FACTORS DETERMINING STOCK MARKET RETURNS: CASE OF NAIROBI STOCK EXCHANGE
نویسندگان
چکیده
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Petrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange
While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...
متن کاملDemographics , Stock Market Flows , and Stock Returns ∗
This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...
متن کاملEffect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...
متن کاملEconomic Exposure of Stock Returns in an Emerging Stock Market
The objective of the study is to examine the stock returns variation to specific economic variables by applying multi-factor model developed under Arbitrage Pricing Theory. The variables in the model are descriptive of the market and economic conditions of the country. The study attempts to determine which, if any, of the variables are of use in explaining the variability of stock returns of Pa...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Finance and Accounting
سال: 2016
ISSN: 2518-4113
DOI: 10.47604/ijfa.122