Return Fluctuations Research Articles

IDIOSYNCRATIC RISK AND SPILLOVER EFFECT IN REIT RETURNS

Nowadays, idiosyncratic risk has substantial impacts on the risk control of portfolio construction. However, little research has been done on the spillover effect of idiosyncratic risk from global markets in REIT returns. A risk-return model is developed to examine the effects of idiosyncratic risk and its spillover on the short-run dynamics of REIT returns in 10 major REIT markets between 2001 and 2014. Variance decomposition provides evidence that idiosyncratic risk exceeds market risk most of the time. The risk-return models demonstrate that the spillover effect of idiosyncratic risk globally played a more significant role than idiosyncratic risk in the return dynamics during the subprime mortgage crisis. Furthermore, we analyse the asymmetric responses of volatility in REIT returns. The results show that the Netherlands is the most strongly preferred market in terms of earning excess returns, while the US market is unique in that the idiosyncratic risk and spillover effect tend to enlarge the fluctuations in REIT returns.

DUPONT SYSTEM ANALYSIS FOR MEASURING FINANCIAL PERFORMANCE OF COSMETICS COMPANIES AND HOUSEHOLD GOODS LISTED ON INDONESIA STOCK EXCHANGE PERIOD 2011-2016

The purpose of this research is to measure the financial performance of cosmetics companies and household goods listed on the Indonesia Stock Exchange period 2011-2016 using DuPont System analysis techniques including net profit margin (NPM), asset turnover (ATO), return on assets (ROA), equity multiplier (EM), return on equity (ROE). This research uses descriptive method, secondary data used is company documentation and financial report in the form of balance sheet and income statement of PT. Akasha Wira International Tbk, PT. Kino Indonesia Tbk, PT. Mandom Indonesia Tbk, PT. Martina Berto Tbk, PT. Mustika Ratu Tbk and PT. Unilever Indonesia Tbk in 2011 until 2016. The results showed that the performance of cosmetics companies and household goods experienced fluctuations in return on equity (ROE), PT. Unilever Indonesia Tbk is a company that has good financial performance because it has net profit margin value, asset turn over, return on asset, equity multiplier and return on equity is highest compared to other similar companies in the sub sector during the period 2011-2016.
 
 Keywords: Financial performance, Net Profit Margin (NPM), Asset Turn Over (ATO), Return On Assets (ROA), Equity Multiplier (EM), Return On Assets (ROE)[bold]

Impact of Terrorism, Political System and Exchange Rate Fluctuations on Stock Market Volatility

Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with restoration of democratic political system in Pakistan are considered in this study. Results confirm that democratic political government reduces PSX volatility while terrorism increases it. Terrorist attacks are categorized into various categories. Event day analysis confirms that Pakistan stock market (PSX) is efficient enough to absorb the effects of terrorist attack within a day. Holding portfolios and performing arbitrage activities by the investors diversify the risks due to foreign exchange (FX) fluctuations which show no significant impact on PSX volatility.

Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects.

Based on 1-min price changes recorded since year 2012, the fluctuation properties of the rapidly emerging Bitcoin market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst exponents, and multiscaling effects. The findings are compared to the stylized facts of mature world markets. While early trading was affected by system-specific irregularities, it is found that over the months preceding April 2018 all these statistical indicators approach the features hallmarking maturity. This can be taken as an indication that the Bitcoin market, and possibly other cryptocurrencies, carry concrete potential of imminently becoming a regular market, alternative to the foreign exchange. Since high-frequency price data are available since the beginning of trading, the Bitcoin offers a unique window into the statistical characteristics of a market maturation trajectory.

