Stock Exchange Index Research Articles

Tomada de Decisão com Base em Moving Average Convergence-Divergence: Uma Análise sobre Volatilidade

This study analyses the growing movement of investors leaving fixed income and moving to the variable income market, many of them use simple techniques such as Moving Average Convergence-Divergence (MACD) and sometimes choose assets with little volatility because, empirically, they see them as “safer”. The purpose of the study is to estimate the relationship between the level of an asset's volatility and the efficiency of the MACD instrument. To achieve the objective, a descriptive analysis was performed - with a documentary collection, and quantitative analysis - through Analysis of Variance (ANOVA). We searched for companies that make up a given stock exchange index, dividing them into two groups: the 20% more volatile and the 20% less volatile. Simulations of purchases and sales were carried out to identify the returns obtained. It is possible to identify that the group of the most volatile assets obtained results - profit - exponentially better than the other, thus achieving the theoretical and empirical contribution of the technical rules of trading, especially via graphical analysis and use of the MACD instrument. Above all, it proved that the relationship has predictive capacity in Brazil. The results of the study support the use of techniques, which promote surplus returns in a practical way for investors. Evidence was found of the existence of a relationship between the intensity of volatility and the efficiency of the MACD. The study implies demonstrating the investment strategy of using volatility as a moderator of the efficiency of graphical analysis.

PARALEL ANALYSIS OF THE INVESTMENT ACTIVITY ON THE CROATIAN AND THE BULGARIAN STOCK EXCHANGES IN CONDITIONS OF EXTRAORDINARY EPIDEMIOLOGICAL SITUATION

Measures imposed in mid-March 2020 to halt the spread of Covid-19 limited and halted a number of businesses and raised serious questions and unexpected uncertainty throughout economic life. With this study we aim to assess the impact of the emergency situation on the investment activity of two selected Balkan stock exchange – The Croatian and The Bulgarian in the past year since its introduction. Subject of the study are the dynamics of stock exchange activity and market liquidity in parallel for the selected stock exchanges, which can be considered on the one hand with the price indicators and on the other with the natural measures. The input of our analysis are the main broad stock exchange indices for each of the two selected stock exchanges. For ZSE - CROBEX, whose sample includes 20 companies and for BSE – BGBX-40. As a basis for the stated analysis we set the price indicators - the stock exchange indices, after which we consistently consider the primary indicators and the analytical measures for the stock exchange activity. The main goal is to track the change in stock market activity, in parallel with the reaction of stock indices. As a starting point for changes in stock market activity, we take the previous year before the emergency situation and consider the trend in the coming quarters.
 Based on the applied different categories of specialized measures and the conducted empirical analysis, we can highlight the following more significant conclusions: The price measures - popular stock indices and market capitalization show a more tangible dependence on the looming uncertainty of the impending pandemic before the introduction of social and economic constraints. And this is more pronounced for the Croatian stock exchange. The natural indicators of the stock exchange activity - the stock exchange volume and the number of transactions show a weaker dependence on the restrictive measures. We explain this first with their generally much greater variability than that of price measures. Secondly, this can be interpreted as the absence of panic withdrawal from stock market activity, which is observed in times of crisis and is more typical of small and low-liquid capital markets. In conclusion, we can summarize that the investment activity on the capital markets of Croatia and Bulgaria is affected to a lesser extent than some sectors of the real economy. The main problem remains the humanitarian impact on the health of the affected population.

Value relevance of earnings and book values during IFRS convergence period in India

PurposeThe authors aim to examine the association between earnings and book values with stock prices in India during the IFRS convergence period because, in India, the literature is yet to investigate more about IFRS convergence and its impact on the financial reporting environment. Hence, the purpose of this study is to assess the influence of IFRS conversion on the value relevance of accounting information throughout the IFRS conversion period.Design/methodology/approachThe current paper endeavors to investigate the earnings and book values affiliation with stock prices in India during the IFRS convergence period by employing a price valuation model (Ohlson’s Model). The study assembled a total of 3,440 firm-year observations from the National Stock Exchange in India over five years, which signifies the IFRS conversion period (2015–2019).FindingsThe research findings displayed that accounting information such as earnings, book value has value relevance throughout the IFRS enforcement period; however, the value relevance has been increasing for earnings and showing a descending association for book value. The significant explanatory power of earnings reveals that market participants give more weightage to earnings than book values. Overall, the findings of the study will facilitate improved decision making for both, capital market participants and regulators, by highlighting the key areas for improvement in the Indian capital market.Research limitations/implicationsThis study also extends a discussion on the subject in those economies where regulations are weak and the market is imperfect with asymmetrical information.Practical implicationsThe research outcome provides for empirical shreds of evidence regarding the value relevance of accounting information during IFRS enforcement in India, where IFRS is a recent emergence.Social implicationsThis paper examines the value relevance of accounting information during IFRS convergence period in India which will felicitate improved decision making for both, market regulators and investors.Originality/valueThis research is the first factual documentation regarding value relevance of earnings and book value during the IFRS enforcement process in India with the most recent data and contributes to the limited study conducted in developing nations like India.

