Journal articles on the topic 'Financial Times Stock Exchange 100 Index'
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1
Wahyu Suprapti, Sri Budiwati, and Luthfi Hafizh. "The Effect of the Global Stock Index On the Joint Stock Price Index (JCI) In The Indonesia Stock Exchange, 2015 – 2019." COMSERVA Indonesian Jurnal of Community Services and Development 1, no. 9 (January 23, 2022): 585–94. http://dx.doi.org/10.36418/comserva.v1i9.119.
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The purpose of this study is to identify and analyze the impact of the global index, are the Dow Jones Index (DJIA), Nikkei 225(N225), Shanghai Composite Indеx Composite (SSEC) and Singapore Straits Times (STI) Against the Jakarta Composite Index (JKSE) on the Indonesia Stock Exchange (IDX). This type of research is explanatory research with quantitative research. This study takes all the time series data listed on the Dow Jones Index, Nikkei 225 Index, Shanghai Stock Composite Іndеx, Singapore Straits Times Index, and the Jakarta Composite Index (JKSE) for the period January 2015 to December 2019. The research sample used was 60 samples. The data analysis technique used is multiple linear regression analysis. Hypothesis testing results show the Dow Jones Index, Nikkei 225 Index, Shanghai Composite Еxchange Composite Іndеx, Singapore Straits Times Index, Financial Times Stock Exchange 100 and the Kuala Lumpur Composite Index associated simultaneously with the Jakarta Composite Index (JKSE). The Dow Jones Index has a significant effect on the positive direction of the Jakarta Composite Index (JKSE), The Nikkei 225 index has a significant effect on the negative direction of the Jakarta Composite Index (JKSE), Kuala Lumpur Composite Index 100 has a significant on the positive direction of the Jakarta Composite Index. Shanghai Stock Index Composite Index Singapore Strait Times Index and Financial Times Stock Exchange have no effect on the Jakarta Composite Index (JKSE).
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Bunget, Ovidiu-Constantin, Dorel Mateș, Alin-Constantin Dumitrescu, Oana Bogdan, and Valentin Burcă. "The Link between Board Structure, Audit, and Performance for Corporate Sustainability." Sustainability 12, no. 20 (October 13, 2020): 8408. http://dx.doi.org/10.3390/su12208408.
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The economic and social transformations, the bankruptcies recorded, and the financial crisis affecting all economies have increased the interest for the corporate governance concept. Our intention in this paper was to study the impact of corporate governance attributes on performance given the information published by the entities listed on five stock exchanges from Europe, namely the main market from Bucharest Stock Exchange (BSE) in Romania, the Athens Stock Exchange(ATHEX) main market in Greece, Financial Times Stock Exchange 100 Index (FTSE 100) from Great Britain, Spanish Stock Exchange 35 Index (IBEX 35) from Spain, and Warsaw Stock Exchange 20 Index (WIG 20) from Poland, between 2016–2018. Through mathematical modeling and multiple linear regression, we aimed to determine the extent to which corporate governance characteristics, firm characteristics, industry and stock market fixed effects, and random effects influence the performance of 226 entities included in our sample. The empirical findings revealed that CEO duality, the number of non-executive directors and women on board, audit committee, and audit opinion influenced performance measured by the Return on Assets (ROA) and Return on Equity (ROE) indicators. The ideas highlighted and the results obtained in this research contribute to the literature that analyzes the extent to which an effective governance determines the increase in performance, needed for a sustainable development.
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P. Thuraisingam, T. Chantrathevi, You Hoo Tew, and Dalila Daud. "Inter-relationship between performance of Bursa Malaysia and foreign stock markets." Social and Management Research Journal 3, no. 1 (June 1, 2006): 113. http://dx.doi.org/10.24191/smrj.v3i1.5107.
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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.
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Sihombing,, Pardomuan, and Rizal ,. "PENGARUH INDEKS SAHAM GLOBAL DAN KONDISI MAKRO INDONESIA TERHADAP INDEKS HARGA SAHAM GABUNGAN BURSA EFEK INDONESIA." Media Ekonomi 22, no. 2 (August 4, 2014): 133. http://dx.doi.org/10.25105/me.v22i2.3171.
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<p>The objective of this research is to examine the effect of global stock indices and marco economic condition of Indonesia to Jakarta Stock Exchange Composite Index (JCI). The global stock indices that had been analyzed in this research are Dow Jones Industrial Average (DJIA), Nikkei 225 (N225), Shanghai Stock Exchange Composite (SSE), Financial Times Stock Exchange 100 (FTSE 100), and Hang Seng Index (HSI). The macro economic indicator that had been analyzed in this research are exchange rate United States dollar to Indonesian rupiah, inflation and BI rate. This research was conducted using secondary data. Research periods are 10 years for 120 months since January 2008 until December 2012. This study was analyzed by using error correction model (ECM). By using this method, it can be analyzed the short and long term influence from the independent variables to the dependent variable with its analysis techniques to correct long term imbalances. The result shows that in short term, only DJIA, exchange rate and BI rate have significant effect on JCI. While in long term, DJIA, N225, SSE, HSI, and BI rate have significant effect on JCI. Adjusted R-square value of 0.444987 can illustrate that the dependent variable is explained by the independent variables for 44.499 percent, while the rest are influenced by the other variables.</p><p> </p>
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Bhatia, Aparna, and Binny Makkar. "Stage of development of a country and CSR disclosure – the latent driving forces." International Journal of Law and Management 62, no. 5 (June 3, 2020): 467–93. http://dx.doi.org/10.1108/ijlma-03-2020-0068.
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Purpose The purpose of this paper is to investigate the impact of various determinants at the country level, the industry level, the firm level and the corporate governance (CG) level on the extent of corporate social responsibility (CSR) disclosure in the group of developing and developed nations. Design/methodology/approach The data set comprises 310 companies listed on stock exchanges of developing and developed markets (Brazil – IBrX 100, 42 companies; Russia – Broad Market Index; 48 companies; India – Bombay Stock Exchange (BSE) 100, 50 companies; China – Shanghai Stock Exchange (SSE) 180, 27 companies; South Africa – The Financial Times Stock Exchange (FTSE)/Johannesburg Stock Exchange (JSE) All Share index, 49 companies; the USA – New York Stock Exchange (NYSE) 100, 47 companies; and the UK – London Stock Exchange (LSE) 100, 47 companies). CSR disclosure is measured through CSR disclosure index. Five separate regression models are run to investigate the impact of the factors that affect the extent of CSR disclosure. Findings The findings reveal that CSR disclosure is influenced by factors both at micro and macro levels. Governance environment, globalization and income inequality are found to be significant determinants of CSR disclosure for developing countries. International listing significantly influences CSR disclosure in the developed countries. The results also exhibit that board with large proportion of independent directors, high presence of CSR committee and environmental sensitive industries are more likely to engage in CSR disclosure practices in developing as well as in developed nations. Research limitations/implications This study implicates that varied factors – at country level, industry level, firm level and CG level – need assessment to know their impact differently in countries at different stages of economic development. However, longitudinal study covering longer period would lead to better generalization of results. Practical implications The findings of this present study implicate that managers must evaluate country’s political, social and economic forces and not just rely on company-level indicators affecting disclosure. Policymakers in emerging nations must emphasize on improving country governance features to enhance CSR disclosure of companies. Developing countries must respect and conform to rules and regulations while going global. More endeavors should be made to raise awareness about the benefits of CSR disclosure on reducing income inequality among companies listed on stock exchanges of developing countries. Emerging nations should follow developed nations in assuming responsibility toward stakeholders in foreign markets. This study also recommends regulatory bodies in both developing and developed countries to frame stringent policies regarding CG for improving CSR disclosure by companies. Originality/value This study overcomes the limitations of prior literature by considering both country- and company-specific determinants in prominent group of developing (Brazil, Russia, India, China and South Africa) and developed (the USA and the UK) countries.
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Sihombing, Pardomuan, and Rizal ,. "PENGARUH INDEKS SAHAM GLOBAL DAN KONDISI MAKRO INDONESIA TERHADAP INDEKS HARGA SAHAM GABUNGAN BURSA EFEK INDONESIA." Media Ekonomi 22, no. 2 (July 10, 2018): 135. http://dx.doi.org/10.25105/me.v22i2.2966.
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<span>The objective of this research is to examine the effect of global stock indices and marco<span>economic condition of Indonesia to Jakarta Stock Exchange Composite Index (JCI). The <span>global stock indices that had been analyzed in this research are Dow Jones Industrial <span>Average (DJIA), Nikkei 225 (N225), Shanghai Stock Exchange Composite (SSE), Financial <span>Times Stock Exchange 100 (FTSE 100), and Hang Seng Index (HSI). The macro economic <span>indicator that had been analyzed in this research are exchange rate United States dollar to <span>Indonesian rupiah, inflation and BI rate. This research was conducted using secondary data.<br /><span>Research periods are 10 years for 120 months since January 2008 until December 2012. This <span>study was analyzed by using error correction model (ECM). By using this method, it can be <span>analyzed the short and long term influence from the independent variables to the dependent <span>variable with its analysis techniques to correct long term imbalances. The result shows that <span>in short term, only DJIA, exchange rate and BI rate have significant effect on JCI. While in <span>long term, DJIA, N225, SSE, HSI, and BI rate have significant effect on JCI. Adjusted Rsquare value of 0.444987 can illustrate that the dependent variable is explained by the <span>independent variables for 44.499 percent, while the rest are influenced by the other <span>variables.</span></span></span></span></span></span></span></span></span></span></span></span></span></span><br /></span>
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Hossain, Mohammad Raquibul, and Mohd Tahir Ismail. "EMPIRICAL MODE DECOMPOSITION BASED ON THETA METHOD FOR FORECASTING DAILY STOCK PRICE." Journal of Information and Communication Technology 19, Number 4 (August 20, 2020): 533–58. http://dx.doi.org/10.32890/jict2020.19.4.4.
