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1
Sapari, Fransissco Nicolas, and Agus Zainul Arifin. "Studi Perbandingan Nilai Value at Risk Antara Saham Berbasis Syariah Dengan Saham Non Syariah Periode 2010-2012." Jurnal Dinamika Akuntansi dan Bisnis 3, no. 1 (July 24, 2016): 26–36. http://dx.doi.org/10.24815/jdab.v3i1.4394.
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This study aimed to empirically compare the risk between sharia and non-sharia based stock investment. The Sharia stocks are refereed to stocks that issued by companies listed in LQ-45, whereas the non-sharia stocks are defined as stocks that are issued by companies listed in Jakarta Indonesia Index (JII) between 2011 and 2012. In total, there were 25 companies listed in LQ-45 and 15 companies listed in JII which were involved in this study. This study used GARCH model to estimate the risk of every individual stock. The result showed that there was a difference in risk between sharia and non-sharia based stock. This study also documented that non-Sharia based stocks were more risky than Sharia-based stodcks. Finally, this study provides information on risk characteristic in Indonesia Capital Market.
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Eltahir, Yassin Ibrahim, Osama Azmi Sallam, Hussien Omer Osman, and Fethi Klabi. "Does Volatility Generate Major and Minor Stocks in Saudi Stocks Market?" Integrated Journal of Business and Economics 4, no. 1 (January 15, 2020): 14. http://dx.doi.org/10.33019/ijbe.v4i1.239.
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This study attempts to answer the main question: are there reciprocal effects between the variances of the stock returns in the Saudi market, also the answer to a sub-question. What are the leading stocks in the Saudi market?. Study selected a sample of five stocks representing the basic materials, banking, services, food and transport sectors (SABIC, Al Rajhi, Etisalat, Almarai and Al Bahri respectively). The data sample for the period from 2011 to 2016 is taken, which represents the lifespan of the five-year plan. Daily stock returns were calculated during this period. Study applies the M GARCH-VEC methodology to estimate stock return variances and then perform a multiple regression of five equations using the ARCH Heteroscedasticity estimator. Results of the analysis show a positive effect between stock return variances as well as a positive automatic variance of all stocks returns variances. Finally, the results of the regression analysis of the various equations show that the returns variances of SABIC and Al Rajhi stocks have a dominant impact on the rest of the stock's returns. So they are considered as leading stocks in the market. While the variances returns of Etisalat, Almarai and Al Bahri have a limited impact on the rest of the stocks variances returns, so they are considered as minor stocks
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Liu, Mark H. "Analysts’ Incentives to Produce Industry-Level versus Firm-Specific Information." Journal of Financial and Quantitative Analysis 46, no. 3 (February 15, 2011): 757–84. http://dx.doi.org/10.1017/s0022109011000056.
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AbstractUsing stock returns around recommendation changes to measure the information produced by analysts, I find that analysts produce more firm-specific than industry-level information. Analysts produce more firm-specific information on stocks with higher idiosyncratic return volatilities. The amount of industry information produced by analysts increases with the absolute value of the stock’s industry beta and decreases with the stock’s idiosyncratic volatility. Other stocks in the industry also respond to the recommendation change, and the magnitude of the response increases with the absolute value of the industry beta of the recommended stock and that of other stocks in the industry. I also offer results on how investors may use analyst research more effectively and potentially improve their investment performance.
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Kreidl, Felix. "Stock-Market Behavior on Ex-Dates: New Insights from German Stocks with Tax-Free Dividend." International Journal of Financial Studies 8, no. 3 (September 21, 2020): 58. http://dx.doi.org/10.3390/ijfs8030058.
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We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our analysis of this particular group of German stocks, we can make clear predictions regarding ex-date prices and analyze the number of stocks traded around ex-dates, doing so without the systematic bias of cum-ex trades over time. For XETRA, our empirical results indicate that ex-date prices decline, on average, by the amount of the dividend. We do not find a significant relationship between a stock’s price-drop ratio and dividend yield. Further, the empirical analysis suggests that there is no significant correlation between an abnormal number of a stock being traded and its dividend yield. These results are most consistent with tax-motivated reasoning. However, our volume analysis reveals no consistency regarding the abnormal number of stocks traded for multilateral trading facilities.
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Rasul, Dr Md Serajur. "Performance of Value and Growth Stocks: Returns of Stocks on Dhaka Stock Exchange." Indian Journal of Applied Research 3, no. 2 (October 1, 2011): 205–8. http://dx.doi.org/10.15373/2249555x/feb2013/71.
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Färber, Leonie, Rob van Gemert, Øystein Langangen, Joël M. Durant, and Ken H. Andersen. "Population variability under stressors is dependent on body mass growth and asymptotic body size." Royal Society Open Science 7, no. 2 (February 2020): 192011. http://dx.doi.org/10.1098/rsos.192011.
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The recruitment and biomass of a fish stock are influenced by their environmental conditions and anthropogenic pressures such as fishing. The variability in the environment often translates into fluctuations in recruitment, which then propagate throughout the stock biomass. In order to manage fish stocks sustainably, it is necessary to understand their dynamics. Here, we systematically explore the dynamics and sensitivity of fish stock recruitment and biomass to environmental noise. Using an age-structured and trait-based model, we explore random noise (white noise) and autocorrelated noise (red noise) in combination with low to high levels of harvesting. We determine the vital rates of stocks covering a wide range of possible body mass (size) growth rates and asymptotic size parameter combinations. Our study indicates that the variability of stock recruitment and biomass are probably correlated with the stock's asymptotic size and growth rate. We find that fast-growing and large-sized fish stocks are likely to be less vulnerable to disturbances than slow-growing and small-sized fish stocks. We show how the natural variability in fish stocks is amplified by fishing, not just for one stock but for a broad range of fish life histories.
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Michielsens, Catherine G. J., Samu Mäntyniemi, and Pekka J. Vuorinen. "Estimation of annual mortality rates caused by early mortality syndromes (EMS) and their impact on salmonid stockrecruit relationships." Canadian Journal of Fisheries and Aquatic Sciences 63, no. 9 (September 1, 2006): 1968–81. http://dx.doi.org/10.1139/f06-095.
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In this paper, we demonstrate how information from broodstocks can be combined with lab information on alevins to obtain annual stock-specific mortality estimates from early mortality syndromes (EMS) using a probabilistic approach, how a hierarchical model structure can be used to predict these mortality rates for related, partly sampled, or unsampled stocks, and why these estimates should be used to remove the effect of this mortality on stockrecruit estimates. The approach has been illustrated for Atlantic salmon (Salmo salar) stocks in the Baltic Sea affected by the M74 syndrome. Results indicate that data on the proportion of M74-affected females, commonly used to approximate M74 mortality, overestimate actual M74-related mortality because of a declining trend in mortality among offspring of these females. The stock-specific M74 mortality estimates are used to account for nonstationarity in the stockrecruitment relationship caused by this fluctuating mortality. Because hierarchical meta-analyses assume exchangeability, the effect of M74 mortality is removed before including these stocks within hierarchical stockrecruit analyses of Atlantic salmon stocks, which are commonly unaffected by M74 mortality. Failure to remove the effect of M74 mortality on the stockrecruit data results in underestimation of the stock's productivity and resilience to exploitation, especially in the case of stocks with steep stockrecruit curves.
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Agarwal, Mehul. "Does Investment in Defensive Stocks Act as a Buffer during Market Downturns?" INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 04 (April 10, 2024): 1–5. http://dx.doi.org/10.55041/ijsrem30553.