Inter-linkage between Indian Stock, Commodity and Foreign Exchange Markets

Study of market inter-dependency helps the investors, financial managers, policy makers and other stake holders to formulate their financial strategies according to the direction and strength of dependence of one market with another market. In this study we analyse the integration and inter-relationship among commodity, stock and foreign exchange markets in India. This study extends other studies by including all indices of commodity market since their birth till recent days, major stock market indices of India and exchange rates of rupee against US dollar. We use cross- correlation, residual based co-integration tests, Granger causality test and AR-EGARCH (p, q) models to capture the inter-linkage between the markets. The study found bidirectional relation between some of the commodity indices and stock indices and strong unidirectional relationship between commodity and foreign exchange market.

COVID-19 Pandemic: Stock Markets Situation in European Ex-Communist Countries

Purpose: The aim of this article is to present the impact of the COVID-19 pandemic on the capital markets of post-communist economies and, whether these markets are reacting in the same way. The research concerns indices of stock exchanges in Poland, Hungary, Latvia, Lithuania, Bulgaria, Czech Republic, Romania, Estonia, Croatia, and Slovenia. Methodology: The investigation covers the period from 30 SEP 2019 to 31 DEC 2020 divided into three sub-periods - pre-pandemic, pandemic shock, and pandemic stabilization. A trend analysis of the indices studied and a volatility analysis of the returns of the indices were conducted. Econometric trend models and GARCH-class models were applied. Findings: As a main finding it can be concluded that the capital markets of the post-communist economies responded to the pandemic in an analogous way, as well as that the scale and level of development of stock markets does not affect their response to the pandemic and stock market prosperity during the pandemic period. Practical Implications: The work focuses on the analysis of major stock market indices in countries with very different levels of capital market development. The course of the pandemic varies from country to country in terms of freezing the economy. As a consequence, it allows answering the fundamental question from the economic point of view: To what extent does a crisis of a non-economic nature affect the stock exchange situation in countries at the stage of capital market development? Originality/Value: The analysis of the level of capital markets development in post-communist countries has been the subject of many works, including by authors. However, the emergence of a pandemic creates a unique (hopefully) opportunity for research under extreme conditions such as the pandemic. As a consequence, information is obtained about the economic resilience, or lack thereof, of post-communist countries to crisis situations of a non-economic nature.

Impact of cash surplus on firm’s capital structure: validation of pecking order theory

PurposeBuilding on pecking order theory, this study seeks to understand the various financial factors that influence top management's decision regarding the company’s capital structure. The authors attempt to understand and analyse whether the capital structure of mid‐ and small‐cap firms is affected by cash surplus scaled to total assets. Along with other determinants of capital structure such as liquidity, profitability, tangibility, market capitalisation and age, this is considered one of the major factors. Cash surplus is calculated using data from the cash flow statement. It is defined as the difference in cash from operating activities and that from investing activities and is scaled to total assets. To the best of the authors’ knowledge, this is the first study to regress cash surplus scaled to total assets and other determinants over leverage to examine the impact on mid‐ and small‐cap firms. The pecking order theory was found to hold for firms earning cash surplus.Design/methodology/approachData were collected from the CMIE Prowess database of all firms listed on the NIFTY Small cap 250 index and NIFTY Midcap 150 index. The data of non-financial firms belonging to the midcap and small-cap sector, listed on the National Stock Exchange of India from 2012 to 2019 were considered. After cleaning the data, an unbalanced panel of 171 companies totalling 1,362 observations for the NIFTY Small-cap 250 index and another panel of 96 companies with 761 observations for the NIFTY Midcap 150 index was created. Panel data regression analysis was used to determine the effect of cash surplus scaled to total assets on the firms' capital structure.FindingsThis study demonstrates how small- and midcap firms' behave differently in taking capital structure decisions. Pecking order theory was found to hold for firms earning cash surplus as a proportion of total assets (Surplusta).Research limitations/implicationsThe study was conducted through data available on secondary sources and database. The study can be better conducted by conducting a primary survey too. Further study may be conducted with a blend of secondary and questionnaire method. The results can be compared to check the similarity in findings.Practical implicationsManagers can benefit from the findings when making decisions on long- and short-term loans. This study can help managers in terms of the financial variables that have a role to play in the financial leverage of the company. The decision of the managers of midcap or small-cap firms would be different. Factors influencing short- and long-term borrowings are different. Academics can discuss whether there is any difference in the influence of capital structure variables of small- and midcap companies and the reasons for such differences. Judicious decisions on capital structure will create wealth for the shareholders as the right decision about leverage would result in a proper cost of capital. The findings also add to the existing literature on the Pecking order theory.Social implicationsAcademics can discuss whether there is any difference in the influence of capital structure variables of small- and midcap companies and the reasons for such differences.Originality/valueThe study extends the existing literature by demonstrating that the capital structure of mid and small-cap firms is affected by cash surplus scaled to total assets. The pecking order theory was found to hold for firms earning cash surplus. This study can inform the practitioners about the financial variables that have a role to play in the company's financial leverage. As the results and significance of the variables of the midcap or small-cap firms are different, the decisions of the managers of these firms would be separate for the capital structure of their firms. The study also infers that the factors influencing short and long-term borrowings are different. The study determines whether managers' decision-making in such companies is different in terms of raising short- and long-term loans. The study attempts to guide managers in considering the different variables that would influence their capital structure decisions, particularly the decision to include debt in the capital. Financial variables need not be of equal importance for managers belonging to small- and midcap companies.

