scholarly journals The Impact of Margin Trading on Stock Volatility: Based on 2014 to 2016 Shanghai and Shenzhen 300 Index

2021 ◽  
Vol 16 (7) ◽  
pp. 78
Author(s):  
Chuanyang Gong
Keyword(s):  
Stock Market ◽  
Negative Correlation ◽  
Stock Price ◽  
Granger Causality Test ◽  
Paper Study ◽  
Test Results ◽  
Causality Test ◽  
Stock Volatility ◽  
Factors Affecting ◽  
The Impact

The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May 2014 to March 2016. the Granger causality test results are obtained for the model. Empirically study shows that one of the factors affecting stock price fluctuation does include margin trading business, and shows a negative correlation, which plays a more stable role in the stock market.

scholarly journals The Impact of Margin Trading on Stock Volatility: Based from 2014 to 2016 Shanghai and Shenzhen 300 Index

2021 ◽  
Vol 16 (7) ◽  
pp. 32
Author(s):  
Chuanyang Gong
Keyword(s):  
Stock Market ◽  
Negative Correlation ◽  
Stock Price ◽  
Granger Causality Test ◽  
Paper Study ◽  
Test Results ◽  
Causality Test ◽  
Stock Volatility ◽  
Factors Affecting ◽  
The Impact

The paper study the impact of margin trading on the volatility of the stock market, We selected 469 observation values among the daily Shanghai and Shenzhen 300 index from May 2014 to March 2016. the Granger causality test results are obtained for the model. Empirically study shows that one of the factors affecting stock price fluctuation does include margin trading business, and shows a negative correlation, which plays a more stable role in the stock market.

scholarly journals Nexus between Stock Market Returns and Economic Variables: Evidence

2017 ◽  
Vol 4 (01) ◽  
Author(s):  
Vanitha Chawla ◽  
Shweta .
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Market Returns ◽  
Causality Test ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Indian Stock Market ◽  
The Impact

The paper examines the impact of selected macroeconomic variables on the Indian stock market. The macroeconomic variables used in the study are interest rate, exchange rate, index of industrial production (IIP) and gold price. BSE Sensex is used as proxy for Indian stock market. We have used the monthly data for all the variables from January 2001 to December 2016. Regression analysis and Granger Causality test is used to establish the relationship between the stock market and macroeconomic variables. The results show significant impact of only exchange rate on stock returns. All the other variables have shown insignificant impact on the stock market returns. The results of Granger causality test show unidirectional relationship between exchange rate and stock prices and bi-directional relation between IIP and SENSEX.

scholarly journals The Impact of the Covid-19 epidemic on Saudi stock market performance using a Regression model and Granger causality test-Empirical Analysis

2021 ◽  
Vol 13 (1) ◽  
pp. 22
Author(s):  
Dr.Kavita Panjwani ◽  
Mohammad Arif Riaz
Keyword(s):  
Stock Market ◽  
Regression Model ◽  
Granger Causality ◽  
Time Series Data ◽  
Market Performance ◽  
Granger Causality Test ◽  
Series Data ◽  
Causality Test ◽  
Stock Market Performance ◽  
The Impact

The objective of the study to investigates the impact of COVID-19 epidemic on Saudi stock market performance by using regression model and pairwise granger causality tests. The time series data has been taken for this study from 01 March 2020 to 6 Dec 2020. Coronavirus has been measured in terms of cumulative new corona cases per million, new corona deaths per million, total corona cases per million and total corona deaths per million, whereas stock market return is evaluated in terms of stock market index. The study’s finding reveal that Saudi stock market significance affected by COVID-19. The study also depicts that unidirectional and bidirectional relationship between corona-virus cases and Saudi stock market with the help of granger causality test. We also highlight the main the preventive policies taken by governments related to COVID-19 have affected the stock market.

scholarly journals Stock Market Development and Economic Growth in Bangladesh: An Empirical Appraisal

2019 ◽  
pp. 252-258
Author(s):  
Md. Shakhaowat Hossin ◽  
Md. Shafiul Islam
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Policy Formulation ◽  
Market Development ◽  
Test Results ◽  
Causality Test ◽  
Stock Market Development ◽  
Long Run ◽  
Integration Test ◽  
The Impact

This article seeks to examine the impact of the Bangladesh’s stock market development on its economic growth from the period of 1989-2012. We have used Johansen Cointegration test to estimate the long-run equilibrium relationship between the variables and the Granger causality test was conducted in order to establish causal relationship, while the model was estimated using the error correction model (ECM). Johansen co-integration test results show that the Bangladesh’s stock market development and economic growth are co-integrated. This indicates that a long run relationship exists between stock market development and economic growth in Bangladesh. The causality test results suggest a unidirectional causality from stock market development to the economic growth. On the other hand, there is no “reverse causation” from economic growth to stock market development. The evidence from this study reveals that the activities in the stock market tend to impact positively on the economy. It is recommended therefore that stock market regulatory authority should therefore address policy issues that are capable of boosting the investors’ confidence through improved policy formulation and creation of awareness.

scholarly journals Building stock market resilience through digital transformation: using Google trends to analyze the impact of COVID-19 pandemic

