scholarly journals Sustainable Investing Based on Momentum Strategies in Emerging Stock Markets: A Case Study for Bombay Stock Exchange (BSE) of India

2019 ◽  
Vol 66 (3) ◽  
pp. 351-361 ◽  
Author(s):  
Cristi Spulbar ◽  
Abdullah Ejaz ◽  
Ramona Birau ◽  
Jatin Trivedi
Keyword(s):  
Stock Market ◽  
Behavioral Finance ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Practical Significance ◽  
Momentum Effect ◽  
Momentum Strategies ◽  
Corporate Strategies ◽  
Research Article ◽  
The Status

This research article examines the profitability on the momentum portfolios in the case of the emerging stock market of India, i.e. Bombay Stock Exchange (BSE). Sustainable investing integrates environmental, social and governance (ESG) characteristics into investment decisions. Risk management is one of the most significant ranking factors determining the adoption of corporate strategies based on sustainable investing. A sustainable stock market provides a transparent and effective solution to inherent challenges related to environmental, social, economic and corporate governance issues. The theoretical and empirical analysis conducted in this research article reveals the status of BSE of India in this regard. A company's sustainable market orientation is very important for future developments. The practical significance of this research paper is to investigate the profitability of momentum strategies in Bombay Stock Exchange of India, which is an emergent market. Moreover, the presence of short term momentum effect on Indian stock market is basically an anomaly caused by behavioral and risk-based portfolio construction factors. On the other hand, momentum strategies is a reliable alternative with strong empirical evidence to both fundamental approaches of classical finance, namely efficient market hypothesis (EMH) and behavioral finance paradigm.

scholarly journals Momentum Effect all over the World

2020 ◽  
Author(s):  
Zulfiqar Ali Imran ◽  
Woei-Chyuan Wong ◽  
Rusmawati Ismail
Keyword(s):  
Stock Market ◽  
Efficient Market Hypothesis ◽  
Investment Strategies ◽  
Momentum Effect ◽  
Efficient Market ◽  
Momentum Strategies ◽  
The World ◽  
Pertinent Question

This study is intended to reaffirm the existence and profitability of momentum investment strategies in 40 countries around the world during the period 1996–2018. The contradictory findings of previous research on the existence and profitability of momentum strategies have raised a pertinent question on the validity of efficient market hypothesis. We documented the momentum effect in 90% of our sample countries of which 52.5% exhibited positive momentum effect while 37.5% exhibited negative momentum effect. The findings were robust to two distinct sub-period analyses. The clear rejection of efficient market hypotheses is valuable to momentum traders and stock market regulators.  

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

Risk-Managed Momentum: An Evidence from Indian Stock Market

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta
Keyword(s):  
Stock Market ◽  
Asset Management ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Relative Momentum ◽  
Extended Time ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Indian Stock Market ◽  
Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

scholarly journals Exploring price gap anomaly in the Ukrainian stock market

2019 ◽  
Vol 16 (2) ◽  
pp. 150-158 ◽  
Author(s):  
Alex Plastun ◽  
Inna Makarenko ◽  
Lyudmila Khomutenko ◽  
Svitlana Shcherbak ◽  
Olha Tryfonova
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Statistical Tests ◽  
Efficient Market Hypothesis ◽  
Trading Strategy ◽  
Momentum Effect ◽  
Dummy Variables ◽  
Price Patterns ◽  
Student’S T ◽  
Trading Simulation

This paper analyzes price gaps in the Ukrainian stock market for the case of UX index over the period 2009–2018. Using different statistical tests (Student’s t-tests, ANOVA, Mann-Whitney test) and regression analysis with dummy variables, as well as modified cumulative approach and trading simulation, the authors test a number of hypotheses searching for price patterns and abnormal market behavior related to price gaps: there is seasonality in price gaps (H1); price gaps generate statistical anomalies in the Ukrainian stock market (H2); upward gaps generate price patterns in the Ukrainian stock market (H3) and downward gaps generate price patterns in the Ukrainian stock market (H4). Overall results are consistent with the Efficient Market Hypothesis: there is no seasonality in price gaps and in most cases there is no evidences of price patterns or abnormal price behavior after the gaps in the Ukrainian stock market. Nevertheless, the authors find very strong and convincing evidences in favor of momentum effect on the days of negative gaps. These observations are confirmed by trading simulations: trading strategy based on detected price pattern generates profits and demonstrates overall efficiency, which is against the market efficiency. These results can be interesting both for academicians (further evidences against market efficiency) and practitioners (real and effective trading strategy to generate profits in the Ukrainian market market).

