Index Returns Research Articles

Effects of Inspections Done by Capital Market Board on Share Returns (2000-2018 Period Analysis)

Because of the realization of the fact that manipulations were being done on financial reports of the biggest countries both in the US and in the rest of the world such as Long Term Capital Management in 1998, Enron in 2001, and Lehman Brothers in 2008, the importance of independent auditing and corporate governance understanding increased. 99.9% of businesses operating in our country are in small and mid-scale business status. This fact makes the adoption of independent auditing and corporate governance understanding harder. Therefore, the prevention the use of methods that blocks competition in the market, Capital Markets Board was founded. The purpose of this study is to find out the effects of auditings done by CMB from 2000 to 2018 on stock returns. Another result of this research is to find out whether BIST is strong in semi-strong form or not. Data on auditing done by CMB was acquired from CMB’s weekly bulletins. As a result of the analysis made using the event study method, it has been concluded that it affects the stock returns negatively. In addition, it is also possible to obtain higher returns compared to the BIST-100 index returns using this information and therefore, BIST was not effective in semi-strong form.

Pengaruh Ekonomi Makro terhadap Volatilitas Return Indeks Saham Konvensional dan Syariah

The high number of actors investing in the stock market requires investors to have understanding and information about the rate of return and risk that will occur. For this reason, investors need to know what predictable factors can affect stock returns. Therefore, this study aims to determine the effect of inflation, exchange rates, BI rates, and foreign exchange reserves on return volatility of conventional and sharia stock indexes. The type of data used is secondary quantitative data from the Indonesia Stock Exchange, Bank Indonesia, the Central Bureau of Statistics, Google Finance. The population in this study is the conventional and sharia stock index. Sample data determined by purposive sampling method. This study uses the Panel Data Regression Analysis model with a combination of time series and cross section data to see the effect of the independent variables on the dependent variable. The data processing aids used in this study were Microsoft Excel 2010 and Eviews version 10. The results of the study found that conventional stock index return volatility for inflation had a negative and significant effect, the BI Rate had a negative and insignificant effect, the exchange rate had a positive and significant effect and device backup has a negative and significant effect. Whereas on the return volatility of the sharia stock index for the inflation variable has a negative and significant effect, the Bi Rate has a negative and significant effect, the exchange rate has a positive and significant effect, and foreign exchange reserves have a negative and insignificant effect.

Network structure and risk-adjusted return approach to stock indices integration: A study on Asia-Pacific countries

The study attempts to examine the stock market integration for Asia-Pacific countries using networks and forms Risk Adjusted Differential Return (RADR) and Benchmark Indices Network (BIN) indices. The RADR index is higher during the Global Financial Crisis (GFC), indicating a higher level of integration. The inter-country network structure is designed where network parameters are capable of explaining stock market integration. Network parameters are higher during the GFC and are used to form a network index - BIN. This study concludes BIN to be a better measure than RADR, as network parameters are independent of differential index return.

Dynamics between macro-economic variables and the stock market: Evidence from India

The present paper examines the dynamics between macroeconomic variables and the stock market. The index of industrial production, inflation, gold price, oil price, and return from treasury bills have been used as proxy macroeconomic variables. The Indian stock market has been typified by the Sensex. Monthly observations have been analyzed from April 1993 to October 2022 through cointegration and the Granger causality test to examine possible long-run and short-run relationships, respectively. The results proclaim the presence of cointegration among variables. Further, the analysis of normalized cointegrating coefficients reveals that in the long run, changes in inflation and the rate of return from T-bills positively affect the stock market. While changes in gold and oil prices have a negative impact on the stock market. The Granger causality test implies that in the short run, the stock market is sensitive to changes in the index of industrial production, inflation, and oil prices. The results are expected to be fruitful for investors as well as traders when designing their investment and trading strategies. Since the results indicate that volatility in the stock market can significantly affect industrial production, inflation, and gold prices, regulators should be vigilant about perturbations in the stock market to mitigate adverse effects.

