scholarly journals Modeling Business Performance and Macroeconomic Factors to Explain Stock Market Returns in LQ45 Indonesia Stock Exchange (IDX)

2019 ◽  
Vol 2 (1) ◽  
pp. 38-65
Author(s):  
Benny Budiawan Tjandrasa
Keyword(s):  
Stock Returns ◽  
Business Performance ◽  
Stock Exchange ◽  
Political Stability ◽  
Industrial Sector ◽  
Least Square ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Macroeconomic Conditions ◽  
Performance Factors

The purpose of this study is to confirm the effect of business performance and macroeconomics on stock returns in the industrial sector in the Indonesia Stock Exchange LQ45 index. This study examines eight variables from business performance and macroeconomics, namely: current ratio, debt-equity ratio, total asset turnover, return on equity, inflation rate, interest rate, exchange rate, and political stability to be tested for the effect on the stock return of the industrial sector. Using Generalized Least Square techniques, it is concluded that the Industrial sector in the Indonesia Stock Exchange is strongly influenced by macroeconomic factors rather than business performance factors. This is common in capital markets which are mostly dominated by foreigners because foreign investors are very sensitive to changes in a country's macroeconomic conditions especially if it is related to political conditions. From the iteration results, there are two multivariate regression models which are statistically considered the most suitable. The originality of this study is to prove statistically that political stability is very influential on LQ45 stock returns in the industrial sector on the Indonesia Stock Exchange

scholarly journals On Effects of Macroeconomic Factors on Rate of Return on Stocks on HoChiMinh Stock Exchange

2013 ◽  
Vol 218 ◽  
pp. 48-61
Author(s):  
ANH VÕ THỊ THÚY ◽  
HẢI NGUYỄN THANH
Keyword(s):  
Business Performance ◽  
Factor Model ◽  
Stock Exchange ◽  
Random Effect ◽  
Industrial Sector ◽  
Rate Of Return ◽  
Macroeconomic Factors ◽  
Factors Affecting ◽  
Two Factors ◽  
The Impact

Using factor model and fixed or random effect approaches, this article studies the factors affecting the rate of return on the stocks listed on the Vietnamese stock market. The results show that the rate of return is affected by the two factors: inflation and the Nikkei index as an indicator of regional economy. The impact of inflation is much more powerful. The strongest impact of the unexpected inflation is found in industrial sector and consumption while enterprises with good business performance only suffer a milder effect. The impact of Nikkei index on local stocks is rather weak but less dispersed.

scholarly journals INVESTIGATING THE NEXUS BETWEEN MUTUAL FUND RETURN AND STOCK MARKET PERFORMANCE – EVIDENCE FROM PAKISTAN STOCK EXCHANGE

2018 ◽  
Vol 14 (1) ◽  
pp. 23-38
Author(s):  
Muhammad Tariq ◽  
Keyword(s):  
Panel Data ◽  
Stock Market ◽  
Stock Returns ◽  
Mutual Fund ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Stock Market Performance ◽  
Equity Funds

This study is aimed to determine the nexus between mutual fund returns and stock market returns in Pakistan. This study adds contribution by testing the causa-effect relation of mutual fund returns and macroeconomic factors on the stock returns in Pakistan. This study is based on Panel data for 10 AMCs operating in Pakistan and macroeconomic factors for the period of 2007 to 2016. The hypothesis testing is based on panel data analysis, therefore the panel regression is applied via PLS, FEM and REM comparison.  The study concludes that the there is significant effect of Equity Funds Returns on Stock Return. On the other hand, debt funds return and T-bills have the insignificant impact on Stocks Return. This study recommends influential findings for the policy makers such as equity funds have positive effect on the stock market.

The Variability of IPO Issuance: Evidence from Pakistan Stock Exchange

2020 ◽  
pp. 097215092092919
Author(s):  
Waqas Mehmood ◽  
Rasidah Mohd-Rashid ◽  
Abd Halim Ahmad
Keyword(s):  
Initial Public Offerings ◽  
Robust Regression ◽  
Stock Exchange ◽  
Emerging Market ◽  
Political Stability ◽  
Least Square ◽  
Quadratic Model ◽  
Macroeconomic Factors ◽  
Public Offerings ◽  
Inducing Factors

The present study intends to explore the inducing factors for going public in the emerging market of Pakistan from 2000 to 2018. This study used ordinary least square (OLS), stepwise regression, robust regression and quadratic model to achieve the objectives. The findings revealed that inflation, gross domestic product (GDP) and political stability were positively significant, whereas lending interest rate and underpricing were negatively significant in explaining the number of initial public offerings in Pakistan, as supported by the empirical evidence. Furthermore, the weak macroeconomic factors indicated unfavourable development in the capital market of Pakistan. Concurrently, low confidence for both potential issuers and investors could be seen in fewer IPO activities due to the country’s weak macroeconomic indicators.