Bombay Stock Exchange of India

2017 ◽  
pp. 181-212
Author(s):  
Sachin Kamley ◽  
Shailesh Jaloree ◽  
R. S. Thakur
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Share Prices ◽  
Election Results ◽  
Combination Of Methods ◽  
Prediction Techniques ◽  
A Company ◽  
Financial Issues

Stock market nature is considered to be dynamic and susceptible to quick changes because it depends on various factors like share price, fundamental variables like P/E ratio, dividend yield etc. election results, rumors etc. Now a day's prediction is an important process which determines the future worth of a company. The successful prediction brings motivation and awareness in stock community as well as economic growth of the country. In past various theories and methods like Efficient Market Hypothesis (EMH), Random Walk Theory, fundamental and technical analyses have been proposed. These methods or combination of methods have not got as much success even yet because these methods are very complex and time consuming and performed well on short data. These days stock market users mostly rely on intelligent trading system which would be help them to predict share prices based on various situations and conditions. Data mining is a broad area and also supports various business intelligence techniques. It has mastery to raise various financial issues like buying/selling security, bond analysis, contract analyses etc. in this study various prediction techniques like linear regression, multiple regression, association rule mining, clustering, neural network have been proposed and their significant performances will be compared by Bombay Stock Exchange (BSE) data.

scholarly journals Stock Market Returns and Weather Anomaly: Evidence from an Emerging Economy

2012 ◽  
Vol 4 (5) ◽  
pp. 239-244 ◽  
Author(s):  
Hammad Hassan Mirza ◽  
Naveed Mushtaq .
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Weather Condition ◽  
Efficient Market Hypothesis ◽  
Emerging Economy ◽  
Market Returns ◽  
Stock Market Returns ◽  
Factors Affecting ◽  
Temperature Records ◽  
The Impact

Financial economists believe that the arbitrage forces in the market are the main reason of market efficiency and these forces are the fundamental concept of efficient market hypothesis (EMH). During last few years, various theoretical and empirical evidences have been presented to support the work of financial modeling for the markets with less than rational investors whose trading strategies are based on psychological factors like mood and emotions. Weather condition is among the substantial factors affecting investors’ mood and emotions. Present study investigates the impact of temperature on stock market returns in emerging economy of Pakistan. Using the daily temperature records and stock market indices of Karachi and Islamabad, the study has employed auto regressive (AR) – generalized autoregressive conditional heteroscedasticity (GARCH) model from 2006 to 2010. Based on AR (1)-GARCH (1, 1) estimation the study has found that weather temperatures of both Karachi and Islamabad are negatively related with Karachi Stock Exchange (KSE) and Islamabad Stock Exchange (ISE) index returns, respectively.

scholarly journals Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

2020 ◽  
pp. 1-13
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Unit Root Test ◽  
General Meeting ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Annual Data ◽  
Efficient Market ◽  
Price Series

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form. In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its regulations pertaining to transparency of information management rules such as market barriers and stringent listing requirement, publication of accounts, notices of annual general meeting and the like.

scholarly journals Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries

2018 ◽  
Vol 34 (1) ◽  
pp. 183-192 ◽  
Author(s):  
Matteo Rossi ◽  
Ardi Gunardi
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Market Anomalies ◽  
Equity Prices ◽  
Company Value ◽  
Calendar Anomalies ◽  
The Garch Model ◽  
New Millennium