Effect of Liberalization of Amman Stock Market on the Prices Fluctuation for the Period (1994-2015)

This study aimed to identify the relationship between the information and fluctuations in stocks return following the liberalization process of financial market, and illustrate the effect of liberalization of Amman Stock Exchange on price fluctuations, and the trend of this influence. To achieve this goal the researcher depended on the data of the daily stocks returns for Amman stock market for the period (1994-2015).The study was based on the analytical descriptive method. The period from which the financial data were taken was divided into two periods: first, the pre-liberalization of the financial market (1994-2000), and the second period, the post-liberalization which extended from 2001 to 2015, the appropriate statistical analysis was conducted through (e-views) program, and using the (GARCH) model.The results showed that there is an effect of the stock market liberalization on the fluctuations pattern in the Jordanian Stock Exchange, the speed and accuracy of information flow to the market has increased after stock market liberalization, it also appeared that there are some events and factors such as wars and catastrophes which lead to strong and illogical fluctuations in the stock market, and that the variation in price changes before the liberalization period was integrated variation which indicates that news have perpetual influences on price changes.

Modelling return and volatility spillovers in global foreign exchange markets

In this paper, we measure return and volatility spillovers in global foreign exchange (FX) markets using six most traded currency pairs in the world namely the aussie, cable, euro, gropher, loonie and swissie. We employ the Diebold and Yilmaz (2012) approach and consequently, we compute Total Spillover, Directional Spillover and Net Spillover indexes. We utilize daily data from Jaunary 01 1999 to December 31, 2014. We also carry out rolling sample analyses in order to capture secular and cyclical movements in global FX markets. We find evidence of interdependence among the major traded currency pairs based on the spillover indexes. In addition, return spillovers exhibit mild trends and bursts while volatility spillovers exhibit significant bursts but no trends. We also identify crisis episodes that seem to have influenced the recorded fluctuations in returns and volatilities of global FX markets. Our results are robust to the VAR lag structure, forecast horizon and rolling window width.

Efficient Factor Selection: Explaining Risk and Mean Returns Jointly

An asset pricing model is customarily evaluated by how well it explains means of returns. But how well the model explains fluctuations of returns is similarly important though often overlooked in the literature. We derive “efficient” factors that combine both objectives and turn out to maximize average time-series (first-pass) R-square for given cross-sectional (second-pass) R-square. Efficient factors work better out of sample and even explain mean returns better than structural models. The reason is that structural models emphasize factors that as a group are close to the tangency portfolio. But this portfolio, by necessity, has relatively low variance that explains individual asset return fluctuations poorly and impedes factor identification. These findings explain many of the puzzling results in empirical asset pricing. Further, intended holding period becomes essential now for model evaluation and shorter holding periods require more emphasis on first-pass fit, which is another key issue overlooked in the literature.

The dynamic connectedness of UK regional property returns

In this study, we examine the network topology of UK regional property returns over the period 1973Q4–2014Q4 using a dynamic measure of connectedness developed by Diebold and Yilmaz (2014). Overall, our findings indicate that the transmission of inter-regional property returns shocks is an important source of regional property return fluctuations. What is more, this is a dynamic, event-dependent process which implies that, over time, any UK region can be both a net transmitter and a net receiver of shocks. This in turn is conducive to evidence that the ripple effect is not the only driving force propelling changes in the UK housing market. In fact, we find that the regions of the South West, Outer South East, East Midlands and Northern Ireland seem to be dominant transmitters of property returns shocks throughout the sample period. We further suggest that additional evidence regarding weak segmentation in the UK may stem from the fact that there is constant interaction across all regions over time. Most interestingly, we show that London may also act as a net-recipient of shocks. Findings are important for policy makers purporting to alleviate regional imbalances and achieve balanced growth, as well as investors who formulate portfolio diversification strategies. Our results exhibit robustness to a series of tests.