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Forecasting is a challenging task as time series data exhibit many features that cannot be captured by a single model. Therefore, many researchers have proposed various hybrid models in order to accommodate these features to improve forecasting results. This work proposed a hybrid method between Empirical Mode Decomposition (EMD) and Theta methods by considering better forecasting potentiality. Both EMD and Theta are efficient methods in their own ground of tasks for decomposition and forecasting, respectively. Combining them to obtain a better synergic outcome deserves consideration. EMD decomposed the training data from each of the five Financial Times Stock Exchange 100 Index (FTSE 100 Index) companies’ stock price time series data into Intrinsic Mode Functions (IMF) and residue. Then, the Theta method forecasted each decomposed subseries. Considering different forecast horizons, the effectiveness of this hybridisation was evaluated through values of conventional error measures found for test data and forecast data, which were obtained by adding forecast results for all component counterparts extracted from the EMD process. This study found that the proposed method produced better forecast accuracy than the other three classic methods and the hybrid EMD-ARIMA models.
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Botha, Ferdi, Jen Snowball, and Brett Scott. "Art investment in South Africa: Portfolio diversification and art market efficiency." South African Journal of Economic and Management Sciences 19, no. 3 (September 5, 2016): 358–68. http://dx.doi.org/10.4102/sajems.v19i3.1397.
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Art has been suggested as a good way to diversify investment portfolios during times of financial uncertainty. The argument is that art exhibits different risk and return characteristics to conventional investments in other asset classes. The new Citadel art price index offered the opportunity to test this theory in the South African context. Moreover, this paper tests whether art prices are efficient. The Citadel index uses the hedonic regression method with observations drawn from the top 100, 50 and 20 artists by sales volume, giving approximately 29 503 total auction observations. The Index consists of quarterly data from the period 2000Q1 to 2013Q3. A vector autoregression of the art price index, Johannesburg stock exchange all-share index, house price index, and South African government bond index were used. Results show that, when there are increased returns on the stock market in a preceding period and wealth increases, there is a change in the Citadel art price index in the same direction. No significant difference was found between the house price index and the art price index, or between the art and government bond price indices. The art market is also found to be inefficient, thereby exacerbating the risk of investing in art. Overall, the South African art market does not offer the opportunity to diversify portfolios dominated by either property, bonds, or shares.
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Mardini, Ghassan H., and Sameh Ammar. "Quality and quantity of FTSE-100 segmental information reporting." Accounting Research Journal 32, no. 3 (September 27, 2019): 326–43. http://dx.doi.org/10.1108/arj-05-2017-0093.
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Purpose This study aims to explore the impact of international financial reporting standard no. 8 (IFRS 8) on segmental information reporting (SIR) after the post-implementation review (PIR) issued by international accounting standards board (IASB). This impact is examined in relation to quality and quantity as SIR dimensions represent, respectively, the level of reported items and segments. As a complement to this, the chief operating decision maker (CODM) identity is considered to understand the patterns of SIR dimensions. Design/methodology/approach The SIR of the UK financial times stock exchange 100 (FTSE-100) listed companies over the period 2013-2016 is the research’s scope. Several criteria were developed to ensure a representative research sample. A disclosure index approach was used facilitating the use of content analysis for data collection, which pertained to the dimensions of SIR published by the FTSE-100 following IFRS 8 PIR. Findings The IFRS 8 PIR has had several implications shaping the growing trend that is underpinned by the SIR dimensions published by FTSE-100 companies. First, the SIR quantity dimension positively corresponds over 2013-2016, but it still does not meet IASB’s demands. This, secondly, also applies to the quality dimension of SIR to uncover inconsistency with the existing knowledge being held regarding the introduction of IFRS 8. More specifically, the response of the FTSE-100 to mandatory and voluntary items seems to be in transition of substitution. Third, CODM’s identity was an insightful dimension in rationalising the understanding through the aforementioned dimensions. It is undertaken by boards of directors or executive committees and the case of the latter is associated with more disclose in relation to the CODM’s identity. Practical implications These findings reveal implications to: academics undertaking further research about IFRS 8 PIR to challenge or endorse this conclusion, using similar or alternative approaches; the stakeholders’ decision-making process; and policymakers to re-think the structure of mandatory and voluntary items. Originality/value This paper provides empirical evidence on the quality and quantity of SIR published by FTSE-100 companies following IFRS 8 PIR.
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Ishfaq, Muhammad, Zhang Bi Qiong, and Awais ur Rehman. "Global Volatility Spillover in Asian Financial Markets." Mediterranean Journal of Social Sciences 9, no. 2 (March 1, 2018): 109–16. http://dx.doi.org/10.2478/mjss-2018-0031.
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AbstractThe present paper accommodates the spillover impact of market volatility index of S & P 500 (VIX) and China exchange-traded fund’s volatility (VXFXI) on the emerging equity (KSE-100 index) and foreign exchange markets of Pakistan. In this context, we use a vector autoregressive (VAR) model and impulse response functions (IRF) to explore link among VIX indices and financial markets of Pakistan for the differential time periods. The study concludes that a rise in both VIX and VXFXI results in price falls of KSE-100 index and deteriorates exchange rate market. This implies that VIX act as ‘fear gauge’ on both stock and exchange rate markets in Pakistan. These outcomes provide an imperative implication on the pattern of currency and stock sensitivities against global volatility. This reveals that adverse movements in global volatility in the USA and Chinese financial market have a significant impact and a rise in VIX causes an outflow of investment from financial markets of Pakistan. Moreover, our results may guide local and global investors to anticipate the potential direction of stock and exchange rate markets based on market volatility index.
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Hamzah, Amir. "ANALISIS HARGA SAHAM INDEX KOMPAS 100 DENGAN PENDEKATAN ERROR CORRECTION MODEL." Jurnal Dinamika Ekonomi Pembangunan 4, no. 1 (January 28, 2021): 406–14. http://dx.doi.org/10.33005/jdep.v4i1.201.
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The purpose of this research is to analyze the short term and long term relationship between ROI, EPS, PER ,inflation, SBI, exchange rate,and GDP on Stock Price. The data in this research is company financial statements which included Compas 100 Index on the Indonesia Stock Exchange. statistical analysis in this research used stasionarity test, The Classical Assumptions Test, Cointegration Test, Error Correction Model Test. This research found that partially ROI, EPS, PER variables a positive effect on stock prices in the short term and long term, KURS and SBI a positive effect on stock prices in the short term, but there is no effect in the long term, inflation and GDP do not affect the stock price both in the short term and long term. Simultaneously affected the stock prices significantly affect on stock price both in the short term and long term.
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Ali, Muhammad, Dost Muhammad Khan, Muhammad Aamir, Amjad Ali, and Zubair Ahmad. "Predicting the Direction Movement of Financial Time Series Using Artificial Neural Network and Support Vector Machine." Complexity 2021 (December 2, 2021): 1–13. http://dx.doi.org/10.1155/2021/2906463.
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Prediction of financial time series such as stock and stock indexes has remained the main focus of researchers because of its composite nature and instability in almost all of the developing and advanced countries. The main objective of this research work is to predict the direction movement of the daily stock prices index using the artificial neural network (ANN) and support vector machine (SVM). The datasets utilized in this study are the KSE-100 index of the Pakistan stock exchange, Korea composite stock price index (KOSPI), Nikkei 225 index of the Tokyo stock exchange, and Shenzhen stock exchange (SZSE) composite index for the last ten years that is from 2011 to 2020. To build the architect of a single layer ANN and SVM model with linear, radial basis function (RBF), and polynomial kernels, different technical indicators derived from the daily stock trading, such as closing, opening, daily high, and daily low prices and used as input layers. Since both the ANN and SVM models were used as classifiers; therefore, accuracy and F-score were used as performance metrics calculated from the confusion matrix. It can be concluded from the results that ANN performs better than SVM model in terms of accuracy and F-score to predict the direction movement of the KSE-100 index, KOSPI index, Nikkei 225 index, and SZSE composite index daily closing price movement.
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Chung, Chae-Shick, and Chong Ook Rhee. "Financial Linkage in East Asian Countries since the East Asian Crisis." Asian Economic Papers 1, no. 3 (July 2002): 122–47. http://dx.doi.org/10.1162/153535102320894036.
