Journal articles: 'Stock price adjustment'

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Kayal, Parthajit, and S. Maheswaran. "Speed of Price Adjustment towards Market Efficiency: Evidence from Emerging Countries." Journal of Emerging Market Finance 17, no. 1_suppl (February 26, 2018): S112—S135. http://dx.doi.org/10.1177/0972652717751542.

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The speed with which stock markets adjust to information and news flow into asset prices is of importance to investors, regulators and policymakers. In this article, we provide a simple and uniform empirical framework involving the use of a volatility measure to compare the speeds of adjustment in index prices in response to all available market information. The stock indices of 23 major emerging economies are compared with 10 mature stock indices from developed countries with reference to the speed of their price adjustments. We find that the index prices of developed countries adjust faster when compared to those of emerging countries. Our findings are independent of any GARCH specification and are also robust to potential mistakes in the model specification because we make use of a fully empirical bootstrap procedure to compute the standard errors. We also rank the countries in terms of the speed of index price adjustment. The results show that the random walk effect is generic and exists in all price indices.

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Fang, Hao, Yen-Hsien Lee, and William Chang. "Nonlinear short-run adjustments between house and stock prices in emerging Asian regions." Panoeconomicus 65, no. 1 (2018): 37–63. http://dx.doi.org/10.2298/pan140125018f.

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This study uses the powerful nonparametric cointegration test to examine whether nonlinear cointegration exists between prices of used houses and corresponding stock markets in China and the four Asian Tigers. Then, it uses the smooth transition vector error-correction model (STVECM) to explore the adjustment efficiencies of the short-run house and corresponding stockreturn dynamics when there is disequilibrium between house and stock prices. The empirical results indicate that there is a nonlinear cointegration between the house prices and corresponding stock prices in China, South Korea, Singapore, and Taiwan, and that the speed of price adjustment to equilibrium is always greater for houses than stocks when there are large positive and negative deviations. Moreover, the short-run speed of adjustment of the large negative and positive deviations is equal in China, South Korea, and Taiwan, but unequal in Singapore. With the exception of South Korea, the results of the Granger causality test indicate that stock prices clearly lead used house prices, which means a wealth effect exists in most Asian countries. Our study confirms that the STVECM can be used to analyze the short-run adjustment efficiency of house and stock return dynamics in China, South Korea, Singapore, and Taiwan; thus, supporting models of interaction between noise and arbitrage traders.

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Fuad, Fuad, and Imamudin Yuliadi. "Determinants of the Composite Stock Price Index (IHSG) on the Indonesia Stock Exchange." Journal of Economics Research and Social Sciences 5, no. 1 (February 23, 2021): 27–41. http://dx.doi.org/10.18196/jerss.v5i1.11002.

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The stock market is one of the essential components of Indonesia's economy. As the market's improvement is quite acceptable nowadays, some macro variables affect stock price volatility. Therefore, research on the determinant of the Indonesian composite index is required. This study aims to determine the effect of world oil prices and macroeconomic variables on the Composite Stock Price Index. The variables used in this study are inflation, exchange rates, interest rates, and world oil prices. This study uses secondary data and time series from January 2015 to December 2019 to obtain 60 monthly data. The method used to examine the data is the Partial Adjustment Model (PAM) method using Eviews 7 and performs assumption tests. Based on the analysis that has been carried out, the study results found that the inflation and exchange rate variables have a negative and significant effect on the Indonesian Composite Stock Price Index. The interest rate and world oil price variables positively and significantly affect the Indonesian Composite Stock Price Index

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Jiang, Jing. "Cross-sectional variation of market efficiency." Review of Accounting and Finance 16, no. 1 (February 13, 2017): 67–85. http://dx.doi.org/10.1108/raf-02-2016-0018.

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Purpose This paper aims to provide evidence that market efficiency varies greatly across individual stock, and across market exchanges. Design/methodology/approach Three approaches, partial adjustment model, Dimson beta model and variance ratio test, are used on a large sample of US stocks. Findings This paper finds prices are closer to random walk benchmarks (i.e. more efficient) for stocks with better liquidity provision, frequent trading, greater return volatility, higher prices, larger market capitalizations and smaller trade sizes. These findings suggest that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Market efficiency also varies with information environment. The results show that stocks with greater information-based trading exhibit higher level of efficiency. Finally, market structure influences market efficiency. New York Stock Exchange stocks achieve higher level of efficiency than NASDAQ stocks do. The empirical results are robust and not driven by differences in stock attributes between the two markets. Research limitations/implications Overall, these results indicate that liquidity provision, stock attributes and market structure exert a significant impact on the realization of market efficiency. Practical implications In addition, this paper is also relevant to both stock exchanges facing increased competition and to market regulators. Originality/value Prior studies offer little evidence on the speed at which new information is impounded into the price. There is also limited evidence regarding how liquidity provision and market structure affect market efficiency. Using a transformation of the speed of price adjustment and other measurements as proxies for individual stock efficiency, this study may shed further lights on our understanding of market efficiency.

