Stock Liquidity and Stock Return

Violita, Cynthia Eka

doi:10.25139/ekt.v3i2.2047

Cited by 3 publications

(2 citation statements)

References 12 publications

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“…Return value is the level of profits enjoyed by investors for an investment [15]. Stock return are income earned by shareholders as a result of their investment in certain companies [15].…”

Section: B Calculate Return Valuementioning

confidence: 99%

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Use of the Black-Litterman Model in Portfolio Optimization for Active Investors on Stocks in Lq45 Index

Herlansyah¹,

Saepudin²

2023

jipi. jurnal. ilmiah. penelitian. dan. pembelajaran. informatik

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In these modern era, it is very easy to create an investment portfolio, an investment portfolio can be formed by buying a shares. By creating portfolio investation, our can expect score return which makes it an advantage. However, there is also a risk value that will be obtained when buy shares. In the formation of an investment portfolio for active investors, it is expected to create an optimal investment portfolio, there are many models that can be used to create an optimal investment portfolio. In this final project, will discusses the use of the Black-Litterman Model in optimizing portfolios for active investors. The Black-Litterman model is one of the models that can be used to optimize the investment portfolio, the Black-Litterman model provides additional information for the return and risk values based on the views of experts. This model builds on the MV and CAPM using a Bayesian framework that allows investors to effectively incorporate their views of the market into the allocation process asset. Based on several tests that have been carried out during the research with different days, the value of the investor's view will always be different every day, the value of an optimistic view will have a good impact on the stock, even though the stock price is falling, if the investor's view is expressed optimism, the weight of the shares will remain high.

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“…Return value is the level of profits enjoyed by investors for an investment [15]. Stock return are income earned by shareholders as a result of their investment in certain companies [15].…”

Section: B Calculate Return Valuementioning

confidence: 99%

“…Return value is the level of profits enjoyed by investors for an investment [15]. Stock return are income earned by shareholders as a result of their investment in certain companies [15]. In this research, the returns value of each assets that already collected can be calculate using this equation below :…”

Section: B Calculate Return Valuementioning

confidence: 99%

Use of the Black-Litterman Model in Portfolio Optimization for Active Investors on Stocks in Lq45 Index

Herlansyah¹,

Saepudin²

2023

jipi. jurnal. ilmiah. penelitian. dan. pembelajaran. informatik

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COVID-19 catastrophes and stock market liquidity: evidence from technology industry of four biggest ASEAN capital market

Priscilla

Hatane

Tarigan

2022

APJBA

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PurposeThis study examines the influence of various COVID-19 catastrophes variables on the stock market liquidity, considering the market depth and market tightness in the technology industry of the four biggest ASEAN capital markets.Design/methodology/approachThe study utilised the panel data regression analysis obtained from 177 listed technology companies across the four ASEAN countries from March 2, 2020 to June 30, 2021 using the random effect and weighted least squares. The study also supported the result with robustness test, implementing the quantile regression to further present companies' segmentation within the variables.FindingsThe regression results indicate that daily growth COVID-19 confirmed cases and stringency that adversely impacted the stock market liquidity. Confirmed deaths were also found to have a detrimental effect on the stock market liquidity. On the other hand, recoveries and vaccination of COVID-19 enhance the stock market liquidity to escalate.Research limitations/implicationsThe study affirms that stock market liquidity is bound to be driven by the COVID-19 variables, but only to be limited to the technology industry observed in four major ASEAN capital markets. Awareness by investors and government could be shifted towards the rise of confirmed cases, recoveries, vaccination and stringency as it improves the liquidity of capital market in aggregate. However, rise of confirmed deaths negatively affect the liquidity. All in all, government and stock market regulator should promote transparency to boost investors' confidence in trading.Originality/valueThis study initiates the investigation in the four biggest ASEAN capital markets, particularly in the technology industry, regarding the COVID-19 catastrophes and stock market liquidity in terms of both market depth and market tightness. Further, this study enriches the impact of COVID-19 by taking the recovery cases and vaccination of COVID-19 as additional consideration.

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The effect of financial robustness indicators on stock returns: An analytical study of a sample of Iraqi private banks listed in the Iraqi Stock Exchange for the period (2005-2021)

Mahmood,

Shyae,

Ibrahim

2023

Tikrit J. Admin. Econ. Sci.

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The research aims to demonstrate the effect of financial robustness indicators on stock returns in the banking sector. The research sample consisted of eight commercial banks listed in the Iraq Stock Exchange through their annual reports published in the Iraq Stock Exchange. These banks are (Baghdad, Iraqi Commercial, Investment, Sumer, The Middle East, the Iraqi National Bank, the Credit, The Commercial Gulf). For the period 2005-2021, using the statistical program [Microsoft Excel vs.10, Eviews V.12]. The research extracted a set of results, including the presence of a significant effect of indicators of financial robustness in Stock returns with the existence of a close relationship between financial robustness and stock returns, as it is not possible to achieve a rise in stock returns without the availability of financial robustness. The research concluded that the commercial banks, the research sample, vary in indicators of financial robustness. In light of this, the research came out with a number of recommendations, the most important of which is the need to adhere to measuring financial robustness indicators issued by the authorities concerned with banking guidance.

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Stock Liquidity and Stock Return

Cited by 3 publications

References 12 publications

Use of the Black-Litterman Model in Portfolio Optimization for Active Investors on Stocks in Lq45 Index

Use of the Black-Litterman Model in Portfolio Optimization for Active Investors on Stocks in Lq45 Index

COVID-19 catastrophes and stock market liquidity: evidence from technology industry of four biggest ASEAN capital market

The effect of financial robustness indicators on stock returns: An analytical study of a sample of Iraqi private banks listed in the Iraqi Stock Exchange for the period (2005-2021)

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