scholarly journals Behavior of Stock Return ; Evidence from Indonesia and Malaysia Shariah Stock Market

2021 ◽  
Vol 3 (02) ◽  
pp. 19
Author(s):  
Helma Malini
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Rapid Growth ◽  
Autoregressive Model ◽  
Stock Return ◽  
Emerging Market ◽  
Geographical Proximity ◽  
Model Assumption ◽  
Stock Market Return ◽  
Return Behavior

This study aims to determine stock return behaviour in Indonesia and Malaysia Shariah stock market. Indonesia and Malaysia are selected based on the countries level of development and geographical factor, since both countries are emerging market with a rapid growth of Shariah stock market not only in term of listed companies but also in term of number of investor. Based on geographical proximity, both countries close to each other and have a strong bilateral relationship which makes their stock market return behaviour influence by many factors. This studies relies on two major time series investigation techniques, namely Economteric Modeling of returns; The Autoregressive model, Assumption of Linearity, Volatility Modeling of GARCH and its extension. The result showed that stock return behavior happening in Indonesia and Malaysia Shariah Stock Market.

scholarly journals Behaviour of Stock Returns During COVID-19 Pandemic: Evidence from Six Selected Stock Market in the World

2020 ◽  
Vol 9 (3) ◽  
pp. 247-263
Author(s):  
Helma Malini
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Short Term ◽  
Model Assumption ◽  
Health Crisis ◽  
The Public ◽  
Public Health Crisis ◽  
Return Behavior ◽  
The World

This paper investigates the short term return behavior of six selected stock market around the world during the COVID-19 Pandemic. USA, Indonesia, India, South Korea, Saudi Arabia, and Singapore are selected based on the size of their stock market and the countries have taken a considerable amount of decision and policy to mitigate the risk of before, ongoing, and aftermath COVID-19 Pandemic. This study relies on two major time series investigation techniques, namely Econometric Modeling of returns; The Autoregressive model, Assumption of Linearity, Volatility Modeling, namely the GARCH and WBAVR Test. The results suggest that the stock return behavior in six selected countries occurs in different forms. Our findings suggest that the policymakers must understand how to shift their policy to mitigate the risk of COVID-19 in the financial sector, since we observe a strong correlation between the public health crisis and stock market performances.

scholarly journals Relationship Between Macroeconomic Variables and The Indonesian Stock Market

2012 ◽  
Vol 1 (1) ◽  
Author(s):  
Suyanto
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Stock Return ◽  
Model Error ◽  
Macroeconomic Variables ◽  
Market Return ◽  
Stock Market Return

Kajian ini menelaah hubungan antara beberapa variabel makroekonomi dan “stock return” Indonesia. Uji-uji akar unit mendeteksi bahwa ekspor sebagai ukuran aktivitas ekonomi riil tidak dapat berkointegrasi dengan “stock market return” karena ekspor terintegrasi dalam urutan yang berbeda. “stock market return” Indonesia mempunyai hubungan kointegrasi dengan perubahan penawaran uang, tingkat suku bunga, inflasi dan krisis ekonomi. Baik model Engle-Granger maupun model Error-correction Wilkens-Breusch menunjukkan bahwa perubahan penawaran uang dan tingkat suku bunga berkontribusi secara signifikan terhadap hubungan kointegrasi, sedangkan inflasi dan krisis ekonomi tidak. Temuan ini mengimplikasikan bahwa “stock market” Indonesia sensitif terhadap faktor-faktor moneter.

scholarly journals The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility

2020 ◽  
Vol 2020 ◽  
pp. 1-11
Author(s):  
Gang He ◽  
Shuzhen Zhu ◽  
Haifeng Gu
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Investor Sentiment ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Bear Market ◽  
Stock Market Return ◽  
Space Effect

Based on the DSSW model, we analyze the nonlinear impact mechanism of investor sentiment on stock return and volatility by adjusting its hypothesis in Chinese stock market. We examine the relationship between investor sentiment, stock return, and volatility by applying OLS regression and quantile regression. Our empirical results show that the effects of investor sentiment on stock market return are asymmetric. There is “Freedman effect” in Chinese stock market, but only optimistic sentiment has a significant nonlinear impact on stock market returns when the stock market is a balanced market or a bear market. Meanwhile, “create the space effect” does exist in Chinese stock market too. It only exists when the market is in equilibrium, and only pessimistic sentiment has the nonlinear effect on stock market volatility.

scholarly journals The Impact of Options Trading on the Relationship between Research Quotient and Firm Performance

2017 ◽  
Vol 9 (6) ◽  
pp. 141
Author(s):  
Han-Ching Huang ◽  
Calista Amelia Irawan
Keyword(s):  
Stock Market ◽  
Firm Value ◽  
Stock Return ◽  
Positive Impact ◽  
Firm Innovation ◽  
Option Trading ◽  
Stock Market Return ◽  
Option Volume ◽  
The Impact ◽  
The Relationship

