scholarly journals RELATIONSHIP BETWEEN INVESTORS SENTIMENT INDEX WITH FIRST AND SECOND MARKET INDEXES IN TEHRAN STOCK EXCHANGE (TSE)

2015 ◽  
Vol 37 ◽  
pp. 16
Author(s):  
Hadi Fayyazi ◽  
Rasoul Goshtasbi Maharlouei
Keyword(s):  
Decision Making ◽  
Capital Market ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Granger Causality Test ◽  
Financial Assets ◽  
Exchange Market ◽  
Significant Relation ◽  
Causality Test ◽  
Market Indexes

http://dx.doi.org/10.5902/2179460X19424The process of being affected of the investors in decision making from their sentiment has been considered in many recent researches in the field of the financial assets pricing. Some authors suggest that shifts in investor sentiment may in some instances better explain shortterm movement in asset prices than any other set of fundamental factors. The present study tries to investigate the relation between the investors sentiment index and First and Second Market Indexes in Tehran Stock Exchange Market. This paper, an index was used in order to measure the available data on sentiment of the investors in facing the risks in a 142-month period (2001 – 2014) in Tehran Stock Exchange. The used index can reveal and present the situation of the Iranian capital Market in terms of the Investors Sentiments. The results obtained from the present study reveal a positive and significant relation between the investors’ sentiment Index of the Tehran Exchange First and Second Market Indexes; and also by using from Granger Causality Test, it was revealed that there is a mutual causality relation between the investors’ sentiment Indexes of the TEFMIX and TESMIX.

Decision-making system for stock exchange market using artificial emotions

2015 ◽  
Vol 42 (20) ◽  
pp. 7070-7083 ◽  
Author(s):  
Daniel Cabrera-Paniagua ◽  
Claudio Cubillos ◽  
Rosa Vicari ◽  
Enrique Urra
Keyword(s):  
Decision Making ◽  
Stock Exchange ◽  
Exchange Market ◽  
Artificial Emotions ◽  
Decision Making System

scholarly journals Dynamic linkage between nifty-fifty and sectorial indices of national stock exchange

2020 ◽  
Vol 3 (2) ◽  
pp. 17-27
Author(s):  
Kamaljit Singh ◽  
Vinod Kumar
Keyword(s):  
Causal Relationship ◽  
Granger Causality ◽  
Unit Root ◽  
Service Sector ◽  
Banking Sector ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Financial Service ◽  
Causality Test

The main objective of this paper is to analyze the trend and pattern of the Nifty-Fifty and sectorial indices. An attempt has been also made to find out the causal relationship among the Nifty-Fifty and NSE sectorial Indices. The unit root test and Granger-causality test has been applied to check the causal relationship between Nifty-Fifty and sectorial indices. The finding of the study shows that the financial service sector had performed better and followed by the banking sector among all the indices while the Pharma sector and the Realty sector were Under-performed in comparison to other indices. The Nifty-Fifty has been found less volatile in comparison to other sectorial indices however Realty sector indices show the highest volatility during the study period.

scholarly journals ARE ISLAMIC STOCKS LESS EXPOSED TO SENTIMENT-BASED MISPRICING THAN NON-ISLAMIC ONES? EVIDENCE FROM THE INDONESIAN STOCK EXCHANGE

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Rizqi Umar Al Hashfi ◽  
Ahmad Maulin Naufa ◽  
U’um Munawaroh
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Investor Sentiment ◽  
Principal Component ◽  
Equation Model ◽  
Cross Sectional ◽  
Stock Mispricing ◽  
Time Invariant ◽  
Islamic Values

The aim of this research is to verify the role of Islamic value in stock mispricing in the Indonesian capital market. Empirically, high investor sentiment can lead to mispricing on equity appraisal. When investors feel excessively optimistic about their valuation, equity will be overpriced, or vice versa. The presence of Islamic values, such as the prohibition of interest, speculative and uncertain transactions, and excessive leverage, arguably reduce sentiment-based mispricing. Daily and cross-sectional market data were employed. In addition, principal component analysis was conducted to construct a firm-specific investor sentiment variable. With regard to the method, the Hausman-Taylor (H-T) approach was used to deal with heterogeneity, endogeneity, and the time-invariant variable in Fama-MacBeth regression. The results show that our baseline analysis confirms the mispricing of overall stocks. However, Islamic stocks are less exposed to sentiment-based mispricing than their non-Islamic counterparts. The results are consistent with our robustness test, in which we estimate the equation model across industry and portfolio. Finally, our findings imply various insights for both investors and policymakers.

scholarly journals The Linkage between Sentiments and Stock Market Dynamics New Evidence from Iran