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MUTIRA, PUTRI. "ADAKAH PENGARUH FREE FLOAT TERHADAP PELAKU PASAR SAHAM DI INDONESIA?" Jurnal Bisnis dan Akuntansi 21, no. 1 (July 15, 2019): 39–46. http://dx.doi.org/10.34208/jba.v21i1.424.

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Indonesian Stock Exchange has released free float adjustment index on November 2018 and composite index declined about 3,2%. Free Float will be an additional reference for the exchange in compiling an index which previously used market capitalization and total transaction value. This study examines the average daily price changes of LQ45 stocks within 60 days before and after the announcement. The daily closing price changes are calculated as a percentage increase or decrease of stock prices according to the previous day, then, the average value is calculated for all the trading days. There are differences in the average stock price changes 60 days before and after the announcement date. After dropped, the price rebound and make a new higher high price two days after the announcement. Bank BCA, Bank Mandiri, Bank BRI, Bank BNI, Astra International and Telkom are companies which increase the weight of the free float meanwhile Unilever and H.M Sampoerna were the opposite.

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Li, Jingdong, Weidong Liu, and Zhouying Song. "Sustainability of the Adjustment Schemes in China’s Grain Price Support Policy—An Empirical Analysis Based on the Partial Equilibrium Model of Wheat." Sustainability 12, no. 16 (August 10, 2020): 6447. http://dx.doi.org/10.3390/su12166447.

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The minimum purchase price policy for wheat and rice implemented by the Chinese government has achieved the fundamental goals of stabilizing grain prices, promoting production, and ensuring food security. This policy has also had negative impacts such as domestic and foreign price spreads and continuous increases in stocks and imports, which are not conducive to China’s grain security development and thus unsustainable. Therefore, this paper builds a partial equilibrium model of China’s grain market by simulating the effects of canceling or reducing the minimum purchase price on the market price, production, consumption, stock, and net import of wheat and then evaluates the sustainability of various adjustment programs. The research results show that first, lowering the minimum purchase price of wheat can reduce the domestic and foreign price spread, stock, and imports to a certain extent; however, it cannot fundamentally solve the negative impact of this policy. Second, cancellation of the minimum wheat purchase price policy can significantly reduce domestic and foreign price spread, stock, and imports; however, it will also significantly reduce wheat production and threaten China’s grain security. Third, cancellation of the minimum wheat purchase price and the increase in agricultural production subsidies can solve the negative impact of the minimum purchase price policy and reduce the impact of the cancellation of the minimum purchase price policy on grain supply security. This policy adjustment is more sustainable than China’s current policy. Finally, this paper asserts that China’s grain price policy reform will influence and have implications for stakeholders in the global grain industry.

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Abdelzaher, Mai Ahmed, and Khairy Elgiziry. "The Effect of Daily Stock Price Limits on the Investment Risk: Evidence from the Egyptian Stock Market." Accounting and Finance Research 6, no. 4 (August 31, 2017): 1. http://dx.doi.org/10.5430/afr.v6n4p1.

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The study aims to investigate the relationship between daily price limits and stock volatility, trading volume, delayed adjustment of stock prices, and its fair value. To achieve this goal, we used the data of the listed firms in EGX30. We analyzed the data using descriptive analysis then we applied General linear model, ARCH and GARCH models. Based on our analysis results show a positive relationship between upper daily limit and stock volatility, a positive relationship between daily price limits (upper limit- lower limit) and trading volume, a positive relationship between upper daily limit and the return between the closing price and the opening price on the same day, a positive relationship between lower daily limit and the return between the closing price and the opening price in the next day, a negative relationship between upper daily limit and the return between the closing price and the opening price in the next day, and a positive relationship between daily stock price limits and the fair value.

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Rosa Borges, Maria. "A model of stock price adjustment after dividends." Journal of Economic Studies 36, no. 5 (September 25, 2009): 508–21. http://dx.doi.org/10.1108/01443580910992410.

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Gorodnichenko, Yuriy, and Michael Weber. "Are Sticky Prices Costly? Evidence from the Stock Market." American Economic Review 106, no. 1 (January 1, 2016): 165–99. http://dx.doi.org/10.1257/aer.20131513.

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We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These results suggest that menu costs—broadly defined to include physical costs of price adjustment, informational frictions, etc.—are an important factor for nominal price rigidity at the micro level. We also show that our empirical results are qualitatively and, under plausible calibrations, quantitatively consistent with New Keynesian macroeconomic models in which firms have heterogeneous price stickiness. (JEL E12, E31, E43, E44, E52, G12, L11)

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Li, Yuan, and Yumei Hou. "Joint Pricing and Inventory Replenishment Decisions with Returns and Expediting under Reference Price Effects." Mathematical Problems in Engineering 2019 (April 24, 2019): 1–17. http://dx.doi.org/10.1155/2019/3479678.

