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Analysis of global stock index, inflation and interest rates on the Indonesia Stock Exchange joint stock price index
In: International Journal of Research in Business and Social Science: IJRBS, Band 12, Heft 3, S. 308-317
ISSN: 2147-4478
This study examines the influence of global stock indices and macroeconomic conditions in Indonesia on the Jakarta Composite Index (JCI). The global stock indices analyzed in this study are the Dow Jones Industrial Average (DJIA), Nikkei 225 (N225), Shanghai Stock Exchange Composite (SSE), Strait Singapore index. The macroeconomic indicators that analyzed in this study are the inflation rate, the US dollar exchange rate against the Indonesian rupiah, and the BI rate. This study was conducted using secondary data. The research period was 3 years for 36 months from January 2018 to December 2020. The data used in this study are secondary data with a sample collection method using Purposive Sampling against JCI. Data analysis in this study was carried out using Microsoft Office Excel 2016, as well as hypothesis testing using panel data regression analysis with the Eviews program version 10.0 with a significance level of 5%. Research Results The results showed that in the short term, Index DJIA, Nikkei Index 225, Interest rates positively affect the movement of JCI. This suggests that an increase in the DJIA index, Nikkei 225 Index, and interest rates will result in an increase in the JCI, While Shanghai Index, STI, Inflation does not affect the JCI.
STOCK PRICES AND INFLATION
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 24, Heft 4, S. 587-602
ISSN: 1475-6803
AbstractNumerous empirical studies establish that inflation has a negative short‐run effect on stock returns but few studies report a positive, long‐run Fisher effect for stock returns. Using stock price and goods price data from six industrial countries, we show that long‐run Fisher elasticities of stock prices with respect to goods prices exceed unity and range from 1.04 to 1.65, which tends to support the Fisher effect. We also find that the time path of the response of stock prices to a shock in goods prices exhibits an initial negative response, which turns positive over longer horizons. These results help reconcile previous short‐run and long‐run empirical evidence on stock returns and inflation. Also, they reveal that stock prices have a long memory with respect to inflation shocks, such that investors should expect stocks to be a good inflation hedge over a long holding period.JEL Classification:G12
Predatory Stock Price Manipulation
SSRN
Industry Stock Prices around Covid-19
In this study, I examine how market participants respond to global uncertainty around the Covid-19 pandemic. More specifically, I analyze the industries most affected by the outbreak. The pandemic has created events never before seen at such a global level. Governments closed their country's borders and quarantined their residents. Business owners closed their doors. These unforeseen events put the world economy at a standstill. I find that these decisions caused the U.S. stock markets to crash by more than 30%. The industries that experienced the most negative value-weighted abnormal returns were Carry, Meals, and Books. The industries that exhibited the most positive value-weighted abnormal returns were Transportation, Healthcare, and Smoke. Perhaps policies and financial assistance can be better allocated to those industries that suffered the most. Additionally, investment managers might be able to use this information to hedge against future losses, in the case of a similar pandemic.
BASE
Stock Liquidity and Stock Price Crash Risk
In: Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
SSRN
Spillover Connectedness Among Geopolitical Oil Price Risk, Clean Energy Stocks, Global Stock, and Commodity Markets
In: JRPO-D-23-02645
SSRN
Stock price predictability - Zeuthen
In: The new Palgrave dictionary of economics 8
THE IMPACT OF FUEL PRICE INCREASE ON STOCK PRICE IN INDONESIA STOCK EXCHANGE
The purpose of this research is to analyze the response ofIndonesian Capital Market to increasein fuel price as announced by the Government on June 22nd, 2013. This study uses abnormal returns and trading volume activity as the indicatorsto observe investors responses in the capitalmarket. Event study is used in order to examine investors responses. It measures the investorsresponse before and after the announcement of increase infuel price. The sample used in thisstudy includes all companies listed on the LQ-45 for the period of February to July 2013. Theresult indicates that there are significant negative abnormal returns before the announcement ofincreasing in fuel price and there are positive abnormal returns after the announcement of increasing in fuel price. However,there is no significant difference between the abnormal returnsbefore and after the announcement. Additionally, there is an increase in activity shown by theincrease in trading volume activity before and after the announcement. Yet, there is no significantdifference between the activity before and after the announcement.
BASE
COMPARATIVE STUDY OF STOCK PRICE INDEX ON EUROPEAN STOCK EXCHANGES BEFORE AND AFTER BREXIT UK STOCK PRICE IN EUROPE
This study was conducted to analyze the comparison of the impact of Britain to Exit (Brexit) on the UK Stock Price Index in the European region. The sampling countries in this study include four European countries, namely Denmark, France, Germany, and England. This research method uses quantitative research by comparing stock price index data before and after the UK's exit from the European Union. This research is an event study research that is analyzing the market reaction due to an event or the publication of an announcement. Results from this study were that the CSE index Denmark, France CAC index, the index HDAX Germany has a significant influence before and after Brexit Britain while Britain's FTSE index had no impact on the stock price index volatility before and after Brexit. This shows that the investment decisions of investors in Denmark, France, and Germany were greatly influenced by the Brexit announcement so that the stock price indexes in these three countries experienced significant movements. While the Brexit announcement does not affect the decisions of investors in the UK itself because this Brexit event does not contain strong information so that market participants do not react before and after the event.
BASE
Stock Prices and Employment
In: Journal of post-Keynesian economics, Band 24, Heft 3, S. 493-498
ISSN: 1557-7821
Stock Prices and Heteroscedasticity
In: The journal of business, Band 49, Heft 4, S. 496
ISSN: 1537-5374
Individual Cycles in Stock Prices
In: Journal of political economy, Band 35, Heft 6, S. 835-851
ISSN: 1537-534X
Return Predictability of Stock Price Index in Tehran Stock Exchange
In: International Letters of Social and Humanistic Sciences, Heft 9, S. 59-64
The question of whether asset price changes are predictable has long been the subject of many studies. Many studies, using historical returns based on random walk tests, have shown that stock return is not predictable. We study return predictability of the Tehran Exchange Price Index (TEPIX) based on monthly data from 2000 to 2011. For forecasting the return, we used a recursive estimation method in which the parameter estimates were updated recursively in light of new weekly observations, and also its regressors were changed recursively according to the Schwarz Bayesian Criterion. The results show that the daily stock returns are not predictable using publicly available information.