2020 ◽  
Vol 9 (2) ◽  
pp. 29
Author(s):  
Heshmatollah Asgari ◽  
Hamed Najafi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Screening Method ◽  
Market Price ◽  
Investor Sentiment ◽  
Financial Assets ◽  
Causality Test ◽  
Research Criteria ◽  
The Impact ◽  
The Relationship

In recent years, the issue of financial behaviour and the impact of investors’ sentiments on their decision making have become such a popular issue. The sentiments of financial activists affect the market price of financial assets and particularly stocks, and therefore it is included in the new pricing models of capital assets. In this article, we seek the effect of investors’ sentiments on the dynamics of the Iranian stock market (TSE). To do this, among the companies accepted in the stock market we select 120, considering the research criteria and screening method, we examined TSE specifics throughout 2010-2018 using regression analysis and causality test. Our results show that firstly investors’ sentiments have a direct effect on the stock returns and there is a bilateral relationship between them. Secondly, inflation has the opposite effect and economic growth has a direct and positive effect on the relationship between investor sentiment and stock returns. Finally, government spending has no significant effect on the relationship between investor sentiment and stock returns.

scholarly journals Non-financial corporations in Lebanon: Who governs? “The governance myopia”

2016 ◽  
Vol 14 (1) ◽  
pp. 84-95 ◽  
Author(s):  
Mireille Chidiac El Hajj ◽  
Richard Abou Moussa ◽  
Maha Akiki ◽  
Anthony Sassine
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Board Members ◽  
Exchange Market ◽  
Quality Of Information ◽  
Face To Face ◽  
Governance Practices ◽  
First Time

The purpose of this paper is to study governance practices in non-financial enterprises in Lebanon, and it is the first time that such enterprises are studied in the Lebanese context. Only three non-financial institutions are listed in the Beirut Stock Exchange (BSE), which constitute the whole population of this research. Built on Principles, Governance is based on transparency and on accurate, relevant, and timely information in order to support the Board members’ decision-making (OECD, 2015). Balanced between Jensen and Meckling’s (1976) agency theory and Donaldson and Davis’ (1991) Stewardship theory, the results of our Qualitative study showed that the main problems faced by the enterprises are not in the quality of information but rather in its selection and filtering, which opens doors to “Governance Myopia”. Face-to-face interviews showed that the primary conflict in our case is between the non-financial enterprises and the BSE, since the BSE is controlled by the enterprises and is not controlling them. The main reason of such practices come from the fear of the BSE of losing a potential position in the MENA Exchange Market, doubled with the fear of losing potential investors. All these reasons weigh heavily on the Administrators of the BSE in Lebanon, forcing them to choose the “Laisser passer” way. Referring to the soft Law when dealing with the companies, the BSE is playing the double role of a marketer and a controller, thus not willing to impose restrictions. A need for “harder laws”, for “Privatization” of the BSE, and a call to the Capital Market Authority (CMA) to put more restrictions on Corporations should be observed.

scholarly journals Equity liquidity and tax aggressiveness in the Brazilian capital market

2021 ◽  
Vol 20 ◽  
pp. e3188
Author(s):  
Bernardo Fernandes Lott Prímola ◽  
Eduardo Mendes Nascimento ◽  
Octávio Valente Campos
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Tax Planning ◽  
Panel Data Models ◽  
Financial Assets ◽  
Trading Costs ◽  
Publicly Traded ◽  
Tax Aggressiveness ◽  
Longitudinal Effects ◽  
Independent Variable

This study has investigated the potential relationship between equity liquidity and tax aggressiveness in the Brazilian capital market. Using a database of publicly traded Brazilian companies from 2010 to 2019 – not including the year 2020 due to the atypical effects of the COVID-19 pandemic – panel data models have been developed, the goal synthesis of which consisted in evaluating the longitudinal effects of equity liquidity, independent variable, on the book tax difference, dependent variable, and proxy of tax aggressiveness. Results have shown a statistically significant and economically positive relationship between the tax aggressiveness proxy and stockholding liquidity. Results suggests that companies with less volatile stocks, with larger relative stocks in B3 [(in full, B3 – Brasil Bolsa Balcão S.A.), formerly BMFBOVESPA, a stock exchange located at São Paulo, Brazil] businesses and lower trading costs tend to adopt a more aggressive tax planning. This article helps to demonstrate that in an emerging capital market such as the Brazilian one investor tend to belittle occasional increases in profits sparingly through more aggressive tax practices, however, which may result in future losses. Furthermore, this study helps to demonstrate the importance of disclosures about tax planning so that market agents can properly price financial assets.