scholarly journals PENGARUH KURS, GROSS DOMESTIC PRODUCT DAN SOLVABILITAS TERHADAP RETURN SAHAM INVESTOR PADA PERUSAHAAN PERTAMBANGAN

2019 ◽  
Vol 8 (10) ◽  
pp. 6262
Author(s):  
Martina Carissa Dewi ◽  
Luh Gede Sri Artini
Keyword(s):  
Exchange Rate ◽  
Gross Domestic Product ◽  
Exchange Rates ◽  
Stock Returns ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Domestic Product ◽  
Mining Company ◽  
Macroeconomic Factors ◽  
Regression Test

The level of return obtained by investors is influenced by microeconomic and macroeconomic factors. This study aims to obtain empirical evidence regarding the effect of exchange rates, Gross Domestic Product and solvency on stock returns. This research was conducted at the mining company in the coal sub-sector on the Indonesia Stock Exchange. All the coal mining sub-sector companies listed on the Stock Exchange for the period 2014-2017 used as the population. The method of determining the sample used is using a saturated sampling technique. Multiple linear regression test used as the data analysis on this research. Based on the results of the analysis of this study it was found that the exchange rate and GDP had a negative and significant effect on stock returns. The solvency proxied by DER has a positive and significant effect on stock returns. Keywords: Exchange Rate, Gross Domestic Product, Solvability and Return.

scholarly journals Liquidity Ratio, Profitability, And Solvency On Stock Returns With Capital Structure As An Intervening Variable (Study On Food And Beverage Sub Sector Listed In Indonesia Stock Exchange (Idx) Period 2013-2017)

2019 ◽  
Vol 3 (1) ◽  
pp. 52
Author(s):  
Agus Sucipto ◽  
Nailul Chasanah
Keyword(s):  
Capital Structure ◽  
Stock Returns ◽  
Negative Impact ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Partial Least Square ◽  
Least Square ◽  
Food And Beverage ◽  
Negative Effect ◽  
The Capital Structure

The stock market is a business field of securities trading one of them stock. For prospective investors, investment decisions in stock must be preceded by a process of analysis of variables which can influence the price of a stock. Investors need to have benchmarks in order to know whether if he invested in a company he would benefit if the shares are sold. Salaah one factor to be a benchmark investor is knowing the financial condition of the company where it can be seen with the financial ratio analysis and management of an optimal capital structure. This study aims to determine the effect of the ratio of liquidity, profitability, and solvency to return stock with a capital structure as an intervening variable.This study uses a quantitative approach. The research method using the method of documentation. Samples were company food and beverage sub-sectors listed in Indonesia Stock Exchange 2013-2017 period. The sampling technique used purposive sampling method with predetermined criteria obtained 11 samples of the company. This study uses data analysis Partial Least Square (PLS).These results indicate that liquidity ratios have a negative impact on stock returns, while the profitability and solvency ratios have no effect on stock returns. The results also show the liquidity ratio and solvency ratio has a negative effect on the capital structure, profitability ratios while not having capital structure. And capital structure has a negative impact on stock returns. The results also show the ratio of liquidity, profitability, and solvency partially no effect on stock returns with the capital structure as an intervening variable.

scholarly journals Reaction of stock market returns to COVID-19 pandemic and lockdown policy: evidence from Nigerian firms stock returns

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Isiaka Akande Raifu ◽  
Terver Theophilus Kumeka ◽  
Alarudeen Aminu
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Estimation Methods ◽  
Panel Var ◽  
Impulse Response Functions ◽  
Market Returns ◽  
Stock Market Returns ◽  
Long Run ◽  
Policy Shocks

AbstractGiven the effects COVID-19 pandemic on the financial sectors across the world, this study examined the reaction of stock returns of 201 firms listed in the Nigerian Stock Exchange to the COVID-19 pandemic and lockdown policy. We deployed both Pooled OLS and Panel VAR as estimation methods. Generally, the results from POLS show the stock market returns of the Nigerian firms reacted negatively more to the global COVID-19 confirmed cases and deaths than the domestic COVID-19 confirmed cases and deaths and lockdown policy. The results of the impulse response functions revealed that the effects of COVID-19 confirmed cases and deaths and lockdown policy shocks on stock returns oscillate between negative and positive before the stock market returns converge to the equilibrium in the long run. The FEVD results showed that growth in the COVID-19 confirmed cases, deaths and lockdown policy shocks explained little variations in stock market returns. Given our finding, we advocate for the relaxation of policy of lockdown and the combine use of monetary and fiscal policies to mitigate the negative effect of COVID-19 pandemic on stock market returns in Nigeria.

scholarly journals Measuring Stock Market Predictability with Implications of Financial Ratios: An Empirical Investigation of Pakistan Stock Market