Indonesia Stock Price Index, Inflation, Interest Rate and Exchange Rate against ISSI

The purpose of this study is to examine the effect of Indonesia regional stock price index, inflation, interest rate, and exchange rate on ISSI, for Singapore, Malaysian and Philippine. The dependent variable in this study is ISSI. The independent variables in this study are Straits Times Index (STI), Kuala Lumpur Stock Exchange Index (KLSE), Philippine Stock Exchange Index (PSEI), Singapore inflation (INFSG), Malaysian inflation (INFMY), Philippine inflation (INFPH), Singapore interest rate (SBSG), Malaysia interest rate (SBMY), Philippine interest rate (SBPH), Singapore exchange rate (SGD), Malaysian exchange rate (MYR), and Philippine exchange rate (PHP). The sample of this study are all variables starting in 2014-2019. Analysis tools to test hypotheses using the VECM method. The analysis shows that the variables that have positive and significant effect on ISSI are KLSE, INFSG, SBSG, SGD, MYR, and PHP. SBMY has a positive but not significant effect on ISSI. While the variables that have negative and significant influence are PSEI, INFPH, and SBPH.

Fractional Poisson random sum and its associated normal variance mixture

In this work, we study the partial sums of independent and identically distributed random variables with the number of terms following a fractional Poisson (FP) distribution. The FP sum contains the Poisson and geometric summations as particular cases. We show that the weak limit of the FP summation, when properly normalized, is a mixture between the normal and Mittag-Leffler distributions, which we call by Normal-Mittag-Leffler (NML) law. A parameter estimation procedure for the NML distribution is developed and the associated asymptotic distribution is derived. Simulations are run to check the performance of the proposed estimators under finite samples. An empirical illustration on the daily log-returns of the Brazilian stock exchange index (IBOVESPA) shows that the NML distribution captures better the tails than some of its competitors. Related problems such as a mixed Poisson representation for the FP law and the weak convergence for the Conway-Maxwell-Poisson random sum are also addressed.

US Withdrawal from JCPOA and the Turmoil in Iran’s Economy

Many individuals and companies make their economic decisions based on political developments. This article examines an important political event,namely the withdrawal of the United States from JCPOA and its impact on the Iranian capital market. With the withdrawal of the United States fromthe JCPOA and the United States’ threats to resume sanctions, Iran’s economy had experienced turmoil and drastic changes, which clearly saw in thedays before and after the resumption of sanctions in Iran’s financial markets. In this study, we intend to examine the changes resulted from the USwithdrawal from JCPOA, its impact on Iran’s oil-dependent economy, financial markets, analyze the spread, and severity of turbulence in the Iranianeconomy, especially the Iranian financial markets using multivariate GARCH methods. In this regard, the multivariate GARCH model (DCC) andanalysis of variance are used to investigate these events’ effect on the Tehran Stock Exchange index.
 Keywords: ARCH, Economic Dependence, Economic Sanctions, Intensity of Turbulence in Iran’s Economy, Linear combinations of univariateGARCH models, Multivariate generalized autoregressive conditional heteroscedasticity, Nonlinear combinations of univariate GARCH models, USWithdrawal from JCPOA, Multivariate GARCH