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The study examines the performance of defensive stocks during market downturns in the Indian stock market. The research focuses on the period from January 2000 to December 2023. In this study selected stocks from the Fast-Moving Consumer Goods (FMCG) sector (HUL, ITC, Britannia Industries) and Pharma sector (Sun Pharmaceuticals Industries, Dr Reddy Laboratories and Cipla) have been taken into consideration. Five key metrics are covered to assess the stock’s performance: Stock return, Correlation, Beta Compound Annual Growth Rate (CAGR), and Dividend yield. For stock return a comparison is made between stock market return and selected stock return, also the average return of each stock is calculated and compared with the average market return during market downturns. Correlation has been used to understand if there is a relationship between stock returns and nifty returns. Beta has been used to understand the sensitivity of the stock in relation to the market and Compound Annual Growth Rate has been used to analyze the long-term stability of each stock. The average dividend yield is calculated to understand the extra return that an investor can get on his investments on top of capital gain. The study findings revealed that incorporating stocks from the Fast-Moving Consumer Goods (FMCG) and Pharmaceutical (Pharma) sectors protects investors against market downturns, Additionally, the research highlights the long-term stability of returns associated with defensive stocks, making them a valuable component for investors seeking portfolio diversification and a buffer against market fluctuations. Keywords: Defensive Stocks, Market Downturns, Stock Market Return, Beta, CAGR, FMCG, Pharma.
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Anjana Raju, Guntur, and Sanjeeta Shirodkar. "Derivative trading and structural breaks in volatility in India: an ICSS approach." Investment Management and Financial Innovations 17, no. 2 (July 2, 2020): 334–52. http://dx.doi.org/10.21511/imfi.17(2).2020.26.
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Researchers argue that ignoring the structural breaks in the time-series variance can cause significant upward biases in the degree of persistence in estimated GARCH models. Against this backdrop, the present study empirically examines the effect of stock futures on the underlying stock’s volatility in India by incorporating the structural breaks with the help of ICSS test and AR (1)-GARCH (1, 1) model for 30 most liquid and actively traded underlying stocks and their associated futures contracts. The study period ranges from the 1st January 2000 or the listing date of the particular stock (whichever is prior) till 31st March 2019. The study contributes to the on-going debate regarding the effect of derivatives on the underlying stock market’s volatility in two ways. Firstly, by taking into consideration the breaks in the volatility and, secondly, studying the effect of single stock futures will allow us to evaluate company-specific response to futures trading directly. The study offers a mixed outcome for the stocks under consideration. However, there is evidence of a decline in unconditional volatility for the majority of the stocks. The overall findings indicate that trading in stock futures may not have any detrimental effect on the underlying stock’s volatility.
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Hui, Eddie C. M., Sheung-Chi Phillip Yam, and Si-Wei Chen. "SHIRYAEV-ZHOU INDEX – A NOBLE APPROACH TO BENCHMARKING AND ANALYSIS OF REAL ESTATE STOCKS." International Journal of Strategic Property Management 16, no. 2 (June 19, 2012): 158–72. http://dx.doi.org/10.3846/1648715x.2011.638946.
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Real estate markets and real estate stocks are interrelated and are important not only to the investors, but also to the academics. Real estate stocks are, in a sense, good measures of performance of the physical real estate market. The objective of this paper is to provide a preliminary study on gauging the performances of real estate stocks in Hong Kong using the Shiryaev-Zhou index. Evidence shows that the Shiryaev-Zhou index can gauge a real estate stock's performance, good or bad, according to the sign of the Shiryaev-Zhou index. Thus a trading strategy can be formulated as follows: buy a stock if its Shiryaev-Zhou index changes from negative to positive, then hold it until its Shiryaev-Zhou index turns negative, when it is time to sell the stock. We examine the Shiryaev-Zhou indices of the real estate stocks in Hong Kong, and from this we deduce the latest best selling dates of the stocks during the period of our study. The Shiryaev-Zhou index could be an indicator of whether the market is bullish or bearish and consequently tells an investor to hold a stock or not, and it naturally leads to an optimal selling strategy that maximize the average ratio of the selling price to the maximum stock price when the underlying coefficients are assumed to be constant over a definite period of time.
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Frame, I. A., C. A. Ross, and A. G. Luckins. "Characterization ofTrypanosoma congolenseserodemes in stocks isolated from Chipata District, Zambia." Parasitology 101, no. 2 (October 1990): 235–41. http://dx.doi.org/10.1017/s0031182000063289.
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Six stocks ofTrypanosoma congolensewere cloned from 17 stocks isolated from Eastern Zambia and used to initiate insect-formin vitrocultures producing metacyclic trypanosomes. Serological assays were then developed using thesein vitro-derived metacyclics as a reference collection of antigens. Monoclonal antibodies recognized 8 metacyclic variable antigen types (M-VATs) of one stock,T. congolenseTREU 1885, representing 70–80% of that stock's M-VAT repertoire, and in an indirect fluorescent antibody test (IFAT) there were no cross-reactions between them and the metacyclic trypanosomes of the other 5 stocks. Cross-protection assays between the 6 stocks in mice showed that the stocks culturedin vitrowere serologically distinct. In order to facilitate serological typing for serodeme characterization, an IFAT was developed using formalin-fixed metacyclic trypanosomes to identify VAT specific immune responses using 21 day post-infection antisera. The cultured stocks reacted only with their homologous antisera thus confirming the results obtained in the cross-protection assays. No cross-reactions were observed with the 6 cloned stocks and antisera against the 11 stocks ofT. congolenseisolated in the same area at the same time suggesting that these stocks were different from the reference collection of cultured metacyclics. Hence, at least 7 serodemes ofT. congolensehave been identified from the 17 stocks isolated.
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Bauman, W. Scott, C. Mitchell Conover, and Robert E. Miller. "The Performance of Growth Stocks and Value Stocks in the Pacific Basin." Review of Pacific Basin Financial Markets and Policies 04, no. 02 (June 2001): 95–108. http://dx.doi.org/10.1142/s0219091501000358.
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Many studies show that value stock strategies outperform growth stock strategies in U.S. markets and in international markets. However, the evidence is not clear as growth stocks have had higher returns in a few countries. Because the behavior of stock markets vary between different geographic regions, it is possible that the performance of these strategies may differ in the Pacific Rim region. We examine the performance of value stocks and growth stocks, defined on the basis of market price to book value per share, over the 10-year period 1986-1996, for six Pacific Rim countries. Based on over 11,900 annual stock returns, value stocks generally outperformed growth stocks over the 10-year period, and in the various Pacific Rim country stock markets. In addition, smaller cap stocks outperformed large cap stocks. Regardless of cap size, however, value stocks, on the whole, outperformed growth stocks. When growth stocks occasionally outperformed value stocks, the margin of difference tended to be small.
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Shackman, Joshua, Paul Lambert, Phoenix Benitiez, Nathan Griffin, and David Henderson. "Maritime Stock Prices and Information Flows: A Cointegration Study." Transactions on Maritime Science 10, no. 2 (October 21, 2021): 496–510. http://dx.doi.org/10.7225/toms.v10.n02.018.
