Determinants of stock market development and price volatility in ASEAN plus three countries: The role of institutional quality

Shi, Yongming; Ahmed, Khalid; Paramati, Sudharshan Reddy

doi:10.1002/ijfe.1804

Cited by 16 publications

(10 citation statements)

References 40 publications

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“…Exploring the nature and sources of the relationships has emerged as a promising area in academic research for decades. As a corollary to this, a burgeoning body of literature has examined the relationship between stocks and macroeconomic variables (see, Shi et al, 2021 ; Asafo-Adjei et al, 2020 ). Another strand of studies also explores the behaviours of macroeconomic variables to crude oil market volatilities (for example, see, Salisu et al, 2019 ; Balcilar et al, 2021 ; Ratti and Vespignani, 2016 ).…”

Section: Introductionmentioning

confidence: 99%

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

2021

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This paper revisited the crude oil – stock market nexus to examine how the oil implied volatility index (a forward-looking and more accurate measure for uncertainty in oil prices) affects stock returns in major Africa's oil-importing (South Africa, Kenya, Mauritius, and Botswana) and oil-exporting (Nigeria, Egypt, Tunisia, and Morocco) countries during the COVID-19 pandemic. Quantile regression is employed to examine the heterogeneous relationship at different market conditions. The study documents evidence to support a negative relationship between the oil implied volatility shocks and stock returns in the selected stock markets, especially in downturns. Findings from this study also reveal that the oil implied volatility shocks can asymmetrically influence Africa's stocks. Specifically, our empirical evidence reveals that positive shocks in the oil implied volatility index play a key role in most of Africa's stock markets in market downturns while negative shocks play a moderate role during benign market conditions in some of Africa's stock markets during the pandemic. More importantly, our findings divulge that investors can find an invaluable shelter with a portfolio of the selected African stocks and oil market securities in the time of the pandemic. The policy implications are further discussed.

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Section: Introductionmentioning

confidence: 99%

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

2021

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“…The results of this study prove that when the SBIS return rate increases, it gives a signal to investors so that it has an impact on decreasing ISSI. Investors tend to choose investment alternatives that can provide a more profitable return with a safer risk that is compared to investing in stocks [12]. When investors divert investments in SBIS, it will cause the price of sharia shares to be decrease and the amount of market capitalization will decrease.…”

Section: A Effects Of Bank Indonesia Sharia Certificates On the Indomentioning

confidence: 99%

Empirical Study About Islamic Stock Index Case in Indonesia

Jubaedah¹,

Janiman²,

Islami³

2020

Proceedings of the 1st International Conference on Accounting, Management and Entrepreneurship (ICAMER 2019)

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This study was intended to test whether the external factors represented by Bank Indonesia Sharia Certificate (SBIS), Exchange Rate, Inflation and BI Rate significantly influence the Indonesia Sharia Stock Index (ISSI) during the period January 2015 to December 2018. This type of research is an explanatory research with quantitative approach. This study uses monthly time series data of each variable. The data analysis method uses multiple linear regression by first testing the classic assumptions using SPSS version 23. The results of this study showed that Bank SBIS have significant influence and positive relation toward ISSI and BI Rate have significant influence and negative relation toward ISSI. Inflation and Exchange Rate is not significant influence toward ISSI.

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“…They argue that diversity and dynamics of investors' beliefs are the root cause of stock price volatility. Shi et al (2019) highlight the importance of institutional factors by reporting that the legal system, regulation and the size of the government can have a substantial impact on stock price volatility. Kim et al (2014), while evaluating the determinants of stock price crash risk, document that firms with better corporate social responsibility have lower crash risk.…”

Section: Introductionmentioning

confidence: 99%

Dividend policy and the downside risk in stock prices: evidence from the MENA region

Farooq

Satt

Bendriouch

et al. 2021

JRF

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PurposeThe aim of this paper is to document the impact of dividend policies on the downside risk in stock prices.Design/methodology/approachThe authors use the data for non-financial firms from the MENA region to test our arguments by estimating the pooled OLS regressions. The data cover the period between 2010 and 2018.FindingsThis paper shows that firms with higher dividend payouts have significantly lower downside risk in their stock prices than the other firms. The findings of this paper are robust across various proxies of dividend policy and across various sub-samples. This paper contends that lower downside risk associated with the stock prices of firms paying high dividends is due to the fact that these firms have lower agency problems. Lower agency problems reduce the downside risk in stock prices.Originality/valueTo the best of the authors’ knowledge, most of the prior research (covering the MENA region) overlooks the impact of dividend policy on the downside risk in stock prices. This paper fills this gap by documenting the relationship between the two by using the data for firms from the MENA region.

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Determinants of stock market development and price volatility in ASEAN plus three countries: The role of institutional quality

Cited by 16 publications

References 40 publications

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic

Empirical Study About Islamic Stock Index Case in Indonesia

Dividend policy and the downside risk in stock prices: evidence from the MENA region

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