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This paper reports the results of an empirical analysis of the linkage between the financial markets (foreign-exchange, stock, and bond markets) of Korea and the financial markets of the United States, Japan, and six major East Asian countries. A multivariate generalized autoregressive conditional heteroskedastic (GARCH) model is used to analyze 23 financial variables and identify time-varying correlation coefficients. A comparison of these values before and after the currency crisis yields four main conclusions. First, the interest rates in the major Asian countries, including Korea, are moving independently of one another. Second, the correlations between the Korean financial variables are higher after the crisis than before it, and the highest correlation is between the won/dollar exchange rate and the stock price index. The high linkage between the won/dollar exchange rate and stock price index signifies that short-term foreign investment flow influences the won/dollar exchange rate and the stock price index equally. Third, the impact of U.S. stock prices on Korean stock prices has increased by more than 20 times since the currency crisis, indicating a synchronization of the Korean stock market and the U.S. stock market. Fourth, the linkage between the stock market prices of Korea and those of Japan and several East Asian countries has been increasing since the currency crisis, whereas the Korean—U.S. stock market linkage has become somewhat less significant.
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Asif, Muhammad, and Abdul Aziz. "Equity market volatility using garch models- evidence from Pakistan stock exchange (kse-100 index)." International Journal of Accounting and Economics Studies 4, no. 2 (June 26, 2016): 96. http://dx.doi.org/10.14419/ijaes.v4i2.6200.
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Purpose – The purpose of this paper is to investigate the cluster volatility of return distribution in the Pakistan Stock exchange (PSX) formerly named Karachi stock exchange (KSE-100 Index). GARCH model for characterizing financial market volatility is discussed.Design/methodology/approach –This study used daily time series of the market index PSX (KSE-100) data over the period from January 1st, 2008 to December 31st, 2015, 1983 observations have been collected from KSE website.ARCH family models have been used, such as GARCH, EGARCH, PGARCH and TARCH models, to estimate cluster volatility. SIC, AIC, and Log likelihood have been used to select the appropriate model.Findings – GARCH 1,1 model is found the most appropriate model among ARCH family models. The outcome of this study indicates that the Pakistan Stock Exchange is weak-form efficient and explains cluster volatility and leptokurtic distribution.Research limitations/implications – Re-composing of Karachi stock exchange 100 index.Practical implications – Stock market returns' behavior changes according to daily basis available information, which is helpful for the investors to maximize their portfolio's return and managing the risk.Originality/value – Karachi stock market (KSE-100 Index) volatility from 2011 to 2015.
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Agrawal, Tarunika Jain, Sanjay Sehgal, and Rahul Agrawal. "Disruptive Innovations, Fundamental Strength and Stock Winners: Implications for Stock Index Revisions." Vision: The Journal of Business Perspective 24, no. 3 (June 14, 2020): 356–70. http://dx.doi.org/10.1177/0972262920928890.
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Globally, disruptions driven by technological advancements are visible in the form of unicorns and declining lifespan of the index constituents. Sectors such as information technology, financial services, energy, consumer goods and automobile are found to be more prone to disruptive innovation. Assessing the financial strength of the incumbents is crucial to assess their strength to endure disruption. We construct a fundamental strength index (FSI) using 11 financial performance measures covering 7 key attributes, namely profitability, efficiency, solvency, liquidity, net investments, pursuance of innovation and entry barriers, over the 5-year period 2014–2019. FSI helps in categorizing stocks of National Stock Exchange (NSE) 200 universe as ‘A’ being the fundamentally strongest and ‘C’ being the weakest. Potential crossovers can take place between ‘C’ category stock in Nifty 50 (Next 50) and ‘A’ category stock belonging to the Next 50 (Nifty Midcap 100). The results show that the disruptor’s portfolio (Next 50 stocks) outperforms the incumbent’s portfolio (Nifty 50 constituents) with a return of 1.61 per cent vs 0.47 per cent. A similar observation holds true for the Next 50 and Nifty Midcap 100, with the disruptor’s portfolio surpassing the incumbent’s portfolio (return of 2.59% vs 0.44%). The study has significant implications for the policymakers, investors, companies and academicians.
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FURQAN ULLAH, MUHAMMAD ASIF, MUHAMMAD ZAHID, and FAIZA MEHREEN. "Investor Sentiment in Stock Market: A Case of Pakistan Super League in Pakistan Stock Exchange." Journal of Business & Tourism 4, no. 2 (November 7, 2021): 101–21. http://dx.doi.org/10.34260/jbt.v4i2.165.
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This study investigates whether sentiments play any role while investors make financial decisions which results in the stock returns. The paper analyzes the major two sports events (2016-2017) of Pakistan Super League (PSL). The study utilizes the stock market data from Pakistan Stock Exchange (PSX)-100 index for the period of two financial years starting from June 2015 to July 2017. PSL T20 data is collected from the official PSL website. The empirical results of the studyshow that PSL sports events are highly statistically significant and imply that the events trigger investor sentiments (optimistic and pessimistic behaviors) in the PSX.When the whole PSL games were played on United Arab Emirates (UAE) grounds in 2016, later on, which badly affected the investor moods and resulted in a negative abnormal return in PSX-100 index. While in case of PSL event in 2017, in which only final match of the event was held in Lahore, Pakistan and resulted in a positive abnormal return in PSX-100 index. The study provides implications for different authorities such as Pakistan Cricket Board (PCB), PSX and other development authorities in order to promote such activities for the overall economic and social benefits. While founding no previous studies concerning the subject in the Pakistani context, the Scholar selected the issue to conduct a research and make a considerable contribution for investors in Pakistan with respect to PSL events and its impact on PSX. Keywords: Investor Sentiments, Stock returns, behavioral finance, Pakistan Super League, Pakistan Stock Exchange
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Shezad, Anjum, Farzand Ali Jan, Saqib Gulzar, and M. Akram Ansari. "A study on Co-integration of Pakistani Stock Market with selected Asian Stock Markets." Journal of Management Info 1, no. 4 (December 31, 2014): 18–24. http://dx.doi.org/10.31580/jmi.v4i1.23.
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Pakistani Equity Market has seen many ups and downs since the last two decades. The local investors are feeling themselves much insecure in indigenous investment. The reasons behind are political instability, severe power crises and terrorism which compelled the local investors to go across boarder and need to explore the multiple option of investment in international securities to minimize the investment risk. The main purpose and scope of this study is to explore causal and dynamic linkages of Karachi Stock Exchange, KSE-100 index (Pakistan) with emerging stock markets of Nikkei-225 (Japan), Shanghai Stock Exchange, SSE (China), Kuala Lumpur Stock Exchange, KLSE (Malaysia) and Taiwan Stock Exchange Corporation, TSEC Taiwan. The most recent data is taken from January, 2001 to December, 2013. Monthly stock index observations are taken. Descriptive statistics, Correlation Analysis, Unit Root Test, VAR, Co-integration Test, VECM Test are used to identify the presence of short-term as well as long-term associations. Empirical results indicate that KSE-100 is a volatile market and have suitable level of returns. Moreover, KSE-100 index has not long-term relationship with Japan, Malaysia, Taiwan and China but Taiwan, China and Japan has short run relationships to KSE. The findings conclude that there is a further need of future study to explore the factors of economic integration amongst these equity markets. The study overall exhibits awareness not only for economic and financial decision makers but also for international as well as regional investors about the benefit opportunities of portfolio diversification in these equity markets, funds management and trends of the stock market.
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Saeed, Muhammad, Ijaz Ahmad, and Muhammad Ahmad Usman. "Do the stocks' returns and volatility matter under the COVID-19 pandemic? A Case Study of Pakistan Stock Exchange." iRASD Journal of Economics 3, no. 1 (June 30, 2021): 13–26. http://dx.doi.org/10.52131/joe.2021.0301.0022.
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The catastrophe that the world is now facing in the form of COVID-19, has affected most of the world economies and financial markets as a result of lockdown, travelling restrictions, and social distances. The present study attempted to investigate the effects of COVID-19 on the stock returns of the Pakistan Stock Exchange. The data employed comprises daily prices of Pakistan Stock Exchange, the daily value of exchange rate over the period 01 January 2011 to 30 April 2021, and a dummy variable for COVID-19 which takes 1 for the period during COVID-19 and 0 for the period before. The data were sourced from the Karachi Stock Exchange website, National Institute of Health Sciences Pakistan, and State Bank of Pakistan. We applied the autoregressive conditional heteroskedastic (ARCH) and the associate generalized autoregressive conditionally heteroskedastic (GARCH) approaches to analyze the impact. Our findings revealed that a negative relationship exists between our variables of interest with mean returns and a positive relationship with the volatility of the KSE-100 index. This implies that the COVID-19 pandemic has affected the stock price and increases the volatility of the KSE-100 index, and further affects the financial system. The study recommends that an urgent and powerful response is needed on the part of the government,including strong measures to prevent a severe stock market crash in Pakistan in near future.
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Irawan, Irawan, and Arif Makhsun. "Reaksi Pasar atas Publikasi Laporan Keuangan Interim Diaudit Studi Empiris pada Perusahaan-Perusahaan yang Mempublik di Bursa Efek Indonesia." Jurnal Ilmiah ESAI 13, no. 2 (May 5, 2021): 141–55. http://dx.doi.org/10.25181/esai.v13i2.1307.
