scholarly journals The Impact of Foreign Investor Trading Activity on Vietnamese Stock Market

2017 ◽  
Vol 9 (1) ◽  
pp. 109 ◽  
Author(s):  
Tri Minh Nguyen
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Market Performance ◽  
Market Liquidity ◽  
Arch Model ◽  
Trading Activity ◽  
Foreign Investors ◽  
Investor Trading ◽  
The Impact

The empirical research examines the impact of net purchase of foreign investors on performance of stock market and market liquidity. In this study, market performance is proxied by VN-index, which measures growth of equity market and market liquidity is estimated by the trading volume of whole market. The data is collected in Vietnamese Stock Exchange in the period of 1215 intraday from 2011 to 2014. By using ARCH model, main findings of this research are: first, there is positive relationship between market performance and net purchase; second, performance of stock market is influence by lag factor and third, liquidity of market is affected negatively by trading activity of foreign investors.

scholarly journals Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

2020 ◽  
Vol 11 (6) ◽  
pp. 318
Author(s):  
Jaber Yasmina
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Trading Activity ◽  
Auto Correlation ◽  
The Asymmetry ◽  
The Impact ◽  
The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

scholarly journals The effect of the introduction of market makers on stock liquidity: evidence from the Brazilian stock market

2021 ◽  
Vol 13 (2) ◽  
Author(s):  
Gabriel Augusto de Carvalho ◽  
João Eduardo Ribeiro ◽  
Laíse Ferraz Correia
Keyword(s):  
Stock Market ◽  
Confidence Level ◽  
Trading Volume ◽  
Stock Exchange ◽  
Structural Break ◽  
Market Liquidity ◽  
Market Makers ◽  
Turnover Ratio ◽  
Before And After ◽  
Structural Break Test

Purpose: This study aimed to analyze whether the introduction of market makers as specialized intermediaries in the trading of stocks listed on the Brazilian stock exchange is a useful procedure for increasing the market liquidity of these assets. Methodology: The Chow structural break test was performed in the time series of the liquidity proxies, average spread, turnover ratio, and financial volume on a sample of 55 stocks. We chose to consider data in the window of 260 days before and after the start of the market maker's activity, because it represents the approximate number of trading sessions in a year, and to avoid erroneous conclusions due to the volatility of the Brazilian stock market. Results: The results showed with a 99% confidence level that after the introduction of market makers, (i) 67% of the stocks analyzed had abrupt and statistically significant changes in the average spread; (ii) 47% in the turnover ratio; and (iii) 60% had changes in the volume transactions. At the confidence level of 95%, (i) 76% of the stocks analyzed showed abrupt changes in the average spread; (ii) 65% had changes in turnover; (iii) and 69% had changes in the trading volume. Using a lower confidence level of 90%, the results revealed 85% of the stocks had abrupt and statistically significant changes in the average spread, 78% in the turnover ratio, and 73% in the trading volume. Contributions of the Study: This paper provides strong evidence on the performance of market makers and the influence they have on the market liquidity of stocks traded on the Brazilian stock exchange. We found that contracting market makers increase market liquidity and contribute significantly to the assets’ transactions.

The Impact of Investor Sentiment on Stock Market Liquidity: The Mediating Role of Investor Herding Behavior “An Empirical Study on the Egyptian Stock Exchange”

2021 ◽  
pp. 31-60
Author(s):  
A. H. El-Gayar ◽  
◽  
I. A. El-Hayes ◽  
S. Metawa ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Theoretical Background ◽  
Market Liquidity ◽  
Indirect Impact ◽  
Stock Market Liquidity ◽  
The Impact

Behavioral finance is a recent approach in financial markets that have appeared because of the complexities long faced by the traditional or neoclassical finance theory. This paper investigates the influence of investor sentiment and herding behaviour on stock market liquidity using an empirical study on the Egyptian Stock Market. We examine the direct impact of Egyptian investor sentiment on the Egyptian Stock Market liquidity. As well as the indirect impact of the Egyptian investor sentiment on the Egyptian Stock Market liquidity through the Egyptian investor herding behaviour. Therefore, the major contribution is filling the gap of indirect sentiment-liquidity impact conflict. We use the monthly data of the EGX30 index from January 2004 up to December 2018 for building up investor sentiment index, investor herding behaviour, and stock market liquidity measures. Moreover, we are using two additional types of data (closed-end mutual fund discounts and the equity open-end mutual fund flows) that represent major measures which are used to build up investor sentiment index ranging through the same time-series of the previously mentioned period of this paper. Additionally, we use four control variables for stock market liquidity, namely market volatility, excess market return, term spread, and lag of the dependent variable, considering that the fourth variable is also used for investor herding behaviour. Our result shows that the investor sentiment index has both a direct and indirect impact on stock market liquidity. In addition, regarding event study analysis’ results, there are different signs of the direct and indirect impacts and different correlations between the research variables throughout the four different events that differ completely from the usual signs and correlations of the theoretical background.

scholarly journals Using a Genetic Algorithm to Build a Volume Weighted Average Price Model in a Stock Market

