The Determinants of the Variability of Stock Prices - Japanese Evidence

The Determinants of the Variability of Stock Prices - Japanese Evidence

This study examines the ability of fundamental variables and macroeconomics variables data to explain future stock market returns of Japan companies by looking at how price-earnings (P/E) ratio, book-to-market (B/M) ratio, current ratio, return on assets (ROA), inflation, changes in interest rates a...

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Main Author: Tarazi, Ramzi E. N.
Format: Thesis
Language:eng
Published: 2011
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/2903/1/Ramzi_E._N._Tarazi.pdf
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id my-uum-etd.2903
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
advisor Ahmad, Norafifah
topic HG Finance
spellingShingle HG Finance
Tarazi, Ramzi E. N.
The Determinants of the Variability of Stock Prices - Japanese Evidence
description This study examines the ability of fundamental variables and macroeconomics variables data to explain future stock market returns of Japan companies by looking at how price-earnings (P/E) ratio, book-to-market (B/M) ratio, current ratio, return on assets (ROA), inflation, changes in interest rates and changes in exchange rates influence future stock market returns. The sample size for the study is 3808 companies, listed on Tokyo stock exchange as of 2010. Data is collected during a period of eleven years, from 2000 to 2010. To test the hypotheses between dependent and independent variables, regression and correlation results are derived through the EVIEWS. Findings show strong and significant correlations between stock return and B/M ratio, P/E ratio, ROA, inflation, changes in interest rates and changes in exchange rates.
format Thesis
qualification_name masters
qualification_level Master's degree
author Tarazi, Ramzi E. N.
author_facet Tarazi, Ramzi E. N.
author_sort Tarazi, Ramzi E. N.
title The Determinants of the Variability of Stock Prices - Japanese Evidence
title_short The Determinants of the Variability of Stock Prices - Japanese Evidence
title_full The Determinants of the Variability of Stock Prices - Japanese Evidence
title_fullStr The Determinants of the Variability of Stock Prices - Japanese Evidence
title_full_unstemmed The Determinants of the Variability of Stock Prices - Japanese Evidence
title_sort determinants of the variability of stock prices - japanese evidence
granting_institution Universiti Utara Malaysia
granting_department Othman Yeop Abdullah Graduate School of Business
publishDate 2011
url https://etd.uum.edu.my/2903/1/Ramzi_E._N._Tarazi.pdf
_version_ 1747827457263665152
spelling my-uum-etd.29032016-04-24T01:29:20Z The Determinants of the Variability of Stock Prices - Japanese Evidence 2011-06 Tarazi, Ramzi E. N. Ahmad, Norafifah Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance This study examines the ability of fundamental variables and macroeconomics variables data to explain future stock market returns of Japan companies by looking at how price-earnings (P/E) ratio, book-to-market (B/M) ratio, current ratio, return on assets (ROA), inflation, changes in interest rates and changes in exchange rates influence future stock market returns. The sample size for the study is 3808 companies, listed on Tokyo stock exchange as of 2010. Data is collected during a period of eleven years, from 2000 to 2010. To test the hypotheses between dependent and independent variables, regression and correlation results are derived through the EVIEWS. Findings show strong and significant correlations between stock return and B/M ratio, P/E ratio, ROA, inflation, changes in interest rates and changes in exchange rates. 2011-06 Thesis https://etd.uum.edu.my/2903/ https://etd.uum.edu.my/2903/1/Ramzi_E._N._Tarazi.pdf application/pdf eng validuser masters masters Universiti Utara Malaysia Abdalla, I. S. and Victor, M. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7, 25-35. Ahmad, I. M., Rehman, R. and Raoof, A. (2010). Do interest rate, exchange rate effect stock returns? A Pakistani perspective. International Research Journal of Finance and Economics, (50), 146-150. Alagidede, P. (2009). Relationship between stock returns and inflation. Applied Economics Letters, Taylor and Francis Journals, 16(14), 1403-1408. Al-Mwalla, M., Al-Omari, A. M., & Ayad, F. (2010). 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