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This paper considers a single-item joint pricing and inventory replenishment problem under reference price effects in consecutive T periods. Demands in consecutive periods are sensitive to price and reference price with general demand distribution. At the end of each period, after the demand realization, a firm can return excess stocks to a supplier or place an expediting order to reduce the loss by shortage. Unfilled demands are fully backlogged. In order to maximize the total expected discounted profit with reference price effects the optimal pricing and inventory replenishment policies for regular order and the inventory adjustment decisions for returning/expediting are derived. The optimal replenishment policy for regular order is a base-stock policy, the optimal pricing policy is a base-stock-list-price policy, and the optimal policy for returning/expediting inventory adjustment follows a dual-threshold policy. Furthermore, the analysis of the operational impacts (from the perspective of adding returning/expediting and reference price effects, respectively) is researched. Numerical results also show that considering both returning/expediting and reference price effects is more profitable than considering only one of them.

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Dai, Jingwen, Chao Lu, and Jipeng Qi. "Corporate Social Responsibility Disclosure and Stock Price Crash Risk: Evidence from China." Sustainability 11, no. 2 (January 16, 2019): 448. http://dx.doi.org/10.3390/su11020448.

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We take Chinese A-share listed companies in years 2010–2015 as a sample to examine the relationship between Corporate Social Responsibility (CSR) information disclosure and stock price crash risk using the fixed effect model. The results show that: (1) There is an inverted U-shaped nonlinear relationship between CSR information disclosure and stock price crash risk. That is, as the CSR information disclosure level increases, the CSR information disclosure first aggravates and then reduces the stock price crash risk; (2) under different disclosure motives, there is a significant difference in the impact of CSR information disclosure on stock price crash risk. There is still an inverted U-shaped relationship between mandatory CSR information disclosure and stock price crash risk, but not for the semi-mandatory and voluntary disclosure; (3) the academic independent director has a positive adjustment effect on the relationship between CSR information disclosure and stock price crash risk, while the institutional investor has a negative adjustment effect on the relationship between CSR information disclosure and stock price crash risk. The research is of great significance for promoting the fulfillment of CSR, improving corporate governance and stabilizing the capital market.

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Wu, Maoguo, and Daimin Lu. "Volatility Spillover Effect of International Crude Oil Futures and China-Russia Stock Market: A Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution Analysis." Asian Journal of Finance & Accounting 11, no. 1 (May 19, 2019): 183. http://dx.doi.org/10.5296/ajfa.v11i1.14348.

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The increasingly prominent strategic position of crude oil determines its high impact on macro-economy. The value of crude oil is reflected in the price of crude oil futures. Stock market is the barometer of macro economy. To what extent does international crude oil futures price affect stock market? China and Russia are the biggest importer and exporter of crude oil, respectively. Crude oil is of strategic value to both countries. This study empirically investigates the volatility spillover effect of international crude oil futures and China-Russia stock market from April 24th, 2015 to April 20th, 2018, based on the data of international crude oil futures prices, China-Russia stock market composite index, and industry stock index. The empirical results show that there is a short-term relationship between China-Russia stock market composite index and international crude oil futures price. The international crude oil futures price has a greater explanatory power to Russian RTS index, but a smaller explanatory power to Shanghai composite index. All industry stock indices are cointegrated with international crude oil futures prices. Except for China industry and Russia energy, the adjustment coefficient of international crude oil futures price on stock index volatility of other industries is insignificant. This study mainly studies the relationship between international crude oil futures price and the comprehensive stock index and industry stock index of China and Russia, and compares the impact of international crude oil futures price on the stock market of the largest importer and the largest exporter of crude oil to explore the linkage between crude oil futures price and stock market, and puts forward policy implications based on the empirical results.

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Jennings, Robert, and Laura Starks. "Information Content and the Speed of Stock Price Adjustment." Journal of Accounting Research 23, no. 1 (1985): 336. http://dx.doi.org/10.2307/2490922.

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Lean, Hooi Hooi, and Russell Smyth. "DYNAMIC INTERACTION BETWEEN HOUSE PRICES AND STOCK PRICES IN MALAYSIA." International Journal of Strategic Property Management 18, no. 2 (June 20, 2014): 163–77. http://dx.doi.org/10.3846/1648715x.2014.925006.

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This paper examines the dynamic linkages between house price indices, interest rates and stock prices in Malaysia using cointegration and Granger causality testing. For Malaysia as a whole, we find that house prices, stock prices and interest rates are not cointegrated. For Kuala Lumpur, Penang and Selangor we find that house prices, stock prices and interest rates are cointegrated for 40% of the house price indices. When there is evidence of cointegration in these regions, we find that stock prices lead house prices. While there are alternative potential reasons for this finding, such as slow adjustment of house prices in response to a shock in the fundamentals, it is consistent with a wealth effect. A likely explanation for this result is that in these states, compared with the Malaysian average, housing is expensive, income is high and real estate is used much more as an investment vehicle by both wealthy Malaysians and foreigners leveraging of the share market.

