Systemic Risk and Dynamics of Stock Prices: A Short and Long Run Analysis from Nigeria Capital Market

2019 ◽  
Vol 1 (1) ◽  
pp. 1-19
Author(s):  
Fortune Bella Charles ◽  
Charles Ugochukwu Okoro
Keyword(s):  
Capital Market ◽  
Systemic Risk ◽  
Stock Prices ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Exchange Rate Risk ◽  
Operating Environment ◽  
Rate Risk ◽  
Negative Effect ◽  
Dynamics Of Stock Prices

This study examined the effect of systemic risk on the dynamics of stock prices in Nigeria capital market. The objective was to investigate the dynamic effect of systemic risk on stock prices traded on the floor of Nigeria stock exchange. Time series data was sourced from Central Bank of Nigeria Statistical Bulletin from 1990-2017.  Stock prices were modeled as the function of prices risk, liquidity risk, interest rate risk and exchange rate risk. Multiple regression with ordinary least square properties of co-integration was used to examine the relationship between the dependent and the independent variables. The study found  price and liquidity risk have positive effect on stock price while interest rate and exchange rate risk have negative effect on stock prices of equities traded on Nigeria stock exchange. It concludes that systemic risk has significant effect on stock prices and recommends, among others, that the management of the capital market should ensure that the operating environment is risk minimum to ensure appreciable stock prices by developing strategies and policies aim at managing the systematic risk in the operating environment and engage a regular environmental impact assessment on systemic risk, to avert it’s negative effect on stock prices.

scholarly journals Systemic Risk and Dynamics of Stock Prices: A Short and Long Run Analysis from Nigeria Capital Market

2019 ◽  
Vol 1 (1) ◽  
pp. 1-19
Author(s):  
Fortune Bella Charles ◽  
Charles Ugochukwu Okoro
Keyword(s):  
Capital Market ◽  
Systemic Risk ◽  
Stock Prices ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Exchange Rate Risk ◽  
Operating Environment ◽  
Rate Risk ◽  
Negative Effect ◽  
Dynamics Of Stock Prices

This study examined the effect of systemic risk on the dynamics of stock prices in Nigeria capital market. The objective was to investigate the dynamic effect of systemic risk on stock prices traded on the floor of Nigeria stock exchange. Time series data was sourced from Central Bank of Nigeria Statistical Bulletin from 1990-2017.  Stock prices were modeled as the function of prices risk, liquidity risk, interest rate risk and exchange rate risk. Multiple regression with ordinary least square properties of co-integration was used to examine the relationship between the dependent and the independent variables. The study found  price and liquidity risk have positive effect on stock price while interest rate and exchange rate risk have negative effect on stock prices of equities traded on Nigeria stock exchange. It concludes that systemic risk has significant effect on stock prices and recommends, among others, that the management of the capital market should ensure that the operating environment is risk minimum to ensure appreciable stock prices by developing strategies and policies aim at managing the systematic risk in the operating environment and engage a regular environmental impact assessment on systemic risk, to avert it’s negative effect on stock prices.

scholarly journals Retrospective of Macedonian capital market for the last ten years (from 2004 to 2013)

2014 ◽  
Vol 4 (3) ◽  
pp. 102-118
Author(s):  
Janka Dimitrova ◽  
Risto Fotov ◽  
Olivera Gjorgieva Trajkovska ◽  
Marija Todorovska
Keyword(s):  
Economic Crisis ◽  
Capital Market ◽  
Stock Prices ◽  
Global Economy ◽  
Trading Volume ◽  
Negative Impact ◽  
Stock Exchange ◽  
Political Situation ◽  
Negative Effect ◽  
Exchange Operation

