A Computation Methods for Analysis on the Effect of Stock Market and its Application

2014 ◽  
Vol 1078 ◽  
pp. 444-447
Author(s):  
Zhan Xin Ma ◽  
En Yang Zhao ◽  
Xi Ming Lv ◽  
Zhi Min Ma
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Turnover Rate ◽  
Market Value ◽  
Chinese Economy ◽  
Data Envelopment ◽  
Chinese Stock Market ◽  
Return On Assets ◽  
Generalized Data Envelopment Analysis ◽  
New Policies

As a barometer of the macroeconomic of a country and an important part of the capital market, stock market has attracted increasing and highlighted attention. As is well-known, Chinese stock market is known as 'policy market', however, the issue about whether the stock market is really influenced by these policies is always an important and hot topic. In this paper, by using generalized data envelopment analysis, an analysis on the effect of the new policies carried out in May 2012 is provided based on closing price, Tobin Q, circulation market value, turnover rate, and return on assets. Based on the above results, it can show the effect of stock market policies on Chinese Economy.

scholarly journals The Effect of Institutional Factors on the Profitability Risk in the Insurance Companies Listed in the Saudi Stock Market

2018 ◽  
Vol 11 (7) ◽  
pp. 12
Author(s):  
Abdulaziz Mohammed Alsahlawi
Keyword(s):  
Regression Analysis ◽  
Stock Market ◽  
Multiple Regression Analysis ◽  
Firm Size ◽  
Capital Market ◽  
Significant Relationship ◽  
Institutional Factors ◽  
Insurance Companies ◽  
Return On Assets ◽  
Insurance Firms

This paper conducted an investigation into the effect of institutional factors namely, leverage, capital market assets, and firm size on the risk of profitability among Saudi insurance companies listed in the Saudi Stock market (Tadawul). The paper also determined if the institutional theory has a significant impact on the profitability risk of Saudi insurance firms. On the basis of the findings from the multiple regression analysis that was conducted on the data obtained, the study’s institutional factors namely, leverage, capital market assets, and firm size had a significant relationship with the return on assets of the Saudi insurance companies, which in turn, increased their profitability. In other words, the findings supported the contribution of leverage, capital market assets and firm size to the profitability of Saudi insurance companies and provided considerable directions as to developing a strategy of profitability among the companies.

scholarly journals Research on Investment Preference and the MAX Effect in Chinese Stock Market

2016 ◽  
Vol 4 (6) ◽  
pp. 519-533
Author(s):  
Xiaoju Gou ◽  
Limei Bie
Keyword(s):  
Stock Market ◽  
Turnover Rate ◽  
Negative Relationship ◽  
Portfolio Analysis ◽  
Idiosyncratic Volatility ◽  
Chinese Stock Market ◽  
Expected Return ◽  
Cross Sectional ◽  
Significant Negative Relationship ◽  
Volatility Puzzle

AbstractInvestors prefer to invest the stocks with high history returns, which results in that the return of the stock with high history maximum return is often lower than that with low history maximum return, i.e., the MAX effect. We show that the MAX effect is also significant in China stock market, that is, there is a significant negative relationship between maximum return and expected return. We then conduct portfolio analysis and Fama-Macbeth cross-sectional regression and find that range of price and turnover rate can explain the MAX effect in a certain extent, idiosyncratic volatility and idiosyncratic skewness cannot explain the negative relationship between maximum return and expected return. Moreover, maximum return explains the idiosyncratic volatility puzzle partially.

The Market Application Analysis of CAPM Model

2013 ◽  
Vol 380-384 ◽  
pp. 4422-4425
Author(s):  
Peng Zhang ◽  
Xiang Huan Meng
Keyword(s):  
Stock Market ◽  
Empirical Test ◽  
Test Methods ◽  
Investment Strategies ◽  
Chinese Stock Market ◽  
Return On Assets ◽  
Capm Model ◽  
Mature Market ◽  
Core Issues

CAPM is one of the most important decision-making problems for most organizations in portfolio selection problem. Usually the determination of the capital return on assets is the core issues of CAPM.The paper deeply makes the empirical analysis of CAPM model in Chinese stock market .The result could help Chinese investors understand pricing behavior and effectively guide the formulation of investment strategies in Chinese stock market.As a result, empirical research carried out many problems, especially no any effective test methods exist. From the former empirical test paper, the majority of results show that the CAPM does not apply to the current Chinese stock market. Therefore, Chinese stock market is still in development,not a mature market and far away from a standard market.

scholarly journals A mini review of the Chinese stock market: From 1978 to 2010

2013 ◽  
Vol 10 (2) ◽  
pp. 700-707 ◽  
Author(s):  
Yi An ◽  
Umesh Sharma ◽  
Harun Harun
Keyword(s):  
Stock Market ◽  
Economic Reform ◽  
Financial Reporting ◽  
Future Development ◽  
Capital Markets ◽  
Capital Market ◽  
Chinese Stock Market ◽  
Listed Firms

The Chinese economic reform, starting from 1978, facilitated the emergence and development of the capital markets. This paper provides a brief review of the Chinese stock market from various perspectives, such as the regulation, issuance of shares, shareholding structure and financial reporting of listed firms, and future development. It is expected that our paper could offer readers andresearchers who are in the Chinese capital market, particularly in the area of accounting and finance, a general understanding of the market.

