Market Return

Linear models due to the lack of correct extraction of the shape of the conditional distribution of data; Failure to record the dynamic behavior of the conditional distribution of data; the existence of limiting assumptions contrary to reality; They do not have the proper ability to predict returns in today's world. The main goal of the current research is to resolve the ambiguity in determining the appropriate model for forecasting stock returns in Tehran capital market in different time frames.

This research is of an applied type. The time domain of the data used in this research is daily data from 2018/9/23 to 2022/09/23. To predict and model stock returns in this research from 8 categories of estimation models 1- Classical or Structural, 2- Non-Structural regressions; 3- Time-varying Parameter Bayesian regressions, 4- Discrete Wavelet transform and Continuous Wavelet transform models, 5- Metaheuristic Approaches, 6- Simple and Deep Artificial Neural Networks approaches, 7- Stochastic differential, 8- Financial quantum were investigated.

Based on the results in the short term of 1 day, Bayesian averaging models; In the medium term of 16 days, financial quantum models and in the long term of 32 days, continuous wave models had higher accuracy. Based on the finding of research, it can be acknowledged that in order to predict stock returns, it is necessary to use different models in different time frames, and using the same approach will reduce the accuracy of Predicting stock returns.

Metodología de estudio de eventos como medición del impacto del dictamen del revisor fiscal en el mercado accionario colombiano en 2009-2016 A Methodology to Study Events as a Measuring of the Impact of the Statutory Auditor's Opinion on the

We can consider the book value of a firm as a beginning point in valuation, and after it is affected by many various factors, we could reach to the market value of the firm that is observable and can be measured. In this research by focusing on accounting, finance and economics in Iran, we try to reach an integrated model that could explain factors of each domain that affect the gap between the book value and the market value of the Tehran Stock Exchange firms. In this research, we interview 16 experts in accounting, finance and economic domain in Iran. Using grounded theory, we obtain a qualitative model of factors that affect the gap between the book value and the market value of the Tehran Stock Exchange firms. Encouraging indirect investments in capital market, application of IFRS Standards, optimal use of liquidity available, are among the accomplishments of this research that help to change the gap between the book value and the market value of the Tehran Stock Exchange firms.

This is the peer reviewed version of the following article: [ Jayasinghe P., Tsui A.K., & Zhang Z. (2014). Exchange rate exposure of sectoral returns and volatilities: Further evidence from Japanese industrial sectors. Pacific Economic Review, 19(2), 216-236], which has been published in final form here. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.

This study aims to ensure that the behavior of individual stock investors has the best pattern in accordance with the existing personality, and see the business cycle starting from introduction, growth, maturity, decline in LQ-45 from the proxy of operational cash flows, investment cash flows, and funding cash flows. This study uses the Analytical Hierarchy Process (AHP) method to see what behavior tends to be used in carrying out shareholding transactions. The results of this study create a behavior model of individual stock investors. Individual stock investors in Indonesia tend to have precision personality types in making stock transaction decisions. This type is a dominant combination, stability, and compliance. The model of individual stock investor behavior starts from making a price target; has a relationship between investors to exchange information related to shares monitored; valuation of shares to be transacted. In addition, the behavior of individual stock investors ten...

the model is investigated. Among the companies listed on the Tehran Stock Exchange, the number of statistical samples in the years under review (2016-2017) includes 1408 companies / year. According to the purpose of this research and the performed test, the result of the present research shows; In the three-factor model test, the effect of market factor and size is significant and the effect of value factor is not significant. Also, in the findings of the test of the three-factor adjustment model and considering the market leverage, the results indicate that the effect of market factors, value, size is significant. In both tests, the effect of market factor is significant and direct and the effect of size factor is significant and inverse. Also, the research results show that the value of the adjusted coefficient of determination in the modified three-factor model is more than the initial model and the addition of market leverage will improve the explanatory power of the model.

To raise large amounts of capital, companies usually conduct Initial Public Offerings (IPOs), which allows them to reach large numbers of potential investors. Prospectuses are used to inform the public of the nature and prospects of these offers. The prospectus contains financial and non-financial information such as Corporate Social Responsibility (CSR) spending. However, the level of disclosure is usually not uniform across companies. This study examines the nature and factors influencing CSR spendings disclosed by Indonesian companies in the prospectuses for the period 2012 - 2019. Research data was hand-collected and analyzed using descriptive statistics, Pearson correlations, and multiple regressions. The findings show that most companies disclose CSR efforts; fewer companies reveal the amount spent on CSR activities. Among companies disclosing CSR spending, more spending is allocated in the years leading to the IPO date (y) compared to previous years. Thus spending on y is rel...