Investments on the capital market depend on the current political situation of the country, as well as on the movements of the global economy. In countries with unstable political situation, the performance of the stock exchange declines, unlike politically stable countries, where stock exchange operation is carried out continuously, the stock exchange is a mirror and a barometer of general developments in a society. The economic crisis that spread all around the world in 2008, triggered the strongest negative effect on the capital markets, both on the trading volume and on securities’ prices. Prices of securities were falling overnight and stock indices also. In most cases an absurd situation occurred, where although companies showed good financial results and had promising investment activities, stock prices were still falling because of the euphoric panic that investors would lose their ventures, so they sought to take the last chance to save what can be saved. Macedonian capital market, although relatively young, experienced its flourish in 2006 and 2007, but also felt and still feels the effects of the global economic crisis. The beginning of that negative impact was first felt in the last quarter of 2007, and was more evident in 2008 and onwards. The numbers were most disappointing in 2013 both in terms of trading volume and in terms of number of transactions.

scholarly journals The Effect of the Exchange Rate Risk on the Stock Prices of the Energy Companies

2013 ◽  
Vol 5 (2) ◽  
pp. 106-116
Author(s):  
Ayhan Kapusuzoglu
Keyword(s):  
Regression Analysis ◽  
Exchange Rate ◽  
Stock Prices ◽  
Stock Exchange ◽  
Energy Sector ◽  
Exchange Rate Risk ◽  
Market Return ◽  
Rate Risk ◽  
Istanbul Stock Exchange ◽  
Energy Companies

The purpose of this study is the examination of the effect of the unexpected exchange rate risk on the stock prices of the energy companies which are transacted in the ISE (Istanbul Stock Exchange) National 100 index, for the period of 03/01/2005 – 29/06/2012. In addition, the study has investigated the effect of the market return on the stocks of the related companies in the same period. In line with that purpose, a multi-regression analysis has been realized in order to examine whether there was any effect or not. At the end of this inquiry, it was concluded that the unexpected exchange rate risk had a very small effect on the companies which are active in the energy sector and the return on market, on the contrary, had a very big effect thereon.

scholarly journals PENGARUH EARNING PER SHARE (EPS) DAN PERTUMBUHAN PENJUALAN TERHADAP HARGA SAHAM PADA PERUSAHAAN FARMASI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI)

2021 ◽  
Vol 5 (2) ◽  
Author(s):  
Desi Nurul Hikmati Ilahiyah
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Multiple Linear Regression Analysis ◽  
Share Price ◽  
Pharmaceutical Companies ◽  
Sales Growth ◽  
Earnings Per Share

On investing in the capital market one thing that must be considered is the stock price. The price of shares offered on a stock exchange is related to the achievements of the company. The share price can be purchased by earnings per share (EPS) and sales growth. The purpose of this study was to study the effect of earnings per share (EPS) and sales growth on the stock prices of pharmaceutical companies listed on the Indonesian stock exchange (IDX). The population in this study were 11 pharmaceutical companies that were accepted on the Stock Exchange and sampled through purposive sampling techniques as many as 9 companies in the 2015-2019 period. This study uses multiple linear regression analysis. EPS partial research results positive and significant EPS on EPS stock prices EPS has tcount (54,435)> ttable (2,02439), on the other hand, partial sales growth, positive and significant effect on stock prices, economic growth, thitung sales value ( -3,525) table (-2.02439). Simultaneous EPS and positive and significant growth in stock prices due to the results obtained Fcount (1560,773)> Ftable (3.25).

Pengaruh Profitabilitas, Likuiditas dan Solvabilitas terhadap Harga Saham pada Sektor Transportasi yang Terdaftar di BEI Tahun 2014-2018

2021 ◽  
Vol 11 (1) ◽  
pp. 41-53
Author(s):  
Popy Marsela ◽  
One Yantri
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Share Price ◽  
Significant Positive Effect ◽  
Share Prices ◽  
Negative Effect ◽  
Equity Ratio ◽  
Independent Variable ◽  
Positive Effect ◽  
Method Approach

