scholarly journals Examination of Index Model and Prediction of Beta –A Case Study Examination in IT Sector

2019 ◽  
Vol 8 (2) ◽  
pp. 226
Author(s):  
B Rajesh Kumar ◽  
Manuel Fernandez
Keyword(s):  
Stock Returns ◽  
Predictive Ability ◽  
Case Analysis ◽  
Data Series ◽  
Market Returns ◽  
Monthly Data ◽  
Index Model ◽  
Market Index

This study examines the determinants of stock returns of IT companies based on index model. The study examines the index model using the case analysis of stock returns of three IT Companies-Apple, Google and Microsoft. The analysis was done using the latest five-year monthly data. The study reveals that market index returns is a powerful determinant of stock returns. In terms of sensitivity as measured by beta values, Apple was most sensitive to fluctuations in market returns followed by Google and Microsoft stock returns. The study also examines the predictive ability of current beta using five-year data series of 15 IT companies. The results were statistically insignificant. 

scholarly journals MODIFIKASI MODEL INDEKS JANSEN SEBAGAI ALAT UKUR KINERJA SAHAM SYARIAH

1970 ◽  
Vol 5 (2) ◽  
pp. 110-124
Author(s):  
Mohammad Farhan Qudratullah
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Capital Market ◽  
Islamic Finance ◽  
Capital Asset ◽  
Market Returns ◽  
Index Model ◽  
Measurement Results ◽  
Finance Risk ◽  
Very High

The Jansen Index is a measure of stock performance based on the Capital Asset Princing Model (CAPM). The Jansen Index consists of 4 (four) components, namely: stock returns, beta stocks, market returns, and risk-free returns. Many studies approach risk-free returns with interest rates when measuring the performance of Islamic stocks in the Jansen Index model, while interest rates are prohibited in the concept of Islamic finance. This paper discusses the modification of the Jansen Index model to analyze the performance of Islamic stocks with 4 (four) approaches, namely the model without interest rates, models with zakat rates, models with inflation, and models with gross domestic production (GDP) and compare them with models with interest rates (BI-Rate). Then the five models are implemented in the Islamic capital market in Indonesia in the period January 2011 - July 2018.The results obtained are that there is a very high suitability for the measurement results of the five models. Judging from the closeness of the results of performance measurement, the five models can be grouped into 2 (two), namely models with interest rates, inflation, and GDP as the first group, while models without interest rates and zakat- rate as the second group. This means, on the concept of Islamic finance, risk-free returns can be measured using these 4 (four) approaches, specifically inflation or GDP

scholarly journals Evidence of Macroeconomic Policy Effects over Company-Sector Stock Returns

2014 ◽  
Vol 16 (31) ◽  
pp. 3
Author(s):  
Mara Madaleno ◽  
Carlos Pinho
Keyword(s):  
Stock Returns ◽  
Positive Impact ◽  
Developed Countries ◽  
Macroeconomic News ◽  
Relevant Variable ◽  
Monthly Data ◽  
Developed Economies ◽  
Market Index ◽  
The Uk ◽  
Company Sector

Given that stock markets may act as an economy mirror, it is explored the sensitivity of company-sector-specific stock returns to macroeconomic news reflecting different economic environments for the UK, US, Germany, Japan and Australian markets between March 1993 and February 2013 using monthly data. Results seem to indicate that portfolio investors need to be aware that movements in the market index is the best predictor to forecast stock returns of individual companies and sectors in developed economies. Sentiment influences individual company’s returns of the utilities sector, even if these are considered of limited growth and stable earnings, for UK, USA and Australia, turning investor confidence a relevant variable to be included. Information increases about industrial production have no influence on company and sector stocks, thus not affecting investor’s decision in developed countries. As for Japan, results seem to indicate that the higher the need of oil imports of a country, the higher will be the positive impact of oil price changes over company returns. Finally, the riskless interest rate has no effect on sector stock returns independently of the country under analysis. For developed economies, we confirm the finding that stocks cannot be used as a hedge against inflation.

SHORT-TERM HERDING EFFECT ON MARKET INDEX RETURNS

2019 ◽  
Vol 14 (01) ◽  
pp. 1950004
Author(s):  
ANDREY KUDRYAVTSEV
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Price ◽  
Herd Behavior ◽  
Market Returns ◽  
Short Term ◽  
Cross Sectional ◽  
Stock Market Returns ◽  
Market Return ◽  
Market Index

The study analyzes the predictability of stock market returns based on the previous day’s cross-sectional market-wide herd behavior. Assuming that herding may lead to stock price overreaction and result in subsequent price reversals, I suggest that daily stock market returns may be higher (lower) following trading days characterized by negative (positive) market returns and high levels of herding. Analyzing the daily price data for S&P 500 Index and all its constituents and employing two alternative market-wide herding measures based on cross-sectional daily deviation of stock returns, I document that the days of both positive and negative market returns tend to be followed by price reversals (drifts), if the market-wide levels of herding are high (low). The herding effect on the next day’s stock market returns is found to be more pronounced following the days when the sign of the market return corresponds to the direction of the longer-term stock market tendency and the days characterized by relatively large stock market movements. The effect also remains significant after accounting for the specific numerical value of the market return.

