scholarly journals Stock Market Anomaly: Day of the Week Effect in Bombay Stock Exchange with the Application of GARCH Model

2020 ◽  
Vol 9 (5) ◽  
pp. 2244-2249
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Garch Model ◽  
Effect Analysis ◽  
Day Of The Week ◽  
Index Value ◽  
The Garch Model ◽  
Daily Returns

It has observed from many stock markets around the world that index value used to vary due to fluctuation in stock prices. One of the most important factors of variation in the stock prices is the day of the week effect, which indicates calendar irregularities in stock markets. Investment in the stock market is the most uncertain; therefore investors get worried regarding the appropriate day to trade in the financial market. The main objective of the present study is to find out the appropriate day of the week effect of developing the stock market of an emergent nation like India from 1st January 2000 to 31st December 2018. For fulfilling the objectives of the study, the daily closing value of four major indices of the Bombay Stock Exchange has been taken into consideration. To test the equality between average returns to different days and to examine the distribution pattern of daily returns series that measure the day of the week analysis, the parametric tools alike Mean and Standard deviation have employed. Apart from the parametric test, t-test has also applied to the daily returns in order to test the hypothesis. In this study, descriptive statistics and the GARCH model has also used with the purpose of measuring the day of the week effect analysis. Conferring to the results, the coefficients express that the return among different days of the week are statistically significant

scholarly journals Ramadan Effect and Volatility Risk by Garch Model: Evidence in Indonesia Stock Market

2021 ◽  
pp. 73-82
Author(s):  
Dery Westryananda Putra ◽  
Sri Hasnawati ◽  
Muslimin Muslimin
Keyword(s):  
Stock Market ◽  
Sampling Method ◽  
Stock Exchange ◽  
Garch Model ◽  
Analytical Tool ◽  
Volatility Risk ◽  
Purposive Sampling ◽  
Model Evidence ◽  
The Garch Model

This study aims to analyze the effect of the Ramadan effect and volatility risk on the Indonesian stock market using the GARCH model. The population in this study are companies listed on the LQ45 index on the Indonesia Stock Exchange during 2019. There are 42 companies used as samples in this study. The research sample was taken using purposive sampling method. This study uses the GARCH model as an analytical tool. The results of this study indicate that there is no Ramadan effect on the LQ45 index, but the volatility in the month of Ramadan affects the volatility in the LQ45 index. Keywords: Ramadan Effect, Volatility Risk, GARCH Model Abstrak Penelitian ini bertujuan untuk menganalisis pengaruh Ramadhan effect dan risiko volatilitas terhadap pasar saham Indonesia dengan menggunakan model GARCH. Populasi dalam penelitian ini adalah perusahaan yang terdaftar pada indeks LQ45 di Bursa Efek Indonesia selama tahun 2019. Terdapat 42 perusahaan yang dijadikan sampel dalam penelitian ini. Sampel penelitian diambil dengan menggunakan metode purposive sampling. Penelitian ini menggunakan model GARCH sebagai alat analisis. Hasil penelitian ini menunjukkan bahwa tidak ada pengaruh Ramadhan terhadap indeks LQ45, namun volatilitas pada bulan Ramadhan berpengaruh terhadap volatilitas pada indeks LQ45. Kata Kunci: Ramadhan Effect, Risiko Volatilitas, Model GARCH

scholarly journals Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications

2019 ◽  
Vol 69 (2) ◽  
pp. 273-287 ◽  
Author(s):  
Florin Aliu ◽  
Besnik Krasniqi ◽  
Adriana Knapkova ◽  
Fisnik Aliu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Weighted Average ◽  
Stock Index ◽  
Risk Level ◽  
Average Return ◽  
Monetary System ◽  
Managerial Implications