This study aims to determine the effect of Profitability, Liquidity and Solvability on the share prices of sector Transportation on the Indonesia Stock Exchange (IDX) period 2014-2018. The Share Prices as the dependent variable is proxied by Closing Price. The independent variables in this Profitability, Liquidity and Solvability. The Profitability is proxied by Return On Asset (ROA), Liquidity is proxied by Current Ration (CR), Solvability is proxied by Debt to Equity Ratio (DER). The research method uses a quantitative method approach. The results of this experiment showed that the independent variable Profitability has a significant positive effect on stock prices with a significance of 0.000 < 0.00. Liquidity has not a significant negative effect on stock prices with a significance value of 0.181 > 0.005. Solvability has a significant positive effect on stock prices with a significance of 0.001 < 0.005. Profitability, Liquidity, and Solvability together significantly influence the Share Price with a significance value of 0.000 < 0.005.

scholarly journals Analisis Variabel Yang Mempengaruhi Harga Saham Syariah di Jakarta Islamic Index

2020 ◽  
Vol 24 (3) ◽  
pp. 421
Author(s):  
Lisa Febriani
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
Secondary Data ◽  
Return On Equity ◽  
Financial Report ◽  
The Public ◽  
Analysis Technique ◽  
Equity Ratio

One of the methods used by companies to obtain company capital is by selling shares to the public through the capital market. Stock prices can change and this is changed by various factors. This study aims to determine the effect of Debt to Equity Ratio (DER), Earning per Share (EPS), and Return on Equity (ROE) on sharia stock prices listed in the Jakarta Islamic Index (JII) in 2014-2017, both partially and simultaneously. The data used in this study is secondary data taken from the Indonesia Stock Exchange website (www.idx.co.id), which is in the form of a company's annual financial report. The analysis technique used in this study uses Linear Regression Analysis. Based on the research results, it is known that partially DER has no significant effect on stock prices, while EPS and ROE have a significant effect on stock prices. Simultaneously, DER, EPS, and ROE significantly influence stock prices.

scholarly journals Pengaruh Harga Saham, Volume Perdagangan, dan Varian Return Terhadap Bid-Ask Spread (Studi Empiris pada Perusahaan yang Melakukan Stock Split yang Terdaftar di Bursa Efek di Asia Tenggara Tahun 2018)

2019 ◽  
Vol 7 (1) ◽  
pp. 1397
Author(s):  
Doni Kurniawan ◽  
Mayar Afriyenti
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Stock Exchange ◽  
The Philippines ◽  
Process Data ◽  
Significant Negative Effect ◽  
Insignificant Effect ◽  
Bid Ask Spread ◽  
Stock Split ◽  
Negative Effect

This study aims to determine the effect of stock prices, trading volume, and variance of return on the bid-ask spread in companies that do stock splits listed on stock exchanges in Southeast Asia in 2018. In this study the sampling technique used was nonprobability purposive sampling so that produced a total of 248 companies with 26 companies on the Indonesia Stock Exchange, 10 companies on the Philippines Stock Exchange, 56 companies on the Malaysia Stock Exchange, 18 companies on the Singapore Stock Exchange, 48 companies on the Thailand Stock Exchange and 90 companies on the Vietnam Stock Exchange. This study uses multiple regression methods using Eviews 10 to process data. The results of the study indicate that on the Indonesia Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume has no significant negative effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Philippine Stock Exchange, stock prices have no significant negative effect on the bid-ask spread, trading volume has a positive and significant effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Malaysia Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume and variance returns have a positive and significant effect on the bid-ask spread. On the Singapore Stock Exchange, stock prices and trading volume have a negative and significant effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Thailand Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume and variance returns have a positive and significant effect on the bid-ask spread. On the Vietnam Stock Exchange, stock prices have no significant negative effect on the bid-ask spread, trading volume has no significant positive effect on the bid-ask spread, variance returns have a positive and significant effect on the bid-ask spread.Keywords: Stock Price, Trading Volume, Variant Return, Bid-Ask Spread, Stock Split

scholarly journals Pengaruh Profitabilitas, Dividend Payout Ratio dan Inflasi Terhadap Harga Saham