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In this study, the issue of how global maritime stock prices influence the stock prices of large transportation companies in the U.S. and other large markets is examined. Maritime stocks are chosen because they are central in global trade and thus may be good indicators of future global stock market and economic trends. Maritime companies are often owned by families or governments and are traded in stock markets with lower standards of accountability, hence information flows from maritime stocks may be slower than flows from other stocks. Cointegration and vector error-correction analysis is used to analyze the short-term and long-term relationships between maritime stocks, rail stocks, and trucking stocks. Evidence is found of a gradual diffusion of information from maritime stock prices to large rail or trucking stocks. This suggests that price changes in maritime stocks may help predict changes in prices in non-maritime transportation stocks.
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Abd-Alla, Mustafa Hussein. "COVID-19 crisis as a systematic risk: an empirical study in the egyptian stock market." Journal of Financial Studies 5, no. 9 (November 15, 2020): 94–108. http://dx.doi.org/10.55654/jfs.2021.5.9.08.
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"This paper examines the ability of beta (β) to measure the systematic risks posed by the COVID-19 crisis and analyzes the impact of the COVID-19 crisis on stock returns for a sample of 50 stocks, grouped on the basis of size and value in the Egyptian Stock Market. CAPM beta of the stock was used to represent the systematic risk stocks, market capitalization was used to construct the large and small stocks portfolios and the book-to-market equity ratio was used to construct high medium and small portfolios. The results showed that systematic risks measured by beta increased after COVID-19 crisis for all sample stocks, the portfolios consisting of stocks with high and medium B/M ratio and the portfolios consisting of small capitalization stocks and big capitalization stocks. However, the COVID-19 crisis has no effect on systematic risks for the portfolio consisting of stocks with low B/M ratio. The results also indicated that stock returns decreased after the COVID-19 crisis for all sample stocks, the portfolios consisting of stocks with low B/M ratio and the portfolios consisting of big stocks. However, the COVID-19 crisis does not affect stock returns for the portfolios consisting of stocks with high and medium B/M ratio and the portfolios consisting of small stocks. "
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Sari, Eka Maya, and Tri Gunarsih. "Apakah Kinerja Saham Syariah Lebih Baik Dibandingkan Saham Non-Syariah pada Tahun 2018-2019?" Telaah Bisnis 21, no. 1 (April 16, 2021): 57. http://dx.doi.org/10.35917/tb.v21i1.202.
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There are two considerations that investors need to notice if they want to invest in the capital market, namely, return and risk. An investor needs to diversify to gain benefits and minimize risk by forming the optimal stock portfolios. This research analyzes the differences between Islamic stock (based on JII) and non-Islamic stock (based on LQ45) stock portfolio investment using the single index model. The samples were consistently listed on the JII and LQ45 stock indices in January 2018-December 2019. There are 35 stocks for the LQ45 stock index and 25 stocks on the JII stock index. Sharia stocks' optimal portfolio comprises three stocks, while the optimal portfolio of non-Islamic stocks shall consist of four stocks. The Independent Sample T-Test was implemented to analyze the differences between the Islamic (JII) and non-Islamic (LQ45) optimal stock portfolios based on the Sharpe Ratio, Jensen Ratio, and Treynor Ratio. The results show that there is no significant difference between Islamic and non-Islamic stocks.
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Støttrup, J. G., and C. R. Sparrevohn. "Can stock enhancement enhance stocks?" Journal of Sea Research 57, no. 2-3 (February 2007): 104–13. http://dx.doi.org/10.1016/j.seares.2006.09.005.
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Mehrara, Mohsen, Yazdan Gudarzi Farahani, Farzan Faninam, and Abbas Rezazadeh Karsalari. "The Effect of Macroeconomic Variables on the Stock Market Index of the Tehran Stock Exchange." International Letters of Social and Humanistic Sciences 71 (July 2016): 17–24. http://dx.doi.org/10.18052/www.scipress.com/ilshs.71.17.
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This paper examines the relationship between stock market index and macroeconomic policies (Fiscal and Monetary) on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models (VAR) to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a slight impact on stocks return in the short term. But the government expenditure has a positive effect on exchange index in long run. Also the effect of taxes on the stock's price index is negative, so that it reaches its maximum level after the third lag and then alleviates. The GDP shock has positive effect on the stock's price index. Increase in production level leads to increase in earnings and profitability, leading to a positive response from stocks index. Therefore the results showed that the macroeconomic variables such as inflation, exchange rate and GDP have significant effects on Tehran exchange price index. So the hypothesis that the improving economic factors can have a useful role in the booming capital market is confirmed. Also the effect of fiscal policy factors such as tax revenues and government expenditures is more than monetary policy factors on stock returns.
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Ho, Trang-Thi, and Yennun Huang. "Stock Price Movement Prediction Using Sentiment Analysis and CandleStick Chart Representation." Sensors 21, no. 23 (November 29, 2021): 7957. http://dx.doi.org/10.3390/s21237957.
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Determining the price movement of stocks is a challenging problem to solve because of factors such as industry performance, economic variables, investor sentiment, company news, company performance, and social media sentiment. People can predict the price movement of stocks by applying machine learning algorithms on information contained in historical data, stock candlestick-chart data, and social-media data. However, it is hard to predict stock movement based on a single classifier. In this study, we proposed a multichannel collaborative network by incorporating candlestick-chart and social-media data for stock trend predictions. We first extracted the social media sentiment features using the Natural Language Toolkit and sentiment analysis data from Twitter. We then transformed the stock’s historical time series data into a candlestick chart to elucidate patterns in the stock’s movement. Finally, we integrated the stock’s sentiment features and its candlestick chart to predict the stock price movement over 4-, 6-, 8-, and 10-day time periods. Our collaborative network consisted of two branches: the first branch contained a one-dimensional convolutional neural network (CNN) performing sentiment classification. The second branch included a two-dimensional (2D) CNN performing image classifications based on 2D candlestick chart data. We evaluated our model for five high-demand stocks (Apple, Tesla, IBM, Amazon, and Google) and determined that our collaborative network achieved promising results and compared favorably against single-network models using either sentiment data or candlestick charts alone. The proposed method obtained the most favorable performance with 75.38% accuracy for Apple stock. We also found that the stock price prediction achieved more favorable performance over longer periods of time compared with shorter periods of time.
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Punt, André E., David C. Smith, and Anthony D. M. Smith. "Among-stock comparisons for improving stock assessments of data-poor stocks: the “Robin Hood” approach." ICES Journal of Marine Science 68, no. 5 (May 1, 2011): 972–81. http://dx.doi.org/10.1093/icesjms/fsr039.
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Abstract Punt, A. E., Smith, D. C., and Smith, A. D. M. 2011. Among-stock comparisons for improving stock assessments of data-poor stocks: the “Robin Hood” approach. – ICES Journal of Marine Science, 68: 972–981. An approach is outlined for conducting stock assessments in which parameters are estimated for multiple stocks at the same time. Information from data-rich stock assessments, e.g. trends in fishing mortality, and values for parameters of selectivity functions are provided to data-poor assessments in the form of penalties on the estimated parameters, which leads to stock assessments for the most data-poor stocks being informed by those for the most data-rich stocks. The method is applied for example purposes to data for nine stocks in Australia's southern and eastern scalefish and shark fishery. The results of the application confirm that results for data-rich stocks are little impacted by being assessed in conjunction with data-poor stocks and that the results for data-poor stocks can be qualitatively different when information for data-rich stocks is taken into account.
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Hilborn, R. "Apparent Stock Recruitment Relationships in Mixed Stock Fisheries." Canadian Journal of Fisheries and Aquatic Sciences 42, no. 4 (April 1, 1985): 718–23. http://dx.doi.org/10.1139/f85-092.