The impact of oil price and COVID-19 pandemic on clean energy stocks: an empirical approach using ARDL

PurposeOver the last decade, investments in green energy companies have witnessed noticeable growth rates. However, the glacial pace of the world economic restoration due to COVID-19 pandemic placed a high degree of uncertainty over this market. Therefore, this study investigates the short- and long-term relationships between COVID-19 new cases and WilderHill New Energy Global Innovation Index (NEX) using daily data over the period from January 23, 2020 to February 1, 2023.Design/methodology/approachThe authors utilize an autoregressive distributed lag bounds testing estimation technique.FindingsThe results show a significant positive impact of COVID-19 new cases on the returns of NEX index in the short run, whereas it has a significant negative impact in the long run. It is also found that the S&P Global Clean Energy Index has a significant positive impact on the returns of NEX index. Although oil has an influential effect on stock returns, the results show insignificant impact.Practical implicationsGovernments have the chance to flip this trend by including investment in green energy in their economic growth stimulation policies. Governments should highlight the fundamental advantages of investing in this type of energy such as creating job vacancies while reducing emissions and promoting innovation.Originality/valueFirst, as far as the authors are aware, the authors are the first to examine the effect of oil prices on clean energy stocks during COVID-19. Second, the authors contribute to studies on the relationship between oil prices and renewable energy. Third, the authors add to the emerging strand of literature on the impact of COVID-19 on various sectors of the economy. Fourth, the findings of the paper can add to the growing literature on sustainable development goals, in specific the papers related to energy sustainability.

Network Analysis of Economic Sectors: An Exploration of Structure using the HITS Algorithm.

This research aimed to investigate the structure of the national economic networks in Japan, Thailand, and Vietnam, at different stages of stock exchange development. Daily return data from the Refinitiv database were used, along with excess returns calculated by subtracting short-term government bond yields from index returns in each country. Key influencers and those heavily impacted by the economic system, were identified by applying Granger causality analysis and the HITS algorithm to nine industry indices. The results showed that the industrial sector (INDUS) significantly influenced other sectors in Japan and Thailand and that the economic sectors most affected by other industries varied by country. These findings have implications for policymakers seeking to manage and mitigate potential economic impacts from influential industrial sectors and identify the industry groups most susceptible to potential crises. This study contributes to the existing literature on the topic, enhancing understanding of economic networks, while further research is still needed in different countries and at various stages of economic development to fully comprehend the intricacies of economic networks.

Evaluation of the economic efficiency of the membrane method for drinking water preparation

Membrane methods - reverse osmosis and nanofiltration - are attracting more and more attention in the context of providing the population with high-quality drinking water. Kazakhstan attaches high priority to this issue, realizing the growing scarcity of water resources.The purpose of the study is to analyze the economic efficiency of the use of the membrane method for the preparation of drinking water.Methodology. To achieve this goal, a methodology was used based on the evaluation of proposed technological solutions using net present value (NPV), yield index (IR) and internal rate of return (IRR).Originality / value of the research. The study focuses on the economic efficiency of the membrane method of drinking water treatment. Currently, providing the population with high-quality drinking water is one of the main priorities of many countries, including Kazakhstan, due to the growing shortage of water resources. This study proposes a methodology for evaluating the cost-effectiveness of membrane methods such as reverse osmosis and nanofiltration using indicators such as NPV, ID and GNI. This allows you to make informed decisions about the selection of the most profitable innovative projects in the field of drinking water treatment. The study is of significant value because it provides practical recommendations and guidance for decision-making in the field of drinking water treatment, contributing to the provision of high-quality drinking water to the population and optimization of economic costs in Kazakhstan.Findings. The paper considers a set of issues related to the economic assessment and selection of innovative projects for the preparation of drinking water by reverse osmosis and nanofiltration by calculating the net present value (NPV), the return index (IR) and the internal rate of return (IRR). The study calculated the return on investment using nanofiltration for stations with a capacity of 300.6 thousand m3/year. The authors found that, taking into account discounting, the payback period for projects according to the proposed method is 5 years.