scholarly journals Co-integration of Indian Stock Markets with Emerging Markets of Asia

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Risha Khandelwal ◽  
Kanhaiya Singh
Keyword(s):  
Unit Root ◽  
Stock Markets ◽  
Unit Root Tests ◽  
Data Series ◽  
Market Returns ◽  
Short Term ◽  
Stock Market Returns ◽  
Monthly Data ◽  
Long Run ◽  
Degree Of Association

This study has made an attempt to analyse linkages between stock markets of India, Indonesia, Philippines and Taiwan. Monthly data is considered for the present study ranging from January 2000- December 2017. The study begins with description of data series of stock market returns, followed by correlation analysis which examined the degree of association between market returns. Then unit root tests (ADF and PP) were applied to determine stationary properties of time series. All the series were found to be integrated of same order i.e. I(1). Then Johansen test of co-integration is applied followed by VECM. The results of Johansen test of co integration confirm the presence of long run linkages among select stock markets. Further, the results of VECM confirm the existence of long causality from Indonesian, Taiwan, and Philippines market to Indian markets. The study suggests that the select markets allow short term diversification benefits to investors but the same is not true in long run due to some transitory movements.

The Development of Habitat Suitability Index Model of Class I Endangered Wildlife, Sedirea japonica - A Case Study of Korea National Park of Dadohaehaesang -

2020 ◽  
Vol 32 (1) ◽  
pp. 153-172
Author(s):  
Yun-Jin Shim ◽  
Yong-Su Park ◽  
Rae-Ha Jang ◽  
Young-Jun Yoon ◽  
Sun- Ryoung Kim ◽  
...  
Keyword(s):  
Habitat Suitability ◽  
National Park ◽  
Class I ◽  
Habitat Suitability Index ◽  
Index Model ◽  
Suitability Index

scholarly journals Ensemble model for estimating continental-scale patterns of human movement: a case study of Australia

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Karen McCulloch ◽  
Nick Golding ◽  
Jodie McVernon ◽  
Sarah Goodwin ◽  
Martin Tomko
Keyword(s):  
Spatial Scales ◽  
Predictive Ability ◽  
Movement Patterns ◽  
Human Movement ◽  
Continental Scale ◽  
Movement Characteristics ◽  
Human Movements ◽  
Movement Models ◽  
Epidemiology Data

AbstractUnderstanding human movement patterns at local, national and international scales is critical in a range of fields, including transportation, logistics and epidemiology. Data on human movement is increasingly available, and when combined with statistical models, enables predictions of movement patterns across broad regions. Movement characteristics, however, strongly depend on the scale and type of movement captured for a given study. The models that have so far been proposed for human movement are best suited to specific spatial scales and types of movement. Selecting both the scale of data collection, and the appropriate model for the data remains a key challenge in predicting human movements. We used two different data sources on human movement in Australia, at different spatial scales, to train a range of statistical movement models and evaluate their ability to predict movement patterns for each data type and scale. Whilst the five commonly-used movement models we evaluated varied markedly between datasets in their predictive ability, we show that an ensemble modelling approach that combines the predictions of these models consistently outperformed all individual models against hold-out data.

Perbandingan harga saham, volume transaksi dan return saham sebelum dan sesudah terjadi pandemi covid-19 pada PT Agung Podomoro Land, Tbk

2021 ◽  
Vol 5 (4) ◽  
pp. 720
Author(s):  
Anggun Putri Romadhina ◽  
Eka Kusuma Dewi
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Research Data ◽  
Paired Sample ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
Stock Transaction

The first Covid-19 case in Indonesia was announced on March 2, 2020. This study aims to determine whether there is a significant difference in stock prices, stock transaction volume and stock returns due to the COVID-19 pandemic (case study at PT. Agung Podomoro Land, Tbk). This research data was taken 90 days before and 90 days after the announcement of the first case of COVID-19 in Indonesia. The data was processed by paired sample t-test, using SPSS version 20. From the results of data processing, it was shown that there was a significant difference in stock prices before and after the announcement of the first case of covid-19 in Indonesia. This is indicated by a significance value of 0.000 < 0.05 where the stock price has decreased compared to before the Covid-19 case. Meanwhile, the volume of stock transactions also showed a significant difference with a significance value of 0.007 <0.05, where the volume of stock transactions after the announcement showed a decrease. Likewise, stock returns show a significant difference with a significance value of 0.025 < 0.05 where stock returns have decreased after the announcement of the first case of covid-10 in Indonesia.  

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Sign in / Sign up

Export Citation Format

Share Document