market index

Additional behavioral factor that is based on the prospect theory is Sentiment. Prior work suggests a number of proxies for Sentiment to use as time- series conditioning variables. There are no definitive or uncontroversial measures; however I use Baker and Wurgler (2006) Sentiment index which is based on first principal component of six (standardized) Sentiment proxies over 1962–2008 data, where each of the proxies has first been orthogonalized with respect to a set of macroeconomic conditions. Those variables are: PDND a value-weighted dividend premium defined following Baker and Wurgler (2004) (values differ slightly from theirs due to subsequent improvements in the CRSP (Center for Research and Security Prices)/COMPUSTAT merge procedure) ; NIPO an IPO volume from Ibbotson, Sindelar, and Ritter (1994) ; RIPO is the first-day returns on IPOs from Goetzmann & Ibbotson (1994), and Ibbotson ,Sindelar, and Ritter (1994);CEFD a closed-end fund discount , which is the average difference between the NAV of closed- end stock fund shares and their market prices. Prior work suggests that CEFD is inversely related to Sentiment. Zweig (1973) uses it to forecast reversion in Dow Jones stocks, and Lee, Shleifer, and Thaler (1991) argue that Sentiment is behind various features of closed-end fund discounts; SHARE is an equity share in new issues defined following Baker and Wurgler (2000); and finally TURN is the NYSE turnover from NYSE Fact Book . NYSE share turnover is based on the ratio of reported share volume to average shares listed from the NYSE Fact Book. Baker and Stein (2004) suggest that turnover, or more generally liquidity, can serve as a Sentiment index. In a market with short-sales constraints, irrational investors participate, and thus add liquidity, only when they are optimistic; hence, high liquidity is a symptom of overvaluation. Supporting this, Jones (2002) finds that high turnover forecasts low market returns. TURN is calculated as the natural log of the raw turnover ratio, de-trended by the five-year moving average. The Sentiment index provided by Baker and Wurgler (2004) act as an indicator of the market condition , where if the Sentiment index was a negative then market condition was a negative and vice versa. In addition I use the index as the benchmark index to calculate and estimate abnormal returns. I call this analysis the Market Index based analysis.

In order to determine which model explains with greater precision the historical performance of the Mexican Stock Market Index (IPC) the ARCH family models were applied. We analyze market volatility using daily returns of the index during the period 2000-2008, trying to avoid the incidence of the financial crises over stock markets on successive years. To analyze market volatility, GARCH EGARCH and TARCH models were compared according to traditional evaluation criteria. Finally we conclude that the EGARCH model (1.1) has the best predictive power.

This paper examines the ability of equity style to predict future movement of composite leading economic index in a multivariate Granger causality framework. By comparing the effi cacy of information transmission between equity style index and Bursa Malaysia Industrial Index, our results show that there is unidirectional causality from growth style to leading economic index. Second, there is also unidirectional fl ow from growth style to Bursa Malaysia Industrial Index. Third, there is a bidirectional relationship between growth style and KLCI broad market index. Finally, there is bidirectional causality between both growth style and value style. Further analysis from cross-correlation function reveals that growth style index is better than Bursa Malaysia Industrial Index. The former provides accurate and stronger cross-correlation with leading economic index. From these empirical evidences, it can be concluded that growth style index is a leading indicator which has more economic content than stock market index. It is better than stock market index in its effi cacy of information transmission. The study brings to the awareness to policy makers and practitioners of the usefulness of equity style in constructing future leading economic index and early warning system of fi nancial crisis.

Over the decades, the concept of corporate social responsibility (CSR) has continued to grow in Importance and significance. The idea is to make business enterprises have some responsibilities to society beyond that of making profits for the shareholders. it connotes conducting businesses on a reliable, sustainable, and desirable basis that respect ethical values, people, communities, and the environment. Although, corporate social responsibility practices apply to all firms, the social and environmental challenges however are to a large extent associated with manufacturing firms because of the significant impact of their activities on the environment. This paper examined how markets respond to the corporate social responsibility activities of listed manufacturing firms in Nigeria. It employed correlation research design using panel data from a sample of 19 firms for a period of 6 years (2008-2013). Ordinary Least Squares (OLS) regression technique was employed in the data analysis. The study found that corporate social responsibility of manufacturing firms in Nigeria is relevant and informative to investors. Especially, the study found that corporate social responsibility on society; environmental sustainability and owners’ wealth maximization have significantly impacted on the market values of listed manufacturing firms at 99% confidence level during the period covered by the study. The study however did not find evidence that corporate social responsibility on employees and regulatory compliances have any significant relationship with market values during the period under review. The paper recommends that manufacturing companies in Nigeria should double their efforts towards corporate social responsibility aimed at addressing the peculiarity of the social economic development challenges of the country (poverty alleviation, health care provision, infrastructural development, structure and education). This could send positive message to the market and enhance their value in return; it will also help create conducive atmosphere for conducting businesses.