Volatility is (mostly) path-dependent

We learn from data that volatility is mostly path-dependent: up to 90% of the variance of the implied volatility of equity indexes is explained endogenously by past index returns, and up to 65% for (noisy estimates of) future daily realized volatility. The path-dependency that we uncover is remarkably simple: a linear combination of a weighted sum of past daily returns and the square root of a weighted sum of past daily squared returns with different time-shifted power-law weights capturing both short and long memory. This simple model, which is homogeneous in volatility, is shown to consistently outperform existing models across equity indexes and train/test sets for both implied and realized volatility. It suggests a simple continuous-time path-dependent volatility (PDV) model that may be fed historical or risk-neutral parameters. The weights can be approximated by superpositions of exponential kernels to produce Markovian models. In particular, we propose a 4-factor Markovian PDV model which captures all the important stylized facts of volatility, produces very realistic price and (rough-like) volatility paths, and jointly fits SPX and VIX smiles remarkably well. We thus show that a continuous-time Markovian parametric stochastic volatility (actually, PDV) model can practically solve the joint SPX/VIX smile calibration problem. This article is dedicated to the memory of Peter Carr whose works on volatility modeling have been so inspiring to us.

Can climate change attention predict energy stock returns?

We propose a climate change attention (CCA) index based on Google search volume index (GSVI) from 2004 to 2021 and show that it is an economically and statistically significant negative predictor for next month's energy stock returns. The index is extracted using principal component analysis (PCA), but the results are similar by using the equal-weighted average method. Compared with 14 traditional macroeconomic predictors, CCA performs the best and provides complementary information when added into bivariate and multivariate macro predictive models. When further considering the effect of CCA's forecasting power over different periods, strong evidence is shown that this outperformance is especially prominent in economic depressions and down market conditions. From the asset allocation perspective, CCA can provide a mean-variance investor with significant economic gains under alternative risk aversions. Our empirical results prove that investors' attention to climate change contains predictive information for excess returns of global traditional energy stock index.

Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach

Institutional investors have significantly increased their exposure to commodity futures after 2004 in the process of commodity market financialization, raising questions about the risk-sharing and price-discovery functions of the market. We identify some symptoms of financialization through examining S&P500, JPM bond index, and 18 S&P GSCI excess return indices, employing ARMA-GARCH R-vine copula approach that can flexibly model high-dimensional multivariate asymmetric tail dependence. We discover three trends: an increased resemblance between the news impact curve of stocks and those of commodities; an increased bi-variate stock-commodity tail dependence; and an increased multivariate tail-dependence across all commodities. We also explore the market structural change underlying these symptoms using an augmented news impact curve. We suggest and provide evidence that herding, in addiction to leverage effect, explains the observed symptoms. The findings have profound implications for commercial hedgers and financial traders, and for regulators who are concerned about the functionalities of commodity futures market.

Busines Feasibility Analysis Of Sri Rasa Crackers Factory In Bengkulu City

Feasibility studies are very important for Sri Rasa Cracker Factory Businesses that plan to expand their business with maximum profit that has been undertaken. This study aims to analyze and determine the cost of revenue, profit, and business feasibility of the Sri Rasa Crackers Factory in Bengkulu City. The analysis method used to determine the feasibility of a business or investment based on legal aspects, market and marketing aspects, technological aspects, environmental aspects, and financial aspects using the Payback Period (PP) method, Net Present Value (NPV), Internal Rate Of Return (IRR), Profitability Index (PI), and Avarage Rate Of Return (ARR). The results of this study indicate that the feasibility test from the legal aspects, market and marketing aspects, technological aspects, and environmental aspects of the Sri Rasa Crackers Factory Business is feasible to run. From the financial aspect with the Payback Period (PP) method is 4.25 months Payback Period is now smaller than the economic life of 3 years, then the Sri Rasa Cracker Factory Business is feasible to develop. From the Net Present Value (NPV), the Sri Rasa Cracker Factory business is feasible to run because it gets a positive value, namely (Rp.485,589,698.8). From the Internal Rate of Return (IRR), the Sri Rasa Cracker Factory business is feasible to run because it has obtained a yield greater (22%> 20%) than the loan interest. From the Profitability Index (PI), the Sri Rasa Cracker Factory business obtained a result of 8.35, so it is feasible to develop. From the Avarage Rate Of Return (ARR), the Sri Rasa Cracker Factory business is feasible to run, because it gets a result of 8.35%.