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When several stocks of differing productivities are fished together and combined for stock recruitment analysis, the estimated productivity and size of the stock depends strongly on the previous exploitation history. As a mixed stock is harvested harder, it appears smaller in total size but more productive per individual. I analysed the mechanism behind this change. Passive feedback management policies perform well on mixed stocks, when starting from unexploited conditions. When starting from an overexploited condition, passive feedback management will fail to allow the less productive stocks to recover and will maintain overexploitation. This is also true in the presence of straying between stocks. Since few salmon fisheries operate on single stocks, stock recruitment analyses will usually underestimate the optimum escapement and overestimate the optimum harvest rate when mixed stocks are treated as a single stock. These conclusions will be true for any mixed stock fishery with different productivities of the stocks.
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Larasati, Btari Gavrilla, C. Ambar Pujiharjanto, and Nilmawati Nilmawati. "Analysis Of Stock Return Anomaly On The Indonesia Stock Exchange Based On Market Capitalization." Journal of Business Innovation and Research 2, no. 2 (April 3, 2024): 195. http://dx.doi.org/10.31315/jubir.v2i2.12031.
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There has been a well-known market anomaly in the stock market called the firm size effect. This theory explains that small-cap stocks may provide greater stock returns than big-cap stocks. This research aimed to test the firm size effect theory on 827 stocks listed on the Indonesia Stock Exchange (IDX) during January 2 to June 27, 2023. The research sample was divided into big-cap and small-cap categories based on the calculation of average market capitalization, then the average value of stock returns from both categories were statistically compared. The result showed that the average values of stock return from both categories were significantly different, but this finding did not support the hypothesis related to market anomalies, because the result showed that big-cap stocks provide a greater stock return compared to small-cap stocks. However, the top 10 small-cap stocks with the highest return showed a much greater value than the return of big-cap stocks. Therefore, investors may still choose to invest in small-cap stocks, especially for short-term investments.
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Gao, Jingyu. "Using Machine Learning Models to Predict the Uber Stock." Advances in Economics, Management and Political Sciences 45, no. 1 (December 1, 2023): 157–63. http://dx.doi.org/10.54254/2754-1169/45/20230269.
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This paper aims to describe how to use machine learning models to predict the situation changing of stocks. This paper will use linear regression and random forest model to predict the Uber stocks stock's future closing price and probability of rise and fall. This paper firstly collected stock related information from Kaggle. The data of Uber stocks are from May 10, 2019 to March 24, 2022. The closing price and the future closing price are divided by taking 80% as the training set and 20% as the proportion of the test set. Then setting some technical indicators to analyze the accuracy and deviation of the prediction, such as root mean square error (RMSE), mean deviation error (MBE) and R-square. In future research, these methods could be used to apply machine learning models in stock forecasting, as well as other more accurate methods such as radio frequency technology and neural networks.
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Aqbar, Khaerul, Sulkifli Herman, and Muhammad Ichvan Mahmud. "Tinjauan Wakaf Saham dalam Perspektif Hukum Islam." BUSTANUL FUQAHA: Jurnal Bidang Hukum Islam 3, no. 1 (April 7, 2022): 100–130. http://dx.doi.org/10.36701/bustanul.v3i1.528.
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This study aims to determine the concept of stock waqf and its law in the view of Islamic law. This research uses descriptive qualitative research (non-statistical) by using library research method (library review) and using normative and juridical normative approaches. The research results found are as follows; first, stock waqf is the same waqf as other types of waqf, except that stock waqf is in the form of securities. Stock waqf has a similar concept to cash waqf. In this case, the waqif may waqf in the form of money and then nazir converts it in the form of stocks or the waqif can waqf directly the stocks he owns. The stocks waqf are stocks that comply with sharia principles. If the stocks to be donated are contrary to sharia, the stocks must first be sold or exchanged for halal stocks or stocks that comply with sharia principles; second, stock waqf is something new in waqf and has enormous benefits. When the stock waqf can really be managed properly, then it is able to improve the economy of Muslims. Therefore, stock waqf is permissible in the view of Islamic law.
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Lee, Eun-Joo, Noah Klumpe, Jonathan Vlk, and Seung-Hwan Lee. "Modeling Conditional Dependence of Stock Returns Using a Copula-based GARCH Model." International Journal of Statistics and Probability 6, no. 2 (February 13, 2017): 32. http://dx.doi.org/10.5539/ijsp.v6n2p32.
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Investigating dependence structures of stocks that are related to one another should be an important consideration in managing a stock portfolio, among other investment strategies. To capture various dependence features, we employ copula to overcome the limitations of traditional linear correlations. Financial time series data is typically characterized by volatility clustering of returns that influences an estimate of a stock’s future price. To deal with the volatility and dependence of stock returns, this paper provides procedures of combining a copula with a GARCH model which leads to the construction of a multivariate distribution. Using the copula-based GARCH approach that describes the tail dependences of stock returns, we carry out Monte Carlo simulations to predict a company’s movements in the stock market. The procedures are illustrated in two technology stocks, Apple and Samsung.
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Aliu, Florin, Artor Nuhiu, Besnik Krasniqi, and Fisnik Aliu. "Modeling the Optimal Portfolio: the Case of the Largest European Stock Exchanges." Comparative Economic Research. Central and Eastern Europe 23, no. 2 (June 30, 2020): 41–51. http://dx.doi.org/10.18778/1508-2008.23.11.
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Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor’s risk tolerance. The study measures the risk-reward relationship when the number of stocks in the portfolio increases. Six diverse portfolios have been created with a different number of stocks, such as portfolios with 47 stocks, 95 stocks, 142 stocks, 190 stocks, 239 stocks, and 287 stocks. Stock prices and trading volume were collected on a weekly basis from the six largest European stock exchanges (FTSE100, CAC40, FTSE MIB, IBEX35, DAX, and MDAX). Markowitz’s (1952) diversification formula has been used to measure the risk level of the individual portfolios. The results of the study show that the diversification risk constantly decreases when we move from the portfolios with 47 stocks to the portfolios with 287 stocks. The weighted average returns increase on the portfolios with a higher number of stocks, which is contrary to the standard portfolio theories. The results of the study indicate managerial implications for financial investors that are focused exclusively on the largest European stock exchanges.
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Kope, Robert G. "Optimal Harvest Rates for Mixed Stocks of Natural and Hatchery Fish." Canadian Journal of Fisheries and Aquatic Sciences 49, no. 5 (May 1, 1992): 931–38. http://dx.doi.org/10.1139/f92-103.
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Optimal harvest rates were computed using dynamic programming for mixed-stock fisheries exploiting two stocks of either natural or hatchery origin. Natural stocks were described by a Ricker spawner–recruit relationship and hatchery stocks were described by a rectilinear spawner–recruit relationship. Harvest rates were optimized for both risk-neutral and risk-averse utility functions. For two natural stocks with low productivities, optimal harvest rates generally appeared to favor the stronger stock for a risk-neutral utility function and the weaker stock for a risk-averse utility function. For both utility functions, optimal harvest policy became less sensitive to relative stock strength as the productivity of the stocks increased. When at least one of the stocks was of hatchery origin, optimal harvest policy favored the weaker stock using either utility function.