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Ho, Chia-Cheng, Chin-Chuan Lee, Chien-Ting Lin, and C. Edward Wang. "Liquidity, Volatility and Stock Price Adjustment: Evidence from Seasoned Equity Offerings in an Emerging Market." Review of Pacific Basin Financial Markets and Policies 08, no. 01 (March 2005): 31–51. http://dx.doi.org/10.1142/s0219091505000336.

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Using data from the Taiwanese stock market, an emerging market, this paper documents positive changes in liquidity and volatility around seasoned equity offerings (SEOs). These findings are consistent with the uncertain signal hypothesis that investors with diverse views on the information content of SEOs are likely to induce larger trading activity and subsequent higher stock return volatility. We also provide direct evidence that changes in liquidity is positively associated with stock price adjustment. However, the relations among liquidity, volatility and price movements appear to rely on how SEOs are conducted. A practical implication is that managers may influence liquidity and stock price movement through their choice of SEOs issuing methods.

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Aganin, Artem D. "Russian Stock Index volatility: Oil and sanctions." Voprosy Ekonomiki, no. 2 (February 7, 2020): 86–100. http://dx.doi.org/10.32609/0042-8736-2020-2-86-100.

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Since 2014, the Russian stock market has been under pressure due to both sanctions and a sharp drop in oil prices, which led to its increased volatility. This paper analyzes the impact of the price volatility of Brent oil and sanctions on the volatility of the Russian stock index RTS. Under volatility the paper understands both its parametric estimate obtained from the GARCH model estimation as well as non-parametric estimate — realized volatility. To estimate the effect of oil price volatility and sanctions, several cointegrated regressions were analyzed. The robustness of the results in relation to the choice of volatility assessment is demonstrated. The results show that RTS index volatility still depends on oil prices volatility in 2007—2018. This dependence is most pronounced in the periods of crisis. The paper also demonstrates the adjustment of the Russian stock market to the previous sanctions, which calls into question their long-term efficiency.

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Ghosh, Protap Kumar, and Sutap Kumar Ghosh. "Stock Price Adjustment to Corporate Accounting Disclosure: A Quantitative Study on Dhaka Stock Exchange (DSE), Bangladesh." International Journal of Accounting and Financial Reporting 5, no. 2 (October 4, 2015): 122. http://dx.doi.org/10.5296/ijafr.v5i2.8258.

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This study has been designed to detect whether corporate accounting disclosures through annual report influence stock price movement in Dhaka Stock Exchange. To conduct our study, we gathered a series of panel data from 2010 through 2014 of 25 private commercial banks. Least square regression analysis has been done by incorporating fixed effect and random effect models and six models have been developed through Hausman Test. The resulting output revealed that “Earning per share”, “Return on equity” and “Net asset value per share” (book value) positively influenced stock price movement during our study period but “Earning per share” and “Net asset value per share” jointly can explain highest variation in stock price movement in DSE. Although past few studies showed weak form of market efficiency in DSE , this study conveys a positive movement of Banglidesh stock market from weak form towards strong form of efficiency.

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Hall, Robert E. "The Stock Market and Capital Accumulation." American Economic Review 91, no. 5 (December 1, 2001): 1185–202. http://dx.doi.org/10.1257/aer.91.5.1185.

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The value of a firm's securities measures the value of the firm's productive assets. If the assets include only capital goods and not a permanent monopoly franchise, the value of the securities measures the value of the capital. Finally, if the price of the capital can be measured or inferred, the quantity of capital is the value divided by the price. A standard model of adjustment costs enables the inference of the price of installed capital. Data from U.S. corporations over the past 50 years imply that corporations have formed large amounts of intangible capital, especially in the past decade. (JEL E44, G12)

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Nguyen, Kieu Minh, and Diep Van Nguyen. "The relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market." Science and Technology Development Journal 16, no. 3 (September 30, 2013): 86–100. http://dx.doi.org/10.32508/stdj.v16i3.1631.

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The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.

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POITRAS, GEOFFREY, and JOHN HEANEY. ""HOW IS THE STOCK MARKET DOING?" USING ABSENCE OF ARBITRAGE TO MEASURE STOCK MARKET PERFORMANCE." Annals of Financial Economics 04, no. 01 (June 2008): 0850001. http://dx.doi.org/10.1142/s2010495208500012.

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This paper provides a methodology for measuring stock market performance based on the restrictions provided by absence of arbitrage in security prices. Under the null hypothesis that the aggregate cumulative dividend-price process follows a geometric Brownian motion, a closed form related to the inter-temporal marginal rate of substitution is derived and empirically evaluated. The stock market performance measure is based on the level of risk adjustment required to compare the value of the stock index at the starting point with the cumulative interest rate deflated value at any given point in the time series. The paper concludes with empirical tests for the martingale property of the performance measure.