Person Misfit and Person Reliability in Rating Scale Measures: The Role of Response Styles

ABSTRACT Person misfit and person reliability indices in item response theory (IRT) can play an important role in evaluating the validity of a test or survey instrument at the respondent level. Prior empirical comparisons of these indices have been applied to binary item response data and suggest that the two types of indices return very similar results. In this paper, however, we demonstrate an important applied distinction between these methods when applied to polytomously-scored rating scale items, namely their varying sensitivities to response style tendencies. Using several empirical datasets, we illustrate settings in which these indices are in one case highly correlated and in two other cases weakly correlated. In the datasets showing a weak correlation between indices, the primary distinction appears due to the effects of response style behavior, whereby respondents whose response styles are less common (e.g. a disproportionate selection of the midpoint response) are found to misfit using Drasgow et al’s person misfit index, but often show high levels of reliability from a person reliability perspective; just the opposite frequently occurs for respondents that over-select the rating scale extremes. It is suggested that person misfit reporting should be supplemented with an evaluation of person reliability to best understand the validity of measurement at the respondent level when using IRT models with rating scale measures.

The Contagion of International Crises: Implications of Inflation and Investor Sentiment on Stock and Treasury bond Returns

Abstract In recent years, the stock market has faced numerous challenges generated by unexpected events that had a major impact on the global economy. Thus, through this paper, which is based on the analysis of the relationships between inflation, stock market yields and treasury bond yields in the context of international crises, it is intended to illustrate the possible effects of inflation on stock market yields and treasury bonds, as well as to compare the performance of stock market indices and treasury bonds in relation to the corresponding inflation. The main objective of this paper was to capture the complex relationships between inflation, stock market index returns and treasury bond yields over a period of ten years by using a series of advanced statistical techniques. Through the advanced techniques and models implemented, it is proposed to evaluate the correlation and causality between these economic variables, the goal being to determine the degree of influence these correlations have on the investor's sentiment in choosing the investment portfolio. The originality of this paper is reflected by the case study carried out on the daily returns of stock indices from America and Central-Eastern Europe, as well as the variable values of the consumer price index and long-maturity treasury bonds, over a period marked by events with a high impact on the global economy. The results obtained show that in the analyzed time series there is a close connection between the contagion of stock markets, inflation and 10-year treasury bonds, and the strong impact tends to be unidirectional, from the changes recorded in the level of inflation to stock index returns and 10-year treasury bond yields, as a result of the evolution of the geopolitical conflict and of the state of the global and regional economies, but not vice versa.

BONO GETİRİLERİ, BIST-100 İLE BANKA KARLILIĞI ARASINDAKİ İLİŞKİ

The purpose of this study is to analyze the impact of bond return index (proxy for market interest rate) as well as BIST-100 (proxy for economic activity) upon bank profitability. The scope of this paper is Turkey. Data covers quarterly period between 2011 and 2021, data structure is panel data. Panel Dynamic Ordinary Least Squares (DOLS) is used in econometric analysis conducted in this study. ROA ratio of commercial bank, participation banks (non-interest banking industry) and investment & development banks are used as dependent variable; on the other hand, all-bond return index (as a reference for bond market interest rates) and BIST-100 return index are used as explanatory variables. Finding of the analysis indicate that the bond yield index (BOND) and the stock return index (BIST100) have a positive and statistically significant impact on the return on assets (ROA) of banks.

Investigating the Effects of Natural Disasters on the Stock Market on a Sectoral Basis: The Case of 2023 Kahramanmaraş/Türkiye Earthquake

This study aims to examine the effects of two earthquakes in Kahramanmaraş/Türkiye on February 06, 2023 on Borsa Istanbul (BIST) stock markets on a sectoral basis. In this context, whether there is a statistically significant difference between sectoral stock returns before and after the earthquake is investigated. The study divides 18 BIST sectoral index returns into two sub-samples, pre-earthquake and post-earthquake and analyzed by the event study method. For this purpose, Paired Samples t-Test, a parametric test, and the Wilcoxon Signed Rank Test, the non-parametric equivalent of this test, are used. According to the research results, no statistically significant difference was found between the pre-and post-earthquake returns of BIST sector indices. The findings show that, in the case of investing in BIST sectoral indices, abnormal returns cannot be obtained depending on the earthquake event. Accordingly, BIST sectoral indices are an efficient market in a semi-strong form.