Taani and Banykhaled (2011) examined the effect of accounting information such as profitability, liquidity, debit to equity, market ratio, size which is derived from firm’s total assets, and cash flow from operation activities on earning per share (EPS) by using a sample of 40 companies listed in the Amman Stock Market. The findings reveal that profitability ratio (ROE), market ratio (PBV), cash flow from operation/sales, and leverage ratio (DER) has significant impact on earnings per share. A related study by Martani, Mulyono and Khairurizka (2009) reveals that profitability, turnover and market ratio has significant impact on the stock return.

Basel III was developed in response to the deficiencies in financial regulation revealed by the late2000s financial crisis and the flaws spotted in Basel II as discussed in this paper. It is a global regulatory standard on bank capital adequacy, stress testing and market liquidity risk agreed upon by the members of the Basel Committee on Banking Supervision in 2010-2011. This innovative framework strengthens bank capital requirements and introduces new regulatory requirements on bank liquidity and bank leverage. The change in the calculation of loan risk in Basel II for instance which some consider a causal factor in the credit bubble prior to the 2007-2008 collapse (in Basel II one of the principal factors of financial risk management was out- sourced to companies that were not subject to supervision i.e. credit rating agencies). Ratings of creditworthiness and bonds, financial bundles and various other financial instruments were conducted by official agencies without supervision thus leading to AAA ratings on mortgage-backed securities, credit default swaps, and other instruments that proved in practice to be extremely bad credit risks. In Basel III a more formal scenario analysis is applied.

Gjerde and Saettem (1999) investigated to what extent important results on relations among stock returns and macroeconomic factors from major markets were valid in a small, open economy by utilizing the multivariate vector autoregressive (VAR) approach on Norwegian data. Unlike many previous studies, which have used a different methodology on other European markets, they established several significant links. Consistent with US and Japanese findings, real interest rate changes have affected both stock returns and inflation, and the stock market responded accurately to oil price changes. On the other hand, the stock market showed a delayed response to changes in domestic real activity.

This paper examines the relationship between the Estonian stock market index and relevant macroeconomic variables and has several focuses. First, the paper studies whether more government debt may affect the Estonian stock market index positively or negatively. More debt-financed government spending is expected to raise aggregate expenditures, create more business opportunities, and increase the demand for stocks due to the portfolio adjustment, which would increase stock prices. On the other hand, more debt-financed government spending would raise the interest rate crowding out private spending, the price level, and the future tax burden, which would reduce stock prices. Second, other relevant variables such as the exchange rate, the interest rate, the foreign stock market index and other relevant variables are considered in order to estimate their respective impacts on the Estonian stock market index. Third, the GARCH model is applied in empirical work to yield consistent and unbiased estimates.

ETF invests its funds proportionately in the securities which form the index. Trading take continuously in the shares which forms the stock market index, the index futures and the index ETFs. The market information is reflected in these three instruments, so the price movements of these instruments should reflect an identical patterns as in exist in efficient market. Market inefficiency or noise trading in the market indicates the deviation. The research work is to analyze the movement of price of the stock market index, index futures and index ETFs in the Indian context. The extents of efficiency or inefficiency in the Indian securities market are the outcome of the research.

The results suggest that Switzerland’s commitment to implementing the AEoI was followed by a modest negative return in the stock prices of Swiss banks, which was limited to a small number of banks. The cumulative abnormal return over four days was as small as -0.2% for the entire sample of Swiss banks and -0.7% for those Swiss banks that were subject to individual investigations in the US. Both estimates are statistically not di¤erent from zero for conventional signi…cance levels. That is although the standard errors are moderately sized and the resulting minimum detectable e¤ect sizes are well below the estimates of a similar event study on data leaks from banks in tax havens (Johannesen and Stolper 2017). This suggests that the null results are not a consequence of low statistical power, but rather that they are caused by a lack of e¤ect. The null results are also robust for further selected events that might have a¤ected the …nancial market expectations. Finally, of the total of 44 NZZ front page articles with a reference to the AEoI, only two were followed by a sizeable abnormal drop in the stock prices of Swiss banks. However, the exact timing and the close similarity with the abnormal performance of the Swiss Market Index, a major index for the entire Swiss stock market, suggest that the stock price drops might have been driven by factors other than the new tax transparency.