Does causal relation and calendar anomalies exist in metal stock and commodity index

Present research will focus on causal relationship and Calendar anomalies in Metal stocks and Commodity Index. Results of GARCH model confirms the presence of March, September, and November effect in Metal stock Index. Returns in the month of February's was found negative and statistically significant which indicates the negative February effect in metal stock Index. Coefficient for commodity Index was found insignificant. Therefore, there was no month of year effect in the commodity Index. Returns of none of the month was statistically significant. Results of Granger Causality Test shows that the fluctuations in metal stock return have a significant impact on the commodity return but this impact is not there in reverse situation. It could established that even if the stock returns are affecting the commodity returns but this influence is limited to stock returns. Calendar anomalies remain independent for stock and Commodity market.

Within and Cross Volatility Contagion Effects among Stock, Crude and Forex Returns: Empirical Evidence from Five Emerging Economies

The paper examines the spillover effects of return volatility among stock market index, foreign exchange market and WTI crude oil market across five emerging nations. Here a Trivariate Diagonal BEKK-GARCH model is used to estimate the time-varying conditional variance and to test the own-volatility spillover effects of returns among the three underlying variables. We find that significant own volatility spillover exists in the WTI returns followed by that of stock returns and forex returns. Further, fluctuations in WTI returns exert considerable influence over the stock market volatilities. The lagged variance of the variables as well as their lagged squared residuals from the mean equation has a positive and significant impact on the current volatility in most cases. The findings of the study are of pertinent importance to financiers, economists, investors and policymakers.

Chaos, randomness and multi-fractality in Bitcoin market

Since its inception, the digital currency market is considerably growing, especially in the most recent years. The main purpose of this paper is to investigate, assess and detect chaos, randomness, and multi-scale temporal correlation structure in prices and returns of this specific virtual and speculative market throughout two distinct time periods; namely under a low-level regime period during which prices slowly increased, and during a high and turbulent regime time period whereby they exponentially increased. We found that chaos is only present in prices during both periods, whilst the level of uncertainty in returns has significantly increased during the high-price time period. Furthermore, both prices and returns exhibit long-range correlations and multi-fractality. The fat-tailed probability distributions are the main source of multi-fractality in the time series of prices and returns. Finally, short (long) fluctuations in returns are dominant during low (high) price-regime time period, respectively. Overall, the high-price regime phase has profoundly revealed consistent nonlinear dynamical patterns in the Bitcoin market.

Complex and Entropy of Fluctuations of Agent-Based Interacting Financial Dynamics with Random Jump

This paper investigates the complex behaviors and entropy properties for a novel random complex interacting stock price dynamics, which is established by the combination of stochastic contact process and compound Poisson process, concerning with stock return fluctuations caused by the spread of investors’ attitudes and random jump fluctuations caused by the macroeconomic environment, respectively. To better understand the fluctuation complex behaviors of the proposed price dynamics, the entropy analyses of random logarithmic price returns and corresponding absolute returns of simulation dataset with different parameter set are preformed, including permutation entropy, fractional permutation entropy, sample entropy and fractional sample entropy. We found that a larger λ or γ leads to more complex dynamics, and the absolute return series exhibit lower complex dynamics than the return series. To verify the rationality of the proposed compound price model, the corresponding analyses of actual market datasets are also comparatively preformed. The empirical results verify that the proposed price model can reproduce some important complex dynamics of actual stock markets to some extent.

Multifractal property of Chinese stock market in the CSI 800 index based on MF-DFA approach

CSI 800 index consists of CSI 500 index and CSI 300 index, aiming to reflect the performance of stocks with large, mid and small size of China A share market. In this paper we analyze the multifractal structure of Chinese stock market in the CSI 800 index based on the multifractal detrended fluctuation analysis (MF-DFA) method. We find that the fluctuation of the closing logarithmic returns have multifractal properties, the shape and width of multifractal spectrum are depended on the weighing order q. More interestingly, we observe a bigger market crash in June–August 2015 than the one in 2008 based on the local Hurst exponents. The result provides important information for further study on dynamic mechanism of return fluctuation and whether it would trigger a new financial crisis.