Volatility Analysis of Select Blue Chip Companies Listed in Nifty 50 Index of India

The stock market is sometimes referred to as a "mirror" of the country's economic health since it acts a barometer to measure the economic growth. A potential buyer sets a price, known as an offer price, for a share of stock in the stock market, and a potential seller asks for a fixed price for it. When buying or selling in the market, both the buyer and the seller agree on the asking price or bid price. A trade occurs when the bid and ask prices are equal. As a result, stock valuation is extremely important in day-to-day stock exchange transactions. A company's success is reflected in its stock price. Companies with strong results are thought to have strong demand for their stock, which will drive up the price, and vice versa. Stock price fluctuations are influenced by rumours, speculation, and short-selling, among other manipulation practices. The present research on the above backdrop will make an analysis on the volatility of blue chip companies listed in the NIFTY 50 of National Stock Exchange in India.

A study of problems of stock exchange in India

A study of problems of stock exchange in India

Impact of Globalization on Indian Stock Market

In the era of globalization, stock markets vastly expand the scope and complexity of their activities and are facing a constantly changing and rapidly complex regulatory enjoinment. The stock market is one of the most important indicators in the field of an economy. This paper aims to highlight the impact of globalization on the Indian stock market. The stock market is one of the most popular platforms in the world of trading and investments without any barriers. Daily crores of traders and investors trade directly or indirectly in various stock exchanges. All such trades are processed through an entity known as a stock exchange. There are many stock exchanges in India that trade crores every working day. This paper explores how globalization also contributes to the development of Indian Stock Markets.

Hybrid Approach for Forecasting Stock Exchange Index Combining Statistical Methods and Artificial Neural Network

Hybrid Approach for Forecasting Stock Exchange Index Combining Statistical Methods and Artificial Neural Network

By his words alone: the economic consequences of Rodrigo Duterte

Philippine President Rodrigo Duterte has gained worldwide notoriety for his foul-mouthed statements, particularly for his threats directed towards the nation’s largest businesses and their powerful owners. Such pronouncements, which may be mistaken for shifts in government policy, may inadvertently provoke the business sector to react negatively. This paper examines whether President Duterte's negative business-related pronouncements have an appreciable effect on the Philippine Stock Exchange Index (PSEi). We apply an interrupted time series model on PSEi data for the period June 30, 2016 until December 31, 2019 to determine Duterte’s impact on stock prices under six different intervention scenarios. Specifically, we test different classifications of business pronouncements— initial business pronouncements, anti-oligarch statements, personal attacks, and combinations of the three. The results show a significant relationship between Duterte’s negative business-related pronouncements on the PSEi closing price, with the biggest changes occurring during the first times he brought up a particular issue or addressed a certain personality. We aggregated the losses for the period 2018-2019 resulting from these pronouncements. For the five pronouncements, we estimate the combined losses to rise from ₱1 million on the day they were made to ₱47 million within five days and, as the market continues to adjust, up to ₱441 million within ten days.

Thy Governance Matters: A Study on Governance Practices of Stock Exchanges in India

Historically the responsibility of ushering the practices of good governance, transparent management and effective control process for the corporate houses rests under the jurisdiction of those stock exchanges where the shares of the companies are listed. However, the very question of the management and governance of these stock exchange houses are always under the scanner across the globe in view of the limitations of their historic pattern of member-owned ‘non-profit’ kind of mutual organizational structure. The lacunae of that typical organizational structure was that their activities are primarily targeted towards members interests as well as that set up was not immune fully from the malice like insider trading and conflict of interest for office bearers and traders. In view of this following the global pattern the Union Government of India had decided for corporatization of stock exchanges thereby creating a separation of ownership, management and trading membership of stock exchanges which is formally known as demutualization and corporatization of stock exchanges. A committee was set up by the SEBI under the chairmanship of Justice M.H. Kania which had submitted the report in 2002 recommending corporatizations and demutualization of stock exchanges which become mandatory for every stock exchange in India to implement within a stipulated period of time. Against this backdrop the present study is conducted to make an overview of the present state of governance affairs of major stock exchanges in India. It has been observed that the corporatization and governance practices of the major bourses in India had followed governance practices like separation of the post of chairman and CEO, inclusion of public interest directors as outside directors in the board, adherence to code of conducts for directors, organizing frequent meetings of directors etc.