An Empirical Study on The Calendar Effect of The Shanghai Index in China

The premise of traditional financial theory is efficient market theory and rational man hypothesis, while the market anomaly which can not be explained by traditional financial theory such as the calendar effect poses a great challenge to traditional financial theory. This paper uses the daily closing price data of the Shanghai Composite Index from December 19, 1999, to May 6, 2022, to investigate the calendar effect of the logarithmic return of the Shanghai Composite Index. The research results show that China's Shenzhen stock market is inefficient and has a negative Tuesday effect, which empirically proves the non-efficiency of China's stock market and the calendar effect in behavioral finance in China's stock market.

A stochastic model for evaluating the peaks of commodities' returns

AbstractThis paper proposes a probabilistic model for the evaluation of the peak components of the return of a commodity. The ground of the study lies in the evidence that the spikes in the returns are due to the shocks occurring in the external environment. We follow an approach based on a particular class of point processes—the Spatial Mixed Poisson Processes—by exploiting an invariance property for such a class. The theoretical framework is used for presenting an estimation the procedure of the returns based on the available information. An empirical instance based on different commodities' returns and the abnormal returns of the volatility index as external shocks are presented to motivate our theoretical approach.

Floating offshore wind projects development in South Korea without government subsidies

The South Korean government is encouraging the active participation of power generation companies in the offshore wind power project by announcing the renewable energy certificates (REC) weighting plan. However, from a long-term perspective, the offshore wind power must be able to generate profits without government support to demonstrate its business feasibility and attract the voluntary participation of power generation companies. This is because government support may be subject to change, depending on the internal and external political circumstances of the country. This report calculates the expected costs for a 495 MW floating offshore wind farm in South Korea’s market environment and examines how the feasibility of the project shifts depending on the country’s current REC weights. Furthermore, this study intends to determine whether floating offshore wind power can generate profits without the Korean government’s support by calculating the expected profit in combination with the green hydrogen project. The net present value, levelized cost of energy and internal rate of return (IRR) indexes are calculated according to the project’s specific particularities, such as power purchase agreement, REC weighting, distance from shore and sea depth. Based on this, an index-based comparison is revealed and the margin for profitability for such an investment is discussed. The calculation results revealed that with a decrease in capital expenditures and operating expenditure or an increase in the system marginal price under specific assumptions, the value of IRR increased.

COVİD-19 Döneminde Hisse Senedi Volatilitesi, Likidite, Döviz Kuru Getirisi Ve Hisse Senedi Getirisi Arasindaki İlişki: BİST-100 Örneği

The COVID-19 Pandemic, emerged in China at the end of 2019, negatively affected many sectors on global scale. This study examined the period between March 11, 2020, when the first case was seen in Turkey, and May 23, 2022, when the pandemic measures were largely lifted. The study aims to research the relationship between stock exchange return, stock exchange volatility, liquidity, and exchange rate return; and to research the movement characteristics of selected variables in different regimes by using Markov Switching Method during the COVID-19 period. The results showed a negative correlation between the BIST-100 Index Return of Borsa Istanbul (BIST) and volatility and exchange rate returns. Simultaneously there is a positive correlation between the BIST-100 Index Return and liquidity. Furthermore, it has been determined that the data movements in the examined period occurred within the framework of two different regimes. It has been observed that the probability of the BIST-100 Index Return, volatility, and exchange rate returns to remain in the same regime is high, and the probability of switching from one regime to another is relatively low.

ELECTIONS AND STOCK MARKET RETURNS: EVIDENCE FROM BORSA ISTANBUL

Stock prices may display predictable patterns around major political events, particularly in emerging market economies where political risk is a key component of asset risk premiums. One distinct event that would be expected to result in an abrupt increase in political risk is elections. Motivated by this notion, we study the returns for a set of indicator and sectoral indices of Borsa Istanbul stocks and the U.S. Dollar–Turkish Lira exchange rate around political elections held in Turkey over 2001–2020. Our tests reveal an accumulation of economically and statistically significant positive abnormal returns for all Borsa Istanbul stock indices and negative abnormal returns for the U.S. Dollar–Turkish Lira exchange rate over a window that starts as early as a month prior to the election date and extends for two weeks into the post-election period, with the effect being particularly strong in the week immediately following the election. Consistent with a political risk-based story, volatility of index returns starts increasing over the same period and plateaus out at a level that is roughly one-and-a half to two-folds greater than its pre-election period average.