Multifractal analysis of Moroccan family business stock returns

In this paper, long-range temporal correlations at different scales in Moroccan family business stock returns are investigated. For comparison purpose, presence of multifractality is also investigated in Casablanca Stock Exchange (CSE) major indices: MASI which is the all shares index and MADEX which is the index of most liquid shares. It is found that return series of both family business companies and major stock market indices show strong evidence of multifractality. In particular, empirical results reveal that short (long) fluctuations in family business stock returns are less (more) persistent (anti-persistent) than short fluctuations in market indices. In addition, both serial correlation and distribution characteristics significantly influence the strength of the multifractal spectrums of CSE and family business stocks returns. Furthermore, results from multifractal spectrum analysis suggest that family business stocks are less risky. Thus, such differences in price dynamics could be exploited by investors and forecasters in active portfolio management.

A non-stochastic portfolio model for optimizing the transformation of an even-aged forest stand to continuous cover forestry when information about return fluctuation is incomplete

Key messageNon-stochastic portfolio optimization of forest stands provides a good alternative to stochastic mean-variance optimization when available statistical data is incomplete. The suggested approach has a theoretical background in the areas of robust optimization, continuous multicriteria decision-making, and fuzzy theory. Resulting robust portfolios only show slight economic losses compared to the efficient frontier of a stochastic optimization.ContextEconomic optimization addressing diversification in mixed uneven-aged forest stands is a useful tool for forest planners.AimsThe study aims to compare two approaches for optimizing rotation age cohort portfolios under risk. Rotation age cohorts emerge from age-based regeneration-harvesting operations simulated for two tree species: Picea abies and Fagus sylvatica.MethodsThe first optimization approach is a stochastic mean-variance approach. The second is a non-stochastic optimization approach, which has rarely been applied to optimize tree species composition and the distribution of harvested timber over many periods. It aims at relatively good solutions, even if the deviation from the initially assumed return is very high. The objective function for both approaches is sensitive to the selection of various harvesting periods for different parts of the stand. For the stochastic approach, the objective function maximizes the annuitized net present value (economic return) for specific levels of risk by allocating area proportions to harvesting periods and tree species. In the non-stochastic approach, the allocation of area proportions instead minimizes the maximum deviation from the greatest possible economic return among many uncertainty scenarios (non-stochastic approach).ResultsPortfolios from both approaches were diverse in rotation age cohorts. The non-stochastic portfolios were more diverse when compared with portfolios from the efficient frontier, which showed the same standard deviation. However, P. abies clearly dominated the non-stochastic portfolios, while stochastic portfolios also integrated beech to a greater extent, but only in very low risk portfolios. The economic losses of the non-stochastic portfolios compared to the efficient frontier of the mean-variance approach lay between 1 and 3% only for different levels of accepted risk.ConclusionThe non-stochastic portfolio optimization over a large uncertainty space is so far uncommon in forest science, yet provides a viable alternative to stochastic optimization, particularly when available data is scarce. However, further research should consider ecological effects, such as increased resistance against hazards of conifers in mixed stands.

Why ARCH/GARCH Are Used in Finance? An Application of Sport Related Stocks in Turkey

Financial econometricians restrict attention to modelling and forecasting the conditional mean and the conditional variance of such series, in other words, the return and risk of financial assets. As known, financial time series bring out typical nonlinear characteristics. The random sequences of abnormal observations and the plausible existence of regimes within, which returns and volatility display different dynamic behaviour, are important examples of the features. The volatility of returns is a central issue of finance that is why many banks and other financial institutions use the concept of “value at risk” as a way to measure the risks faced by their portfolios. Our study examines the sport related stocks and their return fluctuations. In this study Following stocks are the concern of this study; BJKAS, FENER, GSRAY and TSPOR. We ended with some points that ARCH and GARCH models are the first models when the financial econometricians started to deal volatility clustering, ARCH and GARCH models approach heteroskedasticity as a variance model, does not look as a problem.