2021 ◽  
Vol 13 (3) ◽  
pp. 1011
Author(s):  
Seung Hwan Jeong ◽  
Hee Soo Lee ◽  
Hyun Nam ◽  
Kyong Joo Oh
Keyword(s):  
Genetic Algorithm ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Weighted Average ◽  
Market Liquidity ◽  
Average Price ◽  
Volume Data ◽  
The Impact

Research on stock market prediction has been actively conducted over time. Pertaining to investment, stock prices and trading volume are important indicators. While extensive research on stocks has focused on predicting stock prices, not much focus has been applied to predicting trading volume. The extensive trading volume by large institutions, such as pension funds, has a great impact on the market liquidity. To reduce the impact on the stock market, it is essential for large institutions to correctly predict the intraday trading volume using the volume weighted average price (VWAP) method. In this study, we predict the intraday trading volume using various methods to properly conduct VWAP trading. With the trading volume data of the Korean stock price index 200 (KOSPI 200) futures index from December 2006 to September 2020, we predicted the trading volume using dynamic time warping (DTW) and a genetic algorithm (GA). The empirical results show that the model using the simple average of the trading volume during the optimal period constructed by GA achieved the best performance. As a result of this study, we expect that large institutions will perform more appropriate VWAP trading in a sustainable manner, leading the stock market to be revitalized by enhanced liquidity. In this sense, the model proposed in this paper would contribute to creating efficient stock markets and help to achieve sustainable economic growth.

scholarly journals Multidimensional Liquidity: Evidences from Indian Stock Market

2016 ◽  
Vol 5 (2) ◽  
Author(s):  
Sharad Nath Bhattacharya ◽  
Pramit Sengupta ◽  
Mousumi Bhattacharya ◽  
Basav Roychoudhury
Keyword(s):  
Machine Learning ◽  
Stock Market ◽  
Stock Markets ◽  
Trading Volume ◽  
Stock Exchange ◽  
Market Liquidity ◽  
Percentage Error ◽  
Efficiency Coefficient ◽  
Learning Tools ◽  
Indian Stock Market

Various dimensions of liquidity including breadth, depth, resiliency, tightness, immediacy are examined using BSE 500 and NIFTY 500 indices from Indian Equity market. Liquidity dynamics of the stock markets were examined using trading volume, trading probability, spread, Market Efficiency coefficient, and turnover rate as they gauge different dimensions of market liquidity. We provide evidences on the order of importance of these liquidity measures in Indian stock market using machine learning tools like Artificial Neural Network (ANN) and Random Forest (RF). Findings reveal that liquidity variables collectively explains the movements of stock markets. Both these machine learning tools performs satisfactorily in terms of mean absolute percentage error. We also evidenced lower level of liquidity in Bombay Stock Exchange (BSE) than National Stock Exchange (NSE) and findings supports the liquidity enhancement program recently initiated by BSE.

scholarly journals Stock Market Reforms and Stock Market Performance

2021 ◽  
Vol 12 (2) ◽  
pp. 202
Author(s):  
Karthigai Prakasam Chellaswamy ◽  
Natchimuthu N ◽  
Muhammadriyaj Faniband
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Positive Impact ◽  
Market Performance ◽  
Market Reforms ◽  
Disclosure Requirements ◽  
Stock Market Performance ◽  
Event Study Method ◽  
Unfair Trade ◽  
The Impact

This paper analyses the impact of stock market reforms on the stock market performance in India using regression based event-study method. We consider nine stock market reforms introduced from 1998 to 2018. We find that the impact of stock market reforms on Nifty trading volume and Nifty return is different. This paper documents that the impact of the additional volatility measures, T+3 and T+2 settlement cycles, and margin provisions for intra-day crystallized losses reforms show a positive impact on trading volume post-reform. In contrast, internet trading, prohibition of fraudulent and unfair trade practices, delisting of equity shares, substantial acquisition of shares and takeovers listing obligations and disclosure requirements reforms decrease the trading volume post-reform. Our results of Nifty return reveal that the additional volatility measures, the T+2 settlement cycle, the prohibition of fraudulent and unfair trade practices, substantial acquisition of shares and takeovers, listing obligations and disclosure requirements have a significant and positive impact on return post-reform. It is evident that the impact of all nine stock market reforms is insignificant on Nifty return.

scholarly journals Impact of the religious festivity on the Tunis Stock Exchange

2021 ◽  
Vol 18 (2) ◽  
pp. 12-19
Author(s):  
Olfa Chaouachi
Keyword(s):  
Stock Market ◽  
Social Life ◽  
Trading Volume ◽  
Stock Exchange ◽  
Working Hours ◽  
Ordinary Least Squares ◽  
Least Squares Regression ◽  
Stock Market Returns ◽  
The Social ◽  
The Impact