Risk captured through the volatility of stock markets stands as the essential concern for financial investors. The financial crisis of 2008 demonstrated that stock markets are highly integrated. Slovakia, Hungary and Poland went through identical centralist economic arrangement, but nowadays operate under diverse stock markets, monetary system and tax structure. The study aims to measure the risk level of the Slovak Stock Market (SAX index), Budapest Stock Exchange (BUX index) and Poland Stock Market (WIG20 index) based on the portfolio diversification model. Results of the study provide information on the diversification benefits generated when SAX, BUX and WIG20 join their stock markets. The study considers that each stock index represents an independent portfolio. Portfolios are built to stand on the available companies that are listed on each stock index from 2007 till 2017. The results of the study show that BUX generates the lowest risk and highest weighted average return. In contrast, SAX is the riskiest portfolio but generates the lowest weighted average return. The results find that the stock prices of BUX have larger positive correlation than the stock prices of SAX. Moreover, the highest diversification benefits are realized when Portfolio SAX joins Portfolio BUX and the lowest diversification benefits are achieved when SAX joins WIG20.

Inter-relationship between performance of Bursa Malaysia and foreign stock markets

2006 ◽  
Vol 3 (1) ◽  
pp. 113
Author(s):  
T. Chantrathevi P. Thuraisingam ◽  
You Hoo Tew ◽  
Dalila Daud
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Composite Index ◽  
Asian Financial Crisis ◽  
Moderate Correlation ◽  
Crisis Period ◽  
Dow Jones Industrial Average ◽  
Daily Returns ◽  
Over Time

This paper explores the general perception that the Malaysian stock market is influenced by leading overseas stock markets. Employing correlation analysis comparison was made between the performance ofBiirsa Malaysia's Composite Index and six stock market indices namely Straits Times Index, Hang Seng Index, Nikkei 225 Stock Average, Australia All Ordinaries Index, Dow Jones Industrial Average Index and Financial Times 100 Index. This study also seeks to determine ifthere is any significant stability ofcorrelations over time. These indices were studied over a period offifteen years from I January 1990 to 31 December 2004, beginning with the cessation oftrading ofMalaysian shares on the Singapore stock exchange, which is synonymous with the pre-Asian financial crisis period, the crisis period and a post crisis period of almost five years. The study found that the, daily returns of the Composite Index over the period is positively co-related with the foreign indices indicating that the markets were moving in the same direction, in other words there is interdependency between the stock markets. However, the low to moderate correlation refutes the belief that the Malaysian stock market is influenced by the performance ofthe major stock markets. The study also found that generally the correlations are unstable over lime.    

scholarly journals EXAMINING THE CONTEMPORANEOUS CAUSALITY BETWEEN CHINESE AND GHANAIAN STOCK MARKETS AMIDST THE COVID-19 PANDEMIC

2021 ◽  
pp. 14-28
Author(s):  
Xunfa Lu ◽  
Fredrick Oteng Agyeman ◽  
Ma Zhiqiang ◽  
Mingxing Li ◽  
Agyemang Akwasi Sampene ◽  
...  
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Financial Management ◽  
Stock Exchange ◽  
Causal Effect ◽  
Garch Model ◽  
Arma Model ◽  
Transfer Entropy ◽  
Chinese Stock Market ◽  
Dynamic Correlation

Examining the contemporaneous causality between Chinese and Ghanaian stock markets before and amidst the coronavirus disease 2019 (COVID-19) pandemic is of immense interest to many stakeholders in making effective and efficient decisions. This study investigates why the two stock markets’ fluctuations seem to move in tandem despite a broader economic phenomenon. Shanghai Stock Exchange and Ghanaian Stock Exchange composite indices data were used for this study spanning 2011-2020. The Granger causality and transfer entropy are applied to investigate the mean transmission. The Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH) model portrays the dynamic correlation and the ARMA model is used to fit the log-returns of the two indices. Results show that the Chinese stock market has a substantial causal effect on the Ghanaian stock market based on transfer entropy with the second order of lag while there is a considerable causality from the stock market of Ghana to the Chinese stock market through the third and fifth orders of lags. This implies the asynchronous return transmission between Chinese and Ghanaian stock markets. Moreover, the long term volatility connection significantly impacts the two markets, but the short-term volatility pattern does not heavily affect the markets based on the DCC-GARCH model. The best-fitted model for the log returns of two stock markets is ARMA (1,1). This study recommends that policymakers and investors adopt diversification as a resort to financial management.

Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis

2018 ◽  
Vol 53 (4) ◽  
pp. 225-238
Author(s):  
Subrata Roy
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Jel Classification ◽  
Test Statistics ◽  
Random Walk Hypothesis ◽  
Index Value ◽  
Daily Returns

The study seeks to examine the Random Walk Hypothesis (RWH) and market efficiency of the selected stock market indices particularly London Stock Exchange, EuroStoxx 50, Nihon Keizai Shimbum (NIKKI), Shanghai Composite Stock Exchange and Bombay Stock Exchange. Daily closing index value is considered and transformed into logarithm return. Various tests like serial independence test, unit root test and multiple variance tests are applied. It is observed that the null hypotheses (presence of random walks) of the daily returns of the indices are rejected and in few cases are accepted based on various test statistics. JEL Classification: G00, G01, G02

scholarly journals COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

2021 ◽  
Vol 14 (8) ◽  
pp. 341
Author(s):  
Ștefan Cristian Gherghina ◽  
Daniel Ștefan Armeanu ◽  
Camelia Cătălina Joldeș
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Market Volatility ◽  
Causal Connection ◽  
Stock Market Volatility ◽  
Quantitative Investigation ◽  
The Global Financial Crisis ◽  
The Garch Model ◽  
Daily Returns

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

scholarly journals TESTING THE GARCH MODEL IN THE VIETNAMESE STOCK MARKET

2010 ◽  
Vol 13 (4) ◽  
pp. 5-14
Author(s):  
Hien Thu Nguyen ◽  
Nghi Dinh Le
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Trading Volume ◽  
Garch Model ◽  
Conditional Variance ◽  
Investment Risk ◽  
The Garch Model

An important factor of interest of investors on stock markets is investment risk. Risk can undergo a quantitative process through volatility, be measured by conditional variance of stock returns. GARCH is an effective and popularly used model for volatility effect on stock returns. This study tests the GARCH model and analyzes other aspects of volatility on stock returns on the two stock markets of Vietnam. In addition, the study provides evidence of the existence of GARCH effect on Vietnamese stock markets. Besides, the study also assesses price margin policy, trading volume and leverage effects on volatility of stock returns.

The Effect of Current Ratio and Debt to Asset Ratio on Net Profit Margin and Stock Prices: A Study of Basic Industry and Chemicals Companies

2020 ◽  
pp. 282-294
Author(s):  
Sudirman S ◽  
Muhammad Wahyuddin Abdullah ◽  
Muhammad Obie
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Profit Margin ◽  
Current Ratio ◽  
Industry Sector ◽  
Basic Industry ◽  
Net Profit ◽  
Equity Ratio ◽  
Index Value

This study examined the effect of current ratio and debt to asset ratio on net profit margin and stock prices of the sector basic industry and chemicals companies listed on the Indonesia Stock Exchange in the period 2015-2019. The object of research was the stock prices of companies in the Basic Industry and Chemicals sector, which have been published through the official website of the Indonesian capital market. It was used secondary data derived from the monthly statistics, including Current Ratio data, Net Profit Margin, Debt to Asset Ratio, and data on closing prices for the period 2015-2019. In analyzing data, it was used path analysis of secondary data obtained from the basic industry sector financial statements of 60 companies. The company's performance in this sector is considered quite good when seen from the movement of the index value in the last five years. The results show that direct current ratio had a positive and significant effect on the net profit margin, and the debt to equity ratio did not significantly influence the net profit margin. The current ratio has a positive and significant effect on stock prices, and the debt to equity ratio has a negative and not significant effect on stock prices. In contrast, the net profit margin has a significant effect on stock prices in the basic industry sector companies on the Indonesia Stock Exchange. Indirectly the current ratio has a positive and significant effect on stock prices. In contrast, the debt to asset ratio has a negative and not significant effect on the company's stock prices in the basic industry sector on the Indonesia Stock Exchange.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

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