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Kuo, Wen-Hsiu, Hsinan Hsu, and Chwan-Yi Chiang. "Trading Volume and Cross-Autocorrelations of Stock Returns in Emerging Markets: Evidence from the Taiwan Stock Market." Review of Pacific Basin Financial Markets and Policies 07, no. 04 (December 2004): 509–24. http://dx.doi.org/10.1142/s0219091504000263.

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This study empirically investigates the interaction between trading volume and cross-autocorrelations of stock returns in the Taiwan stock market. The result shows that returns on high trading volume portfolios lead returns on low trading volume portfolios when controlled for firm size, indicating that trading volume determines lead-lag cross-autocorrelations of stock returns. Overall, the empirical findings of this study demonstrate similar results for both monthly and daily returns, suggesting that nonsynchronrous trading is not the main reason for the lead-lag cross-autocorrelations presented in this study. Consequently, the empirical results presented here support the speed of adjustment hypothesis, and suggest that some market inefficiency exists in the Taiwan stock market. Additionally, compared with evidence of lead-lag cross-autocorrelations in the larger, less regulated US stock market, as examined by Chordia and Swaminathan (2000), Taiwan stock market displays less evidence of VARs and Dimson beta regressions. We conjecture that this weak evidence may result from the regulations limiting daily price movements in the Taiwan stock market. Although the price limits policy lowers risk and stabilizes stock prices, it also prevents stock prices and trading volume from instantaneously and fully reflecting new information.

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Marisetty, Vijaya B. "Measuring Productive Efficiency of Stock Exchanges using Price Adjustment Coefficients." International Review of Finance 4, no. 1-2 (March 2003): 79–99. http://dx.doi.org/10.1111/j.1369-412x.2003.00044.x.

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Kayal, Parthajit, and Sayanti Mondal. "Speed of Price Adjustment in Indian Stock Market: A Paradox." Asia-Pacific Financial Markets 27, no. 4 (February 18, 2020): 453–76. http://dx.doi.org/10.1007/s10690-020-09303-7.

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Huong, Le Thi Minh, and Phan Minh Trung. "The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach." Asian Journal of Finance & Accounting 12, no. 1 (June 16, 2020): 178. http://dx.doi.org/10.5296/ajfa.v12i1.17092.

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This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

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Shakhabiddinovich, Avazkhodjaev Salokhiddin, Noor Azuddin bin Yakob, and Lau Wee Yeap. "Asymmetric Effect of Renewable Energy Generation and Clean Energy on Green Economy Stock Price: A Nonlinear ARDL Approach." International Journal of Energy Economics and Policy 12, no. 1 (January 19, 2022): 407–15. http://dx.doi.org/10.32479/ijeep.12754.

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This paper examines the asymmetric impact renewable energy generation and clean energy prices on green economy stock prices by employing monthly data for all three indices end on 2021M07, and start on 2010M12. The nonlinear ARDL approach (NARDL) is applied in order to find short-run and long-run asymmetries. The empirical results indicate that renewable energy generation significant negative impact on green economy stock prices. For the clean energy prices have a positive and negative significant impact on green economy stock prices in selected markets under concern. The short-run coefficients of clean energy stock prices have a significant positive affect on green economy stock prices. The Wald test results confirmed the green economy stock price adjustment is running towards the long- and short-run steady increment regarding positive and negative shocks in renewable energy generation and clean energy. Finally, the dynamic multipliers showed that prices of renewable energy generation have a positive (negative) impact on green economy stock prices. Indeed, clean energy prices respond quickly to the changes (both positive and negative) on green economy prices in all selected markets. In sum, the negative shocks dominate positive shocks in renewable energy generation and clean energy, and results indicate that a positive and negative relationship was noted between these covariates and green economy stock prices.

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Husain, Fazal. "The Random Walk Model in the Pakistani Equity Market: An Examination." Pakistan Development Review 36, no. 3 (September 1, 1997): 221–40. http://dx.doi.org/10.30541/v36i3pp.221-240.

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This paper examines the validity of the Random Walk Model in the Pakistani equity market. The model, extensively tested in other equity markets, implies that past movements in a stock price are not helpful in predicting future prices of that stock. The model states that changes in stock prices are serially independent and conform to some probability distribution. Conventionally, the independence part is examined through Serial Correlation Test, whereas the distributional aspect is analysed through Frequency Distributions. Same techniques are applied in this paper on daily closing prices of 36 individual stocks, 8 sector indices, and a market index from January 1, 1989 to December 30, 1993. The analysis indicates that the Random Walk Model is not valid in the Pakistani equity market as is the case in other emerging markets. The results show the presence of strong serial dependence in stock returns and indicate the slow adjustment of the market to new information. This points to the weaknesses of the market regarding the dissemination of pertinent information to potential investors, indicating that effective measures should be taken in this regard. The shape of the distribution reveals that stock returns in the Pakistani market, like in other equity markets, do not comply with the normal distribution, implying that theoretical models must be used with caution.

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Jakob, Keith, and Tongshu Ma. "Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior." Financial Management 34, no. 3 (September 2005): 89–101. http://dx.doi.org/10.1111/j.1755-053x.2005.tb00111.x.