Sustainable economic growth with a low and stable inflation rate is one of the goals of macroeconomic policy in improving people's welfare. High inflation can be detrimental to economic growth in the medium and long term, while a certain level of inflation is needed to move the economy. Therefore, the question arises about the level of inflation that does not have a negative impact on economic growth. This study aims to estimate the inflation threshold level and identify its effect on Indonesia's economic growth 1981-2019. The research begins by determining the best model among the models that regress inflation on economic growth with quadratic regression, Hansen's (2000) threshold regression, and Mubarik's (2005) threshold regression (2005). The best model is the Mubarik threshold regression model (2005) with an inflation threshold of 6.85 percent. Mubarik's (2005) threshold regression analysis was reused in the model involving the FDI variable, the inflation th...

The present study aims to test the causal relationship between the economic growth and the market growth in three different countries with different market characteristics: the USA, Malaysia and Jordan for the period from 1994 to 2010. The results showed that the growth of market returns in Jordan does not affect the economic growth and vice versa. However, the growth of market returns in Malaysia has an influence on the economic growth, but not vice versa. The USA results, in contrast, showed that the growth of market returns affects the economic growth and vice versa. The results support the researcher assumption that the causal relationship between the economic growth and the market growth affected by the circumstances of each country. Keywords: market growth, economic growth, market return, GDP, causality test.

The purpose of this study is to calculate Value at Risk (VaR) of a selection of bank's currency portfolio, using GARCH-EVT-Copula (GEC) approach. Today's main challenge of a banking system is to calculate and quantify the risks that the system is encountered. There are numerous approaches to calculate the risks. Usually these approaches assume a common known distribution for the assets portfolio and generally a normal distribution is utilized for the experimental models. Nevertheless, the distributions of the assets are fat-tailed distribution and consequently normal distribution assumption may lead to inaccurate estimation. This article does not assume a specific asset distribution. This study applies autoregressive threshold variances (GJR-GARCH) for intertemporal individual's asset variable returns distribution. It also utilizes extreme value theory or the fat-tailed distributions and Coppola functions for all asset returns in an asset portfolio. In this study VaR is ...

Capital asset pricing, as one of the basic theories in finance and investment area, develops a model for estimation of expected rate of return and equity cost of capital. This model has many applications in the field of finance. One of anomalies in the capital asset pricing model is the value premium that its proponents believe this risk premium is compensation for a risk not mentioned in original model. Researchers (such as fama & french) believe that if we ignore the value premium, the expected rate of return estimated by CAPM would be biased.
This research is going to evaluate the value premium in Tehran Stock Exchange and its role in asset pricing. Finally, critical viewpoints would also be analyzed.

Eight-factor pricing model of Skocˇir and Loncˇarski (2018) is a development of Fama and French (2016). They attempt to improve the explanatory power of the model by adding three factors; default risk, liquidity and momentum, in response to some anomalies of the model. Findings show that explanatory power of the model depends highly on variable selection. Efficiency of the model has not been approved in the mentioned confidence interval. But, evidence of the new factors` power and their impact on improvement of the model shows that in combination with 5- factor model, momentum has better performance and default has the worst performance. In addition, through combination of 2 factors, intercept analysis implies that combination of liquidity and momentum leads to a better performance.

This study aims to ensure that the behavior of individual stock investors has the best pattern in accordance with the existing personality, and see the business cycle starting from introduction, growth, maturity, decline in LQ-45 from the proxy of operational cash flows, investment cash flows, and funding cash flows. This study uses the Analytical Hierarchy Process (AHP) method to see what behavior tends to be used in carrying out shareholding transactions. The results of this study create a behavior model of individual stock investors. Individual stock investors in Indonesia tend to have precision personality types in making stock transaction decisions. This type is a dominant combination, stability, and compliance. The model of individual stock investor behavior starts from making a price target; has a relationship between investors to exchange information related to shares monitored; valuation of shares to be transacted. In addition, the behavior of individual stock investors ten...

