• Title/Summary/Keyword: Make-to-stock

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A Study on Unfolding Asymmetric Volatility: A Case Study of National Stock Exchange in India

  • SAMINENI, Ravi Kumar;PUPPALA, Raja Babu;KULAPATHI, Syamsundar;MADAPATHI, Shiva Kumar
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.4
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    • pp.857-861
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    • 2021
  • The study aims to find the asymmetric effect in National Stock Exchange in which the Nifty50 is considered as proxy for NSE. A return can be stated as the change in value of a security over a certain time period. Volatility is the rate of change in security value. It is an arithmetical assessment of the dispersion of yields of security prices. Stock prices are extremely unpredictable and make the investment in equities risky. Predicting volatility and modeling are the most profuse areas to explore. The current study describes the association between two variables, namely, stock yields and volatility in equity market in India. The volatility is measured by employing asymmetric GARCH technique, i.e., the EGARCH (1,1) tool, which was used in building the study. The closing prices of Nifty on day-to-day basis were used for analysis from the period 2011 to 2020 with 2,478 observations in the study. The model arrests the lopsided volatility during the mentioned period. The outcome of asymmetric GARCH model revealed the subsistence of leverage effect in the index and confirms the impact of conditional variance as well. Furthermore, the EGARCH technique was evidenced to be apt in seizure of unsymmetrical volatility.

Factors Affecting Financial Risk: Evidence from Listed Enterprises in Vietnam

  • DANG, Hang Thu;PHAN, Duong Thuy;NGUYEN, Ha Thi;HOANG, Le Hong Thi
    • The Journal of Asian Finance, Economics and Business
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    • v.7 no.9
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    • pp.11-18
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    • 2020
  • This paper analyzes factors affecting enterprise's financial risk listed on the Vietnam stock market. The panel data of research sample includes 524 non-financial listed enterprises on the Vietnam stock market for a period of eleven years, from 2009 to 2019. The Generalized Least Square (GLS) is employed to address econometric issues and to improve the accuracy of the regression coefficients. In this research, financial risk is measured by the Alexander Bathory model. Debt structure, Solvency, Profitability, Operational ability, Capital structure are independent variables in the study. Firm Size, firm age, growth rate are control variables. The model results show that in order to prevent and limit financial risk for enterprises listed on the Vietnam Stock Market, attention should be paid to variables reflecting Liability structure ratio, Quick Ratio, Return on Assets, Total asset turnover, Accounts receivable turnover, Net assets ratio and Fixed assets ratio. The empirical results show that there are differences in the impact of these factors on the financial risk in state-owned enterprises and non-state enterprises listed on the Vietnam stock market. The findings of this article are useful for business administrators, helping business managers make the right financial decisions to improve the efficiency of financial risk management in enterprises.

Seasonality and Long-Term Nature of Equity Markets: Empirical Evidence from India

  • SAHOO, Bibhu Prasad;GULATI, Ankita;Ul HAQ, Irfan
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.4
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    • pp.741-749
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    • 2021
  • The research paper endeavors to investigate the presence of seasonal anomalies in the Indian equity market. It also aims to verify the notion that equity markets are for long-term investors. The study employs daily index data of Sensex, Bombay Stock Exchange, to understand its volatility for the period ranging from January 2001 to August 2020. To analyze the seasonal effects in the stock market of India, multiple regression techniques along with descriptive analysis, graphical analysis and various statistical tests are used. The study also employs the rolling returns at different time intervals in order to understand the underlying risks and volatility involved in equity returns. The results from the analysis reveal that daily and monthly seasonality is not present in Sensex returns i.e., investors cannot earn abnormal returns by timing their investment decisions. Hence, the major finding of this study is that the Indian stock market performance is random, and the returns are efficient. The other major conclusion of the research is that the equity returns are profitable in the long run providing investors a hope that they can make gains and compensate for the loss in one period by a superior performance in some other periods.