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JENNINGS, ROBERT, and LAURA STARKS. "Earnings Announcements, Stock Price Adjustment, and the Existence of Option Markets." Journal of Finance 41, no. 1 (March 1986): 107–25. http://dx.doi.org/10.1111/j.1540-6261.1986.tb04494.x.

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Pelizzon, Loriana, and Guglielmo Weber. "Are Household Portfolios Efficient? an Analysis Conditional on Housing." Journal of Financial and Quantitative Analysis 43, no. 2 (June 2008): 401–31. http://dx.doi.org/10.1017/s0022109000003574.

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AbstractStandard tests of portfolio efficiency neglect the existence of illiquid wealth. The most important illiquid asset in household portfolios is housing: if housing stock adjustments are infrequent, optimal portfolios in periods of no adjustment are affected by housing price risk through a hedge term and tests for portfolio efficiency of financial assets must be run conditionally upon housing wealth. We use Italian household portfolio data and time series on financial assets and housing stock returns to assess whether actual portfolios are efficient. We find that housing wealth plays a key role in determining whether portfolios chosen by homeowners are efficient.

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Kurov, Alexander, Alessio Sancetta, Georg Strasser, and Marketa Halova Wolfe. "Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?" Journal of Financial and Quantitative Analysis 54, no. 1 (December 19, 2018): 449–79. http://dx.doi.org/10.1017/s0022109018000625.

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We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction approximately 30 minutes before the release time. The preannouncement price drift accounts on average for approximately 40% of the total price adjustment. This implies that some traders have private information about macroeconomic fundamentals. Preannouncement drift might originate from a combination of information leakage and superior forecasting that incorporates proprietary data.

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Sahabuddin, Mohammad, Junaina Muhammad, Mohamed Hisham Dato' HjYahya, Sabarina Mohammed Shah, and Mohammad Mizanur Rahman. "The Co-Movement between Shariah Compliant and Sectorial Stock Indexes Performance in Bursa Malaysia." Asian Economic and Financial Review 8, no. 4 (March 30, 2018): 515–24. http://dx.doi.org/10.18488/journal.aefr.2018.84.515.524.

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Islamic financial market is the growing innovation of global financial market which moves together with conventional and sectorial counterpart in many countries. As the fastest growing investment component, Shariah compliant stock index in Bursa Malaysia has picked up positive momentum and attracted more attention to the investors, policy makers, issuers and researchers. The main objective of this study is to investigate the co-movement between Shariah compliant stock and sectorial stocks indexes performance in Bursa Malaysia using a standard time series techniques. For understanding a long run and short run co-movement among the Shariah compliant stock index, composite stock index and sectorial stock indexes, a co-integration approach, Vector Error Correction Model (VECM) have been applied respectively in this study. In addition, Granger causality test have been adopted to determine the lead-lag relationship. The findings show that in the long run, Shariah compliant index stock price and sectorial indexes stock price move together but in short run, speed of adjustment varies among the variables. Ganger causality test shows that there are bidirectional, unidirectional and no causality relationships between Shariah compliant and sectorial indexes.

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CHONG, TERENCE TAI-LEUNG, DANIEL TAK-YAN LAW, and LIN ZOU. "LONG-TERM ADJUSTMENT OF CAPITAL STRUCTURE: EVIDENCE FROM SINGAPORE, HONG KONG AND TAIWAN." Singapore Economic Review 57, no. 04 (December 2012): 1250027. http://dx.doi.org/10.1142/s0217590812500270.

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This paper examines the impact of profitability, stock price performance and growth opportunity on the capital structure of firms in Singapore, Taiwan and Hong Kong. In contrast to Kayhan and Titman (2007), it is found that firms in these three Chinese-dominated economies strongly prefer debt to equity or internal fund financing. They also take advantage of stock price appreciation by issuing more shares. An adjustment model for debt ratios is estimated. The results suggest that the leverage ratios of these firms slowly adjust toward their target levels. Deviations from the target due to the pecking order and market timing effects are found to be significant.

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IBRAHIM, MANSOR H., and SIONG HOOK LAW. "DYNAMICS OF CONSUMER EXPENDITURE AND STOCK MARKET PRICES AND UNCERTAINTY: MALAYSIAN EVIDENCE." Singapore Economic Review 58, no. 04 (December 2013): 1350025. http://dx.doi.org/10.1142/s0217590813500252.

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The present paper analyzes the role of stock market, more specifically real stock prices and stock market uncertainty/volatility, on private consumption behavior for an emerging market, Malaysia, using quarterly data from 1991 to 2009. Employing the autoregressive distributed lag approach to cointegration test, the paper establishes a long-run equilibrium that ties private consumption to its determinants — real income, real stock prices, real lending rate, and stock market volatility. In the long run, the presence of the stock market wealth effect is documented. At the same time, the stock market volatility is also noted to depress private consumption particularly when the volatility is at the degree as observed during the Asian crisis. The authors further note the short-run influences of real stock price changes on consumption growth and the adjustment of private consumption to the long-run level when it is modeled in an error-correction setting. Our simple simulation indicates that the drop in the private consumption due to the decline in stock market wealth post-crisis is substantial, amounting to 2.7% of average post-crisis gross domestic product.