This study aims to detect the determinants of plywood exports in Indonesia based on the Gravity model. Problems that occur are related to inefficient and effective exports. The analytical method uses Vector Autoregression with a single equation using a gravity model to analyze the factors that influence the flow of Indonesian plywood trade. The assumption results using Vector Autoregression (VAR), shows the results of the relationship between GDP,

The market capitalization of finance sector stock was dominated by the stock of the banking subsector up to 91,87%. The tendency of Indonesian companies to issued corporate bonds is also high. The banking subsector has dominated 38,52 % of the corporate bond market in Indonesia. This research aimed to analyze the development of the stock and corporate bond markets in the banking subsector of Indonesia from 2013 to 2017, analyzing the effects of the corporate bond issuance events towards the prices and the abnormal stock returns, as well as the analysis of the internal and external factors towards the prices of the stock in banks listed in the IDX from 2013 to 2017. This research showed that the stock and bond markets in the banking subsector of Indonesia had experienced growth from 2013 to 2017. Based on the results of partial regression, the announcement of issuance of corporate bonds, dividends per share, NIM and the exchange rate of rupiah to USD had a significant influence on stock prices and the form of influence was positive. NPL, DER, CAR, BI Rate and inflations had significant effects on prices stocks and the forms of influence were negative. Furthermore, the results of paired sample t-test indicated a significant negative abnormal return on H-1 and a significant positive abnormal return on H = 0 announcement of the bond issuance.

IPOs are acknowledged as an important and continuous event in stock markets. A lot of research investigated the reasons why any company go public, how to price a new company and the abnormal return of IPOs in the short and long term. In another aspect, we can consider IPOs as an economic event or even critical news and examine its effects on the existing companies' return. In this paper, we attempted to investigate investors' behavior around an IPO and the competitive effect of IPO's in the Tehran Security Exchange using event study methodology. In so doing, we classified 235 IPO for 14 years based on their size, industry, P/E, and B/M. The results indicate that investors consider the big size and low P/E IPOs as a negative event on the existing portfolio. We also find that the initial filing of an IPO has a negative price impact on existing firms in the same industry.

This study aims at investigating the factors affecting the share’s underpricing in service companies of the Initial Public Offering (IPO) on the Indonesia Stock Exchange (IDX) covering the period from 2011 to 2017. Compared to the precedent studies, this study provides an empirical comparison between Islamic and non-Islamic shares on 22 underpricing stock samples from 44 IPOs in Islamic service shares and 21 underpricing samples from 32 IPOs in non-Islamic service shares. This study adopts a multiple linear regression analysis and an independent sample t-test method. It is revealed that the underwriter's reputation and auditor's reputation have a significant effect on the underpricing of IPO on IDX, both in Islamic and non-Islamic service companies. The result of independent samples t-test indicates that Islamic service shares companies have better financial performance compared to non-Islamic service shares companies. Predicated upon the results, this study implicatively in...

The impact of exchange rate exposure and market return on stock returns of petroleum and food sectors PSX listed firms has been investigated empirically. Two econometric models formulated based on the Jorion approach of the two-factor model have been analyzed for petroleum and food sectors stock returns, market return and exchange rate (i.e., USD) for the study period 2005-2012, which represent an era of military regime proceeded by the democratic government of Pakistan Peoples Party. A sample of 37 petroleum and food sectors listed firms have been evaluated by applying the unit root test and OLS multiple regression. Further, the Quandt-Andrews test of unknown breakpoint has been applied, which showed an extended structural break during the period 2007 to 2010. Additionally, the results revealed that the coefficients of exchange rate and market return are negatively related to petroleum and food sectors stock returns. Therefore, investors must take precautions before investing funds in stocks of food and petroleum sector firms.

Objectives: to find out the empirical evidence of the differences in Economic Value Added (EVA) and Market Value Added (MVA) before and after the companies carry out mergers and acquisitions. Methods: the research method used is quantitative with a comparative study. The study sample included 17 companies listed on the Indonesia Stock Exchange in the year of observation, which is 2010 to 2012. The sample provisions were companies that merged and acquired conducted an Initial Public Offering (IPO) in the year before the company carried out mergers and acquisitions. The dependent variable used is Economic Value Added (EVA) and Market Value Added (MVA). Results: the means value of EVA companies before and after mergers and acquisitions respectively were 16.76 and 18.24. The mean MVA of companies before and after mergers and acquisitions respectively were 16.23 and 19.83. The significance of the increase in EVA and MVA of companies before and after mergers and acquisitions respectively were 0.831 and 0.309 (significance level α

This research aims to analyze the effect of the initial public offering activity of a company on the IDX Composite (IHSG) using the ARCH/GARCH method in the period of 2013–2017. The data used consists of subscription date, listing date, issuing size, frozen fund period, unfrozen fund period and daily stock market return. The initial public offering is divided into six events, namely pre-offering day, offering day, frozen period, unfrozen period, listing day, and post listing day. This research employed Autoregressive Conditional Heteroskedasticity/Generalized Autoregressive Conditional Heteroskedasticity (ARCH/GARCH) method using the best and suitable model with the Akaike Info Criterion and Schwarz Criterion which is GARCH (1,1). The result shows that offering day has the negative effect and frozen period has the positive effect on IDX Composite (IHSG) market return. Meanwhile, pre-offering day, unfrozen period, listing day, and post-listing have no effecton on IHSG market return.

