scholarly journals Capital Asset Pricing Model, Theory and Practice: Evidence from USA (2009-2016)

2017 ◽  
Vol 12 (8) ◽  
pp. 182 ◽  
Author(s):  
Mohammad AbdelMohsen Al-Afeef
Keyword(s):  
Stock Market ◽  
Multiple Regression Model ◽  
Theory And Practice ◽  
Pricing Model ◽  
Stock Market Index ◽  
Market Return ◽  
Market Index ◽  
Stock Market Return ◽  
The Us ◽  
The Impact

This study discussed the Capital Assets Pricing model (CAPM) and its ability to measure the required return, the researcher tested this model on Amazon Company listed in S&P 500 during the period (2009-2016), to measure the impact of beta stock and market index return on the required return. Multiple regression model was used to test the effect of independent variables (Beta stock, Market Index Return) on the dependent variable (Required return), it should be noted that there is a statistically significant impact of the US stock market Return (S&P500) and Amazon stock Beta factor on Amazon stock required return, and the study model explanatory was 20% , this means that 20% of the changes in the required return are due to beta and market return, and 80% of the changes due to other factors, also find that CAPM can be applied on efficiency markets and huge companies.The researcher recommends applying the variables of the study on a group of large companies in the S&P 500 index, and looking for other factors that may affect the required return.

scholarly journals The Impact of Covid-19 Spread on Stock Markets: The Case of the GCC Countries

2020 ◽  
Vol 13 (11) ◽  
pp. 16
Author(s):  
Nader Alber ◽  
Amr Saleh
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Index ◽  
Stock Market Return ◽  
Gcc Countries ◽  
Developed Stock Markets ◽  
The Impact

This paper attempts to investigate the effects of 2020 Covid-19 world-wide spread on stock markets of GCC countries. Coronavirus spread has been measured by cumulative cases, new cases, cumulative deaths and new deaths. Coronavirus spread has been measured by numbers per million of population, while stock market return is measured by Δ in stock market index. Papers conducted in this topic tend to analyze Coronavirus spread in the highly infected countries and focus on the developed stock markets. Countries with low level of infection that have emerging financial markets seem to be less attractive to scholars concerning with Coronavirus spread on stock markets. This is why we try to investigate the GCC stock markets reaction to Covid-19 spread.   Findings show that there are significant differences among stock market indices during the research period. Besides, stock market returns seem to be sensitive to Coronavirus new deaths. Moreover, this has been confirmed for March without any evidence about these effects during April and May 2020.

scholarly journals The Impact of Coronavirus Pandemic on Stock Market Return: The Case of the MENA Region

2020 ◽  
Vol 12 (12) ◽  
pp. 100
Author(s):  
Amr Arafa ◽  
Nader Alber
Keyword(s):  
Stock Market ◽  
United Arab Emirates ◽  
Stock Markets ◽  
Stock Market Index ◽  
Mena Region ◽  
Stock Market Returns ◽  
Market Return ◽  
Stock Market Return ◽  
June July ◽  
The Impact

This paper attempts to investigate the impact of Coronavirus spread on the stock markets of MENA region. Coronavirus has been measured by cumulative total cases, cumulative total deaths, new cases and new deaths, while stock market return is measured by Δ in the stock market index. This has been applied on stock markets of 7 countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, United Arab Emirates, and Tunisia), on daily basis during the period from March 1, 2020, to July 24, 2020. Results indicate that stock market returns in the MENA countries tend to be negatively affected Coronavirus cumulative deaths and Coronavirus new deaths. A robustness check has been conducted for each country during the whole period, showing significant effect of Coronavirus cumulative cases in Jordan and Tunisia and significant effect of Coronavirus cumulative deaths in Jordan, Morocco and Tunisia, without any evidence about the effects of Coronavirus new cases and Coronavirus new cases. After splitting the research period into 4 sub-periods (March, April, May, June- July 24), results support the impact of “cumulative Coronavirus cases” on stock market return in Jordan during May and in Morocco during April. Besides, the impact of “cumulative Coronavirus deaths” has been supported in in Morocco during April, and in Tunisia during March and June-July. Moreover, “new Coronavirus cases” seems to have a significant impact in Jordan during May and in Tunisia during March. Also, “new Coronavirus deaths” shows a significant effect in Morocco during May.

scholarly journals Impact of Macroeconomic Variables on Stock Return Volatility: Evidence from Sub-Sahara Africa

2020 ◽  
Vol 4 (2) ◽  
Author(s):  
Peter Ifeanyichukwu Ali ◽  
Samuel M. Nzotta ◽  
A. B. C. Akujuobi ◽  
Chilaka E. Nwaimo
Keyword(s):  
South Africa ◽  
Stock Market ◽  
Stock Markets ◽  
Inflation Rate ◽  
Return Volatility ◽  
Macroeconomic Variables ◽  
Market Return ◽  
Stock Market Return ◽  
Macroeconomic Indicators ◽  
The Impact

