meta Analysis ◽  
Composite Index ◽  
Stock Index ◽  
Political Event

This paper aims to analyze the efficient stock market hypothesis as responsive to American Presidential Election, 2016. The meta-analysis has been done combining content analysis and event study methodology. The all major newspapers, news channels, public polls, literature and five important indices as Dow Jones Industrial Average (DJIA), NASDAQ Stock Market Composit Indexe (NASDAQ-COMP), Standard & Poor's 500 Index (SPX-500), New York Stock Exchange Composite Index (NYSE-COMP) and Other U.S Indexes-Russell 2000 (RUT-2000) are critically examined and empirically analyzed. The findings from content analysis reflect that stunned winning of Mr Trump from Republican Party worked as shock for American stock market. From event study, findings confirmed that all the major indices reflected a decline on winning of Trump and losing of Ms. Clinton from Democratic. The results are supported empirically and practically through the political event like BREXIT that resulted in shock to Global stock index and loss of $2 Trillion.

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 Systematic illiquidity, characteristic illiquidity, and stock returns: Timeseries analysis

2022 ◽  
Vol 9 (2) ◽  
pp. 72-80
Author(s):  
Soltane et al. ◽  
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Timeseries Analysis ◽  
The Relationship

The objective of this research is to investigate the relationship between illiquidity and stock prices on the Tunisian stock exchange. While previous researches tended to focus on one form of illiquidity to examine this relationship, our study unifies three forms of illiquidity at the same time. Indeed, we simultaneously consider illiquidity as systematic risk, as a characteristic of the market, and as a characteristic of the stock. The aggregate illiquidity of the market is the average of individual stock illiquidity. The illiquidity risk is the sensitivity of the stock price to illiquidity shocks. Shocks of market illiquidity are estimated by the innovations in the expected market illiquidity. Results show that investors on the Tunisian stock exchange do not require higher returns when they expect a rise of market illiquidity, whereas investors on U.S markets are compensated for higher expected market illiquidity. In addition, shocks of market illiquidity provoke a fall in stock prices of small caps, while large caps are not sensitive to market illiquidity shocks. This differs slightly from results based on U.S. data where illiquidity shocks reduce all stock prices but most notably those of small caps. Robustness tests validate our findings. Our results are consistent with previous studies which reported that the “zero-return” ratio predicts significantly the return-illiquidity relationship on emerging markets.

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