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This study was conducted on interim financial statements of companies included in the calculation of the KOMPAS 100 index on the Indonesia Stock Exchange (IDX) with the consideration that the companies' shares included in the KOMPAS 100 index on average per year control more than 75% in volume trade and market capitalization on the Indonesia Stock Exchange (IDX) so that it is considered the most widely traded stock. Hence, it is expected that many interested parties (especially active investors) of the interim financial report and use accounting information from the company in its investment decisions. The study was conducted on quarterly financial statements, mid-year financial reports and quarterly financial statements.The results of this study indicate that the market responds widely to the announcement of the Interim Financial Report I and Interim Financial Report II published by the issuer. On the other hand the market does not respond broadly to the announcement of the Interim Financial Report III published by the issuer.The involvement of auditors in interim financial reports in the form of reviews and complete audits does not have an impact on improving the quality of information on interim financial statements received by investors. This is demonstrated by the absence of differences in market reactions to the publication of interim financial statements.Keywords: Interim Financial Reports, Market Reactions
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Ahmed, Farhan, Iqra Awais, and Muhammad Kashif. "Financial Leverage and Firms’ Performance: Empirical Investigation of KSE-100 Index." ETIKONOMI 17, no. 1 (February 25, 2018): 45–56. http://dx.doi.org/10.15408/etk.v17i1.6102.
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Capital generation to fund everyday operations and long-term expansions is a constant concerning element in the corporate world. This study aims to investigate the optimal level of capital structure that firms can adopt to improve their financial performance given the industry dynamics and economic circumstances of the country. Using Hausman’s specification test, annual data for the period 2005 – 2014 of Karachi Stock Exchange (KSE) 100 index listed securities has been collected to analyze the impact of financial leverage on the firms’ performance. Return on assets, return on Equity, and TOBIN’s Q are the proxies of financial performance analyzed against financial leverage for the KSE 100 index listed firms. The finding of the paper indicates that capital structure, leverage, interest cover and sales growth as most significant variables impacting firms’ profitability. DOI: 10.15408/etk.v17i1.6102
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Said, Bahrawar, Shafiq Ur Rehman, and Muhammad Wajid Raza. "Three Major Crises and Asian Emerging Market Informational Efficiency: A Case of Pakistan Stock Exchange-100 Index." Journal of Risk and Financial Management 15, no. 12 (December 19, 2022): 619. http://dx.doi.org/10.3390/jrfm15120619.
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Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997–1998), Global Financial Crisis (2007–2009) and Global Pandemic Crisis (2020–2022). The nature, intensity and duration of these crises differ significantly. This study investigates the impact of these varying natures of crises on the level of informational efficiency. The empirical evidence is based on the emerging stock market of Pakistan. Index-level data are collected from Pakistan Stock Exchange-100 Index for the period 1995–2022. The rebalancing is done each year to ensure that the final sample is composed of only 100 stocks with the highest market capitalization. The results based on the Variance Ratio (VR) test show that informational efficiency is time-varying. Among all the three crises, informational efficiency deters more in the COVID-19 pandemic, albeit the market efficiency recovers soon. This implies that the arbitrage opportunity is marginal in crisis periods, while investors prefer to invest in post-crisis periods. Finally, our results reveal that among all the crises, investors were more informed in the Global Financial Crisis. Investors must keep a close eye on market regimes for designing investment solutions.
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Bagus, Muhammad, Noviansyah Rizal, and Siwidyah Desi Lastianti. "DETERMINANT OF FRAUD PENTAGON IN DETECTING FINANCE OF FINANCIAL STATEMENTS." Assets : Jurnal Ilmiah Ilmu Akuntansi, Keuangan dan Pajak 4, no. 1 (January 31, 2020): 32–41. http://dx.doi.org/10.30741/assets.v4i1.563.
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This study aims to determine the Pentagon Determinant Fraud in detecting fraudulent financial statements. Fraudulent financial statements are proxied by the Fraud Score Model. Whereas the pressure factor is proxied by insisting from within, for the opportunity factor proxied by industry conditions, the rationalization factor is proxied by the ratio of total accruals, the competency factor is proxied by the change of directors and arrogance is proxied by the duality of quality positions at the CEO. The population in this study amounted to 100 companies incorporated in the compass index 100 contained in the Indonesia Stock Exchange and for the sample of the study were 35 companies belonging to the compass index 100 contained in the Indonesia Stock Exchange, which was selected using the purposive sampling method for the 2017-2018 period. Data were analyzed using multiple linear regression. Based on the test results, it was concluded that the pentagon fraud component included internal pressure (LEV), industry conditions (INVENTORY), rationalization (TATA) influencing financial statement fraud while competence (DCHANGE) and arrogance (DCD) had no effect on financial fraud statement. This proves that internal pressure (LEV), industry conditions (INVENTORY), and rationalization (TATA) can be used to detect fraud in financial statements.
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Madyan, Muhammad, Haka Adila, and Novian Abdi Firdausi. "Keterkaitan Antar Bursa Efek Dunia (Studi Kasus pada Bursa Efek Negara Maju dan Negara Berkembang)." Jurnal Manajemen Teori dan Terapan | Journal of Theory and Applied Management 12, no. 1 (August 8, 2019): 85. http://dx.doi.org/10.20473/jmtt.v12i1.14115.
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This research analyzes the correlation between stock markets worldwide. Developing countries stock exchanges are represented by China and Indonesia, whereas developed countries stock exchanges are represented by Germany, Japan, Australia, Singapore, and the United States. Using stock’s daily close prices as data, then assessed with Vector Error Correction Model and Granger Causality. Analyzed indexes are Shanghai Stock Exchange Composite (SHCOMP), Indeks Harga Saham Gabungan (IHSG), Dow Jones Industrial Average (DJIA), Nikkei225 (NKY), Deutscher Aktien Index (DAX), All Ordinaries Index (AOI), and Strait Times Index (STI). Stock data grouped into two periods, the first period is the Asian Financial Crisis in 1 January 1998-31 December 2003, while second period is the Subprime Mortgage crisis in 1 January 2008-31 December 2013. Research results show correlations between analyzed stock indexes in both long run and short run relationship in the firstperiod as well asthe second period, however the correlation between Singapore’s and Indonesia’s stock exchange in second period is unproven.
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MANZOOR ALI, MUHAMMAD ISRAR, ADNAN KHAN, and DR. JEHANGIR. "Factors Influencing Dividend Payout Ratio: Evidence from KSE 100 Index Pakistan." Journal of Business & Tourism 2, no. 1 (November 1, 2021): 151–64. http://dx.doi.org/10.34260/jbt.v2i1.36.
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This research is an effort to make known the insight dynamics for determination of Dividend Payout regarding Non-Financial Firms listed in the KSE100 Index. In light of prior literature, key explanatory variables were identified to reveal their relationship and effect on determination of dividend payout. These variables are Changes in stock prices, Previous year dividend, Change in current year earnings and Change in sales. Through observation, 42 such companies were identified from the listed non-financial firms in the Karachi Stock Exchange that have been paying out dividend consistently for the past period from 2006 to 2014. Ordinary Least Square (OLS) was identified as the most appropriate tool for econometric analysis of the data. The descriptive statistics revealed the data to be normal. OLS result shows insignificant negative relationship of changes in sales and changes in stock prices with dividend payout ratio. Change in current year earning has significant negative relationship with dividend payout ratio while previous year dividend has significant relationship with dividend payout ratio. Since Dividend is an unsolved puzzle, thus there is implication for future research. Many other variables that have significance in context of Pakistan and past literature can be added to this regression to increase the explanatory power of the model.
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Kin, Teoh Yeong, Suzanawati Abu Hasan, and Nashni Hamdan. "Forecasting the Financial Times Stock Exchange Bursa Malaysia Kuala Lumpur Composite Index Using Geometric Brownian Motion." Journal of Computing Research and Innovation 2, no. 1 (January 26, 2018): 45–49. http://dx.doi.org/10.24191/jcrinn.v2i1.29.
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In Malaysia, Financial Times Stock Exchange (FTSE) of Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) provides charts, companies’ profile and other market data to help the local and foreign i nvestors to make decisions involving their investments. Until now, there have been a lot of investors who faced losses due to making wrong investments at wrong times. The objective of this study is to forecast FBMKLCI for a one - month period using different periods of data. Besides, this study finds the suitable length of period when the forecasted values are the most accurate for FBMKLCI. Geometric Brownian motion (GBM) of stochastic calculus is used to predict the future indices. The results showed that th e forecasted FBMKLCI needed 1 to 20 weeks of input data to come out with the best values. The forecasted FBMKLCI will only be accurate within 4 weeks; after that the values will diverge. Since the average value of MAPE for eight different forecasted values is 1.54%, GBM can be used to predict the future FBMKLCI.
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Akhtar, Shahan, and Naimat U. Khan. "Modeling volatility on the Karachi Stock Exchange, Pakistan." Journal of Asia Business Studies 10, no. 3 (August 1, 2016): 253–75. http://dx.doi.org/10.1108/jabs-05-2015-0060.
