...In this paper we will make the stock market analysis and commentary on the quotations of the Commercial Bank for the years 2007 and 2008 based on its prices in the Athens Stock Exchange. SECTION I PERFORMANCE AND AVERAGE YIELD The performance of a share is equal to the percentage difference between the initial and final property owner. The average yield value is calculated as the sum of the yield of a share to the number of returns. As far as the Commercial Bank is concerned, the average stock performance for the year 2007 was 0.28% and 2.24% for 2008. Based on the values of the general price index, the average yield for 2007 was 0.26% for 2008 and 1.95%. We observe that for the year 2007 by comparing the average yield to the corresponding share of the overall index the first appears in negative contrast to the second which is positive. By contrast, for the year 2008 there is identification -signs are in both negative- and price performances are quite close. Yields will then help us to calculate the beta value and to draw conclusions from them. VARIANCE The variance of a variable measures the volatility of the element. To calculate the variance four steps are required: • Calculation of average performance • Calculation of deviation from the mean square performance • Calculate the square of performance • Calculate the sum of the squares of the deviation and dividing by the number of observations. Regarding the variation in yields: • The variance of...
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...Department of Finance and Banking Jahangirnagar University Savar, Dhaka FNB209: Financial Institutions and Markets | Executive Summary Submission of the Report on : Efficiency Analysis and Volatility Effect of Bangladesh Stock Market Submitted by:Sariful Islam(Student ID: 610)Ashfaq-ul- haq oni(Student ID: 621)Jafrin Siddique (Student ID: 1922)Zunaid Hossain (Student ID: 1928)K. M. Zeman Adnan (Student ID: 2128)William Masterson Shah (Student ID: 2129) | Submitted to:Dr. Sheikh Abu TaherLecturer,Department of Finance & BankingJahangirnagar University | August 2, 2012 Term Paper Topic: Efficiency Analysis and Volatility Effect of Bangladesh Stock Market Executive Summary: This paper empirically examines the behavior of stock returns in the Bangladesh stock market namely Dhaka Stock Exchange (DSE), the efficiency of the market in pricing securities and the relationship between stock returns and conditional volatility and the impact of some institution factors such as lock-in, circuit breaker, and caretaker government on volatility, using best known three different daily price indices DSEG, DSI and DS20. The results of autocorrelation function, results of ADF and PP tests and also the results of ARIMA models do not support the hypothesis of weak-form of market efficient of DSE. The results of GARCH (p, q)-M models indicate significant departure from the hypothesis of weak form efficiency; the tendency for returns to exhibit volatility clustering;...
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...to the Stock Market Supply and demand is one of the most important influences in any economic marketplace. In most industries the law of supply and demand is an accepted theory to explain the price of products and services. One industry that overlooked the significance of the law of supply and demand in the past is the stock market. Experts attributed the Stock Bubble of the 1990s to an overly simple theory. It was believed that rising prices in stocks were caused by an underlying rise of companies’ value. The price of stocks in the 1990s is today better understood as derived from a shortage of equities in the market (Oswin, 2005). The law of supply and demand is a fundamental concept in economics that explains market factors such as the quantity of a product or service demanded by consumers, the supply of products or services that suppliers are willing to produce and the relationship between supply and demand to create market equilibrium. The law of supply and demand also tries to explain what conditions in the market create changes in quantity demand and supplied in the market (Colander, 2008). In his essay, The Relative shortage of Equities, Oswin (2005) describes some of the conditions that affect stock market activity and explains the theories behind the demand and supply of equities, which drive the prices of the market. According to Oswin (2005), the law of supply and demand is the cause behind bear and bull markets. Investors use the term bear market to describe...
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...US billion. In 2010 it reached to approximately 3300 Billion dollars. Poland’s GDP more or less remain same. In 2008 Poland GDP was slightly more than 500 billion dollars and in 2010 it was 500 billion dollars. Fig 5 plots the GDP per capita. There is decreasing trend in Germany’s per capita GDP. In 2008 it was less than 45000 billion dollars and in 2010 it was 40,000 billion dollars. Whereas in Poland’s per capita GDP there is sharp decrease in 2009. But there is slight rise in 2010. Fig 6 plots stock traded and total value. In 2008 Germany’s companies stock traded and total value was 3100 US billion dollars. In Poland there was very less trading and total value was 100 billion and it remain more or less same till 2010. Where as in Germany there was a sharp decline in 2009. Total value reached to 1300 US billion dollar. In 2010 it slightly increased, and In 2011 stock traded and total values of German companies were around 1300 US billion dollars. Fig 7 plots stocks traded and Turnover ratio in percentage. In 2008 Germany’s companies’ turnover ratio was around 190. In 2009 it decrease to 100. In 2010 this ratio remain same. But in 2011 it increased and reached to 130. Poland’s turn over ration compared to Germany is very less. In 2008 it was slightly less than 50. In 2009 it reached to 50 and remain stable for 2010. And then in 2011 it slightly increased to 110. Null-hypothesis testing The t-test is „robust” since it continues to work well even if applied to...
