The effect of GST announcement on stock market volatility: evidence from intraday data

Haron, Razali; Salami, Monsurat Ayojimi

doi:10.1108/jamr-11-2017-0102

Cited by 4 publications

(4 citation statements)

References 75 publications

(111 reference statements)

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“…A study using environmental variables might be interesting as these variables can affect the stock returns, and it has been recommended by Sariannidis et al (2016). According to Haron and Ayojimi (2019a), the country in which GST is implemented can see the effect, and India did so in 2017. As a response, researchers can bridge this gap.…”

Section: Research Gap Identified In the Indian Context From The Existing Literaturementioning

confidence: 99%

“…Wang (2019) found that stock market of Taiwan underperformed during the political crisis. The reaction of stock market due to announcement of goods and service tax is studied by Haron and Ayojimi (2019a, b) which shows that GST announcement made the Malaysia stock market more volatile as compared to before announcement using daily data and intraday data. Ho and Odhiambo (2019) has examined that trade openness shows positive and negative effect in the long run and short run, respectively, in Hong Kong.…”

Section: Literature Review and Theoretical Frameworkmentioning

confidence: 99%

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Impact of macroeconomic variables on the performance of stock exchange: a systematic review

Verma

Bansal

2021

IJOEM

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PurposeThis paper aims to identify various macroeconomic variables that affect the stock market performance of developed and emerging economies. It also investigates the effect of these factors on the stock markets of both economies. The impact of these variables on broad market indices and sectoral indices is investigated and compared too.Design/methodology/approachThe publications for the study were retrieved from databases such as Emerald Insight, EBSCO, ScienceDirect and JSTOR using the keywords “Macroeconomic variables” and “Stock market” or “Stock market performance.” The result demonstrated a growing corpus of scholarly work in the domain of stock market. The study was carried out separately for each macroeconomic indicator. Given a large number of articles under consideration, the authors began by reading the titles and abstracts of all publications to identify those that were relevant. The papers are evaluated in Excel and the articles for review range from 1972 to 2021.FindingsThe authors found that gross domestic product (GDP), FDI (Foreign Direct Investment) and FII (Foreign Institutional Investment) have a positive effect on both emerging and developed economies’ stock market while gold price has a negative effect. Interest rates had a negative impact on both economies except for a few developing countries. The relationship with oil prices was positive for oil exporting countries while negative for oil importing countries. Inflation, money supply and GDP are the macroeconomic variables that have the same effect on sectoral indices as they do on broad market indices. The impact was sector-specific for the remaining variables.Research limitations/implicationsThis paper gives an overview of relation and effect covering variety of macroeconomic variables and stock market indices. Still, there is a scope for further research to analyze the effect on thematic, strategy and sectoral indices. A longer time horizon with new variables, such as bank deposit growth rate, nonperforming assets of banks, consumer confidence index and investor sentiment, can be studied using high-frequency data. This research may help stakeholders adopt and manage their policies during a crisis or economic slump.Practical implicationsThis study will assist investors, researchers and educators in the fields of economics and finance in understanding how macroeconomic factors affect the stock market. Furthermore, this study can guide in portfolio diversification strategy across multiple sectors by examining the impact of macroeconomic factors specific to sectoral indices. This paper provides insight into society and researchers since it integrates a number of macroeconomic variables and their interaction with the stock market. It may also help pension funds and mutual fund firms to hedge their funds and allocate equity portfolios.Originality/valueWith respect to India, this study looked at new macroeconomic variables and sectors. It contrasted the impact of these variables in developed and developing economies. The effect of broad and sectoral stock indexes was also investigated and compared. The authors examined how these variables responded during crisis and economic downturns by using articles from a longer time frame. This research also looked into how changing the frequency of data for the variables altered stock performance. This paper emphasized the need for more research into thematic, strategy and broad market indices, such as small-cap and mid-cap indices.

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Section: Research Gap Identified In the Indian Context From The Existing Literaturementioning

confidence: 99%

Section: Literature Review and Theoretical Frameworkmentioning

confidence: 99%

Impact of macroeconomic variables on the performance of stock exchange: a systematic review

Verma

Bansal

2021

IJOEM

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“…CPO price volatility can provide information on movements in the Malaysia industry growth [46]. The price interaction in the CPO market will make it easier for investors to shift their investments to other forms that are considered more profitable [47].…”

Section: Hypothesis Developmentmentioning

confidence: 99%

Impact of FED Rate and Energy Commodity Price on ASEAN Sustainable Stock Returns

Kumajas,

Saerang,

Gamaliel

et al. 2024

IJSDP

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Sustainable stocks have been associated with low risk and low returns but can be a good longterm investment portfolio option. After COVID-19 and the Russia-Ukraine conflict, the global economy has been destabilized, leading to an increase in the FED rate and energy commodity prices, such as crude oil and crude palm oil (CPO). This study aims to examine the impact of these indicators on the returns of sustainable stock indexes in emerging markets such as ASEAN, specifically the member of ASEAN who have sustainable stock indexes i.e. Indonesia, Malaysia, Singapore and Thailand. Based on 475 research data, the study finds that crude oil and CPO prices have no significant effect on sustainable stock returns. In contrast, the FED rate has a significant negative effect on sustainable stock returns. Sustainable stocks appear to be resilient to crude oil and CPO price volatility, except for the FED rate. Therefore, investors may be less concerned about energy commodity price volatility in the post-COVID-19 period. However, investors seem more interested in shifting their investments to bank products with higher profit opportunities due to the FED rate increase and minimal risk.

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“…It could serve as a response to address the allegations on environmental and social impacts linked to the Malaysian palm oil industry (Norhidayu et al, 2017;Majid et al, 2021). At the same time, it can help to improve their economic income and eventually alleviate their livelihood standards (Haron and Ayojimi, 2015;Faisal et al, 2017).…”

Section: Introductionmentioning

confidence: 99%

Factors Influencing the Malaysian Sustainable Palm Oil (MSPO) Certification Process During the Certification Phase for Independent Smallholders

Yap¹,

A²,

Abidin³

et al. 2023

IJEM

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The MSPO certification scheme was adopted nationwide and made mandatory for all smallholders, plantations, and mills starting January 1, 2020. In Malaysia, an independent smallholder is defined as an individual who owns land less than 40.46 hectares in aggregate, and they account for 17% of the total oil palm planted area. However, the long duration required to obtain MSPO certification for independent smallholders affects their eligibility to supply their fresh fruit bunches (FFB) to certified palm oil mills for export. The study showed that during the certification phase for independent smallholders, the preparation of the Stage 2 audit plan and stakeholders’ consultation required the longest time to be completed in 52 days, followed by drafting of the final audit report with 29 days and preparation of the Stage 1 audit plan with 25 days. Meanwhile, the issuance of the MSPO certificate required the shortest time to be completed in one day. Therefore, it is only proper that Malaysia, as one of the leading palm oil producers, has a comprehensive certification scheme that is locally adaptable and meets the sustainability requirements internationally, following the principles of sustainability upon which the MSPO standard was built.

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The effect of GST announcement on stock market volatility: evidence from intraday data

Cited by 4 publications

References 75 publications

Impact of macroeconomic variables on the performance of stock exchange: a systematic review

Impact of macroeconomic variables on the performance of stock exchange: a systematic review

Impact of FED Rate and Energy Commodity Price on ASEAN Sustainable Stock Returns

Factors Influencing the Malaysian Sustainable Palm Oil (MSPO) Certification Process During the Certification Phase for Independent Smallholders

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