The performance of innovation could be counted by the number of patent. Patent information enables a firm to estimate R&D efficiency and stock market value. Nonetheless, patents is not universal because more than 50% companies in COMPUSTAT do not patent their new products. Since patents have some drawbacks, Cooper, Knott, and Yang (2015) use Research Quotient (RQ) as an indicator of firm innovation because RQ measures the productivity of the R&D department, which produces a new innovative product and transforms it into revenues. In this paper, we examine the impact of option trading on the relation between RQ and stock market return (or firm value). We find that RQ has the positive impact on firm value, proxy by market-to-book (MTB) value. The option dummy, which is the firm with option trading, has significantly positive impact on the relation between RQ and firm value and insignificantly positive impact on the relation between RQ and future stock return. Nonetheless, interaction term of RQ and option volume has positive and significant impacts on MTB and future stock return.

Impact of disputed tax litigation risk on firm performance: evidence from India

2018 ◽  
Vol 31 (3) ◽  
pp. 458-478 ◽  
Author(s):  
Saumya Ranjan Dash ◽  
Mehul Raithatha
Keyword(s):  
Firm Performance ◽  
Stock Return ◽  
Emerging Market ◽  
Litigation Risk ◽  
Cross Sectional ◽  
Content Type ◽  
Listed Firms ◽  
Return Behavior ◽  
Contingent Liability ◽  
The Impact

PurposeThe purpose of this study is to investigate the impact of disputed tax litigation risk on firm performance and stock return behavior using a sample of Indian listed firms.Design/methodology/approachThe authors use disputed tax liability, reported as a contingent liability by the listed firms, as a proxy for the disputed tax litigation risk. To examine the impact of disputed tax litigation risk on firm performance (measured by accounting and market-based measures), the empirical approach used in this study focusses on the panel estimation technique. A portfolio-based approach using alternative asset pricing models examines the cross-sectional return variation because of the influence of disputed tax litigation risk.FindingsThe results of this study show a negative relationship between firm performance measures and disputed tax litigation risk. Cross-sectional test results reveal that higher disputed tax litigation risk is associated with higher expected returns.Research limitations/implicationsThis study focusses on disputed tax reported under the heading of contingent liability as a proxy for litigation risk. The study will help investors and portfolio managers to consider disputed tax litigation risk as an important parameter in the evaluation of firm performance. This study will also help regulators to get feedback on tax related policies and improve the dispute resolution process.Originality/valueThis study adds to the existing literature on the relationship between litigation risk and firm performance. In the context of emerging market, this study is the first-of-its-kind study, which focusses on disputed tax as a litigation risk proxy and examines its possible impact on firm performance and stock return behavior.

The relationship between individual investor sentiment, stock return and volatility

2015 ◽  
Vol 10 (3) ◽  
pp. 504-520 ◽  
Author(s):  
Mustafa Sayim ◽  
Hamid Rahman
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Emerging Market ◽  
Investor Sentiment ◽  
Individual Investor ◽  
Content Type ◽  
Investor Sentiments ◽  
Market Fundamentals ◽  
The Impact

Purpose – The purpose of this paper is to examine the impact of Turkish individual investor sentiment on the Istanbul Stock Exchange (ISE) and to investigate whether investor sentiment, stock return and volatility in Turkey are related. Design/methodology/approach – This study used the monthly Turkish Consumer Confidence Index, published by the Turkish Statistical Institute, as a proxy for individual investor sentiments. First, Turkish market fundamentals were regressed on investor sentiments in order to capture the effects of macroeconomic risk factors on investor sentiments. Then, it used the impulse response functions (IRFs) generated from the vector autoregression (VAR) model to examine the effect of unanticipated movements in Turkish investor sentiment to both stock returns and volatility of the ISE. Findings – The generalized IRFs from VAR shows that unexpected changes in rational and irrational investor sentiment have a significant positive impact on ISE returns. This suggests that a positive investor sentiment tends to increase ISE returns. The study also documents that unanticipated increase in the rational component of Turkish investor sentiment has a negative significant effect on ISE volatility. This might indicate that investors have optimistic expectations of the economy overall with respect to market fundamentals in Turkey. This optimism can result in creating positive expectations, reducing uncertainty, and reducing the volatility of stock market returns. Research limitations/implications – The study was applied only for the period 2004-2010 on the ISE stock returns and volatility. Practical implications – Regardless, investors should know the impact of irrational investor sentiments while establishing investment strategies. The results of this study may also help policy makers stabilize investor sentiments to reduce stock market volatility and uncertainty. Originality/value – This paper adds to the limited understanding of investor sentiment impact on stock return and volatility in an emerging market context.

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

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