Profitability of the Moving Average Strategy and the Episodic Dependencies: Empirical Evidence from European Stock

Todea, Alexandru; Zoicas-Ienciu, Adrian; Filip, Angela-Maria

doi:10.35808/ersj/210

Cited by 10 publications

(5 citation statements)

References 15 publications

(14 reference statements)

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“…The hypothesis testing results of this study showed that profitability does not affect investors' reactions in Indonesia and Malaysia. This finding contradicts the results of research by Todea, Zoicaş-Ienciu, and Filip (2009), who explained that profitability has a positive influence on the reaction of investors.…”

Section: Effect Of Profitability On Investor Reactioncontrasting

confidence: 99%

Determinants of carbon emission disclosure and sustainability reporting and their implications for investors’ reactions: The case of Indonesia and Malaysia

Afrizal

Safelia

Muda

2023

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This study analyzed the effects of company size, leverage level, profitability, and company age on carbon emissions disclosure and sustainability reporting and the implications thereof on investor reactions. The manufacturing and mining companies listed on the Indonesian and Malaysian stock exchanges from 2017 to 2019 supplied the sample of this research. The analysis used the partial least squares approach to structural equation modeling. The results show that firm size and leverage significantly affect carbon emissions disclosure in Indonesia and Malaysia. Profitability and company age have no impact on carbon emissions disclosure in Indonesia. In Malaysia, profitability and company age do have a significant positive effect on carbon emissions disclosure. Company size has no effect in Indonesia, while in Malaysia, company size has a negative effect on sustainability reporting. Leverage level and company age have a significant positive effect on sustainability reporting in Indonesia, while in Malaysia, a company’s level of leverage and age have no impact on sustainability reporting. Profitability has a significant effect on the sustainability report in Indonesia, while in Malaysia, profitability has a significant positive impact on the sustainability report. Company size does not affect investors' reactions in Indonesia, while company size has a significant negative effect on Malaysian. A company’s level of leverage, profitability, and age do not affect investors' reactions. Carbon emissions disclosure has a significant positive effect on investors' responses in Indonesia, while in Malaysia, carbon emissions disclosure has no impact on investors' reactions. The sustainability report has a significant positive effect on investors' responses.

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Section: Effect Of Profitability On Investor Reactioncontrasting

confidence: 99%

Determinants of carbon emission disclosure and sustainability reporting and their implications for investors’ reactions: The case of Indonesia and Malaysia

Afrizal

Safelia

Muda

2023

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“…Agency theory states that as principals, investors certainly want profits from the funds they invest (Astari et al, 2020). This study is in line with Karamoy et al, (2020) and Todea et al, (2009) that if ROA increases, then the market reaction can directly affect the level of stock prices. The increase of the company attractiveness makes the company more attractive to investors, because the rate of return will be even greater (Zuliarni, 2012).…”

Section: The Effect Of Financial Performance On Investor Reactionssupporting

confidence: 72%

The effect of financial and non-financial performance on investors’ reactions: The role of corporate governance mechanisms as moderating

Minakh

Saraswati²,

Ghofar³

2022

IJRBS

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The purpose of this study is to examine the effect of financial and non-financial performance on investor reactions and the role of corporate governance mechanisms as moderating. The analysis technique used is the moderated regression analysis (MRA). The research population is manufacturing sector companies listed on the Indonesia Stock Exchange (IDX). Based on the purposive sampling method, 78 companies were selected as the samples (390 firm-year observations). The results of this study provide empirical evidence that the existence of financial and non-financial performance in a company can increase investor reactions. Institutional ownership plays a role in the relationship between financial performance and investor reactions. Meanwhile, independent commissioners, boards of directors, and audit committees have no role in the relationship between financial performance and investor reactions. And independent commissioners and institutional ownership can moderate the influence of non-financial performance on investor reactions. Meanwhile, the board of directors and audit committee cannot moderate the influence of non-financial performance on investor reactions.

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“…Ahmed (2014) employed rolling joint variance ratio test tests, in rolling window procedure and found support for the time-varying market efficiency. Todea et al (2009) verified that implications of AMH and found that the degree of market efficiency varies through time in a cyclical fashion. Urquhart and Hudson (2013) conclude that the AMH describes the behaviour of stock returns better than the EMH.…”

Section: Testing Adaptive Efficiency With Modified Standard Testsmentioning

confidence: 53%

“…Table 1 shows the review matrix for return predictability studies and Table 2 shows the review matrix for price-volume relationship studies. (Khuntia and Pattanayak 2018;Kim et al 2011) Linear long memory R/S, Spectral Regression (Barkoulas et al 2000) MF-DFA, R/S (Hull and McGroarty 2014) Nonlinear long memory modified R/S, ESTAR unit root test (Gozbasi et al 2014) MF-DFA, Modified R/S analysis (Todea et al 2009) Linear unit root ADF, PP, DF-GLS, NP, KPSS or VR test (Konak andŞeker 2014), (Gupta and Yang 2011) -Note: VR = variance ratio, AVR = automatic variance ratio, AQ = automatic portmantau, GS = generalized spectral. R/S = rescaled range, MF-DFA = multifractal detrended fluctuation analysis.…”

Section: Introductionmentioning

confidence: 99%

Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature

Patil¹,

Rastogi

2019

JRFM

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This paper conducts a review of the literature on the price–volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies. Under each class, studies are categorized either as return predictability studies or price–volume relationship studies. Finally, review in each category is analyzed based on the methodology used. Our review shows that the literature on return predictability and price–volume relationship in classical EMH approach is extensive while studies in return predictability in the AMH approach have gained increased attention in the last decade. However, the studies in price–volume relationship under adaptive approach are limited, and there is a scope for studies in this area. Authors did not find any literature review on time-varying price–volume relationship. Authors find that there is a scope to study the nonlinear cross–correlation between price and volume using detrended fluctuation analysis (DFA)-detrended cross–correlational analysis (DXA) in the AMH domain. Further, it would be interesting to investigate whether the same cross–correlation holds across different measures of stock indices within a country and across different time scales.

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Profitability of the Moving Average Strategy and the Episodic Dependencies: Empirical Evidence from European Stock

Cited by 10 publications

References 15 publications

Determinants of carbon emission disclosure and sustainability reporting and their implications for investors’ reactions: The case of Indonesia and Malaysia

Determinants of carbon emission disclosure and sustainability reporting and their implications for investors’ reactions: The case of Indonesia and Malaysia

The effect of financial and non-financial performance on investors’ reactions: The role of corporate governance mechanisms as moderating

Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature

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