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The Determinants of the Variability of Stock Prices - Japanese Evidence

Tarazi, Ramzi E. N. (2011) The Determinants of the Variability of Stock Prices - Japanese Evidence. Masters thesis, Universiti Utara Malaysia.

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Abstract

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.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Stock return, book-to-market value, return on asset, current ratio, inflation, change in interest rate, change in exchange rate
Subjects: H Social Sciences > HG Finance
Divisions: Othman Yeop Abdullah Graduate School of Business
Depositing User: Mr Husni Ismail
Date Deposited: 30 Jul 2012 05:09
Last Modified: 24 Apr 2016 01:29
URI: http://etd.uum.edu.my/id/eprint/2903

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