Nominal stock return volatility on the Jakarta stock exchange and changes in government policy
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Nominal stock return volatility on the Jakarta stock exchange and changes in government policy by Hermanto Bambang

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Published by University of Birmingham in Birmingham .
Written in English

Book details:

Edition Notes

Thesis (Ph.D) - University of Birmingham, Department of Accounting and Finance, Faculty of Commerce and Social Science.

Statementby Bambang Hermanto.
ID Numbers
Open LibraryOL18048188M

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The brokerage was done over a cup of tea/coffee (Sifunjo, ). The Nairobi stock exchange was constituted as voluntary association of stockbrokers registered under the societies Act, (Cap ) in The responsibilities of the Nairobi stock exchange were to develop the stock market and regulate trading activities. on stock price volatility is not significant effect. Keywords: stock price volatility, dividend policy, dividend payout ratio, panel data 1. Introduction Dividend payment is a major component of stock return to shareholders, and dividend payment could provide a signal to the investors that the company is complying with good corporate. [Show full abstract] rate and exchange rate to stock return in Jakarta Stock Exchange (JSX) from The economic macro variables didn't influence to return in stock of agricultur, mining. Download Citation | On Sep 1, , Carlos Chavez published The Direct and Indirect Effects of Fiscal Policy on Stock Market in Developing Countries: A SVAR Model | Find, read and cite all the.

  The financial crisis has jeopardized many stock markets in Asia, thus there are studies who evaluate whether there any changes after the crisis. Motameni and Abounoori () examine stock return and volatility in Tehran stock market using Parametric GARCH- . subsequent effect on stock returns as a result of these changes. Exchange Rates The currency volatility has effects on the stock returns. When currency appreciates, in a situation where the country is export-oriented, it is expected that there will be a reduction in the competitiveness of her exports, and. exchange rate to stock return volatility and not the other way round. On the domestic front Osisanwo and Atanda (), analyzed the determinants of stock market returns in Nigeria using the OLS method with a coverage of to Amongst other things exchange rate was found to be a major determinant of stock returns.   Numerous academic papers support the argument that changes in stock return volatility are primarily due to fundamental cash flows and the book-to-market factor (e.g. Gaspar and Massa, , Guo and Savickas, ) and also to some financial ratios, such as return-on-assets and return-on-equity, and their volatilities (Chang and Dong, ). As.

This study sought to examine the effect of foreign exchange rate fluctuations on the stock return volatility on the Nairobi Securities Exchange, Kenya. It used monthly time series data covering the period to The study employed Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) in the empirical analysis.   Daily stock returns are calculated as the logarithmic difference of the daily stock index times , R t = * (log P t − log P t−1).The series was regressed on a set of daily dummies (trading days) and the residuals u t obtained. These residuals were then used in a Box–Jenkins autoregressive procedure to remove the remaining predictable part of the series, due to non-synchronous. The Jakarta Stock Price Index is a major stock market index which tracks the performance of all companies listed on the Indonesia Stock Exchange. It is a modified capitalization-weighted index. The Jakarta Stock Price Index has a base value of as of Aug In September , Jakarta Stock Exchange and Surabaya Stock Exchange merged to form the Indonesian Stock Exchange by the Indonesian Minister of Finance. Stock indices. Two of the primary stock market indices used to measure and report value changes in representative stock groupings are the JSX Composite and the Jakarta Islamic Index (JII).