Tài liệu miễn phí Đầu tư Chứng khoán
Download Tài liệu học tập miễn phí Đầu tư Chứng khoán
Stock market analysis in practice: Is it technical or fundamental
Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical and fundamental analysis. Second, we want to study the difference of use of fundamental and technical tools in the buying versus selling stocks. We used online survey in one of the leading business portals in addition to asking professional investors in a leading investment house in Israel.
5/4/2020 8:43:30 PM +00:00
Most admired companies: Admirable performance
This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results show that average risk premiums of an equal-weighted portfolio of most admired firms are economically superior than the market risk premiums from 2006 to 2011 (except 2010). For the 1-year holding period, the portfolio average risk-adjusted excess returns are all positive, but 2010, and some even statistically significant. The portfolio exhibits average positive risk-adjusted excess returns for the 3-year holding period intervals; the alphas are statistically significant for the 2006-2008 period.
5/4/2020 8:42:18 PM +00:00
Momentum in the Tunisian stocks returns: Identification of some risk factors
This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that allows an average monthly return of about 2.43% (compared to 1% documented by Jegadeesh and Titman in the American stocks’markets).
5/4/2020 8:42:11 PM +00:00
Modeling the effects of investor sentiment and conditional volatility in international stock markets
This study’s main objective is to provide a framework to model conditional volatility regarding the changes in the investor sentiment by measuring the effect of noise trader demand shocks on the volatility of stock market indexes of the various countries. GARCH, TARCH, and EGARCH models are used to test whether earning shocks have more influence on the conditional volatility in high sentiment periods weakening the mean-variance relation.
5/4/2020 8:42:05 PM +00:00
Market timing and statistical arbitrage: Which market timing opportunities arise from equity price busts coinciding with recessions
Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being associated with recessions continue until the economy switches from the state of recession to an economic pick-up.
5/4/2020 8:41:35 PM +00:00
Independent directors and the long-run performance of IPOs
The Securities and Futures Bureau (SFB) of Taiwan prescribes that firms applying for an initial listing after February 2002 must have at least two seats of independent directors (IDs) on the board. Under the SFB 2002 rules, this paper investigates the effect of such governance reforms in ID requirement on the long-run performance of IPOs. Our results, based on 494 IPOs between 1999 and 2005, find that though IPOs typically underperform in the post-issue period, firms after 2002 perform better than those before 2002. Moreover, firms with IDs also experience less negative stock performance than those without IDs. The results further suggest a positive association between the proportion of IDs on corporate boards and post-listing stock performance for IPOs after 2002.
5/4/2020 8:40:22 PM +00:00
Forecasting SET50 index with multiple regression based on principal component analysis
In this paper, we forecast SET50 Index (The stock prices of the top 50 listed companies on SET (Stock Exchange of Thailand)) by using multiple regression. At the same time, we consider the existence of a high correlation (the multicolinearity problem) between the explanatory variables.
5/4/2020 8:39:16 PM +00:00
Does the investor sentiment affect the stock returns in Taiwan’s stock market under different market states
Climatic change and epidemic disease could influence the investor sentiment. Under such circumstances, how to invest the stock market in different stock market states (bull, bear or neutral) is an important topic for investors. To capture the investor sentiment more precisely, we use principal component analysis to analyze some investor sentiment indicators, and then form a composite index of investor sentiment. These investor sentiment indicators include the turnover rate, the percent change in margin borrowing, the percent change in short interest, net buy/sell, the turnover ratio of major institutional investors, psychological line, and advance decline ratio.
5/4/2020 8:37:31 PM +00:00
Does subprime crisis affect Chinese stock market returns
This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index between before and after the crisis. Little spatial dominance could be found, even considering the appreciation of the RMB, no matter in short-term or long run investment. For rationale investors, there are no significant risk and preference changes about domestic stock market in the post Subprime Crisis era.
5/4/2020 8:37:25 PM +00:00
An empirical study on weak-form of market efficiency of selected Asian stock markets
The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and have applied various test like Runs Test, Unit Root Test, Variance Ratio, Auto Correlation and other test. BSE Sensex has given the highest mean returns to the investor followed by SSE Composite and HANGSENG.
5/4/2020 8:34:45 PM +00:00
An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national - 100 index
This paper focuses on this relationship by assuming the Student’s t and the Stable distributions for innovations. In this paper, GARCH and Threshold GARCH (TGARCH) models are applied on the Istanbul Stock Exchange National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading volume.
5/4/2020 8:34:39 PM +00:00
Tác động của cấu trúc sở hữu tới hiệu quả hoạt động của doanh nghiệp có vốn nhà nước đầu tư niêm yết trên thị trường chứng khoán Việt Nam
Bài viết nghiên cứu tác động của cấu trúc sở hữu, trọng tâm là thành phần sở hữu nhà nước tới hiệu quả hoạt động của doanh nghiệp có vốn nhà nước đầu tư niêm yết trên thị trường chứng khoán Việt Nam trong giai đoạn 2010-2017.