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Khanthavit, Anya. "Weather-Induced Moods and Stock-Return Autocorrelation." Zagreb International Review of Economics and Business 23, no. 1 (May 1, 2020): 19–33. http://dx.doi.org/10.2478/zireb-2020-0002.

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AbstractMoods affect investors’ attention, memory, and capacity to process information. Inattentive investors delay the price adjustment process, thus leading to a positive autocorrelation of asset returns. In this study, I investigate the relationship between weather-induced moods and stock-return autocorrelation in the Stock Exchange of Thailand from January 2, 1991, to December 29, 2017. Only good moods contribute significantly to return autocorrelation.

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Liu, Junling, Shuaifeng Li, and Jun Qu. "Does monetary policy affect the stock pledge of listed companies? Evidence from Chinese listed companies." Applied Mathematics and Nonlinear Sciences 7, no. 2 (July 1, 2022): 1117–32. http://dx.doi.org/10.2478/amns.2022.1.00031.

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Abstract Based on the financing motivation of equity pledges, this study explores whether and how monetary policy adjustment affects the stock pledge behaviour of listed companies. The empirical findings show that monetary policy adjustments significantly affect the stock pledge of listed companies; that is, a tightening monetary policy increases the stock pledge phenomenon of listed companies, and an expansionary monetary policy reduces the stock pledge phenomenon. Heterogeneity analysis revealed that monetary policy had a greater impact on the stock pledges of non-state-owned enterprises, enterprises with weak government–enterprise relationships and enterprises without bank–enterprise relationship. The results of mechanism tests suggested that a quantitative monetary policy only affects the stock pledge behaviour of listed companies through financing costs and that a price-based monetary policy affects the stock pledge behaviour of listed companies through financing costs and financing scale. This article expands the literature on the impact of monetary policies on equity pledges and enriches studies on macroeconomic policies and microfirm behaviour.

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Kwon, Dae-Hyun. "Stock Option Grants And Cost Behavior." Journal of Applied Business Research (JABR) 34, no. 2 (February 15, 2018): 265–76. http://dx.doi.org/10.19030/jabr.v34i2.10125.

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This study examines the relation between cost asymmetry and stock option grants. I posit that managers’ incentives to decrease the strike price of subsequent option awards may affect manager’s resource adjustment decisions. Using U.S. firm data, I find that the degree of SG&A (selling, general, and administrative) cost asymmetry is positively related to the value of subsequent option grants awarded to the CEOs, suggesting that managers who expect large stock-option grants deliberately delay reduction of committed costs to decrease the share price prior to the option award date. Manipulating the timing of stock option grants do not fully explain the results because the positive relation that this paper documents still holds with only fixed-date option awards sample.

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Yin, Qie Ellie, and Jay R. Ritter. "The Speed of Adjustment to the Target Market Value Leverage Is Slower Than You Think." Journal of Financial and Quantitative Analysis 55, no. 6 (August 6, 2019): 1946–77. http://dx.doi.org/10.1017/s0022109019000516.

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In the capital structure literature, speed of adjustment (SOA) estimates are similar whether book or market leverage is used. This robustness is suspect, given the survey evidence that firms target their book leverage and the empirical evidence that they don’t issue securities to offset market leverage changes caused by stock price changes. We show that existing market SOA estimates are substantially upward biased due to the passive influence of stock price fluctuations. Controlling for this bias, the SOA estimate is 16% for book leverage and 10% for market leverage, implying that the trade-off theory is less important than previously thought.

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Wahyudi, Heru, and Kanti Rahayu. "Determinan Indeks Harga Saham Gabungan (IHSG) Jangka Pendek dan Panjang." Studi Akuntansi, Keuangan, dan Manajemen 2, no. 1 (July 2, 2022): 15–28. http://dx.doi.org/10.35912/sakman.v2i1.1422.

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Abstract: Purpose: This study aims to analyze the effect of stock market capitalization and external factors on the Composited Stock Price Index (IHSG). Research methodology: This study uses secondary data with the type of time series data obtained from the publication of the official website of The Otoritas Jasa Keuangan (OJK), U.S. Energy Information Administration (EIA), London Bullion Market Association (LBMA) and Yahoo Finance for the period January 2011 - December 2020. The model used in this study is the Error Correction Model (ECM). Results: The results showed that all independent variables in the short term had a significant effect on The IHSG. Stock market capitalization, world oil prices and The Hang Seng Index have a positive effect, while world gold prices have a negative effect. The Error Correction Term (ECT) has a coefficient of -0.2045 with a significant negative direction with a 5% confidence level. Shows that the Adjustment Mechanism Processes in the long-term balance lasts for 20 months. Keywords: 1. ECM 2. Hang Seng Index 3. IHSG 4. Stock Market Capitalization 5. World Gold Prices 6. World Oil Prices

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Yılmaz, Hülya, and Bülent İlhan. "Determinants of Stock Market Indices: An Analysis of Emerging Markets of Brazil, Mexico, Russia, and Turkey." EMAJ: Emerging Markets Journal 12, no. 1 (August 17, 2022): 26–38. http://dx.doi.org/10.5195/emaj.2022.257.

