Impact of efficiency indicators and its related aspects on the market return: An applied study on Palestine Stock Exchange
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Received May 10, 2021;Accepted August 3, 2021;Published August 9, 2021
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Author(s)Link to ORCID Index: https://orcid.org/0000-0001-6356-9956Link to ORCID Index: https://orcid.org/0000-0003-0233-6758
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DOIhttp://dx.doi.org/10.21511/imfi.18(3).2021.09
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Article InfoVolume 18 2021, Issue #3, pp. 94-103
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Cited by2 articlesJournal title:Article title:DOI:Volume: / Issue: / First page: / Year:Contributors:Journal title: Competitiveness Review: An International Business JournalArticle title: Challenges and obstacles to issuing Islamic Sukuk in Palestine: an analytical study of Islamic banks operating in PalestineDOI: 10.1108/CR-11-2022-0172Volume: 34 / Issue: 1 / First page: 163 / Year: 2024Contributors: Bahaa Subhi Awwad, Bahaa Subhi Razia, Alaa Subhi Razia
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The study deals with the efficiency of the Palestine Stock Exchange (PSE) indicators that explain the market return. The data published in the Palestine Exchange and the Palestinian Monetary Authority during 2010–2018 have been analyzed. The multiple regression method has been employed to determine the correlation between efficiency indicators and market return. However, the findings, on the one hand, determined that there was no statistically significant effect of efficiency indicators measured by the stock turnover rate and the market capital ratio. On the other hand, they demonstrated the impact of market concentration on market return, which shows a widespread weakness in the efficiency indicators. Therefore, PSE does not enjoy the required levels of efficiency even at the weak level. The study explored the absence of liquidity indicators required for market depth, speed of market response, and market concentration. Thus, the stock prices at the PSE become randomly moving, volatile, and unstable. Consequently, the outcomes of the aforementioned findings recommended the necessity to take the essential measures that activate the elements of market efficiency to reflect the available returns according to the scientific method. The paper also recommends that there should be incentives that motivate and encourage institutions to raise their capital and put their securities into the stock exchange to enhance their role in achieving economic development. However, it should be mentioned that the increasing number of companies leads to an increase in investments as it contributes to the expansion of the market.
Acknowledgment
Special thanks to Palestine Technical University for their continued and valuable support.
- Keywords
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JEL Classification (Paper profile tab)E44, G31, G24
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References31
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Tables5
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Figures4
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- Figure 1. Market return
- Figure 2. Rate of stock turnover
- Figure 3. Market capital ratio
- Figure 4. Degree of market concentration
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- Table 1. The number of the listed companies on the Palestine Exchange for the years 2010–2018
- Table 2. Description of study variables
- Table 3. Descriptive statistics
- Table 4. Regression results
- Table A1. Summary of the study variables
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Conceptualization
Bahaa Sobhi Awwad
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Formal Analysis
Bahaa Sobhi Awwad
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Funding acquisition
Bahaa Sobhi Awwad
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Methodology
Bahaa Sobhi Awwad
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Project administration
Bahaa Sobhi Awwad
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Software
Bahaa Sobhi Awwad
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Supervision
Bahaa Sobhi Awwad
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Writing – original draft
Bahaa Sobhi Awwad
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Data curation
Bahaa Razia
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Investigation
Bahaa Razia
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Resources
Bahaa Razia
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Validation
Bahaa Razia
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Visualization
Bahaa Razia
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Writing – review & editing
Bahaa Razia
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Conceptualization
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The moderating role of firm size and interest rate in capital structure of the firms: selected sample from sugar sector of Pakistan
Sarfraz Hussain , Abdul Quddus , Pham Phat Tien , Muhammad Rafiq , Drahomíra Pavelková doi: http://dx.doi.org/10.21511/imfi.17(4).2020.29Investment Management and Financial Innovations Volume 17, 2020 Issue #4 pp. 341-355 Views: 3401 Downloads: 364 TO CITE АНОТАЦІЯThe selection of financing is a top priority for businesses, particularly in short- and long-term investment decisions. Mixing debt and equity leads to decisions on the financial structure for businesses. This research analyzes the moderate position of company size and the interest rate in the capital structure over six years (2013–2018) for 29 listed Pakistani enterprises operating in the sugar market. This research employed static panel analysis and dynamic panel analysis on linear and nonlinear regression methods. The capital structure included debt to capital ratio, non-current liabilities, plus current liabilities to capital as a dependent variable. Independent variables were profitability, firm size, tangibility, Non-Debt Tax Shield, liquidity, and macroeconomic variables were exchange rates and interest rates. The investigation reported that profitability, firm size, and Non-Debt Tax Shield were significant and negative, while tangibility and interest rates significantly and positively affected debt to capital ratio. This means the sugar sector has greater financial leverage to manage the funding obligations for the better performance of firms. Therefore, the outcomes revealed that the moderators have an important influence on capital structure.
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Multi-agent modeling and simulation of a stock market
Mohamed Amine Souissi , Khalid Bensaid , Rachid Ellaia doi: http://dx.doi.org/10.21511/imfi.15(4).2018.10Investment Management and Financial Innovations Volume 15, 2018 Issue #4 pp. 123-134 Views: 2237 Downloads: 1102 TO CITE АНОТАЦІЯThe stock market represents complex systems where multiple agents interact. The complexity of the environment in the financial markets in general has encouraged the use of modeling by multi-agent platforms and particularly in the case of the stock market.
In this paper, an agent-based simulation model is proposed to study the behavior of the volume of market transactions. The model is based on the case of a single asset and three types of investor agents. Each investor can be a zero intelligent trader, fundamentalist trader or traders using historical information in the decision making process. The goal of the study is to simulate the behavior of a stock market according to the different considered endogenous and exogenous variables. -
The macroeconomic factors affecting government bond yield in Indonesia, Malaysia, Thailand, and the Philippines
Benny Budiawan Tjandrasa , Hotlan Siagian , Ferry Jie doi: http://dx.doi.org/10.21511/imfi.17(3).2020.09Investment Management and Financial Innovations Volume 17, 2020 Issue #3 pp. 111-121 Views: 2192 Downloads: 352 TO CITE АНОТАЦІЯThe government bond (GB) has become the most attractive investment portfolio option, even though many macroeconomic factors affect the bond yield. This paper aims to investigate the determining factor of local currency government bond yield by considering the inflation rate, credit default swap, stock market index, exchange rate, and volatility index. This study used 240 data panel from the Bloomberg stock market in the form of data panel covering Southeast developing countries, namely Indonesia, Thailand, Malaysia, and the Philippines, for five years or sixty months from January 2015 to December 2019. Data analysis used recursive models and multivariate regression techniques using EViews software. The random effect model results revealed that change in the foreign exchange rate and volatility indexes affected, partially and simultaneously, the changes in the stock market index. The result also showed that changes in the stock market index, inflation rate, and credit default swap affected, partially and simultaneously, government bond yield changes. These results suggest that the government bond yield could be managed by controlling volatility index, foreign exchange rate, stock market index, inflation rates, and credit default swaps. This finding could provide an insight into the policymaker and fiscal authority on managing the risk of government bonds under control during high volatility or even making it reasonably lower. This result could contribute to the current research in the field of financial management.
Acknowledgment
It is the author’s pleasure to thank Muhammad Aulia SE MSc CSA® from the Ministry of Finance of Republic Indonesia, for his invaluable contribution to encourage this study and also to share the data required for this paper. He also delivers essential insights into improving the quality of this work. This research received no specific grant from any funding agency in the public, commercial, or not-for-profit sectors.