5/4/2020 7:23:46 PM +00:00
Volatility modeling for forecasting stock index with fixed parameter distributional assumptionVolatility modeling for forecasting stock index with fixed parameter distributional assumption
The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED), student-t with fixed DOF 10 and GED with fixed parameter 1.5 distributional assumption in case of Colombo Stock Exchange (CSE), Sri Lanka. The daily All Share Price Index (ASPI) of CSE from January 02, 1998 to December 29, 2006 for a total number of 2150 observations is used for empirical analysis. We consider first 1950 observations for in sample estimation and last 200 observations for out of sample forecasting evaluation.
5/4/2020 6:48:38 PM +00:00
The forecasting performances of volatility models in emerging stock markets: Is a generalization really possible?
In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous literature in the area, these subjectivities are hindrances to reaching an overall conclusion on the performances of the models. In order to find out outperforming model in general not just in the contexts of studies, volatility models should be evaluated in many markets with the same methodology consisting both simple and complex models at different forecast horizon.
5/4/2020 6:48:00 PM +00:00
The effect of enterprise risk management implementation on the value of companies listed on the Nairobi stock exchange
This study assesses the level of implementation of Enterprise Risk Management (ERM) in companies listed in the Nairobi Stock Exchange (NSE). The study also seeks to test the significance of factors affecting this level of ERM implementation and to investigate whether the level of ERM implementation has a positive effect to the value of companies as measured by Tobin’s Q. Data was collected from a sample of 22 companies listed on the NSE for the periods ended December 2009.
5/4/2020 6:47:48 PM +00:00
Testing the profitablitiy of a volume-augmented momentum strategy in the Philippines equity market
This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that incorporates information on volume for 16 different time combinations with varying formation and holding periods. For the strategy based only on past return information, we find little evidence in support of the profitability of a momentum strategy with the results suggesting the presence of mean-reverting prices.
5/4/2020 6:47:35 PM +00:00
Regional and international causal linkages. evidence from CEE stock markets
This study examines the dynamic linkages between nine Central and Eastern European (CEE) emerging markets and the developed ones, i.e. Austrian, French, German, British and American stock markets. To investigate the nature of transmission of information we employ two econometric models which are estimated in framework of maximum likelihood, GARCH, and vector autoregression. Our findings suggest that there exist some reaction from CEE markets to the arrival of price innovations from the developed markets, but the nature of these reactions and responses is mixed.
5/4/2020 6:47:10 PM +00:00
Price leadership between spot and futures markets
This paper aims to study the relative information shares of spot and futures market at the individual stock level to measure the price discovery in spot and futures market in the Indian capital markets. We find that the spot and futures prices are co-integrated and mutually adjusting. Building on Information Share approach of Hasbrouck, the price discovery share of futures segment is about 36% compared to that of spot segment is 64%. It is expected that futures market contribute more towards price discovery given huge trading volumes and they carry the natural advantage of cost-effectiveness in terms of leverage benefit.
5/4/2020 6:46:57 PM +00:00
Industry effect and stock market reaction to global financial crisis: A comparative analysis
This paper aims at analyzing the “industry effect” on stock market reaction to global financial crisis. This has been conducted using a sample of 4 stock markets, and covering the period from 2007 to 2011.
5/4/2020 6:46:40 PM +00:00
Financial failure prediction using financial ratios: An empirical application on Istanbul stock exchange
Risk of financial failure is defined as the inability of a firm to pay its current liabilities. Financial failure may lead firms to bankrupt or go into liquidation. This paper aims to develop reliable model to identify the financial failure risk of the firms listed on Istanbul Stock Exchange National-All Share Index.
5/4/2020 6:46:21 PM +00:00
Volatility transmission and conditional correlation between oil prices, stock market and sector indexes: Empirics for Saudi stock market
This paper investigates the volatility transmission effect and conditional correlations among crude oil, stock market and sector stock indexes in Saudi Arabia. Using daily data from January 3, 2009 to March 21, 2012 and VAR-BEKK specification, we find significant volatility transmission between oil prices and Saudi stock market. Furthermore, our findings show that sector stock returns significantly react to oil prices changes. In addition, except telecom sector, the results show the presence of volatility transmission between stock market and sector stock market returns.