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Choi, Insu, and Woo Chang Kim. "Detecting and Analyzing Politically-Themed Stocks Using Text Mining Techniques and Transfer Entropy—Focus on the Republic of Korea’s Case." Entropy 23, no. 6 (June 9, 2021): 734. http://dx.doi.org/10.3390/e23060734.
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Politically-themed stocks mainly refer to stocks that benefit from the policies of politicians. This study gave the empirical analysis of the politically-themed stocks in the Republic of Korea and constructed politically-themed stock networks based on the Republic of Korea’s politically-themed stocks, derived mainly from politicians. To select politically-themed stocks, we calculated the daily politician sentiment index (PSI), which means politicians’ daily reputation using politicians’ search volume data and sentiment analysis results from politician-related text data. Additionally, we selected politically-themed stock candidates from politician-related search volume data. To measure causal relationships, we adopted entropy-based measures. We determined politically-themed stocks based on causal relationships from the rates of change of the PSI to their abnormal returns. To illustrate causal relationships between politically-themed stocks, we constructed politically-themed stock networks based on causal relationships using entropy-based approaches. Moreover, we experimented using politically-themed stocks in real-world situations from the schematized networks, focusing on politically-themed stock networks’ dynamic changes. We verified that the investment strategy using the PSI and politically-themed stocks that we selected could benchmark the main stock market indices such as the KOSPI and KOSDAQ around political events.
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Amalia, Farah, Ari Kristin Prasetyaningrum, and Nur Aini Fitriya Ardiani Aniqoh. "Do Unethical Stocks Win in Developing Country? Evidence From Indonesia." Equilibrium: Jurnal Ekonomi Syariah 11, no. 1 (June 4, 2023): 77. http://dx.doi.org/10.21043/equilibrium.v11i1.19366.
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Ethical investing in various countries is increasingly popular following the number of ethical investors. However, the performance of ethical investments in many developed countries is lower than the performance of the opposite category, unethical stock, or researchers called it as sin stock. This study examines whether the performance of sin stocks in Indonesia is as good as the performance of sin stocks in developed countries considering the very different cultures and religions. This study comprehensively measures the performance of all sin stocks and ethical stocks using the risk-adjusted return approach, the Sharpe and Treynor ratios. To sharpen the analysis, this study also measures the efficiency of all types of stocks using the data envelopment analysis method. The results show that the performance of the sin stock portfolio in Indonesia is different from the facts in developed countries. Sin stocks in Indonesia had the worst performance during 2013-2022 compared to ethical stocks. Furthermore, in terms of efficiency, the SRI-Kehati Index has the highest score compared to all indices. This research contributes to provide theoretical and practical insights about the comparison of the performance of sin stocks and their counterparts in Indonesia which is different from sin stocks in developed countries. The originality of the research includes the creation of a sin stock portfolio and the use of constraint stocks as a proxy for ethical stocks.
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Bevanda, Lea-Marija, Azra Zaimović, and Almira Arnaut-Berilo. "Performance of Value and Growth Stocks in the Aftermath of the Global Financial Crisis." Business Systems Research Journal 12, no. 2 (December 1, 2021): 268–83. http://dx.doi.org/10.2478/bsrj-2021-0032.
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Abstract Background: Due to strong empirical evidence from different markets, existence of value premium became a financial theory standpoint. Although previous studies found that value stocks beat growth stocks in bearish and bullish markets, during the GFC, value stocks underperformed growth stocks. Objectives: This paper aims to examine the performance of value and growth stock portfolios after the GFC. Subjects of our analysis are constituent companies of the DJIA index, out of which portfolios of large-cap value and growth stocks have been constructed and evaluated. Methods/Approach: We measure the performance of stock portfolios, which are created based on the naïve diversification rule and random weighting approach. Statistical testing includes Levene’s homogeneity test, the Mann-Whitney U test, T-test, and the One-Sample T-test. Results: Growth stock portfolios outperform value stock portfolios after the GFC. The dominance of growth stock portfolios compared to value stock portfolios is significant, and the value premium disappears. Conclusions: Financial theory and investment management implications show that growth stocks have overtaken the dominance over value stocks since 2009. Causes might be in (1) expansionary monetary policy characterized by very low long-term interest rates and (2) high performance of the tech industry to which most growth stocks belong.
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Gao, Jianliang, Xiaoting Ying, Cong Xu, Jianxin Wang, Shichao Zhang, and Zhao Li. "Graph-Based Stock Recommendation by Time-Aware Relational Attention Network." ACM Transactions on Knowledge Discovery from Data 16, no. 1 (July 3, 2021): 1–21. http://dx.doi.org/10.1145/3451397.
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The stock market investors aim at maximizing their investment returns. Stock recommendation task is to recommend stocks with higher return ratios for the investors. Most stock prediction methods study the historical sequence patterns to predict stock trend or price in the near future. In fact, the future price of a stock is correlated not only with its historical price, but also with other stocks. In this article, we take into account the relationships between stocks (corporations) by stock relation graph. Furthermore, we propose a Time-aware Relational Attention Network (TRAN) for graph-based stock recommendation according to return ratio ranking. In TRAN, the time-aware relational attention mechanism is designed to capture time-varying correlation strengths between stocks by the interaction of historical sequences and stock description documents. With the dynamic strengths, the nodes of the stock relation graph aggregate the features of neighbor stock nodes by graph convolution operation. For a given group of stocks, the proposed TRAN model can output the ranking results of stocks according to their return ratios. The experimental results on several real-world datasets demonstrate the effectiveness of our TRAN for stock recommendation.
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Lestari, Lestari, and Atty Erdiana. "Analisis Perbedaan Risk dan Return antara Saham Syariah dan Konvensional di Bursa Efek Indonesia." Jurnal Maksipreneur: Manajemen, Koperasi, dan Entrepreneurship 10, no. 2 (February 27, 2021): 227. http://dx.doi.org/10.30588/jmp.v10i2.727.
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<em>This study purposed to compare the Risk and Return between Islamic and conventional stocks listed on the Indonesia Stock Exchange. The object of this research is sharia and conventional stocks listed on the Indonesia Stock Exchange. The sampling method used in this study was purposive sampling with a sample size of 50 Islamic stocks and 50 conventional stocks. This research focused on the study of Islamic and conventional stock price data from 2015 to 2018. The analysis technique used to test the level of differences in risk and return in Islamic and conventional stock groups was the independent sample t-test. The results showed that there was no significant difference between the average return on Islamic and conventional stocks. Meanwhile, the results of the risk comparison of the two groups of stocks were heterogeneous (not the same) so that the risk of the two stocks cannot be compared</em>.
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Vos, G. J., and P. R. Gardiner. "Antigenic relatedness of stocks and clones ofTrypanosoma vivaxfrom East and West Africa." Parasitology 100, no. 1 (February 1990): 101–6. http://dx.doi.org/10.1017/s0031182000060169.