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...中国证券行业分析报告 （2009 年 2 季度） 出版日期：2009 年 08 月 WWW.CEI.GOV.CN 编写说明 上半年，在经济复苏的乐观预期及充裕的流动性推动下，A 股市场走出了一波 大幅上涨的行情。 上证综合指数从 3 月底的 2373.21 点上涨至 6 月底的 2959.36 点， 深证成份指数从 8981.95 点上涨至 11566.61 点，上证综合和深证成份指数累计涨 幅分别达到 24.69%和 28.77%。 股票市场持续上涨带来的赚钱效应刺激新增开户数 以及基金募集额逐月攀升。 2009 年二季度，在股指加速上扬的推动下，大比例增仓成为基金的共识，从 整体数据来看，积极投资偏股型基金二季度仓位为 84.07%，与一季度相比大幅提 升了 8.4%。其中股票型基金的整体仓位已经达到 86.78%，与上季度相比提高了 7.61%，且已经超过 07 年三季度市场最高点时股票型基金 83.87%的仓位；混合型 基金整体仓位也达到接近 80%的较高水平， 与上季度相比提高了 9.57%； 封闭式基 金受仓位限制与开放式基金相比略低，为 75.92%。 中国经济信息网 www.cei.gov.cn 今年二季度债券市场共发行了 285 期（只）新债，发行金额合计为 23422.93 亿元，较一季度的 166 期（只）和 10730.8 亿元分别大增 119 期和 12692 亿元。分 类别来看，国债发行量暴增成为二季度债市扩容的主要源头之一。二季度财政部 共发行国债 25 期，总额 5469 亿元；代发地方债 36 期，金额 1629 亿元；二者合 计发行总额为 7098 亿元，比一季度的 1079 亿元暴增 6019 亿元，占新增额近二分 之一。央票发行量依然是排名第一，二季度发行 9250 亿元，较一季度的 4800 亿 2631 元增加近一倍。 其他券种中， 中期票据、 金融债、 企业债分别发行 2696 亿元、 亿元和 1175 亿元，较一季度分别增加 1025 亿元、1038 亿元和 513 亿元。 版权：中经网数据有限公司 TEL： （010）6855 7150 I FAX： （010）6855 8555 中国行业分析报告――证券行业 目 Ⅰ 录 二季度股票市场运行状况...........................................1 一、市场走势 ...................................................... 1 二、板块表现 ...................................................... 4 三、上市公司证券投资状况 .......................................... 5 四、IPO状况 ....................................................... 6 （一）海外上市 .................................................... 6 （二）境内A股 ..................................................... 7 （三）VC/PE支持 ................................................... 7 五、上市公司 ......
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...Finance & Banking, vol.1, no.3, 2011, 125-138 ISSN: 1792-6580 (print version), 1792-6599 (online) International Scientific Press, 2011 Stock Market Analysis in Practice: Is It Technical or Fundamental? Gil Cohen1, Andrey Kudryavtsev2 and Shlomit Hon-Snir3 Abstract Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical and fundamental analysis. Second, we want to study the difference of use of fundamental and technical tools in the buying versus selling stocks. We used online survey in one of the leading business portals in addition to asking professional investors in a leading investment house in Israel. Our results show no significant difference between professional and non-professional investors in terms of how frequently they use fundamental and technical investment tools. Both groups of investors use more frequently fundamental tools than technical when they make buy/sell decisions. We also found that non-professional investors use more fundamental tools such as "analysts' recommendations" when they buy stocks and more technical tools such as "support and resistance lines" when they sell stocks. Moreover, our study Economics and Management Department, The Max Stern Academic...