The stock market efficiency is the idea that equity prices of listed companies reveal all the data regarding the company value (Fama, 1965). In this way, there isn’t possible to make additional returns. However, evidence against the Efficient Market Hypothesis is growing. Researchers studied Calendar Anomalies (CAs) that characterised financial markets. These CAs contradict the efficient hypothesis. This research studies some of the most important market anomalies in France, Germany, Italy and Spain stock exchange indexes in the first decade of new millennium (2001-2010). In this study, to verify the distribution of the returns and their auto correlation, we use statistical methods: the GARCH model and the OLS regression. The analysis doesn’t show strong proof of comprehensive Calendar Anomalies. Some of these effects are country-specific. Furthermore, these country-anomalies are instable in the first decade of new millennium, and this result demonstrates some doubt on the significance of CAs.

scholarly journals Investor Sentiment in Stock Market: A Case of Pakistan Super League in Pakistan Stock Exchange

2021 ◽  
Vol 4 (2) ◽  
pp. 101-121
Author(s):  
FURQAN ULLAH ◽  
MUHAMMAD ASIF ◽  
MUHAMMAD ZAHID ◽  
FAIZA MEHREEN
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
United Arab Emirates ◽  
Behavioral Finance ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Sports Events ◽  
Investor Sentiments ◽  
Super League

This study investigates whether sentiments play any role while investors make financial decisions which results in the stock returns. The paper analyzes the major two sports events (2016-2017) of Pakistan Super League (PSL). The study utilizes the stock market data from Pakistan Stock Exchange (PSX)-100 index for the period of two financial years starting from June 2015 to July 2017. PSL T20 data is collected from the official PSL website. The empirical results of the studyshow that PSL sports events are highly statistically significant and imply that the events trigger investor sentiments (optimistic and pessimistic behaviors) in the PSX.When the whole PSL games were played on United Arab Emirates (UAE) grounds in 2016, later on, which badly affected the investor moods and resulted in a negative abnormal return in PSX-100 index. While in case of PSL event in 2017, in which only final match of the event was held in Lahore, Pakistan and resulted in a positive abnormal return in PSX-100 index. The study provides implications for different authorities such as Pakistan Cricket Board (PCB), PSX and other development authorities in order to promote such activities for the overall economic and social benefits. While founding no previous studies concerning the subject in the Pakistani context, the Scholar selected the issue to conduct a research and make a considerable contribution for investors in Pakistan with respect to PSL events and its impact on PSX. Keywords: Investor Sentiments, Stock returns, behavioral finance, Pakistan Super League, Pakistan Stock Exchange

scholarly journals Efficiency and Multifractality Analysis of the Chinese Stock Market: Evidence from Stock Indices before and after the 2015 Stock Market Crash

2019 ◽  
Vol 11 (6) ◽  
pp. 1699 ◽  
Author(s):  
Chenyu Han ◽  
Yiming Wang ◽  
Yingying Xu
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Practical Significance ◽  
Fluctuation Analysis ◽  
Chinese Stock Market ◽  
Stock Market Crash ◽  
Gaussian Probability Density Function ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Daily Return

This paper examines the daily return series of four main indices, including Shanghai Stock Exchange Composite Index (SSE), Shenzhen Stock Exchange Component Index (SZSE), Shanghai Shenzhen 300 Index (SHSE-SZSE300), and CSI Smallcap 500 index (CSI500) in Chinese stock market from 2000 to 2018 by multifractal detrended fluctuation analysis (MF-DFA). The series of the daily return of the indices exhibit significant multifractal properties on the whole time scale and SZSE has the highest multifractal properties among the four indices, indicating the lowest market efficiency. The multifractal properties of four indices are due to long-range correlation and fat-tail characteristics of the non-Gaussian probability density function, and these two factors have different effects on the multifractality of four indices. This paper aims to compare the multifractility degrees of the four indices in three sub-samples divided by the 2015 stock market crash and to discuss its effects on efficiency of the Shanghai and Shenzhen stock market in each sub-sample. Meanwhile, we study the effect of the 2015 stock market crash on market efficiency from the statistical and fractal perspectives, which has theoretical and practical significance in the application of Effective Market Hypothesis (EMH) in China’s stock market, and it thereby affects the healthy and sustainability of the market. The results also provide important implications for further study on the dynamic mechanism and efficiency in stock market and they are relevant to portfolio managers and policy makers in a number of ways to maintain the sustainable development of China’s capital market and economy.

Sign in / Sign up

Export Citation Format

Share Document