The Indian stock market sees huge volatility and enormous growth since liberalization. In the year 2017 from January to December, the Indian capital market has witnessed a massive 171 IPOs[1]. Out of 171 IPOs, 38 are in mainstream IPO, 133 in NSE SME. Foreign Institutional investors have an upper hand over Domestic Institutional Investors in Indian IPO's. Here the researcher tries to understand the influence of FII on Indian IPO. The inflows of FII into total subscription and total shares offered have been collected and found FII inflows over total subscription and total shares offered. The data about IPO's from January 2014 to December 2019 has been analyzed. The regression model is used to find the relationship between listing gains FII inflows over total subscription, FII inflows over total shares offered, nifty return and nifty volatility. The study finds that listing gains has a significant relationship with FII inflows over total shares offered.

Candlestick Technical analysis also is known as Japanese Candlestick charting oldest for of financial market analysis originated in japan 300 years ago. Last 50 years, this technique attracted considerable importance in the west at the application level. This study tested the predictability of various bullish reversal candlestick patterns in combination with stop loss strategy on 17 stocks of India's leading stock market benchmark index NIFTY 50 for the period of 16 years from 2000 to 2015. Back testing methodology applied to identify the top 10 candlestick patterns based on the frequency of occurrence during the study period. The profitability is analyzed using Sharpe and Sortino ratios on the back tested results for the 10-day holding period returns for the top 4 most occurring candlestick patterns on a stock-specific basis. The results of the study show that Harami and strong-line candlestick patterns are highly profitable.

Indian capital market is a market where new shares are issued, existing shares are traded and various other types of financial instruments are dealt. The capital market ensures liquidity to the company and the investors, by providing the facility of exchange of shares and raising capital through IPO. Shares are issued at their face value or premium value and are traded at their market price. The market price of shares implies the market value of the company which depends upon its performance. The increase in the market value of the company increases its market capitalisation. Market capitalisation is the total value of the company which is determined by multiplying the share price with the total number of outstanding shares of the company. In India, market capitalisation of companies decides whether a company is small-cap or mid-cap or large-cap company. At the end of December 2019, an unanticipated disease Coronavirus (Covid19) spread worldwide and following which Prime Minister of India Narendra Modi imposed a nationwide lockdown on 24 th march of 2020 in India for 21 days which resulted in disorderly market condition. The study is conducted to investigate the influence of nationwide lockdown on large-cap, mid-cap and small-cap companies. The event study methodology is one of the main techniques used to measure any abnormal return of the stock or index and hence has been applied in the present study. The study has used 41 days event window period and 200 days as estimation period. The results based on the testing of hypothesis shows clearly that the nationwide lockdown and performance of the stock exchange has a strong relation and the impact of the event was different on classified capitalised companies from large-cap to small-cap companies. The event affected the indexes unevenly.

Indian capital market is a market where new shares are issued, existing shares are traded and various other types of financial instruments are dealt. The capital market ensures liquidity to the company and the investors, by providing the facility of exchange of shares and raising capital through IPO. Shares are issued at their face value or premium value and are traded at their market price. The market price of shares implies the market value of the company which depends upon its performance. The increase in the market value of the company increases its market capitalisation. Market capitalisation is the total value of the company which is determined by multiplying the share price with the total number of outstanding shares of the company. In India, market capitalisation of companies decides whether a company is small-cap or mid-cap or large-cap company. At the end of December 2019, an unanticipated disease Coronavirus (Covid19) spread worldwide and following which Prime Minister of India Narendra Modi imposed a nationwide lockdown on 24 th march of 2020 in India for 21 days which resulted in disorderly market condition. The study is conducted to investigate the influence of nationwide lockdown on large-cap, mid-cap and small-cap companies. The event study methodology is one of the main techniques used to measure any abnormal return of the stock or index and hence has been applied in the present study. The study has used 41 days event window period and 200 days as estimation period. The results based on the testing of hypothesis shows clearly that the nationwide lockdown and performance of the stock exchange has a strong relation and the impact of the event was different on classified capitalised companies from large-cap to small-cap companies. The event affected the indexes unevenly.