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Purpose The current paper aims to fill a gap in the literature by analyzing the nature of volatility on the Karachi Stock Exchange (KSE) 100 index of the KSE, and develop an understanding as to which model is most suitable for measuring volatility among those used. The study contributes significantly to the literature as, compared with the limited previous studies of Pakistan undertaken in the past, it covers three types of data (i.e. daily, weekly and monthly) for the whole period from the introduction of the KSE 100 index on November 2, 1991 to December 31, 2013. In addition, to analyze the impact of global financial crises upon volatility, the data have been divided into pre-crisis (1991-2007) and post-crisis (2008-2013) periods. Design/methodology/approach This study has used an advanced set of volatility models such as autoregressive conditional heteroskedasticity [ARCH (1)], generalized autoregressive conditional heteroskedasticity [GARCH (1, 1)], GARCH in mean [GARCH-M (1, 1)], exponential GARCH [E-GARCH (1, 1)], threshold GARCH [T-GARCH (1, 1)], power GARCH [P-GARCH (1, 1)] and also a simple exponentially weighted moving average (EWMA) model. Findings The results reveal that daily, weekly and monthly return series show non-normal distribution, stationarity and volatility clustering. However, the heteroskedasticity is absent only in the monthly returns making only the EWMA model usable to measure the volatility level in the monthly series. The P-GARCH (1, 1) model proved to be a better model for modeling volatility in the case of daily returns, while the GARCH (1, 1) model proved to be the most appropriate for weekly data based on the Schwarz information criterion (SIC) and log likelihood (LL) functionality. The study shows high persistence of volatility, a mean reverting process and an absence of a risk premium in the KSE market with an insignificant leverage effect only in the case of weekly returns. However, a significant leverage effect is reported regarding the daily series of the KSE 100 index. In addition, to analyze the impact of global financial crises upon volatility, the findings show that the subperiods demonstrated a slightly low volatility and the global economic crisis did not cause a rise in volatility levels. Originality/value Previously, the literature about volatility modeling in Pakistan’s markets has been limited to a few models of relatively small sample size. The current thesis has attempted to overcome these limitations and used diverse models for three types of data series (daily, weekly and monthly). In addition, the Pakistani economy has been beset by turmoil throughout its history, experiencing a range of shocks from the mild to the extreme. This paper has measured the impact of those shocks upon the volatility levels of the KSE.
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Nisha, Nabila. "Macroeconomic Determinants of the Behavior of Dhaka Stock Exchange (DSE)." International Journal of Asian Business and Information Management 7, no. 1 (January 2016): 1–17. http://dx.doi.org/10.4018/ijabim.2016010101.
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Many past studies documented a strong evidence of a linkage between stock prices and macroeconomic activities across different stock markets and time horizons. However, most of these studies have focused on developed economies and highlighted the impact of either domestic variables or a few global factors. In recent times, the impact of global macroeconomic factors upon stock returns has garnered a lot of interest due to globalization. The aim of this paper is therefore to examine the combined influence of global and domestic macroeconomic factors upon stock returns and extend this relationship to an emerging market of Bangladesh. Using Vector Autoregression (VAR) model, findings indicate a considerable impact of money supply for the stock returns of Dhaka Stock Exchange (DSE). Additionally, an insignificant influence of the world price index is observed, which implies a complete segmentation of DSE from the global financial markets. Finally, the study highlights regulatory changes and policy-making decisions from the perspective of Bangladesh.
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Aji, Rafael Darrylanda Pratama, and Nyoman Abundanti. "The Effect of Asia Regional Stock Price Index on the Indonesia Composite Index (ICI) on the Indonesia Stock Exchange." European Journal of Business and Management Research 7, no. 2 (March 22, 2022): 100–106. http://dx.doi.org/10.24018/ejbmr.2022.7.2.1337.
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Financial liberalization that occurs in various countries in the world will cause the capital market in a country to be integrated. Changes in the index of Asian countries that have economic relations with Indonesia can have an impact on the composite stock price index in Indonesia because the stock market is integrated. The purpose of this study was to determine the effect of the Hang Seng Index, Nikkei 225 Index, KS11 Index, Kuala Lumpur Composite Index, Strait Times Index on the Jakarta Stock Exchange in the 2015-2019 period. This study uses monthly data in the 2015-2019 period for each variable. The analytical method used in this research is multiple regression analysis, classical assumption test and hypothesis test using SPSS 25.0 program. The results show that partially the HSI index variable has a positive but not significant effect on the JKSE index variable, the N225 index variable has a positive but not significant effect on the JKSE index variable, the KS11 index variable has a negative but not significant effect on the JKSE index variable, the KLSE index variable has a positive effect. significant to the JKSE index variable, the STI index variable has a positive but not significant effect on the JKSE index variable, and simultaneously the HSI, N225, KS11, KLSE, STI index variables have a positive and significant effect on the JKSE index.
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Mozumder, Nurul, Glauco De Vita, Charles Larkin, and Khine S. Kyaw. "Exchange rate movements and firm value." Journal of Economic Studies 42, no. 4 (September 14, 2015): 561–77. http://dx.doi.org/10.1108/jes-02-2014-0029.
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Purpose – The purpose of this paper is to investigate the sensitivity of firm value to exchange rate (ER) movements, and the determinants of such exposure for 100 European blue chip companies over 2001-2012. Design/methodology/approach – The authors adopt a disaggregated framework that distinguishes between Eurozone and non-Eurozone firms, and between financial and non-financial firms across the pre-crisis, crisis and post-crisis periods of the recent financial crisis. Findings – The authors find no significant difference between Eurozone and non-Eurozone, and financial and non-financial firms. Exposure is found to be higher during the financial crisis, across all sub-samples of firms. In the majority of cases the exposure coefficient is significantly positive, indicating that European firms’ stock returns are positively (negatively) affected by depreciation (appreciation) of ERs (indirect quotation). Practical implications – It is recommended that firms’ financial plans budget for higher liquidity levels in order to build up, during “good times”, a natural hedge for the higher exposure likely to be faced during periods characterized by greater financial distress. Originality/value – The main novelty lies in the adoption of a disaggregated framework that discriminates between pre-crisis, crisis and post-crisis periods in order to ascertain the extent to which the recent financial crisis affected the relationship in question.
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Ruswandi, Muhamad Safitri, Adam Zakaria, and Diena Noviarini. "Pengaruh Frekuensi Perdagangan, Rasio Keuangan, dan Kapitalisasi Pasar Terhadap Return Saham Syariah pada Perusahaan yang Terdaftar di Jakarta Islamic Index (JII) Periode 2016-2019." Jurnal Akuntansi dan Keuangan 10, no. 1 (February 28, 2022): 11. http://dx.doi.org/10.29103/jak.v10i1.6097.
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This study aims to determine the effect of trading frequency, financial ratios, and market capitalization on sharia stock returns. The independent variables used in this study are stock trading frequency, earnings per share, return on equity, debt to equity ratio, and market capitalization. The dependent variable used in this study is stock returns. This study uses secondary data, namely financial statements and annual reports of companies listed in the Jakarta Islamic Index (JII) index on the Indonesia Stock Exchange for the 2016-2019 period (100 observations). The sampling method used in this research is the purposive sampling method. This study uses the panel data analysis method which is processed using the EViews 12 application. The results show that trading frequency does not affect on sharia stock returns. Earning per share does not affect on sharia stock returns. Return on equity does not affect on sharia stock returns. The debt to equity ratio does not affect on sharia stock returns. Market capitalization has a positive effect on sharia stock returns
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ANDREW COUTTS, J., and PETER A. HAYES. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994." Applied Financial Economics 9, no. 1 (February 1999): 67–71. http://dx.doi.org/10.1080/096031099332537.
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HAMAD AMEEN, Mustafa Hasan, Melik KAMIŞLI, and Fatih TEMIZEL. "THE IMPACT OF EXCHANGE RATE ON STOCK MARKET INDICES." Business & Management Studies: An International Journal 8, no. 2 (June 25, 2020): 2044–62. http://dx.doi.org/10.15295/bmij.v8i2.1485.
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The relationship between exchange rate and stock indices has risen many eyebrows so far. These two fundamental financial markets have a significant role in international business all around the globe. Furthermore, exchange rate is one of the most important indicators that rules in the decision-making process in all firms. In order to understand the relationship between the two variables this paper tried to investigate the relationship between exchange rate of USD/TL and BIST-100 index in Turkish stock market. The data have been collected from January 2009 to March 2020 based on monthly data. VAR model is applied in the study to exam the connections between the variables. The findings reveal that there is only a one-way causality between the variables. Nevertheless, the impulse response results show a negative impact from the shocks of each variable to another.
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Ani, Anisa Fitri, and Thomas Andrian. "Pengaruh Indeks Saham Asing Dan Variabel Makroekonomi Terhadap Indeks Harga Saham LQ45." Jurnal Kajian Ekonomi dan Pembangunan 4, no. 2 (June 1, 2022): 69. http://dx.doi.org/10.24036/jkep.v4i2.13534.
