scholarly journals The Effect Of Price Limits Changes On Return Volatility: Evidence From The Stock Exchange Of Thailand

2011 ◽  
Vol 3 (9) ◽  
Author(s):  
Sirapat Polwitoon
Keyword(s):  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Price Volatility ◽  
Price Limits ◽  
Price Limit ◽  
Return Behavior ◽  
Stock Exchange Of Thailand ◽  
Return Variance ◽  
The Impact

This paper investigates the effect of price limits changes on stock return behavior on the Stock Exchange of Thailand (SET). We compare the short run behavior of stock return under different regimes of price limits. The comparison is based on structural volatility, as measured by ratio of open-to-open return variance and close-to-close return variance. We also examine the covariance components of the 24-hour return and 12-hour return to detect the relation between limit width and the pattern of overreaction. We analyze the impact of trading volume and market value on structural volatility and overreaction as well. We find that return behavior at the SET is found to be rather consistent with those of other exchanges that employed price limit namely, Tokyo Stock Exchange and Taiwan Stock Exchange. In particular, the changes of price limit at the SET magnify the pattern of return behavior that exists before and after the changes resulting in increases in structural price volatility and overreaction during the narrow limit regime.

scholarly journals The Impact of Tax Amnesty Announcement towards Share Performance and Market Reaction in Indonesia

2018 ◽  
Vol 7 (2) ◽  
pp. 39
Author(s):  
Lidya Agustina ◽  
Yuliana Gunawan ◽  
Windawaty Chandra
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Trading Volume ◽  
Stock Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Test Method ◽  
Tax Amnesty ◽  
The Impact

The Indonesian Government reviewed back the tax amnesty in 2016. Various reactions came up along with the announcement of tax amnesty, the investors did not accept- which led to the announcement of the Tax Forgiveness regulation through the market reactions and stock market performances in Indonesia Stock Exchange. This research is to analyze event study using information based on government-related announcements to show the impact of the new regulation towards stock performance and market reaction. The effect of the announcement will be seen from the changes in stock-prices or stock-returns that provide abnormal returns in the event period as well as market reaction which reflected in trading volume. This research used stock-return data and trading volume from all companies listed in IDX in 2016 and analyzed using the Paired Sample T-Test method. The result of this research shows there are differences among the average of stock-return, average abnormal-return of stock, and stock trading volume before and after the tax amnesty announcement.

scholarly journals Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System

2021 ◽  
Vol 9 (2) ◽  
pp. 24
Author(s):  
Athanasios Tsagkanos ◽  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Christos Floros
Keyword(s):  
Sovereign Debt ◽  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Debt Crisis ◽  
Banking System ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
Intraday Data ◽  
The Impact

The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001–30 December 2020. This period includes several market phases, such as the latest financial crisis, the European sovereign debt crisis and enforcement of restrictions on transactions owing to capital controls on the Athens Stock Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling.

Market reaction to the Karachi stock exchange floor imposition

2015 ◽  
Vol 4 (2) ◽  
pp. 275-291 ◽  
Author(s):  
Saqib Sharif
Keyword(s):  
Financial Markets ◽  
Market Reaction ◽  
Stock Exchange ◽  
Price Volatility ◽  
Price Limits ◽  
Content Type ◽  
Market Intervention ◽  
Price Floor ◽  
Price Freeze ◽  
Regulatory Intervention

Purpose – The purpose of this paper is to investigate the market reaction to the decision made by the management of the Karachi Stock Exchange (KSE) to impose a price floor that resulted in trading curbs in 2008. The paper analyzes if regulatory intervention helped in restoring investor confidence. Design/methodology/approach – The paper examines the effect of enforcement of a price floor and trading curbs by splitting the time period studied into two periods: pre-floor and post-floor period. The parametric t-statistics and non-parametric Mann-Whitney test are used to compare the abnormal returns (ARs), abnormal trading volume, bid-ask spread, Amihud illiquidity ratio, and price volatility between the two periods. Event study was conducted to observe the behavior of market returns surrounding market-wide price floor. Finally, multivariate regression analysis was also applied by controlling for factors that might influence valuation, liquidity, and volatility. The standard errors have been corrected for cross-sectional clustering due to market-wide restrictions. Findings – The study found an adverse impact of price freeze and trading curb in the KSE, following the relaxation of floor (resumption of active trading). First, the price of securities (or ARs) significantly declined following the relaxation of the price freeze. Second, the market liquidity deteriorated following the relaxation of the price floor. Third, the price volatility increased in the post-floor period. It seems that the decision made by the KSE’s board to implement lower cap on prices for an extended period was ineffective. Practical implications – Market intervention by regulators to bring calm in the financial markets have negative consequences across the globe. The results presented in this paper suggest that implementing price floor brought inefficiency in the market and prevented firms from raising capital to finance their future investments. The author believe this study will add to the knowledge base of regulatory intervention and its impact on the performance of financial markets. Originality/value – There is no empirical evidence on the impact of price limits on volatility in emerging markets. The author selected Pakistan as a case study, where we particularly focus upon impact of the enforcement of a price floor around the peak of Global Financial Crisis (or market intervention) in Pakistan. This study also documents the effect of trading curb on liquidity and volatility in an emerging market, given that a majority of research on trading halt/price limits is based on developed markets.