scholarly journals GLOBALISASI PASAR MODAL DUNIA DAN PENGARUHNYA TERHADAP PASAR MODAL INDONESIA

2017 ◽  
Vol 1 (1) ◽  
pp. 10
Author(s):  
R Adisetiawan
Keyword(s):  
Stock Market ◽  
Capital Markets ◽  
Capital Market ◽  
Stock Exchange ◽  
Global Market ◽  
Stock Market Index ◽  
Causality Test ◽  
Global Capital ◽  
Market Index ◽  
Cointegration Tests

This study aims to prove causality, cointegration and the influence of global capital markets with a market capital of Indonesia for the period 2001-2016 with a Granger causality test statistics, cointegration tests and Multiple Regression testing. These results prove that the 99% confidence interval occurred a long term relationship (cointegration) and the significant influence of global market indices with the Indonesia capital market index (CSPI) in Indonesia Stock Exchange (IDX) for the period 2001 to 2016, it indicates that Indonesia's economy has been integrated with global capital markets with varying levels of integration, but is causally there is only one country that has a causal relationship with the Indonesian stock market index (CSPI), the Taiwan stock market index (TWSE).Keywords: Capital Market Integration

scholarly journals Dynamic Interaction Between Nifty 50 and Nifty Sectoral Indices: An Empirical Study on Indian Stock Indices

2021 ◽  
Vol 29 (02) ◽  
pp. 17-24
Author(s):  
Ramya K ◽  
◽  
Bhuvaneshwari D ◽  
Keyword(s):  
Stock Exchange ◽  
Granger Causality Test ◽  
Dynamic Interaction ◽  
Stock Index ◽  
Causality Test ◽  
Financial Planners ◽  
Augmented Dickey Fuller ◽  
Johansen Cointegration Test ◽  
Financial Awareness ◽  
Adf Test

This study aims to determine the cointegrating and causal relationship between Nifty 50 and Nifty sectoral indices. Historical index data of the select indices were collected from the National Stock Exchange (NSE) database for the period Jan 2014 - Dec 2018. Appropriate Econometric tools - Augmented Dickey-Fuller (ADF) test, Phillips and Perron (PP) test, regression model, Granger causality test, and Johansen cointegration test were used to analyze the data. The findings of the study imply that the movements of Nifty sectoral index prices could determine the flow of stock index prices, i.e., Nifty 50 and vice versa during the period of the study which could also help the policymakers and financial planners in providing financial awareness to investors and clients in decision making.

scholarly journals Anticipated Volatility, Unanticipated Volatility Shocks, Excess Monthly Returns and Stock Market Behaviour of Pakistan

2021 ◽  
Vol 7 (1) ◽  
pp. 77-91
Author(s):  
Muhammad Ramzan Sheikh ◽  
Sahrish Zameer ◽  
Sulaman Hafeez Siddiqui
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Portfolio Choice ◽  
Risk Premium ◽  
Time Series Data ◽  
Stock Exchange ◽  
Series Data ◽  
Financial Assets ◽  
Exchange Market ◽  
Risk Return

An investor considers various factors to choose the financial assets. The portfolio theory suggests that risk, return, taxes, information and liquidity are vital factors in portfolio choice. The study is based on risk premium, uncertainty, shocks and volatility of Pakistan stock exchange market. The study has used monthly time series data of returns of ten sectors of Pakistan stock market ranging from 2006 to 2014 to measure the anticipated and unanticipated factors of risk, return and uncertainty. Using CAPM, it is pointed out that volatility factor is present and high in overall stock market and the level of volatility in different sectors of the market moves in the same direction which suggest that speculative activities are widely spread in every sector and in overall market as well.

scholarly journals Interdependence among ASEAN 5 in Foreign Exchange Market

2017 ◽  
Vol 17 (1) ◽  
pp. 53
Author(s):  
Yunita Astanti Unlinnuha
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Positive Response ◽  
Granger Causality Test ◽  
Exchange Market ◽  
Causality Test ◽  
Us Dollar ◽  
Vector Auto Regression ◽  
The Relationship ◽  
Auto Regression

This paper examines the relationship between ASEAN-5 foreign exchange market and US Dollar in last 5 years. The data used is the currency of ASEAN-5 countries that are Indonesia, Malaysia, Vietnam, and Thailand. The data was analyzed using VAR (Vector Auto Regression). Among ASEAN 5, there are interdepence relationship in foreign exchange market. The strongest interdepence relationship are showed between Indonesia, Singapore and Malaysia, while Phillipines and Thailand have less influence toward others. Foreign exchange market among ASEAN 5 shows positive response which has been proven by Granger Causality test.

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