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...Capital market in Bangladesh: Concept and formation Capital market is a mechanism to flow fund from the hands of small savers (individuals and institutions) at low costs to those entrepreneurs who do need fund to start business or to business. In the other words, capital market mechanism gives a part ownership of big companies/corporations to small savers like you and me. In simple term, it is a globally accepted scheme to share ownership of economic development with general public. History of capital market: Capital market started in USA at Wall Street in 1653. 1t came to Mumbai, the commercial capital of India around 1890. However, investment in shares boomed in late 1970s. It took many years to come to the land, now comprising Bangladesh. The origin of stock market in Bangladesh goes back to April 28, 1954 when a stock exchange was formed under the name East Pakistan Stock Exchange Association at Narayanganj. Trading started in 1956. It was renamed East Pakistan Stock Exchange Ltd. Transferred to Dhaka in 1958 and again renamed Dhaka Stock Exchange Ltd in 1964. Trading remained suspended during the Liberation War in 1971. The Dhaka Stock Exchange resumed operation in 1976 with nine listed companies as against 452 today. Capital market in Bangladesh got momentum with the establishment of Securities and Exchange Commission in 1994. A big wing was added to the capital market with the incorporation of Chittagong Stock Exchange on April 1, 1995. Operation of CSE started on...
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...Econometrics of Random Walk Hypothesis ABSTRACT The random walk hypothesis is a key instrument used in the analysis of forecasting in the economic and financial market. It is used primarily in the forecasting of the prices of stocks. This is useful to determine and forecast the prices of stocks given previous stock prices. This paper discusses the basis of the hypothesis, the two types of random walk hypothesis, its framework, methodologies and the analysis of its repercussions. INTRODUCTION The random walk hypothesis states that stock price changes have the same distribution and are independent of one another, so the past movement or trend of a stock price or of the market as a whole cannot be used to predict its future price or any possible future trends. The concept originated in the late 1800s from Jules Regnault, a French broker, and Louis Bachelier, a French mathematician, whose Ph.D. dissertation titled "The Theory of Speculation". The same ideas were later developed and studied further by Paul Cootner, an MIT Sloan School of Management professor, in his 1964 book The Random Character of Stock Market Prices. The term was popularized by the 1973 book, A Random Walk Down Wall Street, by Burton Malkiel, a professor of economics at Princeton University, and was used earlier in Eugene Fama's 1965 article "Random Walks In Stock Market Prices”. The theory that stock prices move randomly was earlier proposed by Maurice Kendall in his 1953 paper, “The Analytics of Economic Time...
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...Introduction to Stock Exchanges ------------------------------------------------- Meaning, purpose, working of stock exchanges in India; various terms used in stock exchanges, trading in stock exchanges, clearing and settlement, rolling settlement, online trading, internet trading, market indices, types of public issue Which is benchmark stock market index of India? How many securities are there in Nifty Index? How many securities are there in Sensex? Which index will have high volatility Nifty or BSE Midcap? What do you mean by primary market? ------------------------------------------------- What do you mean by secondary market? What do you mean by stock split? What do you mean by Bonus Issue? What do you mean by Buy Back? What do you mean by Right issue of shares? What are ADR’s? ------------------------------------------------- What is the difference in between IPO and FPO? Risk-Return analysis Risk meaning and Measurement – Types of Risk – Systematic, Unsystematic risk, Beta Coefficient, Alpha, CAPM theory etc. What is return? Expected rate of Return, computation formulae. Case studies on risk-return using standard deviation, variance, probability and other statistical tools. ------------------------------------------------- What is beta? ------------------------------------------------- What is cost of equity? ------------------------------------------------- What is WACC? ------------------------------------------------- ------------------------------------------------- ...
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...GLOBAL STOCK MARKETS: A CASE STUDY OF THE NIGERIAN STOCK MARKET RESEARCH BRIEF The history of stock trading and trading associations can be traced as far back as the 11th century when Jewish and Muslim merchants set up trade associations. After centuries of evolution, stock markets have become the symbol of commerce in the modern world. It operates in various countries and trades a range of securities. The world stock market capitalisation is estimated to be about $ 36.6 Trillion. The stock market has various functions such as capital mobilisation, investing opportunities, risk distribution etc. The major stock exchanges in the world today include New York Stock Exchange, London Stock Exchange, Frankfurt Stock Exchange, Italian Stock Exchange, Hong Kong Stock Exchange and Tokyo Stock Exchange. There have been various stock market crashes in the past such as the Wall Street crash of 1929, the crash of 1973/74, the 1987 crash; called black Monday, the dotcom bubble of 2000 and the more recent crash in 2008 caused by the subprime mortgage crisis in America. The economic crisis of 2008 which originated in America spread to various economies in the world and their stock markets were affected. It reduced the value of stocks around the world by as much as 41% and affected both major and emerging stock markets. The Nigerian stock market is an emerging market in Africa. After attaining the position of one of the most profitable, efficient and fastest growing equity market in the...