scholarly journals Does Financial Performance Matter? Evidence on the Impact of Liquidity and Firm Size on Stock Return in Indonesia

2020 ◽  
Vol 11 (4) ◽  
pp. 546
Author(s):  
Mochammad Chabachib ◽  
Ike Setyaningrum ◽  
Hersugondo Hersugondo ◽  
Intan Shaferi ◽  
Imang Dapit Pamungkas
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Significant Relationship ◽  
Stock Return ◽  
Stock Exchange ◽  
Mediating Effect ◽  
Return On Equity ◽  
Stock Investment ◽  
Equity Ratio ◽  
The Impact

In the modern era, stock investment can attract domestic investors or foreign investors. The objective is to invest their funds at the capital market that expect higher stock returns. The study aims to analyze factors that can affect stock returns and know the mediating effect of return on equity. The object of this research is the property and real estate sector that is listed on the Indonesia Stock Exchange from 2013 to 2018. This research used debt to equity ratio, current ratio, total asset turnover, firm size as independent variables and stock returns as dependent variables. Path analysis is used as reseach method tools with SMART PLS.The result says that debt to equity ratio and return on equity has a positive significant relationship with stock return, meanwhile firm size has a significant negative significant relationship with stock returns. Furthermore, return on equity can mediate the relationship between debt and equity ratios to stock returns.

scholarly journals Margin requirements and Stock Market Volatility in Bangladesh

2012 ◽  
Vol 3 (2) ◽  
pp. 29
Author(s):  
A. F. M. Mainul Ahsan ◽  
Mohammad Osman Gani ◽  
Md. Bokhtiar Hasan
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Margin Requirements ◽  
Margin Requirement ◽  
Daily Stock Returns ◽  
The Impact

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

The Mirror of Malaysia Real Estate Investment Trust Stock Return in the Short-Run Dynamics

2021 ◽  
Vol 12 (3) ◽  
pp. 547-562
Author(s):  
William Choo Keng Soon Et.al
Keyword(s):  
Real Estate ◽  
Crude Oil ◽  
Capital Market ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Financial System ◽  
Empirical Finding ◽  
Short Run ◽  
The Impact

The formation of Islamic capital market under the subcomponent of Islamic financial system scratch a milestones development of Islamic finance in Malaysia. The Islamic capital market operates in mirror with convention capital market in expending, deepening and broadening Malaysia financial system. Malaysia is one of the REIT markets that value both the Islamic and conventional practices, such flexibility makes the attract not only to the local investor but also Islamic investors and foreign investor. The major source that generates income for REIT is the rental of the commercial real estate invested and hold as portfolio by the REIT management company. Furthermore, Malaysia REIT is known to be defensive stocks which consist of cyclic income producing assets that has some potential of asset appreciation. On the other hand, it witnessed by the moderation of Malaysia government bond yields created a lower pressure on the REIT stock price and analyst’s report highlighted the uncertainties on global crude oil prices and inflation is main concerned to REIT investors. In addition, the revision of 2019 tax system in Malaysia furnished a long run affected the dividend payout and volatility of REIT stock price. Therefore, this impact on the REIT stock liquidity and trading volume experiencing anil liquid trading. Therefore, the impact of external forces towards the mirror of two type of Malaysia REITs is significant to the investors, policy makers and government to outline the short-run relationship and facilitate future growth. The Vector auto regression model, granger causality and variance decomposition employed in this study to analyze the mirror of two types Malaysia REIT stock return. The empirical finding shows that the variability of dividend yield is vital explanatory variables to explain the both type of REIT stock return in Malaysia followed by interest rate for Islamic REIT stock return. The mirror of conventional REIT further implicated that trading volume and global crude oil price are useful to forecasting the changes in the stock return. Nutshell, this study provides a discussion of Malaysia REIT stock return behavior and it should be given necessary attention by researchers in ensuring the newly develop Islamic REIT are competitive and stability as the conventional REIT.

The Correlation between R&D Activities and Income Rate in Addition to Gross Profit Rate of the Enterprise Operation

2013 ◽  
Vol 798-799 ◽  
pp. 865-868 ◽  
Author(s):  
Tina C. Chiao
Keyword(s):  
Research And Development ◽  
Financial Performance ◽  
Institutional Investors ◽  
Trading Volume ◽  
Stock Exchange ◽  
Business Value ◽  
Profit Rate ◽  
Taiwan Stock Exchange ◽  
The Impact ◽  
Future Business

As the trading volume by institutional investors in Taiwans stock market increasing in recent years according to information of Taiwan Stock Exchange Corporation, the influence on financial performance by the institutional investors is getting more and more important although institutional investors play a monitoring role to the company. Thus the impact of R & D activities on the financial performance of enterprises is studied frequently. This study focuses on the impact of R & D activities on income rate in addition to gross profit rate of the Enterprise Operation. The implication in practice is that business must attract research and development intensity (RDI) relative to research and development density (RDD) to improve future business value.

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