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Investment is one kind of country’s income. The capital market, including stocks, is a form of the convenience of modern investment. Investors, policy makers, capital market observers, and financial analysts need information in monitoring the movement of traded stock prices. Stock index is the main information in the stock market. One of the stock indexes which have potential and noticed by the people is the LQ45 stock price index. In this study, researchers tried to determine the effect of foreign stock index the Dow Jones Industrial Average (DJIA) and Straits Times Index (STI) and macroeconomic variables such as the USD/IDR exchange rate, interest rates (BI 7-days (Reverse ) Repo Rate), and inflation on the LQ45 stock price index. This study uses the Error Correction Model (ECM) method with 60 observational data from the research period January 2017 to December 2021. The results show that DJIA and STI have a positive and significant effect in the long and short term, the exchange rate has a negative and significant effect in the long and short term, interest rate has a negative and insignificant effect in the short term while in the long term it has a significant positive effect, while inflation has an insignificant negative effect in the long and short term on the LQ45 stock price index.
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Ali, Rizwan, Inayat Ullah Mangla, Ramiz Ur Rehman, Wuzhao Xue, Muhammad Akram Naseem, and Muhammad Ishfaq Ahmad. "Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach." Risks 8, no. 3 (August 17, 2020): 86. http://dx.doi.org/10.3390/risks8030086.
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In this study, we examine an empirical relationship between stock market volatility with the exchange rate and gold prices of an emerging market, “Pakistan”, employing daily and monthly data (PSX-100 Index) covering from 2001: Q3 to 2018: Q2. The study explains the average stock returns by applying MGARCH. Further, it investigates that the volatility in the exchange rate (Rs/US $) and gold prices remain equally strong in bearish and bullish conditions of the stock market by using a quantile regression approach (2001–2018). Additionally, the sample period is divided into two split samples that cover (2001–2007) and (2008–2018) respectively, based on global financial crises and applied similar analysis. The overall results show the negative impact of the exchange rate and gold price volatility on the stock market performance daily (monthly), supporting the argument that the stock market considers the exchange rate and gold price fluctuations as an adverse indicator and reacts negatively.
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Kumar, Joseph John Allwyn, and Robiyanto Robiyanto. "The Impact of Gold Price and Us Dollar Index: The Volatile Case of Shanghai Stock Exchange and Bombay Stock Exchange During the Crisis of Covid-19." Jurnal Keuangan dan Perbankan 25, no. 3 (August 2, 2021): 508–31. http://dx.doi.org/10.26905/jkdp.v25i3.5142.
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This literature aims to analyze the impact of the Dollar Index and Gold Price returns and volatility on stock market volatility of India and China, viz., Shanghai Stock Exchange and Bombay Stock Exchange Sensex, during the period of Covid-19. This study employs daily time-series data from January up to August for 2019, 2020, and a merged data of 2019-2020, i.e., Pre-Pandemic, Mid-Pandemic and Pre through Mid-Pandemic periods, respectively; to avoid possible abnormalities and heteroscedasticity, the GARCH (1,1) model is utilized to scrutinize the data depending on which distribution is more acceptable, GED or Gaussian, which is decided based on the Unit-Root and normality test results. The findings of this study prove that Gold Price mostly does have a significant effect on both markets, especially during times of financial crisis like the Covid-19 epidemic. Whereas Dollar Index has a significant impact on emerging markets such as India and China though significant effects persist in some cases, it is not valid in most cases.DOI: 10.26905/jkdp.v25i3.5142
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Arasu, B. Senthil, Desti Kannaiah, Nancy Christina J., and Malik Shahzad Shabbir. "Selection of Variables in Data Envelopment Analysis for Evaluation of Stock Performance." Management and Labour Studies 46, no. 3 (May 20, 2021): 337–53. http://dx.doi.org/10.1177/0258042x211002511.
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This study deploys data envelopment analysis (DEA) to identify the appropriate variables for the performance valuation of stocks. For this purpose, sixty-nine non-financial stocks of the Nifty 100 index of The National Stock Exchange of India Ltd (NSE) were selected as a sample for this study. We segregated the selected stocks into three groups of inputs and outputs for DEA based on fundamental indicators (financial ratios); technical indicators (momentum indicators); and both, fundamental and technical indicators. The stock performance indicators are sourced from the ACE database from financial year 2014 to 2019. The results of the study suggest that all three sets of stock performance indicators help in the identification of efficient stocks. However, stocks identified under momentum indicators are seen to have been better performing in stock return compared to the other two groups. The outcome of this study may help academicians and investors construct an effective portfolio and analyse/study its performance evaluation
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Mohamed Yusof, Noreha, Badrina Nur Yasmin Badrul Azhar, Syazana Zakaria, and Intan Nadia Azvilla Maulad Mohamad Rawi. "PERFORMANCE OF KUALA LUMPUR COMPOSITE INDEX STOCK MARKET." MALAYSIAN JOURNAL OF COMPUTING 5, no. 2 (September 8, 2020): 553. http://dx.doi.org/10.24191/mjoc.v5i2.9495.
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Financial Times Stock Exchange (FTSE) Bursa Malaysia Kuala Lumpur Composite Index (KLCI) is made up of over 30 large companies listed on the Bursa Malaysia Main Market. All FTSE Bursa Malaysia data are calculated and disseminated every 15 seconds in real-time. It is believed that the volatility of the stock market has a negative impact on real economic recovery. This paper aims to describe the underlying structure and the phenomenon of the sequence of observations in the series. The information obtained, can determine the performance of time series model to fit the data series from January 2002 until December 2018. Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been shown to provide the correct trend of volatility. The objectives of this paper are to determine the overall trend of the KLCI stock return and to investigate the performance of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Autoregressive Integrated Moving Average (ARIMA) based on KLCI stock return. Root Mean Square Error (RMSE) and Mean Absolute Percentage Error (MAPE) have been chosen to be used in this paper to measure accuracy. The results show that the best ARIMA model is ARIMA(1,1), while for the GARCH model, it is GARCH(1,1).
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Ofori-Boateng, Kenneth, Williams Ohemeng, Elvis Kwame Agyapong, and Ben Justice Bribinti. "The impact of COVID-19 on stock returns of listed firms on the stock market: Ghana's experience." African Journal of Economic and Management Studies 13, no. 1 (December 14, 2021): 136–46. http://dx.doi.org/10.1108/ajems-02-2021-0074.
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PurposeIn Ghana, even though scholars and experts in the field of economics and finance have expressed their opinions and perceptions on the effect of the pandemic on the Ghana Stock Exchange, there has been no study conducted to that effect. This study, therefore, aimed at examining the impact of COVID-19 on the stock returns on the Ghana stock exchange. This would help policy makers and investors in making efficient decisions.Design/methodology/approachThe outbreak of the novel COVID-19 has been a thorn in the flesh of the world in its entirety, affecting many aspects of life including the stock market. This study, therefore, examined the impact of the outbreak on the stock returns of the Ghana Stock Exchange. The study utilized data from the All Share Prices of the Ghana stock exchange, commonly known as the Ghana stoke exchange composite index (GSECI) for analysis. The data covered the period before the outbreak of COVID-19 and during the outbreak. It was revealed that the Ghana stock exchange experienced better returns on the market before the outbreak of the virus. The outbreak of COVID-19 has led to wide variations in the market increasing the risk of investments. The exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) (1, 1) model also reveals that the outbreak of COVID-19 has a significant negative effect on the returns in the market. The market in these periods of COVID-19 is highly volatile. It is recommended that investors should carefully consider risk mitigation strategies to enable them diversify their investments effectively and efficiently against the high risk associated with the market in this COVID-19 era.FindingsIt was revealed that the Ghana stock exchange experienced better returns on the market before the outbreak of the virus. The outbreak of COVID-19 has led to wide variations in the market increasing the risk of investments. The EGARCH (1, 1) model also revealed that the outbreak of COVID-19 had a significant negative effect on stock returns in the market. The market during these periods of COVID-19 was viewed as highly volatile.Research limitations/implicationsThe outbreak of COVID-19 is hence deduced to have a negative impact on the Ghana stock exchange. However, the knowledge of how the market has been affected by the disease, it is important that financial risk mitigation studies be undertaken. This goes beyond what this study has done. The study can further be expanded to include other important economic variables such as GDP, inflation, exchange rates and the likes in to the model.Practical implicationsInvestors should carefully consider risk mitigation strategies to enable them diversify their investments effectively and efficiently against the high risk associated with the market in this COVID-19 era.Social implicationsIt is also important that investors consider diversification of their investments in order to reduce the risk in their investments. It will be more appropriate for most investors to invest with companies such as banks and the telecommunications companies listed on the on the market. This is because most of the telecommunication companies in these times have taken advantage and are making good profit on their businesses. Likewise, some of the financial institutions are considered essential institution in these times. Investing in industries such as manufacturing and the oil and gas sector may be more risky.Originality/valueThe decline in economic and financial market indicators could be credited to the failure of most business entities, organizations and firms which are struggling to sustain their operations in these times of COVID-19. These also include firms listed on the Ghana stock exchange with whom investors transact their daily businesses. However, about 70% of the Ghanaian economy heavily depends on these business and firms found in the private and informal sector. According to the Ghana Statistics Service COVID-19 Business Tracker Survey, about 131,000 businesses expressed their uncertainties with the business environment and also faced the challenge of financial accessibility. The study is appropriate to unearth the true effect and offer policy interventions.