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SummaryThe antigenic relationships of 7 stocks and 7 clones ofTrypanosoma vivaxfrom East and West Africa were compared by immune lysis. Sera from goats infected with different stocks and clones ofT. vivax, collected on days 40 and 80 after infection, were used in the immune lysis test with homologous and heterologous stocks and clones of trypanosomes. Sera from infected cattle were included to compare stocks and clones from Kenya. The parasites that were used as antigen in the immune lysis tests were collected from infected mice when variable antigen type (VAT) homogeneous populations were used, from goats for infection with stocks and clones from Nigeria, The Gambia and Uganda, and from cattle for Kenyan stocks. Reciprocal cross-reactivity between sera and parasites was found between all the stocks and clones from Nigeria and The Gambia with the exception of one clone from Nigeria that was not recognized by antisera to a clone from The Gambia. There was also cross-reactivity between a stock and clone from Uganda and stocks and clones from Nigeria and The Gambia. Sera from goats infected with stocks and clones from Nigeria, The Gambia and Uganda recognized parasite populations that were homogeneous for one VAT (ILDat 1.2) of the rodent infective stock from Nigeria. Some antisera to West African stocks recognized another stable variant from a Ugandan stock adapted to rodents (ILDat 2.1), indicating that these VATs were expressed in the repertoires of the heterologous stocks. There was no cross-reaction between stocks from Nigeria, The Gambia or Uganda with Kenyan stocks. A stock from Galana (Kenya) and Bamburi (Kenya) showed reciprocal cross-reactivity. Two other Kenyan stocks, from Kilifi and Likoni, also showed cross-reactivity by immune lysis but showed no antigenic relationship with the other Kenyan stocks.
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KIM, Jun Sik, Da-Hea KIM, and Sung Won SEO. "INDIVIDUAL MEAN-VARIANCE RELATION AND STOCK-LEVEL INVESTOR SENTIMENT." Journal of Business Economics and Management 18, no. 1 (February 5, 2017): 20–34. http://dx.doi.org/10.3846/16111699.2016.1252794.
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This research studies the effect of stock-level investor sentiment on individual stock returns’ mean-variance relation. Using unique buy and sell volume data of retail investors in Korean stock market, we find that a positive mean-variance relation is undermined among high-sentiment stocks, but holds among low-sentiment stocks. We adopt buy-sell imbalances of retail investors for individual stocks as a measure of stock-level investor sentiment. Further, our findings provide empirical evidence of a strong riskreturn trade-off among stocks with low retail concentration (e.g., large capitalization, high-priced, and growth stocks). Existing research only analyzes market-wide investor sentiment. However, we study the effect of stock-level investor sentiment on individual stock returns. Therefore, our findings suggest novel implications about the investment strategy that the stock-level investor sentiment is important when constructing portfolios based on variance.
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Koljonen, Marja-Liisa. "Distinguishing between resident and migrating Atlantic salmon (Salmo salar) stocks by genetic stock composition analysis." Canadian Journal of Fisheries and Aquatic Sciences 52, no. 4 (April 1, 1995): 665–74. http://dx.doi.org/10.1139/f95-067.
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The possibility of using the genetic stock identification (GSI) method to distinguish between individual Atlantic salmon (Salmo salar) stocks and stock groups in Finnish catches was studied. In the Baltic Sea, the Atlantic salmon is a target of a mixed-stock fishery, and information about stock composition would be valuable for the management of the species. The salmon catches on the Finnish west coast consist of two seasonally variable components: a group of northern stocks migrating through the area to the Baltic main basin and the resident Neva salmon. The migratory component includes two endangered wild stocks (Tornionjoki and Simojoki). The allele frequency differences at four polymorphic loci among the stocks allowed reliable catch composition estimates to be made of the migratory and resident components; one stock (Oulujoki) from the northern group could also be identified with reasonable accuracy. Northern migrating stocks accounted for over half the catches at the time of this study. The estimate of natural (nonhatchery) stocks was very low (3% in total).
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M. Al-Qamaje, Haidar. "E'XCESS VOLUMES OF HEAVY OIL- STOCKS MIXTURES+ (KEROSENE OR XYLENE) AT 3O3 K." Iraqi Journal of Chemical and Petroleum Engineering 11, no. 4 (December 30, 2010): 47–57. http://dx.doi.org/10.31699/ijcpe.2010.4.5.
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Binary mixtures of three heavy oil-stocks had been subjected to density measurments. The data had been aquired on the volumetric behaviour of these systems. The heavy oil-stocks used were of good varity, namely 40 stock , 60 stock, and 150 stock, 40 stock is the lightest one with the API gravity 33.7 while 60 stock is middle type and 150 stock is heavy one, with API gravity 27.7 and 23.8 respectively. Stocks with Kerosene or Xylene for non-ideal mixtures for which excess volume can be positive or negative. Mixture of heavy-oil stocks with paraffinic spike (Kerosene) show negative excess volume. While, aromatic rings results a lower positive excess volume, as shown in Xylene when blending with 40 stock and 60 stock but a negative excess volume when blending with 150 stock. The gravity of oil-stocks has an effect on excess volume when the oil-stocks spiked with Kerosene or Xylene. Those, 40 stock as typical light type resulted in minimum negative excess volume of -2.18, when it was spiked with the Kerosene, while the spiked heavy oil-stock with Kerosene gave a maximum excess volume of -11.2 The Redlich-Kister equation was used to fit the excess volume values, and the coefficients and estimate of the standard error values were presented.
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Ryou, Heeseok, and Taeyeon Kim. "Is the Overheated Short-selling Stock Designation Regulation Properly Designed? Based on the Clustering Analysis of Overheated Short-selling Stocks." Korean Journal of Financial Studies 52, no. 6 (December 31, 2023): 911–45. http://dx.doi.org/10.26845/kjfs.2023.12.52.6.911.
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This paper examines whether the overheated short-selling stock designation regulation is effectively designed. The regulation prohibits short sales of overheated short-selling stocks for one day to call investors’ attention and prevent stock price declines. Comparing overheated short-selling stocks with control group, we find no statistically significant difference in their stock prices after the prohibition. This finding indicates that the one-day short sale ban is not effective in preventing stock price declines. We further show that the difference in short sale rates between overheated short-selling stocks and control group varies by types of overheated short-selling stocks. This result means that the regulation can stabilize short trading in certain types of stocks while it can also decrease market stabilization in other types. Lastly, we present the cluster of overheated short-selling stocks that is effective in preventing stock price declines through clustering analysis. It indicates that the effectiveness of the regulation is selective when a stock exhibits certain patterns, suggesting that the regulation should be designed more carefully.
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Suryani, Ani Wilujeng, and Karina Dian Pertiwi. "Lombok’s Tsunami and Stock Abnormal Returns." Accounting Analysis Journal 10, no. 1 (February 24, 2021): 1–8. http://dx.doi.org/10.15294/aaj.v10i1.42584.
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Natural disaster often brings damage to the economy, including the decrease of stock’s market value. For this reason, this study aims to determine the effect of the tsunami earthquakes in Lombok in 2018 on abnormal returns and cumulative abnormal returns of insurance companies. This study used the event study approach, with three days window period after the three tsunami earthquakes from July to August 2018. The sample of this study is the stock price of 14 insurance companies listed on the Indonesia Stock Exchange. To test whether abnormal return exists, a one-sample t-test was used on the average abnormal and cumulative returns. The results show that the tsunami earthquake disasters in Lombok in 2018 have a significant effect on cumulative abnormal returns of insurance companies stocks, and this effect even bigger on the third tsunami. This finding shows that the market reacts to continuous disaster by considering the earthquake as negative information and thus decrease the stock price. This study implies that investors may buy the stocks after the disaster to get a cheaper price or hold the stocks to avoid loss.
Keywords: abnormal return; event study; Lombok tsunami earthquake; signaling theory
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Yanti, Pitri, Indi Ramadhani, and Maya Sari. "ANALISIS CAPITAL ASSET PRICING MODEL PADA SEKTOR ENERGI PERIODE 2020-2022." Jurnal Ekonomi Manajemen 9, no. 2 (November 30, 2023): 115–22. http://dx.doi.org/10.37058/jem.v9i2.8724.