2020 ◽  
Vol 12 (2) ◽  
Author(s):  
Abdul Samad Shaikh ◽  
Muhammad Kashif ◽  
Sadia Shaikh
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Strong Predictor ◽  
Generalized Least Squares ◽  
Financial Ratios ◽  
Arbitrage Pricing Theory ◽  
Market Returns ◽  
Stock Market Returns ◽  
Study Results

This paper investigates the financial ratios prediction on Stock Market Returns for Pakistan Stock Exchange. The research includes three financial ratios; Dividend Yield (DY), Earning Yield Ratio (EYR) and Book-to-Market Ratio (B/M); that have been observed through past researchers as predictors of Stock Market Returns. The theoretical framework is based on Arbitrage Pricing Theory and Capital Asset Pricing Model CAPM by Roll and Ross (1977) and Fama-French 3 factor (1992). Generalized Least Squares (GLS) is applied to estimate the predictive regressions, Cointegration runs are applied to evaluate the long-term relationship, and Generalized Methods of Moments (GMM) to measure the moments over the years and fluctuations in stock returns. The study results show financial ratios as strong predictor of stock return in Pakistan Stock Exchange, the GMM analyses reveal that the EYR has the higher predictive power than DY and B/M respectively. Furthermore, it is found that the financial ratios predictability is enhanced when ratios are combined in the multiple predictive regression models. The research findings are useful for the stock market investors to evaluate their decisions and for academic researchers to evaluate the stock market and investment predictability.

scholarly journals FACTORS DETERMINING STOCK MARKET RETURNS: CASE OF NAIROBI STOCK EXCHANGE

2016 ◽  
Vol 1 (1) ◽  
pp. 108
Author(s):  
Samson Okoth Ondiek ◽  
Dr. Ongoro
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Significant Relationship ◽  
Unique Contribution ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Book Value ◽  
Company Stock ◽  
The Government

AbstractPurpose: The study attempts to establish if the changing macroeconomic factors and the industry variables can predict the variation on the Nairobi Security Exchange stocks return Methodology: It adopted a regression model that related stock returns to various selected macro and micro economic factors and used data of 20 companies that constitute the NSE index. The study used monthly data spanning the year 2006 to 2010.Results: The regression results indicate that, four of the variables i.e. market return (NSEI), exchange rate for US/KSH, market to book value ratio have a positive and significant relationship with an individual company stock market returns. Risk Free rate (91 Treasury bill rate) also had a positive and significant relationship while industrial growth opportunity and inflation were found to be negative and significant. leverage on the other hand was found to be insignificant and therefore does not influence individual company stock market returns. Unique contribution to theory, practice and policy: These findings will have significant effects on investors’ investment decisions making as well as the Government and the capital markets authority (CMA) in the formulation of polices and guidelines. Once factor betas are estimated, we can describe the expected change in security returns with respect to changes in a given factor and thus giving the investors, CMA and the Government a better understanding on the effect of a change in the fiscal and monetary policies in the stock market. This is crucial to the Government as it seeks to promote the capital market as a source of alternative funding for economic growth. Investors wishing to construct portfolios should also consider the trends of the inflation rates, exchange rates, market to book value ratio, industrial production and the stock market.  The rise of either of this micro and macroeconomic indicators may influence the returns positively or negatively and hence the investor may choose the best time to either buy or sell their securities

scholarly journals THE FINANCIAL PERFORMANCE OF DEVELOPMENT IN THE COMMONWEALTH OF INDEPENDENT STATES BANKING SECTOR

2021 ◽  
pp. 84-97
Author(s):  
A. Faizulayev ◽  
G. Dabylova ◽  
A. Assylkhanova
Keyword(s):  
Financial Performance ◽  
Empirical Analysis ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Political Stability ◽  
Least Square ◽  
Macroeconomic Factors ◽  
Commonwealth Of Independent States ◽  
Independent States ◽  
In Cis

Our purpose is to investigate how bank-specific, macroeconomic indicators and political stability in the country impact commercial banks’ profitability in CIS (Commonwealth of Independent States) countries during the period of 1991-2017.Methodology. To conduct empirical analysis, we applied feasible generalized least square (FGLS) method.The originality / value of the research is the contribution to the existing literature is twofold: first, to estimate profitability determinants we used broad range of years from 1991 to 2017, secondly, the application of FGLS model was employed for the first time to conduct the research in CIS region using new indicators such as political stability, corruption and global financial crisis dummy.Findings. Results of our empirical analysis state that some bank specific factors have positive and significant impact on profitability, while macroeconomic factors affect financial performance negatively. Political stability has no effect on profitability of banks in CIS countries.

scholarly journals Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Salem Alshihab ◽  
Nayef AlShammari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Prices ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Adf Test

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

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