This research aims to analyze the effect of the initial public offering activity of a company on the IDX Composite (IHSG) using the ARCH/GARCH method in the period of 2013–2017. The data used consists of subscription date, listing date, issuing size, frozen fund period, unfrozen fund period and daily stock market return. The initial public offering is divided into six events, namely pre-offering day, offering day, frozen period, unfrozen period, listing day, and post listing day. This research employed Autoregressive Conditional Heteroskedasticity/Generalized Autoregressive Conditional Heteroskedasticity (ARCH/GARCH) method using the best and suitable model with the Akaike Info Criterion and Schwarz Criterion which is GARCH (1,1). The result shows that offering day has the negative effect and frozen period has the positive effect on IDX Composite (IHSG) market return. Meanwhile, pre-offering day, unfrozen period, listing day, and post-listing have no effecton on IHSG market return.

This paper has objective to explore macroeconomic Variables to affect initial return (underpricing) for period 2000 to 2018. Underpricing is calculated by closing price on the first day of trading in stock market compared to price of Initial Public Offering (IPO), sometimes its called Initial Return. Vector Autoregressive is used to get variable that affected underpricing. The result shows that variable of Initial Return Lag one and two, Inflation and variables of Oil prices significantly affected Underpricing in Indonesia market.

This paper has objective to explore macroeconomic Variables to affect initial
return (underpricing) for period 2000 to 2018. Underpricing is calculated by closing
price on the first day of trading in stock market compared to price of Initial Public
Offering (IPO), sometimes its called Initial Return. Vector Autoregressive is used to
get variable that affected underpricing. The result shows that variable of Initial
Return Lag one and two, Inflation and variables of Oil prices significantly affected
Underpricing in Indonesia market

This paper has objective to explore macroeconomic Variables to affect initial return (underpricing) for period 2000 to 2018. Underpricing is calculated by closing price on the first day of trading in stock market compared to price of Initial Public Offering (IPO), sometimes its called Initial Return. Vector Autoregressive is used to get variable that affected underpricing. The result shows that variable of Initial Return Lag one and two, Inflation and variables of Oil prices significantly affected Underpricing in Indonesia market.

This study tries to (1)to examine the difference of corporate social performance (CSP) between the old IPO firms and the new IPO firms, and (2)to investigate the influence of corporate social performance (CSP) on stock return. Corporate social performance (CSP) is measured using NH approach and stock return is measured using cumulative abnormal returns (CAR) and holding-period returns (HPR). The sample covers 75 IPO firms listed on the Indonesia Stock Exchange between 2011 and April 2015. Our study employs independent sample test and ordinary least square (OLS) regression to analyze the research models. The results show that 1) there is significant difference in corporate social performance (CSP) between the old IPO firms and the new IPO firms, and 2)CSP has positive and significant effect on stock return, controlling for firm size, firm growth, institutional ownership and managerial ownership. Robustness tests support the results. Investor should pay much more attention on the old IPO firms and corporate social performance (CSP). Firms that are going to sell IPO stocks, specifically for young firms, should concern more on social responsibilities.

This was assignment done for Econometric class covering linear regression, time series models with forecasting:

Q1.Generation of a Regression Model for a Recent Sports Event
Q2.Event Study Data of Share Price Performance during Merger Negotiations
Q3.Time Series Analysis of CPI Data

In an efficient market no security would offer a return on sustained basis in excess of that warranted by its inherent risk factors. The expected return on a security is, in fact, in proportion to its risk content as perceived by the market. The yearly beta values are considered to measure the importance of risk by testing the stationarity of beta coefficients in the market. Evidences of the present study establish that security betas over the entire and subperiods show stationarity. The standard deviation of beta coefficients over the period also shows that the range of deviation is less for those securities whose beta values are stationary over time. 7 stock market, the findings of the study indicate that the beta coefficients as a measure of systematic risk are relatively stationary over time.

This paper examines the influence of oil prices on stock market time-varying correlation. Five stock market indices from both oil-importing (US, UK and Germany) and oilexporting economies (Canada and Norway) are considered for the period 1988-2011. The findings from the DCC-GARCH framework suggest that the effects of oil price changes on stock market correlation are not constant over time and they depend on the status of the economy, i.e. whether it is oil-importing or oil-exporting. In addition, utilising the identification of oil price shocks in [1], [2] and [3] it is found that the aggregate demand shocks and precautionary demand shocks tend to exercise a negative effect on stock market correlation, whereas no effects from the supply-side oil price shocks can be reported. These findings have important implications for international portfolio diversifications and risk management.