The effect of firm and stock characteristics on stock returns: Stock market crash analysis

Fauzi, Rizaldi; Wahyudi, Imam

doi:10.1016/j.jfds.2016.07.001

Cited by 21 publications

(17 citation statements)

References 35 publications

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“…This means that the greater the company's debt ratio, the more vulnerable the company's shares to the overreaction phenomenon. The findings of the research estimation are in accordance with the research hypothesis and in line with the research by Fauzi and Wahyudi (2016).…”

Section: Resultssupporting

confidence: 89%

The Outbreak of COVID-19 and Islamic Stock Market Responses in Indonesia

Permata¹,

Purwanto²,

Ermawati³

2021

The Winners

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The research intended to analyze the overreaction phenomenon in Islamic stocks due to COVID-19 as well as the influencing factors by utilizing different test methods and cross-sectional regression. The research employed data on the daily stock prices from August 9th, 2019 to October 26th, 2020 on the Jakarta Islamic Index (JII) and the stocks utilized during the period of events. The sample of this research utilized seven events related to COVID-19. The findings of this research reveals that the announcement of COVID-19 transmission and lockdown (Event 2) causes overreaction in winner stocks. Meanwhile, the overreaction phenomenon of loser stock is due to the announcement of the United States fiscal stimulus (Event 5) and the announcement of the PSBB (Event 6). Furthermore, the new normal announcement event (Event 7) triggers overreaction in the winner and loser stocks. The results indicate that Islamic stocks continue to have several transactions which are prohibited by the Fatwa DSN MUI in the short term. In this case, the variables that impact the overreaction phenomenon are shown to be substantially and negatively linked to leverage and market capitalization, while trading volume significantly influences and has a positive correlation with the overreaction phenomenon.

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Section: Resultssupporting

confidence: 89%

The Outbreak of COVID-19 and Islamic Stock Market Responses in Indonesia

Permata¹,

Purwanto²,

Ermawati³

2021

The Winners

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“…Cai and Zhang (2011) showed that the increase in leverage ratio decreased stock prices. In a study conducted for the Indonesian market, Fauzi and Wahyudi (2016) observed the effect of financial factors during stock market crashes on the performance of stocks with different characteristics. They determined that high debt ratio, low liquid assets, and low asset profitability factors adversely affected stocks.…”

Section: Literaturementioning

confidence: 99%

Investigation of Financial Factors Affecting the Income of Share Certificates: An Example of Industrial Companies

Avcı¹

2020

isarder

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This study attempted to determine the factors that affect the stock returns of industrial enterprises operating in the Istanbul Stock Exchnge. In addition, it was investigated whether the deteriorated economic indicators caused a change in investors' decisions in 2018. Design/methodology/approach-For this purpose, logistic regression analysis was performed for 2017-2018 by using the financial ratios of 147 enterprises in the industrial sector. In the analysis, the stock return rate as a dependent variable, and return on equity, market value / book value, price / earnings, receivables turnover rate, asset turnover rate, inventory turnover rate, debt ratio, gross profit margin, and main operating profit margin ratios as independent variables were used. Findings-According to the results of the analysis, equity profitability ratio had a significant effect on stock returns in 2017, while the debt ratio and the main operating profit margin ratio had a significant effect in 2018. Discussion-When the results of both years were analyzed, it was seen that the financial factors on stock returns changed, thus it can be said that there was a change in the investors' decisions.

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“…In the literature, differing methods have been used to examine returns and volatility transmissions in stock markets. Some of the prominent techniques include; General Autoregressive Conditional Heteroscedasticity (GARCH) models (see, e.g., Ramaprasad and Biljana, 2007;Arouri et al, 2011;Chang et al, 2013;Jebran, et al, 2017;Kpughur et al, 2017;Ghouse and Khan, 2017;Apergis and Gupta, 2017;Boubaker and Raza, 2017), Vector Autoregression (see, e.g., Andrikopoulos et al, 2014;Baoko and Alagidede, 2017;Sharma, 2017;Kinnunen, 2017), Regression analysis (see, e.g., Wang and Zhang, 2011;Vasco and Agudelo, 2014;Fauzi and Wahyudi, 2016;Blau, 2017) to mention a few.…”

Section: Literature Reviewmentioning

confidence: 99%

Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

Fasanya¹,

Oyewole

Agbatogun

2019

Zagreb International Review of Economics and Business

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This paper examines the return and volatility spillovers of different sectoral stock prices in Nigeria using monthly data from January 2007 to December 2016. We employ the Diebold and Yilmaz (2012) spillover approach and rolling sample analysis to capture the inherent secular and cyclical movements in the sector stocks market.We show that there is substantial difference between the behaviour of the sectoral stock return and volatility spillover indices over time. We find evidence of interdependence among sector stocks given the spillover indices. While the return spillover index reveals increased integration among the sectoral stocks, the volatility spillover index experiences significant bursts during major market crises. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively.

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The effect of firm and stock characteristics on stock returns: Stock market crash analysis

Cited by 21 publications

References 35 publications

The Outbreak of COVID-19 and Islamic Stock Market Responses in Indonesia

The Outbreak of COVID-19 and Islamic Stock Market Responses in Indonesia

Investigation of Financial Factors Affecting the Income of Share Certificates: An Example of Industrial Companies

Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria

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