Parameters of Cloud Ice Particles Retrieved from Radar Data

AbstractThe mean axis ratio (length/width) and the degree of orientation of cloud ice particles are retrieved from radar differential reflectivity (ZDR) and the copolar correlation coefficient (ρhv) measured with the S-band WSR-88D radar. Hardware differential phases and amplifications in the polarimetric channels affect measured ZDR and ρhv and are taken into consideration in the retrieval procedure. The retrieval is performed for particles in shapes of hexagonal prisms, which are closer to shapes of real cloud particles than frequently used spheroids. The median retrieved axis ratio for prisms is larger than that for spheroids. The statistical 1σ retrieval errors caused by fluctuations of radar returns are about 40% in areas of signal-to-noise ratios stronger than 10 dB. The values of the degree of orientation lie in an interval from 2° to 23°, which points to significant perturbations in the orientations of ice particles most likely caused by the wind field.

SELEKSI SAMPEL SEBAGAI PROKSI INDEKS PASAR DALAM PENGUJIAN CAPITAL ASSETS PRICING MODEL DI PASAR INDONESIA

Some test about Capital Asset Pricing Model (CAPM) are in fact, most of them showed that there were in equilibrium between the CAPM theory with the empirical facts. This in equilibrium most can be see in the intercept which is not the same as zero. Some tests are resulting that linear relation between the return level which can be hoped by the risk which is measured with beta, but in the other fact shows that there is still factor or variable beside beta which influence the return of security, those variables are not explained by CAPMThe failure of empirical test for proving the CAPM hyphotesis are caused by the failure of the L""'APM specification itself then the use of market model which maybe is not relevant because of the return fluctuation and the free investment risk The investment process in security is doing evaluation to the investment performance, in security investment which is often done in portofolio form, so it is needed portofolio performance l!valuation. Some tests, empirical CAPM can be concluded that: (1) Security return is in fact in linear way can be related with beta as it is predicted in CAPM test; (2) There is positive relation between beta with historical return, that it means the bigger the beta the bigger the return; (3) The market line security test (SML) is in fact less steeply slope comparing to the theoretical SML, it means that shares with lower beta will have higher return as it is predicted by the Capital Asset Pricing Model, while the shares with higher beta have lower return as it is predicted, this is because of the mistake in the measurement; (4) The intercept criteria which is bigger can be predicted theoretically than the value offree risk return (RJ.Even the test result can not give support from the theory of Capital Asset Pricing Model, this test gives the consistent implication, beta is the linear systematic risk taht is related positively with the historical return.

Asymmetric joint multifractal analysis in Chinese stock markets

In this paper, the asymmetric joint multifractal analysis method based on statistical physics is proposed to explore the asymmetric correlation between daily returns and trading volumes in Chinese stock markets. The result shows asymmetric multifractal correlations exist between return and trading volume in Chinese stock markets. Moreover, when the stock indexes are upward, the fluctuations of returns are always weaker than when they are downward, whether the trading volumes are more or less.

Efficient Market Hypothesis in Emerging Market - a Conceptual Analysis

The aim of this paper is to explain the importance and implications of the use of Efficient Market Hypothesis (EMH) in emerging market with a view to see how portfolio assets are priced and the rationale behind it. The EMH describes a rational market where all relevant available information is reflected very quickly on prices. In an efficient market prices should react only to new unanticipated information, and since this is unpredictable, by definition, price changes must be unpredictable also. The EMH describes the case of an ideal stock market where actual prices fully reflect all relevant information. Consequently, the price and corresponding return fluctuations are not predictable and it's impossible for investors to make gains systematically. For many years, the EMH seemed to describe adequately the price behaviour in the world stock markets. Nevertheless, recent finding indicates otherwise. The research design of the paper is qualitative and content analysis is going to be use. The paper concludes that despite its shortcoming the EMH remains an open issue and it has help in deepening stock markets worldwide because of it acceptability. Therefore the paper recommends that more researchers should be encouraged to be conducted in emerging market of Africa especially that of Nigeria.