2021 ◽  
Vol 8 (1) ◽  
pp. 84
Author(s):  
Herman Setiawan ◽  
Victoria Victoria ◽  
Karen Victoria ◽  
Holfian Daulat Tambun Saribu ◽  
Erika Erika
Keyword(s):  
Data Analysis ◽  
Linear Regression ◽  
Capital Market ◽  
Consumer Goods ◽  
Stock Prices ◽  
Stock Exchange ◽  
Analysis Method ◽  
Dividend Payout ◽  
Share Prices ◽  
The Capital Market

The presence of the capital market in Indonesia is marked by the number of investors who purchase shares of entities that are registered in the capital market. The purpose of this research is to examine and analyze the effect of profitability, dividend payout ratio and inflation on share prices in consumer goods entities listed on the Indonesia Stock Exchange in 2014-2018. This type of research is quantitative. The population of this study is 41 consumer goods companies listed on the Indonesia Stock Exchange for the period 2014- 2018, the sample of this study is 17 companies x 5 years = 85 samples. The data analysis method of this research is to use multiple linear regression with SPSS. The results of this study are Profitability has a significant and significant effect on stock prices, while Dividend Payout Ratio and inflation have no effect on Stock Prices, and simultaneously Profitability, Dividend Payout Ratio and inflation have a significant and significant effect on Share Prices in Consumer Goods Entities listed on the Indonesia Stock Exchange. 2014-2018.

scholarly journals PENGARUH TINGKAT INFLASI, SUKU BUNGA BI, DAN NILAI TUKAR RUPIAH TERHADAP IHSG

2021 ◽  
Vol 10 (2) ◽  
pp. 118-129
Author(s):  
Desi Ratjaya Ningsih ◽  
Nur Aida Arifah Tara ◽  
Muhdin Muhdin
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Quantitative Methods ◽  
Price Index ◽  
Market Conditions ◽  
Negative Effect ◽  
The Relationship

The Composite Stock Price Index (IHSG) is a description of information regarding the movements of all stock prices that affect capital market conditions and produce a trend. There are three factors that mainly influence the IHSG, namely inflation, BI interest rates, and the rupiah exchange rate. The purpose of this study was to examine the relationship between inflation, BI interest rates, rupiah exchange rate and the IHSG in the period of 2016-2020. The method in this research used quantitative methods. The results showed that inflation and BI interest rates have a negative and insignificant effect on the IHSG, while the Rupiah exchange rate has a significant negative effect on the IHSG.Keywords :IHSG, Inflasi, Suku Bunga BI, Nilai Tukar Rupiah

scholarly journals Determinants Of Liquidity Risk In Banking Sector On The Indonesia Stock Exchange

2019 ◽  
Vol 23 (3) ◽  
pp. 461
Author(s):  
Susy Muchtar, Gianvha Sena Rustimulya
Keyword(s):  
Banking Sector ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Capital Adequacy ◽  
Economic Cycle ◽  
Capital Adequacy Ratio ◽  
Bank Managers ◽  
Negative Effect ◽  
Independent Variable ◽  
Asset Quality

This research aims to determine the factors that impact liquidity risk. The sample used in this research is a banking sector that is listed on the Indonesia Stock Exchange (IDX) in the period 2008-2017. Independent variable in this research bank size, deposits, profitability, cost of funds, asset quality, capital adequacy ratio, economic cycle, and inflation and the dependent variable is liquidity risk. The amount of the sample of the research amounted to 25 banking sector, by using purposive sampling. The result of this research indicates that bank size, profitability, cost of funds, and asset quality have a negative effect on liquidity risk, while deposits, capital adequacy ratio, economic cycle, and inflation have no impact on liquidity risk. The results of this study are expected to be used as a reference for bank managers and investors in looking at the factors that affect the liquidity risk in the banking industry.

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