The main purpose of this paper was to investigate the impact of macroeconomic variables on stock market return volatility in Sub-Sahara markets. The study concentrated on three stock markets including Ghana, Nigeria and South Africa using GARCH-X (1,1) model on monthly data from January 2000 to December 2017. Preliminary analyses from descriptive statistics show that show mean monthly returns are positive for all the stock markets. Skewness coefficients show that the stock returns and interest rates distribution of all Sub-Sahara Africa stock markets are negatively skewed but inflation rate is positively skewed for Nigeria and South Africa, and flat for Ghana. Excess kurtoses are positive for all the stock markets and macroeconomic indicators, and Jarque-Bera statistics indicate the stock markets’ series and macroeconomic indicators are not normally distributed. The Unit roots tests results indicate that all the stock markets and macroeconomic indicators are first difference stationary. The results of the GARCH-X (1,1) model show that macroeconomic variables do not significantly impact stock market returns volatility in Nigeria, Ghana and South Africa at the 5% significance Level. We therefore recommend that stock market regulators, market participants and investors should concentrate more efforts on other macroeconomic variables aside interest rate and inflation rate, in estimating stock market return volatility in Sub-Sahara Africa.

scholarly journals A note on the relationship between COVID-19 and stock market return: evidence from South Asia

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Md Arafat Rahman ◽  
Md Mohsan Khudri ◽  
Muhammad Kamran ◽  
Pakeezah Butt
Keyword(s):  
Stock Market ◽  
South Asian ◽  
Stock Markets ◽  
Asian Countries ◽  
Causality Test ◽  
Stock Market Returns ◽  
Content Type ◽  
Market Return ◽  
Stock Market Return ◽  
The Impact

Purpose The transformation of coronavirus disease (COVID-19) from a regional health crisis in a Chinese city to a global pandemic has caused severe damage not only to the natural and economic lives of human beings but also to the financial markets. The rapidly pervading and daunting consequences of COVID-19 spread have plummeted the stock markets to their lowest levels in many decades especially in South Asia. This concern motivates us to investigate the stock markets’ response to the COVID-19 pandemic in four South Asian countries: Bangladesh, India, Pakistan and Sri Lanka. This study aims to investigate the causal impact of the number of confirmed COVID-19 cases on stock market returns using panel data of the countries stated above. Design/methodology/approach This study collects and analyzes the daily data on COVID-19 spread and stock market return over the period May 28, 2020 to October 01, 2020. Using Dumitrescu and Hurlin panel Granger non-causality test, the empirical results demonstrate that the COVID-19 spread measured through its daily confirmed cases in a country significantly induces stock market return. This paper cross-validates the results using the pairwise Granger causality test. Findings The empirical results suggest unidirectional causality from COVID-19 to stock market returns, indicating that the spread of COVID-19 has a dominant short-term influence on the stock movements. To the best of the knowledge, this study provides the first empirical insights into the impact of COVID-19 on the stock markets of selected South Asian countries taking the cross-sectional dependence into account. The results are also in line with the findings of other existing literature on COVID-19. Moreover, the results are robust across the two tests used in this study. Originality/value The findings are equally insightful to the fund managers and investors in South Asian countries. Taking into account the possible impact of COVID-19 on stock markets’ returns, investors can design their optimal portfolios more effectively. This study has another important implication in the sense that the impact of COVID-19 on the stock markets of South Asian countries may have spillover effects on other developing or even developed countries.

scholarly journals Do confidence indicators have an impact on macro-financial indicators? An analysis of the financial service and real sector confidence indexes: evidence from Turkey

2020 ◽  
Vol 9 (1) ◽  
pp. 74-94
Author(s):  
Esra N Kilci
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Financial Services ◽  
Structural Breaks ◽  
Unit Root Test ◽  
Real Sector ◽  
Financial Indicators ◽  
Stock Market Index ◽  
Market Index ◽  
The Impact

The primary aim of this study is to analyze the impact of financial services and real sector confidence indexes on some macroeconomic and financial indicators such as industrial production, inflation, stock market index, foreign exchange rates and interest rates in Turkey for the period from May 2012 to May 2019. In this study, the unit root properties of these series are tested by using the Narayan and Popp (2010) unit root test with two structural breaks and the Enders and Lee (2012) Fourier ADF unit root test with multiple structural breaks. We investigate the causal link between confidence indicators and macro-financial variables using the Fourier Toda Yamamoto causality test proposed by Nazlioglu et al. (2016). The results suggest a strong link between financial services and real sector confidence indexes on macro-financial indicators such as stock market index and inflation, supporting the evidence of the short-run impact of confidence indexes on these variables.

Measuring the Financial Value of Marketing Strategy with Excess Stock Market Return

2014 ◽  
Vol 3 (4) ◽  
pp. 1-16
Author(s):  
Vicki Lane
Keyword(s):  
Stock Market ◽  
Marketing Strategy ◽  
Event Study ◽  
Firm Value ◽  
Cash Flows ◽  
Excess Return ◽  
Marketing Metrics ◽  
Market Return ◽  
Stock Market Return ◽  
The Impact

This paper proposes excess stock market return as a way to measure the impact of marketing strategy on firm value. First, it provides an overview of event study method. An event study examines the excess return to a firm's stock price after the release of information that is relevant to the firm's financial success. Second, it shows how excess return captures a marketing strategy's impact on firm value. It presents a model that illustrates how a marketing strategy impacts consumers, future cash flows, firm value, investor's expectations, and excess return. Third, a comparison shows that excess return stacks up well against standard marketing metrics. Excess return yields unbiased estimates, allows direct causal inference, is future oriented, includes all cash flows, accounts for opportunity costs, factors in risk, and takes into account the time value of money.

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