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Sarim, Mohd. "The Indian Corporate Board Efficiency and its Impact on Financial Performance." Turkish Journal of Computer and Mathematics Education (TURCOMAT) 12, no. 5 (April 11, 2021): 1891–94. http://dx.doi.org/10.17762/turcomat.v12i5.2268.
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The objective of the study is to explore the board characteristics and its impact on the financial performance of Indian companies. The sample comprises of top 100 companies listed on the Bombay Stock Exchange for the financial year 2018-2019. The data required for the analysis was collected from the annual reports of the companies available at their respective websites and from the Prowess database of the Centre for Monitoring of Indian Economy. The paper constructed sub-indices for the board as board composition index, board independence index and board disclosure index. Combining all sub-indices, we formed the Board Composite Index. Further, the data was analysed to draw meaningful conclusions. Firm size is used as a controlling variable. The results show that there is a strong relationship between board indicators and return on asset.
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Akhtar, Adeel, Muhammad Shaukat Malik, Imran Nusrat, and Allah Bakhsh. "The Analysis of the Validity of Capital Asset Pricing Model: Evidence from Pakistan Stock Exchange." Journal of Accounting and Finance in Emerging Economies 2, no. 2 (June 30, 2016): 57–68. http://dx.doi.org/10.26710/jafee.v2i2.102.
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The aim of this study was to find evidence for the implementation of capital asset pricing model (CAPM) on companies listed at Pakistan StockExchange before, during and after financial crisis. The data of 50 companies were collected ranging from various sectors of Pakistan stockexchange. Data were divided into 3 different groups: year 2005-2007, 2008-2010 and 2011-2013. Regression analysis was conducted for testingthe hypotheses by taking Pakistan stock exchange 100 index as independent variable and individual stocks return as dependent variable.Three different levels of significance have been used: significance at 1%, significance at 5%, and significance at 10%. The results suggested that inPakistan different business organizations due to narrow scope of business are relatively less diversified and have relatively high flexibility ofresponding unexpected and uncertain events, influencing overall market performance. Similarly, large number of companies, specifically duringperiod of financial crisis, are affected and influenced by numerous risk factors. It was concluded that fair prices of stock cannot be determinedwith the help of CAPM in Pakistan.
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Abduh, Muhamad. "Volatility of Malaysian conventional and Islamic indices: does financial crisis matter?" Journal of Islamic Accounting and Business Research 11, no. 1 (January 6, 2020): 1–11. http://dx.doi.org/10.1108/jiabr-07-2017-0103.
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Purpose This study aims to investigate the volatility of conventional and Islamic indices and to explore the impact of the global financial crisis toward the volatility of both markets in Malaysia. Design/methodology/approach The data consist of financial times stock exchange group (FTSE) Bursa Malaysia Kuala Lumpur Composite Index and FTSE Bursa Malaysia Hijrah-Shari‘ah Index covering the period January 2008-October 2014. Generalized autoregressive conditional heteroskedasticity is used to find the volatility of the two markets and an ordinary least square model is then used to investigate the impact of the crisis toward the volatility of those markets. Findings Interestingly, the result shows that Islamic index is less volatile during the crisis compared to the conventional index. Furthermore, the crisis is proven to significantly affect the volatility of conventional index in the short run and Islamic index in the long run. Originality/value This study explores the volatility–financial crisis nexus, especially for the Islamic financial markets, which to the best of the author’s knowledge, is still lacking empirical research which may improve the understanding upon this issue.
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Dzomonda, Obey, and Olawale Fatoki. "Environmental Sustainability Commitment and Financial Performance of Firms Listed on the Johannesburg Stock Exchange (JSE)." International Journal of Environmental Research and Public Health 17, no. 20 (October 15, 2020): 7504. http://dx.doi.org/10.3390/ijerph17207504.
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The importance of heeding the environmental sustainability commitment call cannot be underestimated. Laggards in terms of environmental sustainability commitment are likely to face fines and penalties as talks to tighten environmental legislation are now at an advanced stage globally. The current work assessed the link between environmental sustainability commitment and financial performance of firms listed on the Johannesburg Stock Exchange (JSE). The study was quantitative in nature with a case study research design. The longitudinal design was adopted where the researcher collected panel data from 2011–2018. The population of the study included all firms listed on the JSE Responsible Investment Index in South Africa. The sample constituted of 32 firms listed on the Financial Times Stock Exchange FTSE/JSE Responsible Investment Index in South Africa. The researchers employed the panel regression analysis model to analyze the data. Specifically, the Feasible Generalized Least Squares regression model was used in this study. Financial performance was treated as the dependent variable as measured by earnings per share and share price. The independent variables of the study included components of environmental sustainability such as carbon emission reduction and environmental compliance. Control variables such as firm size and liquidity were used in the study. The findings indicated that carbon emission reduction was positively and significantly related to earnings per share and share price. The findings further exhibited that environmental compliance was positively related to earnings per share and share price. It was concluded that firms can enhance their financial performance from environmental investment as all the hypotheses were supported. This study contributes practically towards shaping environmental policies and it also serves as motivation to listed companies that they can enhance both their profitability and market value from environmental investments.
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B. Emudainohwo, Ochuko. "IFRS and stock exchange development in sub-Saharan Africa: a logistic model." Investment Management and Financial Innovations 17, no. 3 (October 9, 2020): 397–407. http://dx.doi.org/10.21511/imfi.17(3).2020.30.
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This study examines the impact of International Financial Reporting Standards (IFRS) on the stock exchange development (SED) in sub-Saharan Africa (SSA). The essence is to offer suggestions on how the adoption of IFRS in the SSA region can benefit their SED. The study employed logistic regression analysis of data for 40 SSA countries for the period 2010–2018. Data were extracted from the World Bank’s World Development Index (WDI) database, sampled countries’ stock exchange websites, and the IFRS website. The dependent variable (SED) took two values: 1 – if a stock exchange is established in the observed country’s period, otherwise – 0. The model result was well fitted: p &lt; 0.0001, correctly classified an overall SED accuracy up to 84.84% and excellent area predictive power at a receiver operator characteristic of 0.9347. The study observed that IFRS had high degree of co-movement with SED, and changes in IFRS had a strong positive impact on SED. Besides, changes in market size, ICT infrastructure, and public sector management and institution (PSMI) had a positive and significant impact on SED. The odd ratio of SED compared to non-SED is greatest with IFRS (40.67 times), and for the other variables, the ratios are: market size (4.02), ICT infrastructure (1.26), and PSMI (2.73), respectively. On a greater extent, SSA countries should allow the use of IFRS for financial reporting to expedite SED.
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Karakaya, Aykut, Ayten Turan Kurtaran, and Ahmet Kurtaran. "Firm Value and External Financing Needs." International Journal of Economics and Finance 9, no. 6 (May 15, 2017): 69. http://dx.doi.org/10.5539/ijef.v9n6p69.
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The purpose of this paper is to examine effects on firm value of external financing needs and BIST 100 index to firms listed in the index of Istanbul Stock Exchange manufacturing industry by the panel data analysis methods in the period of 2008-2012. As a result of dynamic panel data analysis, it has be found to increase value of firms by previous term value of firm, being the BIST 100 index, the external financing needs, the financial leverage ratio, firm size and profitability. It was observed that manufacturing firms in Turkey are firms having growth potential, profitable at low rate, whereas financial risk of them is high.It has been found that firms benefit from shorts term debt market being lower borrowing cost and risk because long term debt market hasn’t developed in Turkey leads to positive relationship between external financing needs and firm value. Additionally, It is determined that value of firms included in the index is higher from without because firms are necessary providing certain conditions to take part in the BIST 100.
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Landi, Giovanni, and Mauro Sciarelli. "Towards a more ethical market: the impact of ESG rating on corporate financial performance." Social Responsibility Journal 15, no. 1 (February 4, 2019): 11–27. http://dx.doi.org/10.1108/srj-11-2017-0254.
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Purpose This paper fits in a research field dealing with the impact of Corporate Ethics Assessment on Financial Performance. The authors argue how environmental, social and governance (ESG) paradigm, meant to measure corporate social performance by rating issuance, can impact on abnormal returns of Italian firms listed on Financial Times Stock Exchange Milano Indice di Borsa (FTSE MIB) Index, developing a panel data analysis which runs from 2007 to 2015. Design/methodology/approach This study aims at exploring whether socially responsible investors outperform an excess market return on Italian Stock Exchange because of their investment behavior, testing statistically the relationship between the yearly ESG assessment issued by Standard Ethics Agency on FTSE MIB’s companies and their abnormal returns. To verify the impact of an ESG Rating on a company’s abnormal return, the authors developed a panel data analysis through a Fixed Effects Model. They measured abnormal returns via Fama–French approach, running a yearly Jensen’s Performance Index for each company under investigation. Findings The empirical results denote in Italy both a growing interest to corporate social responsibility (CSR) and sustainability by managers over the past decade, as well as an improving quality in ESG assessments because of a reliable corporate disclosure. Thus, despite investors have been applying ESG criteria in their stock – picking operations, the authors found a not positive and statistically significant impact in terms of market premium, when they have been undertaking a socially responsible investment (SRI). Practical implications The findings described above show that ethics is not yet a reliable fundraising tool for Italian-listed companies, despite SRIs having a positive growth rate over past decade. Investors seem to be not pricing CSR on Stock Exchange Market; therefore, listed companies cannot be rewarded with a premium price because of their highly stakeholder oriented behavior. Originality/value This paper explores, for the first time in Italy, when market extra-returns (if any) are related to corporate social performance and how managers leverage ethics to build capital added value.