The month of Ramadan is anticipated to influence the behavior of the stock market, where the environment in Ramadan is different from other months. During the Ramadan month, transformations in the social life of people are quite apparent and significant, and the overall economic activity tends to decelerate as the number of working hours decreases. This paper aims to explore the impact of the Ramadan month on the stock market returns, volatility, and trading volume on the Tunis Stock Exchange (TSE) between September 2009 and July 2019. To achieve these objectives, the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) technique and the ordinary least squares regression are used. The results show that the impact of the Ramadan month on the daily returns is positive and statistically significant at a 1% level. It is also found that the impact of the Ramadan month on the volatility and trading volume is negative and statistically significant. The findings can help domestic and foreign investors and regulators to better comprehend the Tunisian stock exchange and investor behavior. Moreover, this research can help investors to develop their trading strategies.

scholarly journals THE IMPACT OF COVID-19 ON IRAQI STOCK MARKET: AN EVENT TO STUDY METHODOLOGY

2021 ◽  
Vol 11 (2) ◽  
Author(s):  
Azzam Khalid Chyad ◽  
Dr. Ayad Taher Aljubori
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Scatter Plot ◽  
Market Index ◽  
Time Period ◽  
Study Methodology ◽  
The Impact ◽  
Exchange Data

The research aims to study the impact of the economic crisis caused by the Corona pandemic on the Iraqi stock market by studying the event, specifically the impact of two pandemic events on the returns and volume of shares circulation, for companies listed on the Iraq Stock Exchange across sectors (banks - communications - insurance - services - Industry - Hotels and Tourism - Agriculture), and the Iraqi market for financial stocks represents the place of application, while the market sectors, which number (7), represent the research community, and the sample of the study of the impact of the pandemic on the market index, companies included in the Iraq Stock Exchange Index (SIX60) which Its number reached (60) companies from all market sectors, while the sample for studying the impact of the pandemic on the sector’s returns and trading volume in them was (102) companies representing all companies listed on the Iraq Stock Exchange. Data and information were obtained from reports (daily, weekly and monthly) issued. From the Iraq Stock Exchange and the Securities Commission for the time period (2019-2020), and the financial methods represented by stock returns, trading volume and market momentum index were relied upon, and some statistical methods were adopted. For my description of (arithmetic mean, standard deviation, and percentages), as well as inferential statistics methods (autocorrelation coefficient - simple regression - T-test - histogram - scatter plot - QQ chart) across applications (SPSS V25-Excle 2020- Py Charme2020) to compare Results and testing of research hypotheses. This is to determine the impact of the Corona pandemic (the first and second event) on the returns and trading of ordinary shares on the Iraq Stock Exchange.

scholarly journals Commonality In Liquidity: Lessons From An Emerging Stock Market

2015 ◽  
Vol 31 (5) ◽  
pp. 1927 ◽  
Author(s):  
Kais Tissaoui ◽  
Zied Ftiti ◽  
Chaker Aloui
Keyword(s):  
Stock Market ◽  
Firm Size ◽  
Private Information ◽  
Trading Volume ◽  
Market Liquidity ◽  
Information Flows ◽  
Public And Private ◽  
Order Imbalance ◽  
The Impact ◽  
The Relationship

<p><em>This study investigates commonality in liquidity in Tunisia, an order-driven, emerging stock market. We analyze the impact of information flow on the relationship between market liquidity and liquidity of securities, in addition to firm size and industry determinants. The effect of liquidity commonality on the liquidity of securities depends on firm size. The effect of market-wide commonality on liquidity is found to be stronger than that of industry-wide commonality. Our results show that public and private information flows improve liquidity. Systematic trading volume dominates systematic order imbalance in explaining liquidity; however, this effect is lesser compared to that of market liquidity.</em></p>

scholarly journals Assessing the Impact of S&P SL20 Index Construction on Listed Companies in Colombo Stock Exchange (CSE)

2016 ◽  
Vol 8 (7) ◽  
pp. 159
Author(s):  
Upeksha Perera ◽  
Rohana Dissanayake ◽  
Mangalika Jayasundara
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Stock Market Index ◽  
Index Construction ◽  
Price Series ◽  
Adjusted Model ◽  
The Impact

<p>A stock market index is designed to measure the performance of value of a set of stocks. The set of stock can be entire market of a particular country or a sector. Indices can be used not only to see how the stock market, for instance, has changed over time, but it allows easy comparison between stocks that represent different sectors or even different stocks. An index construction or rebalancing of existing index is a major market event that investor might know before the event take place. The index inclusion reflects a positive situation about the quality, risks and possible future return of the stock. This study examine whether any price and trading volume effects arise from S&amp;P SL 20 index construction. S&amp;P SL 20 index was launched in 26, June 2012, based on 20 blue chip companies in Sri Lanka. The current study employs the standard event study methodology to identify the abnormal returns associated with the launching of the S&amp;P SL 20 index. Three normal return benchmarks, namely the market-adjusted model, mean-adjusted model and the market model have been used for the purpose of finding abnormal returns. Price series and volumes of stocks in S&amp;P SL 20 list (after and before) were considered and those are retrieved from Colombo stock exchange.</p><p>The study finds that the abnormal returns following the launch of the S&amp;P SL 20 index is statistically insignificant.</p>

Sign in / Sign up

Export Citation Format

Share Document