A Stock Price Prediction Based on Recurrent Convolution Neural Network with Weighted Loss Function (가중치 손실 함수를 가지는 순환 컨볼루션 신경망 기반 주가 예측)

  • Kim, HyunJin;Jung, Yeon Sung
    • KIPS Transactions on Software and Data Engineering
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    • v.8 no.3
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    • pp.123-128
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    • 2019
  • This paper proposes the stock price prediction based on the artificial intelligence, where the model with recurrent convolution neural network (RCNN) layers is adopted. In the motivation of this prediction, long short-term memory model (LSTM)-based neural network can make the output of the time series prediction. On the other hand, the convolution neural network provides the data filtering, averaging, and augmentation. By combining the advantages mentioned above, the proposed technique predicts the estimated stock price of next day. In addition, in order to emphasize the recent time series, a custom weighted loss function is adopted. Moreover, stock data related to the stock price index are adopted to consider the market trends. In the experiments, the proposed stock price prediction reduces the test error by 3.19%, which is over other techniques by about 19%.

Data Mining Tool for Stock Investors' Decision Support (주식 투자자의 의사결정 지원을 위한 데이터마이닝 도구)

  • Kim, Sung-Dong
    • The Journal of the Korea Contents Association
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    • v.12 no.2
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    • pp.472-482
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    • 2012
  • There are many investors in the stock market, and more and more people get interested in the stock investment. In order to avoid risks and make profit in the stock investment, we have to determine several aspects using various information. That is, we have to select profitable stocks and determine appropriate buying/selling prices and holding period. This paper proposes a data mining tool for the investors' decision support. The data mining tool makes stock investors apply machine learning techniques and generate stock price prediction model. Also it helps determine buying/selling prices and holding period. It supports individual investor's own decision making using past data. Using the proposed tool, users can manage stock data, generate their own stock price prediction models, and establish trading policy via investment simulation. Users can select technical indicators which they think affect future stock price. Then they can generate stock price prediction models using the indicators and test the models. They also perform investment simulation using proper models to find appropriate trading policy consisting of buying/selling prices and holding period. Using the proposed data mining tool, stock investors can expect more profit with the help of stock price prediction model and trading policy validated on past data, instead of with an emotional decision.

International Trend of Regulation on IUU Fishing and Countermeasures (IUU어업에 대한 국제적 규제 동향과 우리나라의 대응 방안)

  • LEE, Kwang-Nam;SEO, Byung-Kwi
    • Journal of Fisheries and Marine Sciences Education
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    • v.15 no.1
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    • pp.81-100
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    • 2003
  • It is undeniable that IUU Fishing are threatening so many legal fishermen' economic livelihood, negatively impact on conservation and protection of the fishery stock and ecosystem itself. Especially, negative impact of IUU Fishing resulted from the increasing fishery activities on the high seas. The Korea case of Coastal and Off-shore Fisheries, difficulties in conserving and controlling the fishery stock was brought about. Simultaneously, it is the fact that there are so many damage such as the reduction of fish Stock management program's effect, dissatisfaction of legal fishermen, over-exploiting of fish stock. Related with this kind of problem, FAO had adopted "International Plan of Action to Prevent, Deter and Eliminate Illegal, Unreported and Unregulated Fishing(2001)". From this reason, Korea also needs to make actual efforts to prevent IUU Fishing. i.e. each nation should develop Korea action plan by Feb. 2004 and impliment it, report on implementation toward FAO. This Paper will review the definition of the IUU stipulated by "International Plan of Action on Illegal, Unreported and Unregulated Fishing" and study Korea cases of the IUU fishing. Finally, the analysis of Korea's implementation will be done, centering around the contents stated on the International Action Plan. The significance of this paper is to grope the political countermeasures against international movement of the IUU fishing prevention.