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This study used the capital asset pricing model (CAPM) to examine the return and risk levels of energy sector stock performance to identify efficient and inefficient groups of stocks. For the purpose of this study, a sample of 28 stocks from the energy sector listed on the Indonesia Stock Exchange for the 2020–2022 timeframe was chosen using a purposive sampling technique. Six out of the 28 equities, according to the analysis's findings, are considered to be high risk. PT Medco Energi Internasional and PT Perdana Karya Perkasa Tbk are the two stocks with the greatest and lowest respective levels of risk. Nine shares of firms out of the 28 stocks tested fall under the category of inefficient stocks (overvalued), whereas 19 other stocks fall under the category of efficient stocks (undervalued). Selling overvalued stocks and purchasing undervalued ones are two different financial decisions that should be made. Overvalued stocks should be sold, while undervalued stocks should be purchased.
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Lo, Huai-Chun. "Do Firm Size Influence Financial Analyst Research Reports and Subsequent Stock Performance." Accounting and Finance Research 6, no. 4 (September 29, 2017): 181. http://dx.doi.org/10.5430/afr.v6n4p181.
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This study investigates whether analysts issue more favorable research reports for small stocks than for large stocks. Small stocks tend not to attract investors due to their size, bad liquidity, easily manipulated price, insufficient information, and high-uncertainty risk. If analysts follow a small stock, it might be because the firm is thought to have good prospects. This study finds that analysts report more positively on small stocks, including in their stock recommendations and earnings growth forecasts. The empirical results show that small stocks perform better in the following year than do other stocks but that this is not the case for operating performance. This finding suggests that analysts are more likely to recommend under-valued stocks, but this may not imply that the operating performance of these stocks will improve the following year.
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Hankin, David G., and M. C. Healey. "Dependence of Exploitation Rates for Maximum Yield and Stock Collapse on Age and Sex Structure of Chinook Salmon (Oncorhynchus tshawytscha) Stocks." Canadian Journal of Fisheries and Aquatic Sciences 43, no. 9 (September 1, 1986): 1746–59. http://dx.doi.org/10.1139/f86-219.
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In this paper we investigate the equilibrium behavior of an age- and sex-structured version of the Ricker stock–recruitment model specifically tailored to the complex nature of chinook salmon (Oncorhynchus tshawytscha) biology and fisheries. Conclusions from our analysis include the following. (1) Exploitation rates for maximum yield (umsy) and stock collapse (umax) depend strongly on a stock's maturity schedule, being lowest for a late-maturing stock and greatest for an early maturing stock. (2) Values of exploitation rates for umax overlap considerably with those for umsy, emphasizing the probability of stock collapse in fully exploited mixed stock fisheries. (3) Values of umsy and umax are independent of the value of the Ricker β parameter but depend directly on the Ricker α parameter, indicating that management research should focus on obtaining better estimates of α, contrary to recent suggestions in the literature. (4) Because they mature at older ages, female chinook suffer greater cumulative fishery removal rates than males and decline in abundance more rapidly as exploitation increases. Consequently, the use of sex-independent maturity schedules can give misleading estimates for umsy and umax. (5) Maximum changes in mean age of stocks that can be attributed to fishing up effects ranged from 0.32 to 0.81 yr. Many stocks appear already to have declined in mean age by this amount, further emphasizing the probability of impending collapse of some stocks.
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Catherine, Happy, and Robiyanto Robiyanto. "PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018." Journal of Management and Entrepreneurship Research 1, no. 1 (July 1, 2020): 37–44. http://dx.doi.org/10.34001/jmer.2020.6.01.1-4.
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Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio. Stocks evaluated are those that consistently listed in the LQ45 index during 2016-2018. Research Design & Methods: The number of samples used in this study was 32 stocks taken using a purposive sampling technique. The data used in this study are the monthly closing price of stocks, the composite stock price index, and the BI 7-day Repo Rate interest rate data. Findings: The results of this study show that not all stocks included in the LQ45 index have good performances. The results of this study show that BBCA stock is the best stocks based on Sharpe Index and Information Ratio. Based on the Jensen Alpha method and the Sortino Ratio, PTBA stock is the best stocks. As for the Treynor Ratio method, the best stock is INCO. Recommendations: There is a blemish in research for further research that is expanding the scope of research, not only companies included in LQ45. Future studies can analyze portfolios consisting of LQ45 stocks and updating periods because stock performance is cyclical. Contribution & Value Added: This research contributes to the analysis of LQ45 stock performance based on five methods including Sortino and Information Ratio that are rarely used and show differences in the results of the five stock performance indices.
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Setyowati, Ery Indah, and Husnurrosyidah Husnurrosyidah. "CAPM, INDEKS TUNGGAL DAN TREYNOR SEBAGAI ANALISIS PORTOFOLIO PADA SAHAM SYARIAH." KEUNIS 9, no. 1 (February 27, 2021): 63. http://dx.doi.org/10.32497/keunis.v9i1.2222.
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<em>This study aims to analyze the optimal portfolio of stocks using a single index model and the Capital Asset Pricing Model (CAPM) in making investment decisions as well as the expected profit and risk of the optimal portfolio formed on Islamic stocks in the Indonesian Sharia Stock Index (ISSI) on the Indonesia Stock Exchange. 2016-2020 period. This research design is descriptive quantitative research. The study population was all stocks that were consistently included in the Indonesian Sharia Stock Index (ISSI), amounting to 207 stocks. The number of samples of this study was 136 stocks using the Slovin method. The results show that there are 54 stocks that meet the criteria for optimal portfolio formation. The optimal portfolio of ISSI index stocks has a portfolio return rate of 21.95% and a portfolio risk of 10.49%. The portfolio performance based on the Treynor index shows that the best of the 54 stocks is PTSP shares amounting to 32.73% of the trading sector. While the results in determining investment decisions using the Capital Asset Pricing Model (CAPM) method and 136 company shares, there are 65 undervalued stocks, and 71 stocks are overvalued.</em><p> </p>
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Wood, Chris C. "Utility of Similarity Dendrograms in Stock Composition Analysis." Canadian Journal of Fisheries and Aquatic Sciences 46, no. 12 (December 1, 1989): 2121–28. http://dx.doi.org/10.1139/f89-262.
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Similarity dendrograms are useful for revealing clustering patterns among reference stocks used in stock composition analysis. Simulations with simple mixtures of known composition indicate that clustering patterns based on genetic differences among reference stocks have a greater influence on the reliability of maximum likelihood estimates of mixture composition than either the number of reference stocks in the analysis or the size of the mixture samples. Estimated proportions for reference stocks that form tight ("problem") clusters in a similarity dendrogram tend to be biased and this bias increases as the overall proportion contributed by the problem-cluster stocks increases. Accuracy and precision can be improved dramatically by summing estimated proportions within problem clusters to estimate their overall contribution to the mixture. Adding reference stocks not present in the mixture has little effect on the reliability of stock composition estimates unless the additional stock forms a problem cluster in the similarity dendrogram. Four different measures of the degree of difference between reference stocks were evaluated for their ability to predict clustering sequences for improving estimates of mixture contributions by problem-cluster stocks.