Evaluation of Changes on World Stock Exchanges in Connection with the SARS-CoV-2 Pandemic. Survival Analysis Methods

The aim of our research was to compare the intensity of decline and then increase in the value of basic stock indices during the SARS-CoV-2 coronavirus pandemic in 2020. The survival analysis methods used to assess the risk of decline and chance of rise of the indices were: Kaplan–Meier estimator, logit model, and the Cox proportional hazards model. We observed the highest intensity of decline in the European stock exchanges, followed by the American and Asian plus Australian ones (after the fourth and eighth week since the peak). The highest risk of decline was in America, then in Europe, followed by Asia and Australia. The lowest risk was in Africa. The intensity of increase was the highest in the fourth and eleventh week since the minimal value had been reached. The highest odds of increase were in the American stock exchanges, followed by the European and Asian (including Australia and Oceania), and the lowest in the African ones. The odds and intensity of increase in the stock exchange indices varied from continent to continent. The increase was faster than the initial decline.

Domestic Institutional Investors and Sectoral Indices of India: A Toda Yamamoto Approach

The study investigates the behavioural dependence of domestic institutional investors (DIIs) with the sectoral indices of the national stock exchange of India. For the first time in the Indian context, the domestic institutional investors are studied in a broad sense, i.e. the study not includes merely mutual funds, but financial institutions, insurance companies and venture capital funds also. The results reveal positive and strong behavioural dependence of many sectoral indices in the national stock exchange on financial institutions, insurance companies and mutual funds. The Correlation results support the results of Toda Yamamoto model by showing strong and positive correlations of sectoral indices vis a vis financial institutions, insurance companies and mutual funds. The results of the Toda Yamamoto model for venture capital fund, on the other hand, are insignificant with weak correlation. In contrast to the findings of many previous studies that mutual funds do not affect future stock returns the current study reports that causality runs from financial institution, insurance companies and mutual fund investments to sectoral indices of national stock exchange of India. These results illuminate the important role played by domestic institutional investors in Indian stock markets.

An Inquiry into the Persistence of Holiday Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly

Asset pricing is a key area of literature in analysing and evaluating the stock market efficiency. Though various pricing models made efforts to explain the behaviour of the stocks, the existence of seasonal anomalies in the stock markets creates an opportunity for the investors to generate abnormal returns. The present article emphasizes one of such market anomalies namely, the holiday effect using indices belonging to Indian stock exchanges. Thorough research is performed by including all the prime market-capital and sectoral indices of the National Stock Exchange and the Bombay Stock Exchange. The ARIMAX methodology is adopted to observe the anomaly by considering exogenous variables representing the trading days before the exchange-mandated holidays. Further, the strength of the anomaly is analysed with the incorporation of various stock market reforms and observed to be significantly persistent among most of the Indian market indices (including both the sectoral and the market-capital based indices).

A Vector Autoregressive Market Model for IT Sector Stocks in India

This study proposes a vector autoregressive form for the market model and tests its significance against the market model for information technology (IT) sector stocks in the Indian stock market. The analysis was performed for a sample of nineteen IT sector stocks listed on the National Stock Exchange of India, of which nine stocks were large-cap, six were mid-cap, and four were small-cap. The study period considered was Jan. 1, 2018 – Dec. 31, 2018. The key contribution of the study was the finding that the vector autoregressive model is a better model of stock returns than the market model for IT sector stocks. Thus, IT sector stocks seem to react more to market movements from the previous day than on the day itself. The implication for asset pricing modelling is that systematic risk may be further decomposed into a component corresponding to sensitivity to market movements on the day and a component corresponding to sensitivity to market movements on the previous day. The asset pricing model would be extended to include market risk premia for both of these components of systemic risk. Keywords: market model, vector autoregressive model, IT sector, asset pricing modelling, systematic risk.

ANALYSIS OF SUSTAINABLE GROWTH RATES OF COMPANIES INCLUDED IN THE MIXED HOLDING POWER UTILITY OF REPUBLIC OF SRPSKA

This paper analyzes selected data on the performance of companies that are part of the power utility Elektroprivreda Republike Srpske with the aim of determining their sustainable growth rates. The energy sector was chosen because of its importance both for the Republic of Srpska capital market (measured by the participation in the total market capitalization of the Banja Luka Stock Exchange and the basic Stock Exchange index) and the entire Republic of Srpska economy (measured by the participation in gross domestic product). The analysis considered data from published financial statements for 2019, with an emphasis on the following: operating assets, liabilities, capital, operating income and net profit. The dividend policy was also considered, but it was concluded in the paper that none of the observed companies paid dividends from profit for 2019 by the end of this analysis. The research results show that the rate of sustainable growth exceeds 1% in only one case, while in several other cases there are negative rates of sustainable growth caused by the loss in the observed period. Such facts could raise concerns, but also indicate possible directions for future actions in order to improve the performance of the considered companies.