The Impact of Operating Cash Flow in Decision-Making of Individual Investors in Vietnam's Stock Market

  • NGUYEN, Dung Duc;NGUYEN, Cong Van
    • The Journal of Asian Finance, Economics and Business
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    • v.7 no.5
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    • pp.19-29
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    • 2020
  • The paper examines the impact of information about cash flow from operating activities of firms listed on Vietnam's stock market to the decision making of individual investors. Data were collected from interviews with 160 individual investors about their investment decisions based on information on profit growth and cash flow growth from operating activities. T-test was conducted to research on Vietnam's stock market - a market considered as information that is not really public, transparent and ineffective. The research results show that: (1) investors do not care about cash flow from operating activities when making investment decisions if the company's profits grow positively, (2) information about cash flow from operating activities only affects the decisions of individual investors once profit growth is negative, and (3) conflicting information between profit growth and cash flow growth from business activities significantly affects the confidence and comfort of investors in Vietnam's stock market when they make investment decisions. Then, the study points out the mistake of investors when making investment decisions, and offers recommendations to investors when making investment decisions, not only concerned with profit growth, but also paying special attention to cash flow growth, especially cash flow from the company's business operations.

Sensitivity of abacus and Chasdaq in the Chinese stock market through analysis of Weibo sentiment related to Corona-19 (코로나-19관련 웨이보 정서 분석을 통한 중국 주식시장의 주판 및 차스닥의 민감도 예측 기법)

  • Li, Jiaqi;Oh, Hayoung
    • Journal of the Korea Institute of Information and Communication Engineering
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    • v.25 no.1
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    • pp.1-7
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    • 2021
  • Investor mood from social media is gaining increasing attention for leading a price movement in stock market. Based on the behavioral finance theory, this study argues that sentiment extracted from social media using big data technique can predict a real-time (short-run) price momentum in Chinese stock market. Collecting Sina Weibo posts that related to COVID-19 using keyword method, a daily influential weighted sentiment factors is extracted from the sizable raw data of over 2 millions of posts. We examine one supervised and 4 unsupervised sentiment analysis model, and use the best performed word-frequency and BiLSTM mdoel. The test result shows a similar movement between stock price change and sentiment factor. It indicates that public mood extracted from social media can in some extent represent the investors' sentiment and make a difference in stock market fluctuation when people are concentrating on a special events that can cause effect on the stock market.

The Determinants of Price Differential between Common and Preferred Stock (보통주와 우선주간의 가격괴리율 결정요인에 관한 실증분석)

  • Nam, Gi-Seok;Im, Chae-Chang
    • Management & Information Systems Review
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    • v.28 no.3
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    • pp.25-44
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    • 2009
  • The purpose of this paper is to examine the determinants which cause a price differential between common and preferred stock. Prior studies have shown that variables like liquidity, size, the number of outstanding shares issued can explain the price differential between common and preferred stock price. Based on year 2006 through year 2008 data, we analyzed the determinants using regression model. Dummy variables representing large/small company and KSE/KOSDAQ respectively are added and analyzed as independent variables. The firm size, trade volume turnover, and the number of preferred shares to total outstanding shares were proved to make influence on the price differential under the 5% significance level. Especially, we have found the number of preferred shares to total outstanding shares provide the most strong relationship with the price differential. This means that a high ratio of preferred stock to total outstanding shares leads to relatively high value of common stock and causes a big price differential.

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Profitability of Intra-day Short Volatility Strategy Using Volatility Risk Premium (변동성위험프리미엄을 이용한 일중변동성매도전략의 수익성에 관한 연구)

  • Kim, Sun-Woong;Choi, Heung-Sik;Bae, Min-Geun
    • Korean Management Science Review
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    • v.27 no.3
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    • pp.33-41
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    • 2010
  • A lot of researches find negative volatility risk premium in options market. We can make a trading profit by exploiting the negative volatility premium. This study proposes negative volatility risk premium hypotheses in the KOSPI 200 stock price index options market and empirically test the proposed hypotheses with intra-day short straddle strategy. This strategy sells both at-the-money call option and at-the-money put option at market open and exits the position at market close. Using MySQL 5.1, we create our database with 1 minute option price data of the KOSPI 200 index options from 2004 to 2009. Empirical results show that negative volatility risk premium exists in the KOSPI 200 stock price index options market. Furthermore, intra-day short straddle strategy consistently produces annual profits except one year.