E(rm): is the average rate of return on investment in the market portfolio; It: is total market index at the end of the research period; Io: is total market index at the beginning of the research period; andX: is the number of the years of research. Once the above factors were determined and calculated, the capital cost of each year of the company is calculated through the capital asset pricing model. Capital employed: The capital employed in the company has been obtained by collecting the book value of the company's equity, its interested debts, and the balance of capital equivalents at the beginning of each financial year. Regarding the interested debts, it should also be said that for calculating the capital employed in the company, the facilities received by the companies have been added to their long-term debts; in this process, the interested debts, regardless of their short-term or long-term, have been determined.

In this paper we tried to measure the levels of liquidity on the Croatian market in com- parison to other regional markets and one developed market which can be taken as highly liquid. Based on the results of our research and the calculations we can divide the coun- tries observed in two groups with respect to liquidity levels. In the first group we include countries that based on our liquidity measure have a high level of liquidity. These are Ger- many, as expected, but also Poland and Hungary. A price change in the index and its vol- atility do not presume such a qualification, while more complex measures like turnover rate, ratio of market index price change and turnover rate and ILLIQ suggest that these markets are more liquid than the others observed. For the German market such results are surely not surprising, however it is interesting to notice that Poland and Hungary are sig- nificantly more liquid than the regional average.

The stock market analogy presented here clarifies the relationship between EBVs and indicators: a biodiversity indicator or index is analogous to a stock market index that measures the s[r]

     , where z t  1 = {DUSTP, USDP, WORLD} is a vector of instruments observed at the end of period t  1 and  ’s are time-invariant vectors of weights. One-month Eurodollar interest rate is used as the risk-free rate to compute excess returns on all indices. In particular, the excess stock return is computed as r i t ,  ln( p t / p t  1 ) 1/ 365(ln(1   i t US  1 $ ) where p t is either the market total return index or Datastream world market total return index (dividend included) expressed in US dollars at time t and i t US  1 $ is the annualized 1-month Eurodollar interest rate known at time t  1 . Furthermore, the log first difference of the trade-weighted U.S. dollar price of the currencies of major industrialized countries (TWFX) is used to proxy the currency risk. We select a set of instrumental variables that have been widely used in the international asset pricing literature (see e.g., Bekaert and Harvey, 1995; De Santis and Gerard, 1995; 1998; Tai, 2007; Harvey, 1991; Bekaert and Hodrick, 1992; Ferson and Harvey, 1993; among others). Namely are the change in the US term premium, measured by the first difference of the yield difference between 10-year Treasury constant maturity rate and 1- month Eurodollar rate (USTP), the US default premium, measured by the yield difference between Barclay’s BBB rated and AAA-rated U.S. corporate bonds (USDP), the lagged excess return on world market index (WORLD). Finally all instruments are used with a one lag, relative to the excess return series. Under full market integration,  i should not be statistically significant, otherwise there are evidence of partial, at least, market integration. Partial integration exists if currency and/or world risk are statistically significant.

This paper investigates the asymmetric effects of upgrade and downgrade of the sovereign credit rating on regional interdependence of seven emerging stock markets in the Asian Pacific Area. Firstly, by comparing the cross- country correlation matrices of stock market index returns on event days and none event days, we find out increases in correlations in both upgrade and downgrade rating days but the frequency of decreasing correlations is signifi- cantly higher in downgrade rating days. Secondly, with a regression analysis taking advantage of time-varying conditional correlations of each stock mar- ket index with regional market index, we discover a significant increase in the correlations of most countries because of the common information effect triggered by the upgrade rating events, while for the downgrade rating events, dominant differential information effect results in decrease in the correla- tions. Moreover, in terms of effects of changes on sovereign ratings from oth- er regional countries, downgrade rating events are more influential. Lastly, we apply an Error Correction Model and discern a significant long-run effect caused by the changes on the sovereign credit ratings and significant short- run transitory effect only exists in the Thailand stock market, the source of Asian Financial Crisis, which supports the financial contagion theory.