2020 ◽  
Vol 14 (1) ◽  
Author(s):  
Ding Ding ◽  
Chong Guan ◽  
Calvin M. L. Chan ◽  
Wenting Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Digital Transformation ◽  
Google Trends ◽  
Building Stock ◽  
Market Sentiment ◽  
Price Performance ◽  
Novel Coronavirus ◽  
The Impact

Abstract As the 2019 novel coronavirus disease (COVID-19) pandemic rages globally, its impact has been felt in the stock markets around the world. Amidst the gloomy economic outlook, certain sectors seem to have survived better than others. This paper aims to investigate the sectors that have performed better even as market sentiment is affected by the pandemic. The daily closing stock prices of a total usable sample of 1,567 firms from 37 sectors are first analyzed using a combination of hierarchical clustering and shape-based distance (SBD) measures. Market sentiment is modeled from Google Trends on the COVID-19 pandemic. This is then analyzed against the time series of daily closing stock prices using augmented vector autoregression (VAR). The empirical results indicate that market sentiment towards the pandemic has significant effects on the stock prices of the sectors. Particularly, the stock price performance across sectors is differentiated by the level of the digital transformation of sectors, with those that are most digitally transformed, showing resilience towards negative market sentiment on the pandemic. This study contributes to the existing literature by incorporating search trends to analyze market sentiment, and by showing that digital transformation moderated the stock market resilience of firms against concern over the COVID-19 outbreak.

scholarly journals The Impact of COVID-19 on the Stock Price of Socially Responsible Enterprises: An Empirical Study in Taiwan Stock Market

2021 ◽  
Vol 18 (4) ◽  
pp. 1398
Author(s):  
Kuo-Jung Lee ◽  
Su-Lien Lu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Recovery Phase ◽  
Socially Responsible ◽  
Cumulative Impact ◽  
Study Approach ◽  
Price Performance ◽  
The Impact

This study examines the impact of the COVID-19 outbreak on the Taiwan stock market and investigates whether companies with a commitment to corporate social responsibility (CSR) were less affected. This study uses a selection of companies provided by CommonWealth magazine to classify the listed companies in Taiwan as CSR and non-CSR companies. The event study approach is applied to examine the change in the stock prices of CSR companies after the first COVID-19 outbreak in Taiwan. The empirical results indicate that the stock prices of all companies generated significantly negative abnormal returns and negative cumulative abnormal returns after the outbreak. Compared with all companies and with non-CSR companies, CSR companies were less affected by the outbreak; their stock prices were relatively resistant to the fall and they recovered faster. In addition, the cumulative impact of the COVID-19 on the stock prices of CSR companies is smaller than that of non-CSR companies on both short- and long-term bases. However, the stock price performance of non-CSR companies was not weaker than that of CSR companies during times when the impact of the pandemic was lower or during the price recovery phase.

scholarly journals The drivers of economic growth in China and India: globalization or financial development?

2017 ◽  
Vol 16 (1) ◽  
pp. 54-84 ◽  
Author(s):  
Magda Kandil ◽  
Muhammad Shahbaz ◽  
Mantu Kumar Mahalik ◽  
Duc Khuong Nguyen
Keyword(s):  
Economic Growth ◽  
Financial Development ◽  
Emerging Market ◽  
Annual Data ◽  
Test Results ◽  
Causality Test ◽  
Content Type ◽  
China And India ◽  
Integration Test ◽  
The Impact

Purpose Using annual data from 1970 to 2013 for China and India, this paper aims to examine the impact of globalization and financial development on economic growth by endogenizing capital and inflation and drawing comparisons between the two fastest growing emerging market economies. Design/methodology/approach In the long run, co-integration test results indicate that financial development increases economic growth in China and India. Findings The results also reveal that globalization accelerates economic growth in India but, surprisingly, impairs economic growth in China, as it increases competition for exports. The results furthermore disclose that acceleration in capitalization and inflation, as a proxy for aggregate demand, are positively linked to economic growth in China and India. Originality/value Causality test results indicate that both financial development and economic growth are interdependent. In contrast, causality runs from higher economic growth to increased globalization in India, while the results do not support long-term causality between globalization and economic growth in China.

scholarly journals Prediction and Empirical Study of Stock Yield Volatility Based on Event Study

2020 ◽  
Vol 214 ◽  
pp. 02023
Author(s):  
Shen Mingcai ◽  
Liu Xin ◽  
Huang Xi ◽  
Cao Zhaohuan ◽  
Su Ganya
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Listed Company ◽  
Investment Decision ◽  
Practical Significance ◽  
Event Window ◽  
Future Return ◽  
Internal Relations ◽  
The Impact ◽  
Source Of Information

Stock market event is an important source of information for investment decision, and it is of practical significance to quantify the event and predict the fluctuation range of future return under such event. Most researchers study stock market events horizontally, that is, to study the impact of a current event on the stock price of a certain sector or industry, while the paper attempts to study vertically the impact of a certain event of a single listed company on the return. Based on the internal relations between public announcement and stock yield of listed companies, the paper deduced the daily yield prediction model of event window by VAR(p) to exclude subjective “estimation” in the past and verifies the feasibility of the model.

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