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...Case Analysis: Dimensional Fund Advisors 1. Describe the philosophy of DFA. What sort of market behavior are they counting on? * DFA believes in three principles: 1. The Efficient Market Theory. That is, the stock market is efficient and no one has the ability to consistently pick stocks that will beat the market. Over any given period, some lucky investors will outperform the market while others will underperform. DFA felt that the market price of any firm’s stock incorporated all public information and therefore did not do any fundamental analysis on the firm in question. 2. The value of sound academic research. For example, DFA’s founders believed that small-stock investing could yield high returns to investors. They formulated this belief on the Ph.D. dissertation research of Rolf Banz of the University of Chicago, which showed that small stocks had consistently outperformed large stocks between 1926 and the late 1970s. 3. The ability of skilled traders to contribute to a fund’s profits even when the investment is inherently passive. DFA’s investment fund had a semi-active strategy between those of actively managed funds and those of pure index funds. * DFA counts on market behavior that reflects the following concepts: 1. The Beta is Dead. Stocks with high-beta do not have consistently higher returns than low-beta stocks. That is, greater risk does not guarantee greater reward. 2. The Size Effect (Small Minus Big). Based on the research...
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...outcomes for which they have no valid cues.) Most participants consistently overestimated the future performance of their investments consistent with the illusion of control. The researchers hypothesized that anchoring and adjustment would influence portfolio allocation decisions. The students were more likely to change their portfolio allocation following poorer fund performance than better fund performance, a tendency which had a negative impact on portfolio returns. The researchers attributed this to students anchoring on past performance (expecting both poor and good fund performances to continue) as they made allocation decisions. The students reported that they had an average of $20,500 of their own money invested in stocks and mutual funds and that they had been investing for an average of 4.7 years. Participants received course credit for participating in the research. a) What the research question being tested? (2 points) b) Who are the decision makers who are being studied? (2 points) c) On the...
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...foreign exchange and stock markets for India, Samanta and Nath (2003) employed the Granger causality test on daily data during the period March 1993 to December 2002. The empirical findings of the study suggest that these two markets did not have any causal relationship. When the study extended its analysis to verily if liberalization in both the markets brought them together, it found no significant causal relationship between the exchange rate and stock price movements, except for the years l993, 2001 and 2002 during when a unidirectional causal influence from stock index return to return in forex market is detected and a very mild causal influence in the reverse direction is...
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...Regression Analysis of Verizon Communications, Berkshire Hathaway, and Wyndham Worldwide The stock market plays a pivotal role in the world today, bringing together investors with companies looking to raise funds. The government, organizations, and individual shareholder’s all have a stake in actively following and participating in the stock market. The problem that hinders common traders and professional investors alike becomes differentiating between the thousands of publicly traded companies in the U.S. alone to pick the best investments. By comparing three large, but very different companies to the market as a whole this paper will demonstrate how Beta can be used to measure the volatility of a stock. The three dependent variables will be acquired from historical stock returns from the communications conglomerate Verizon Communications (VC), Berkshire Hathaway Inc. (BRK-A) the multinational holding company best known its chairman Warren Buffet, and Wyndham Worldwide Corporation (WYN) one of the world’s largest hotel and resort chains. After comparing relevant statistical factors to each other a regression analysis will be done for each company comparing the excess market returns for each company (found by subtracting out the market free rate) to the market excess return. Table 1: Stock Return Statistics | Average Price/Share | Mean Return | Largest Gain | Largest Loss | Standard Deviation | Coefficient of Variation | VZ | $34.73 | 1.43% | 12.58% | -10...
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...(S&P 500), for an astonishing 14 years in a row; and this marked the longest streak of success for any manager in the mutual-fund industry. By the middle of 2005, Value Trust is worth $11.2-billion. Bill Miller’s approach to investment management was research-intensive and highly concentrated. For instance, nearly 50 percent of Value Trust’s assets were invested in just 10 large-capitalization companies. While most of Bill Miller’s investments were value stocks, he was not averse to taking large positions in the stocks of growth companies. In other words, Bill Miller’s investing style is iconoclastic: “You simply can’t do what he’s done in the supremely competitive, ultra-efficient world of stock picking by following the pack…The fact is that Miller has spent decades studying freethinking overachievers, and along the way he’s become one himself.” Mutual Funds Definition A mutual fund is an investment vehicle that pooled the funds of individual investors to buy a portfolio of securities, stocks, bonds, and money-market instruments to meet specific investment objectives; investors owned a pro rata share of the overall investment portfolio (Bruner, 2007). The various investments included in a fund’s portfolio are handled by professional money managers in line with the stated investment policy of the fund. All mutual funds have a portfolio manager, or investment advisor, who directs the fund’s investments according to explicit investment objectives. Mutual Fund Types Investors...
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