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Balcı, Mehmet Ali, Larissa M. Batrancea, Ömer Akgüller, and Anca Nichita. "Coarse Graining on Financial Correlation Networks." Mathematics 10, no. 12 (June 17, 2022): 2118. http://dx.doi.org/10.3390/math10122118.
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Community structure detection is an important and valuable task in financial network studies as it forms the basis of many statistical applications such as prediction, risk analysis, and recommendation. Financial networks have a natural multi-grained structure that leads to different community structures at different levels. However, few studies pay attention to these multi-part features of financial networks. In this study, we present a geometric coarse graining method based on Voronoi regions of a financial network. Rather than studying the dense structure of the network, we perform our analysis on the triangular maximally filtering of a financial network. Such filtered topology emerges as an efficient approach because it keeps local clustering coefficients steady and it underlies the network geometry. Moreover, in order to capture changes in coarse grains geometry throughout a financial stress, we study Haantjes curvatures of paths that are the farthest from the center in each of the Voronoi regions. We performed our analysis on a network representation comprising the stock market indices BIST (Borsa Istanbul), FTSE100 (London Stock Exchange), and Nasdaq-100 Index (NASDAQ), across three financial crisis periods. Our results indicate that there are remarkable changes in the geometry of coarse grains.
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Hammad, Muhammad, Adil Awan, and Amir Rafiq. "Demutualization in Developing and Developed Country Stock Exchanges." Lahore Journal of Business 3, no. 2 (March 1, 2015): 35–58. http://dx.doi.org/10.35536/ljb.2015.v3.i2.a3.
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This study considers seven different stock exchanges in order to measure the impact of demutualization announcements on stock market return volatility. This is measured based on the daily index prices of all seven indices: the Toronto Stock Exchange (TSX) in Canada, the FTSE 100 in the UK, the Straits Times Index (STI) in Singapore, the Nikkei 225 in Japan, the Kuala Lumpur Composite Index (KLCI) in Malaysia, the SENSEX in India, and the Hang Seng Index (HSI) in Hong Kong, China. A dummy variable is used to differentiate between pre- and post-event data. We use the augmented Dickey–Fuller test, the ARCH LM test and GARCH (1, 1) methodology to measure return volatility due to demutualization announcements. The results show that the decision to demutualize did not affect the UK, Singapore, and Indian stock markets, where volatility is explained by other factors. It did, however, affect the Canadian, Japanese, Hong Kong, and Malaysian stock markets. Moreover, the Canadian and Malaysian market swere negatively affected, while the Hong Kong and Japanese markets reacted positively to the demutualization announcements.
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Yulianto, Yulianto, and Lindawati Lindawati. "“PENGARUH INTELLECTUAL CAPITAL TERHADAP KINERJA KEUANGAN PERUSAHAAN YANG TERGABUNG DALAM JAKARTA ISLAMIC INDEX”." JURNAL SeMaRaK 3, no. 3 (October 6, 2020): 29. http://dx.doi.org/10.32493/smk.v3i3.7098.
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Riset kami bertujuan dalam rangka mengetahui hubungan diantara modal manusia (human capital value added), modal fisik (capital employed value added), modal struktural (structural value added) terhadap kinerja keuangan (ROE) di entitas industri yang terindeks dalam kelompok Jakarta Islamic index pada Indonesia stock exchange untuk masa amatan periode 2016-2018. Riset ini bersifat riset kuantitatif yang mengkombinasikan diantara data times series dan data cross section dalam bentuk data panel. Berdasarkan pada perhitungan pemilihan model regresi, model yang terpilih adalah model tetap (fixed effect model). Hasil regresi secara bersama-sama diketahui bahwa VAHU, VACA, STVA berpengaruh secara signifikan mempengaruhi financial performance. Berdasarkan hasil analisis secara individu diperoleh bahwa modal manusia (VAHC) tidak mempengaruhi financial performance, modal fisik (VACA) memiliki pengaruh positif signifikan mempengaruhi financial performance dan modal struktural (STVA) memiliki bepengaruh positif signifikan terhadap financial performance. Variasi hubungan dari ketiga variabel bebas dapat dijelaskan pada nilai adjusted R-squared yang bernilai 0,97 atau 97% hubungan financial performance ditentukan oleh VAHC, VACA, STVA sementara selisihnya sebesar 3% ditentukan akibat ada variable lainnya di luar pemodelan riset ini. Kata kunci : Human Capital (VAHC), Physical Capital (VACA), Structural Capital (STVA), Financial Performance
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Septianadewi, Christabel. "ANALISIS INTELLECTUAL CAPITAL TERHADAP SUSTAINABLE GROWTH RATE DENGAN FINANCIAL PERFORMANCE SEBAGAI MEDIASI." Media Akuntansi dan Perpajakan Indonesia 4, no. 1 (September 26, 2022): 41–66. http://dx.doi.org/10.37715/mapi.v4i1.2784.
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This study aims to determine the effect of intellectual capital (IC) on sustainable growth rate (SGR) with financial performance proxied by return on assets (ROA) as a mediation. This research is a quantitative research. The population in this study is the index of Kompas 100 companies listed on the Indonesia Stock Exchange (IDX). Sampling using purposive sampling method with several criteria, obtained a sample of 42 companies. This study uses secondary data originating from the company’s financial statements from 2014 to 2019. The results of this study include (1) IC has a significant positive effect on SGR, (2) IC has a significant positive effect on ROA, (3) ROA has a significant positive effect on SGR, and (4) ROA can mediate the relationship between IC and SGR.
Keywords: IC, SGR, ROA, Kompas 100.
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Maria Silvia Avi, Prof, and Dr Baldassa Giulia. "Going concern, COVID and bankruptcy prediction: in Italy identified valid forecast ratios of bankruptcy prediction." International Journal of Business & Management Studies 03, no. 08 (August 13, 2022): 45–76. http://dx.doi.org/10.56734/ijbms.v3n8a7.
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In this paper, a theoretical and operational analysis was carried out on the issue of going concern. First of all, from a theoretical point of view, the subject of going concern has been examined in-depth to explain how the Covid-19 health emergency has impacted the companies' ability to carry out their activities shortly. It also achieves this aim by implementing operational research having as its object forty companies belonging to three macro-sectors: industrial, financial services and non-financial services, whose stocks make up the Italian stock exchange index Ftse Mib (Financial Times Stock Exchange Milan. The FTSE MIB is the benchmark stock index in Italy. It consists of a basket of 40 stocks on the Euronext Milan and Euronext MIV Milan markets identified by capitalisation, trading volume and sector). The theoretical and operational analysis of the concept of going concern was carried out considering, also, the bankruptcy alert indices identified by the Italian National Council of Chartered Accountants and Accounting Experts. These indicators were introduced by Italian legislation with the entry into force of the new Code of Corporate Crisis to identify possible economic and financial instability situations before the state of crisis. The research, as mentioned above, was carried out using the alert indices recognised by the National Council of Chartered Accountants and Accounting Experts. This research emerged that these indices are actually predictive of a company crisis. It also completed the study illustrated in this paper by comparing the results of the bankruptcy's predictive alert indices and Altman's Z-score. It reached the trends identified by the alert indices with the results obtained from Altman's Z-score, and from this comparison, it can see that the final results are similar. The comparison between the alert ratios illustrated by the National Council of Chartered Accountants and Accounting Experts and the results of Altman's Z-score allows us to affirm two observations: undoubtedly, the alert ratios are characterised by a high predictive validity regarding the bankruptcy of companies and, in addition, that these ratios lead to similar results to those that can obtain by applying Altman's Z-score. In this paper, a theoretical and operational analysis was carried out on the issue of going concern. First of all, from a theoretical point of view, the subject of going concern has been examined in-depth to explain how the Covid-19 health emergency has impacted the companies' ability to carry out their activities shortly. It also achieves this aim by implementing operational research having as its object forty companies belonging to three macro-sectors: industrial, financial services and non-financial services, whose stocks make up the Italian stock exchange index Ftse Mib (Financial Times Stock Exchange Milan. The FTSE MIB is the benchmark stock index in Italy. It consists of a basket of 40 stocks on the Euronext Milan and Euronext MIV Milan markets identified by capitalization, trading volume and sector). The theoretical and operational analysis of the concept of going concern was carried out considering, also, the bankruptcy alert indices identified by the Italian National Council of Chartered Accountants and Accounting Experts. These indicators were introduced by Italian legislation with the entry into force of the new Code of Corporate Crisis to identify possible economic and financial instability situations before the state of crisis. The research, as mentioned above, was carried out using the alert indices recognized by the National Council of Chartered Accountants and Accounting Experts. This research emerged that these indices are actually predictive of a company crisis. It also completed the study illustrated in this paper by comparing the results of the bankruptcy's predictive alert indices and Altman's Z-score. It reached the trends identified by the alert indices with the results obtained from Altman's Z-score, and from this comparison, it can see that the final results are similar.