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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:English
Published: 2011
Subjects:
HG Finance
Online Access:http://etd.uum.edu.my/2903/1/Ramzi_E._N._Tarazi.pdf
http://etd.uum.edu.my/2903/
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spelling my.uum.etd.29032016-04-24T01:29:20Z http://etd.uum.edu.my/2903/ The Determinants of the Variability of Stock Prices - Japanese Evidence Tarazi, Ramzi E. N. 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 NonPeerReviewed application/pdf en http://etd.uum.edu.my/2903/1/Ramzi_E._N._Tarazi.pdf Tarazi, Ramzi E. N. (2011) The Determinants of the Variability of Stock Prices - Japanese Evidence. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
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
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
publishDate 2011
url http://etd.uum.edu.my/2903/1/Ramzi_E._N._Tarazi.pdf
http://etd.uum.edu.my/2903/
_version_ 1644276826177011712
score 13.211869

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