The paper constructs the Malaysian financial stress index (MFSI) following Hakkio and Keeton (2009), Cevik et al. (2013) and Cevik et al. (2013). The index is measured using financial stress variables. These variables involve both financial and economic indicators that approximately proxy the features of financial stress. It is argued that the characteristics of financial stress must include at least one of these features; rise in uncertainty about the fundamental asset value, increase substitution of illiquid with liquid assets, high asymmetry of information and decrease in the interest to own risky commodities/asset (Hakkio and Keeton, 2009). Despite the emphasis to measure financial stress using purely financial indicators, Rey (2009) suggests using other economic factors such as trade credit, especially in the developing economies. This is because using only financial market prices to measure financial stress in emerging and developing countries might not be sufficient in explaining the abnormal behavior of the financial sector. Thus, in a more recent study, Cevik et al. (2013) consider other variables such as external debt and financial sovereign risk in measuring financial stress for five emerging economies. Based on the previous literature, especially related to emerging economies, the study uses the following components to construct the financial stress index for Malaysia.

1-4-Globalization Index: Globalization is a phenomenon of recent decades through which bilateral relations among different people of the globe are expanded and the geographic boundaries are weakened. In fact, globalization is the mixing of national economies in the world economy the consequences of which are an increase in the volume of international trade, globalization of the production process and the capital flow. Most of the factors influencing FDI are also part of the globalization index, whether in a compact or detailed form. It needs to be mentioned that regionalism factors are similar to the globalization factors. Therefore, here we discuss the globalization factors along with the regionalism factors. There are different criteria to measure this. As a whole, the globalization factors & its indices can be separated into two groups. First, the factors based on which the globalization of a given country is studied, Second, the globalization of a specific industry (such as agriculture, mining...) or a certain subgroup such as petrochemical industry or certain products such as wheat. These secondary groups may be the subjects of an independent study. For this reason, only the first group is considered here. At this point, we introduce a few of the more important globalization factors. The Foreign Policy Magazine, The Heritage Foundation, The Fraser Institute and other reputable publications have put out these factors.

Other indexes have been constructed in order to measure some related aspects but not the same central focus. For example Osberg and Sharpe (2002, 2005) build an index of well- being for the US and OECD countries that includes wages, job security, wage inequality and the average of education, using a method similar to the Human Development Index (HDI). San, Hung and Huang (2006) use manufacturing data and build a quality of labor index by sector for Taiwan that includes workers’ productivity, security, health, training, labor conflicts, and the type of labor model to account for 25 different components. These authors weight the components of the index using sectorial importance for aggregation. Schwerdt and Turunen (2007) decompose total productivity using labor surveys to predict wages and hours worked, for both men and women, and find education and experience to be the main changing forces of the observed labor quality. Aggarwal (2004) aggregates a labor quality index for the Indian states, decomposing manufacturing production and the share of labor, and finds wide differences among regions, but slow changes over time. Mostly, the development of those labor quality index involves the use of more specialized data and decomposition of factors that can be used to track over time how such factors can change and affect productivity levels, but that can make comparisons of regions and countries more difficult since data for all the components is not available for all areas.

African countries in the Franc zone (PAZF), since the mid 1980s till 1994 at least, have experienced deteriorating terms of trade. According to Rama (2001), the substantial appreciation of the French Franc vis-à-vis the U.S Dollar has come to add to the dramatic drop in the prices of export products such as coffee, cocoa, and oil. The Maastricht convergence criteria have yet reduced the capacity of France’s Treasury to continue to sustain its long time support to the CFA Franc. This has caused the parity between this currency and the French Franc to go high, and thus become incompatible with the continuous deterioration of the terms of trade (nearly 50 percent) experienced by African countries in the Franc zone (PAZF) from 1985 to 1993. Devarajan (1996) holds that the currency used at the time by major oil producing countries in the CFA zone, which notably include Cameroon and Gabon, was rather over evaluated. According to this author, the effective real exchange rate was on the whole close to its pre-1986 equilibrium level, until a severe shock affected the terms of trade, following the drop in oil prices and the collapse of the U.S Dollar which brought about a considerable over evaluation that more or less persisted afterwards. This turned out to be non conducive for competitiveness in the world market.

Liquid markets are generally perceived as desirable because of the multiple benefits they offer, including improved allocation and information efficiency. Liquidity and the FQI index show a correlation coefficient of -0.22 showing a low correlative degree between both. As shown in the chart, liquidity in the Spanish market shows a slight downward trend since January 2008 showing a great similarity with the downward trend in volume. Therefore, a high degree of correlation of 0.76 between liquidity and volume is observed. However, a remarkable fact that shows a high degree of maturity of the Spanish market is the constant liquidity. It is interesting to see the fall in liquidity during the Spanish banking crisis, reflecting that external shocks can show and describe moments of market stress 4 . Recent financial market crises have, therefore, produced studies on how to better judge the state of market liquidity and ideally to better predict and prevent systemic liquidity crises. As the market gets bigger it can also carry out more risk by making the assets less liquid in episodes of market stress.