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Vuković, Marija, Snježana Pivac, and Zoran Babić. "Comparative analysis of stock selection using a hybrid MCDM approach and modern portfolio theory." Croatian Review of Economic, Business and Social Statistics 6, no. 2 (December 1, 2020): 58–68. http://dx.doi.org/10.2478/crebss-2020-0011.
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Abstract The problem of selecting an optimal set of investment stocks is of a huge interest for both individual and institutional investors. This paper compares the hybrid multiple criteria decision making (MCDM) approach to selecting the best stock to invest in, with the stock selection using modern portfolio theory (MPT). When selecting stocks, it is very important to thoroughly analyse stocks, according to multiple criteria, including their equity market indicators, as well as financial indicators. The objective of the research is to compare the stock selection using a hybrid MCDM approach and MPT, which includes only the equity market indicators. The analysed sample includes 18 stocks, which are CROBEX components on the Croatian capital market from January 2017 to January 2019. The rankings of stocks were calculated using five MCDM methods. These were then used to obtain the final hybrid stock ranking, which was compared to the MPT stock selection. The results show that there is a significant difference in the stock rankings. However, the stocks which have not entered any portfolio in MPT selection were ranked as lowest according to the hybrid MCDM approach, which confirms that those stocks are the worst to invest in. The research can serve as a guidance for investors to use all available stock information in their decision making process of investment.
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Vuković, Marija, Snježana Pivac, and Zoran Babić. "Comparative analysis of stock selection using a hybrid MCDM approach and modern portfolio theory." Croatian Review of Economic, Business and Social Statistics 6, no. 2 (December 1, 2020): 58–68. http://dx.doi.org/10.2478/crebss-2020-0011.
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AbstractThe problem of selecting an optimal set of investment stocks is of a huge interest for both individual and institutional investors. This paper compares the hybrid multiple criteria decision making (MCDM) approach to selecting the best stock to invest in, with the stock selection using modern portfolio theory (MPT). When selecting stocks, it is very important to thoroughly analyse stocks, according to multiple criteria, including their equity market indicators, as well as financial indicators. The objective of the research is to compare the stock selection using a hybrid MCDM approach and MPT, which includes only the equity market indicators. The analysed sample includes 18 stocks, which are CROBEX components on the Croatian capital market from January 2017 to January 2019. The rankings of stocks were calculated using five MCDM methods. These were then used to obtain the final hybrid stock ranking, which was compared to the MPT stock selection. The results show that there is a significant difference in the stock rankings. However, the stocks which have not entered any portfolio in MPT selection were ranked as lowest according to the hybrid MCDM approach, which confirms that those stocks are the worst to invest in. The research can serve as a guidance for investors to use all available stock information in their decision making process of investment.
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Guenther, David A., and Richard Sansing. "The Effect of Tax-Exempt Investors and Risk on Stock Ownership and Expected Returns." Accounting Review 85, no. 3 (May 1, 2010): 849–75. http://dx.doi.org/10.2308/accr.2010.85.3.849.
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ABSTRACT: We investigate how shareholder taxes and risk preferences affect both a stock’s expected return, which reflects the capitalization of the dividend tax penalty into stock price, and the fraction of a firm’s stock held by tax-exempt investors. Our model demonstrates that the dividend tax capitalization effect reflects the weighted average tax rate of all investors, where the weighting depends on investors’ risk tolerances. This weighted average tax rate is not affected by the fraction of stock held by tax-exempt investors; however, tax-exempt investor ownership can be correlated with the weighted average tax rate if differences in tax-exempt investor ownership for different stocks reflect differences in investor risk tolerances for those stocks. Our empirical tests are consistent with the model’s predictions, and provide an equilibrium framework for interpreting prior empirical studies in accounting.
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Mollah, MFA, S. Yeasmine, MB Hossen, and AKS Ahammad. "Landmark-based morphometric and meristic variations of Glossogobius giuris in three stocks." Journal of the Bangladesh Agricultural University 10, no. 2 (May 13, 2013): 375–84. http://dx.doi.org/10.3329/jbau.v10i2.14931.
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Landmark-based morphometric and meristic analysis of pond, haor and estuary populations of Glossogobius giuris (Hamilton,1822) (Perciformes:Gobiidae) were done to find out variations among the three stocks. Samples were collected from three different regions such as pond of Mymensingh, haor of Kishoreganj and estuary of Barisal. Significant differences (*P<0.01) were observed in 13 general morphometric and 23 size adjusted landmark-based morphometric measurements among three stocks. Among the 11 meristic counts the first dorsal fin rays (D1FR), transverse scale above lateral line (TSALL), branchiostegal rays and number of vertebrae were same among fishes of these stocks. In case of pectoral fin rays (PcFR) and transverse scale on lateral line (TSOLL) the haor stock was significantly different from other two stocks. In discriminant space, pond stock was isolated from other two stocks. On the other hand, haor and estuary stocks showed very close relationship. A dendrogram based on the hierarchical cluster analysis using size adjusted general morphometric and landmark measurements formed two main clusterspond stock in one cluster and other two stocks (haor and estuary) remained in another cluster. It indicates that pond stock was separated. The second cluster explained that haor and estuary stocks had very close relationship.DOI: http://dx.doi.org/10.3329/jbau.v10i2.14931 J. Bangladesh Agril. Univ. 10(2): 375-384, 2012
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ATMAZ, ADEM, and SULEYMAN BASAK. "Stock Market and No‐Dividend Stocks." Journal of Finance 77, no. 1 (December 21, 2021): 545–99. http://dx.doi.org/10.1111/jofi.13098.
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Mian, G. Mujtaba, and Srinivasan Sankaraguruswamy. "Investor Sentiment and Stock Market Response to Earnings News." Accounting Review 87, no. 4 (March 1, 2012): 1357–84. http://dx.doi.org/10.2308/accr-50158.
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ABSTRACT We examine whether market-wide investor sentiment influences the stock price sensitivity to firm-specific earnings news. Using the recently developed measure of investor sentiment by Baker and Wurgler (2006), we find that the stock price sensitivity to good earnings news is higher during high sentiment periods than during periods of low sentiment, whereas the stock price sensitivity to bad earnings news is higher during periods of low sentiment than during periods of high sentiment. This influence of sentiment is especially pronounced for the earnings news of small stocks, young stocks, high volatility stocks, non-dividend-paying stocks, and stocks with extremely high and low market-to-book ratios. Further analysis suggests that the sentiment-driven mispricing of earnings contributes to the general mispricing of stocks due to investor sentiment. JEL Classifications: D14; D21; G24.
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Zhao, Kevin. "Analyst Downgrades, Short Sale Constraints, And Intra-Day Stock Price Efficiency." Journal of Applied Business Research (JABR) 31, no. 4 (July 10, 2015): 1343. http://dx.doi.org/10.19030/jabr.v31i4.9322.
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This paper studies the impact of short sale constraints on stock price efficiency upon arrival of analyst downgrades. Examining the speed of which stock price response to analyst downgrades for pilot (short sale non-constrained) stocks and control (short sale constrained) stocks in an intra-day setting, I find evidence supporting the hypothesis that short sale constrains hamper intra-day stock price efficiency. For after-hours downgrades, pilot stocks respond quickly, with virtually all of the price response incorporated by the following open, while control stocks take an extra five minutes after opening to fully reflect the new information. For during-hour downgrades, the negative information is partially incorporated into pilot stock prices up to two hours before the recommendation is released, while control stocks take up to an hour and a half after the release to impound the information into stock price, confirming that short sale constraints lower stock price efficiency.