5/4/2020 2:41:56 PM +00:00
The day-of-the-week effect on return and volatility in the Turkish stock markets
This study investigates the presence of the day-of-the-week effect on the return and return volatility of the BIST (Borsa Istanbul) stock indexes, those of the BIST-100, the BIST-Financials, the BIST-Services, the BIST-Industrials, and the BIST-Technology for the period January 7, 2008 to December 28, 2012 in Turkey. Empirical findings obtained from EGARCH (1,1) model show that the returns on Mondays are positive and the highest during the week for all indexes, and only the BIST-Financials index returns do not show the significant Monday effect. There isn’t any evidence of the day-of-the-week effect on the BIST-Financials returns.
5/4/2020 2:41:31 PM +00:00
Stock returns with price impact
In this paper, we study the stock returns for large trades with price impact. We use the daily changes in volume-weighted average price (VWAP) as a proxy of the returns for institutional investors. This return is then compared statistically to the daily return using closing price. Using a panel data of NYSE/AMEX stocks, we find a fixed effect contributing to the spread between them and it can be interpreted as an unbiased ex post estimate of price impact.
5/4/2020 2:41:25 PM +00:00
Oil price shocks and sub-sector performance of turkey: Impact of dominant markets
Most of the studies regarding the effects of oil price shocks on financial markets have revolved around developed countries such as the United States and west European countries. These countries are not only large but, consequently, influential on the overall performance of financial institutions around the world. Turkey has always been considered a unique country not only because of its geographical location, but also its dynamically changing economic structure. Especially recently, significant amounts of foreign capital have been flowing into the Turkish financial sector.
5/4/2020 2:41:13 PM +00:00
Moneyball in the Turkish football league: a stock behavior analysis of Galatasaray and fenerbahce based on information salience
Football clubs listed on Istanbul Stock Exchange suggests an interesting way of testing stock price behaviors to different types of news about both sportive success related and non-sports related events. Strong football club stock price reactions to surprising game results and the lack of reaction to betting odds is related with the dominated structure of Turkish Football League by the big four; Galatasaray (GS), Fenerbahce (FB), Besiktas (BJK) and Trabzonspor (TS). Coherent with this idea we conclude that GS and FB stocks react strongly to unexpected game results and derby matches. Other local league match wins do not have such an impact on stock prices. Moreover especially for FB related news rather than game results such as match-fixing case explain most of the price volatilities of the sport stocks. There is also some limited support for the notion that GS and FB stock prices are more affected by the bad news compared to good news.
5/4/2020 2:41:01 PM +00:00
Determination of opening prices of equities of the day
The paper focuses on differences, attributed to non-synchronous trading, between closing prices of preceding and opening prices of next days. Non-synchronous trading makes the market imperfect and oligopolistic in nature.
5/4/2020 2:40:42 PM +00:00
The effects of sovereign ratings changes on Turkey’s stock market
This study examined the impacts of upgrades and downgrades by the three big major rating agencies (Standard and Poor’s, Moody’s and Fitch) on Turkey’s stock market. §The Istanbul Stock Exchange National 100 Index (XU100) was used as stock market indicators. The data set covers the period 1995 and 2011 and quarterly data was used. Control variables were growth rate of GDP per capita and real interest rates. The findings show that rating changes significantly affect the XU100 and vice-versa. GDP growth per capita affects XU100 positively and real interest rates negatively.
5/4/2020 2:39:08 PM +00:00
The correlation and hedging effects between commodity and stock markets
This study uses the Rogers International Commodity Index (RICI) for composite commodities and RICI-Agriculture (RICA), RICI-Energy (RICIE), and RICI-Metals (RICIM) indices to examine the relationship between various commodity and stock markets. The empirical results indicated that stable long-term relationships exist between some commodity and stock markets, and that commodity indices generally lead stock market indices. Thus, in a number of countries/regions, investors can predict fluctuations in stock prices using variations in commodity indices.
5/4/2020 2:38:42 PM +00:00
Mean-reverting-ebit-based stock option evaluation: Theory and practice
This paper examines the derivation of a capital-structure EBIT-based call option expression with the El Ibrami and Naciri [2012] equity value as the underlying asset. The model’s PDE and ODE are similar to Black-Scholes but have widely different and non-constant coefficients. An empirical analysis of the new model is conducted to measure its performance, using the last close price of the evaluated stock options and the Black-Scholes values as benchmarks. The results show that the author’s model is robust, whereas the Black-Scholes model overestimates the stock options.
5/4/2020 2:38:11 PM +00:00
Changing paradigms in stock exchanges’ governance
There is a bourgeoning strand of academic literature dealing with the matter of corporate governance in the exchange industry. Large part of that literature investigates the reasons why exchanges modify their legal status. In particular, it tries to find a viable economic explanation to the demutualization of exchanges and the subsequent listing of major exchanges. The corporatization of exchanges would mirror the attempt to balance the vested interests of brokerage firms and outside shareholders, locals and international intermediaries, listed firms and platform users.
5/4/2020 2:37:07 PM +00:00