Analisis Perkembangan Bursa Malaysia Dan Pasaran Saham Islam Di Malaysia

2011 ◽  
pp. 65-80 ◽  
Author(s):  
Mohd Yahya Mohd Hussin ◽  
Fidlizan Muhammad
Keyword(s):  
Stock Market ◽  
Key Words ◽  
Advisory Committee ◽  
Capital Market ◽  
Research Method ◽  
Stock Exchange ◽  
Market Value ◽  
Advisory Council ◽  
Quantitative Parameters ◽  
Islamic Investment

Artikel ini bertujuan untuk menganalisis perkembangan Pasaran Saham Islam (PSI) di Malaysia dari tahun 1999 hingga tahun 2009. PSI merupakan salah satu kompenan penting dalam Bursa Malaysia. Ia merujuk kepada transaksi jual beli saham yang mempunyai aktiviti-aktiviti syarikat yang selaras dengan syariah dan diniagakan di Bursa Malaysia. Oleh yang demikian, Majlis Penasihat Syariah Suruhanjaya Sekuriti telah memperkenalkan senarai kaunter/saham lulus Syariah berdasarkan sumber utama (al-Quran dan al-Hadis) dan sumber-sumber sokongan dan manhaj penyelidikan yang dipersetujui sebagai panduan kepada para pelabur untuk turut serta dalam bidang pelaburan Islam tanpa ragu-ragu. Hasilnya, jumlah kaunter/saham lulus syariah telah menguasai lebih 88 peratus daripada jumlah keseluruhan kaunter/saham di Bursa Malaysia dengan nilai permodalan pasaran sebanyak 63.8 peratus dari jumlah keseluruhan permodalan pasaran di Malaysia pada tahun 2009. Kata kunci: Bursa malaysia; pasaran saham Islam; majlis penasihat Syariah; parameter kuantitatif; parameter kualitatif This article aims to analyze the development of Islamic Stock Market (ISM) in Malaysia from 1999 until 2009. ISM is one of the prominent components in Malaysian Stock Exchange (Bursa Malaysia). It refers to the sale and purchase transaction of stock that has Shariah complaint company activities and transacted in Malaysian Exchange. Due to this reason, Shariah Advisory Committee of Security Commission has established a list of Shariah compliant counters by basing on the main references (al-Quran and al-Hadith), other advocating sources and consensus research method that lead investors to participate in the field of Islamic investment without hesitation. As a result, Shariah compliant counters majored the overall number of counters in Malaysian Stock Exchange beyond 88% with capital market value of 63.8% from the overall capital market in Malaysia in 2009. Key words: Malaysia exchange; Islamic stock market; Syariah advisory council; quantitative parameters; qualitative parameters

Investor recognition and stock returns: evidence from China

2018 ◽  
Vol 8 (2) ◽  
pp. 199-215 ◽  
Author(s):  
Hongquan Zhu ◽  
Lingling Jiang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Capital Market ◽  
Univariate Analysis ◽  
Chinese Stock Market ◽  
Cross Sectional ◽  
Content Type ◽  
Listed Firms ◽  
Monthly Return ◽  
The Relationship

Purpose Merton’s model of capital market equilibrium under incomplete information predicts that contemporaneous stock returns are positively related to investor recognition and that future stock returns are negatively related to investor recognition. The purpose of this paper is to empirically investigate whether Merton’s theory holds true for the Chinese stock market. Design/methodology/approach This paper proposes the degree of shareholder base growth (SBG) as a proxy for investor recognition and examines the relationship between investor recognition and stock returns through a univariate analysis and Fama-Macbeth cross-sectional regressions based on A-Share listed firms. Findings The results show that investor recognition is nonlinearly and positively related to contemporaneous stock returns and is negatively related to future stock returns in contrast to the conclusions of Merton’s theory. A long-short trading strategy that involves buying stocks with the lowest SBG rate and that sells stocks with the highest SBG rate will earn an average monthly return of 3.615 percent. Research limitations/implications Though Merton’s theory is not fully reflected in the Chinese stock market, investor recognition is considered an important risk factor in the Chinese stock market. Originality/value No works have yet investigated the validity of Merton’s “investor cognition hypothesis” in relation to the Chinese stock market. This paper strives to fill this gap.

scholarly journals Leverage Effect In Chinese And American Index Returns

2012 ◽  
Vol 11 (13) ◽  
pp. 1513
Author(s):  
Ma Carmen Garcia-Centeno ◽  
Roman Minguez
Keyword(s):  
Stock Market ◽  
World Trade Organization ◽  
World Trade ◽  
Chinese Economy ◽  
Leverage Effect ◽  
Chinese Stock Market ◽  
Stylized Facts ◽  
Asymmetric Behavior

A lot of changes have happened in the Chinese economy in the last three decades. To study whether these changes affect the symmetric or asymmetric behavior of the volatility in Chinese Stock Market, in this paper we analyze, first, the main stylized facts in similar Chinese and American index returns and, second, we compare the leverage effect of volatility in three different periods for these indexes.The estimated results with GJR-GARCH and TA-ARSV models have shown that the behaviour of Chinese index returns was different depending on whether China was part of the Trade World Trade Organization (WTO).

Sign in / Sign up

Export Citation Format

Share Document