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This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to March 2021. Independent variables consist of the 5-Year bond yields, CDS Premiums, VIX Futures, gold price, MSCI Emerging Market Index, and Oil Prices. Since the dependent and independent variables have a cointegrating relationship, we conducted our analyses in both the short and long term. Findings indicated that CDS premiums, oil and gold prices have a negative, while VIX and MSCI have a positive effect on the stock index in the long term. On the other hand, bond yields and the COVID-19 have a negative while MSCI has a positive effect in the short term. In addition, the long-term effects are much evident in Brazil and Russia. The speed of adjustment to the long-term equilibrium in the stock market index is much higher in Turkey and Mexico.

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Shin, Dong Hoon. "Optimal Pairs Trading Strategy under Geometric Brownian Motion and its Application to the US stocks." International Journal for Innovation Education and Research 9, no. 5 (May 1, 2021): 550–60. http://dx.doi.org/10.31686/ijier.vol9.iss5.3125.

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This study is a study on pair trading, a representative market-neutral investment strategy. A general pair trading strategy uses econometric techniques to select a pair of stocks and calculates the trading price level depending on a single variable called the variance of stock returns without any theoretical background. This study applies the optimal pair trading strategy proposed by Liu et al. (2020) to the top US market cap stocks and examines its performance. This strategy proposes a mathematical background for optimally calculating the trading price level. Since the statistical method for pair selection can be omitted, a pair can be formed only with good stocks with guaranteed liquidity. In addition, strategic risk management is possible because the stop loss set according to the market situation is performed. As the top 10 market cap stocks traded on the US exchange, daily closing price data for 10 years from 2011 to 2020 were applied to optimal pair trading. It was confirmed that the rate of return may differ depending on the adjustment of various parameters including the level of stop loss. In this study, an applicated strategy that properly managed pairs trading and stocks together earned the minimum annual average return 17.88% and the Sharpe ratio reached 1.81. These numbers can be better with the adjustment of the parameters.

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Neifar, Malika. "Suisse Stock Return, Macro Factors, and Efficient Market Hypothesis: Evidence From ARDL Model." Research in Business and Management 9, no. 1 (May 1, 2022): 21. http://dx.doi.org/10.5296/rbm.v9i1.19824.

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This study investigates the long-run equilibrium relationship between Suisse stock market (SSM) prices and a set of macroeconomic variables (inflation, interest rate, and exchange rate) using Monthly data for the period 1999:1 to 2018:4. Different specifications and tests will be carried out, namely unit root tests (ADF and PP), Vector Auto Regression (VAR) to select the optimal lag length and for Granger causality and Toda and Yamamoto (TY) Wald non causality testing, VEC Model and (Johansen, 1988)’s test for no cointegration, and ARDL framework and FPSS test of no cointegration hypothesis. Once ECM representation of the ARDL model is used, it confirms temporal causality between (inflation, interest rate, exchange rate) and the stock price. Finding say that there is dynamic short-run adjustment and long-run stable equilibrium relationship between considered macroeconomic variables (except exchange rate) and the stock prices in the SSM. This imply that the SSM is informationally inefficient because publicly available information on macroeconomic variables (inflation and interest rate) can be potentially used in predicting Suisse stock prices.

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Metawa, Noura, and Maha Mutawea. "Multi-objective Decision Making Model for Stock Price Prediction Using Multi-source Heterogeneous Data Fusion." Fusion: Practice and Applications 9, no. 1 (2022): 59–69. http://dx.doi.org/10.54216/fpa.090105.

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Stock exchanges are developed as an essential component of economies, as they can promote financial and capital gain. The stock market is network of economic connections where share is bought and sold. Stock Market Prediction (SMP) is quite useful to investors. An effective forecast of stock prices is offer shareholders with suitable help in making appropriate decisions regarding if sell or purchase shares. The employ of Machine Learning (ML) and Sentiment Analysis (SA) on data in microblogging sites are developed as a famous approach to SMP. However, the heterogenous data fusion in stock market field is a big challenge. This paper introduces an effective Cat Swarm Optimization with Machine Learning Enabled Microblogging Sentiment Analysis for Stock Price Prediction technique. The presented model investigates the social media sentiments to foresee SPP. Firstly, the proposed model executes data pre-processing and Glove word embedding approach. Next, the weighted extreme learning machine approach was utilized for the classification of sentiments for SPP. Lastly, the CSO system was exploited for optimal adjustment of the parameters related to the WELM model. The experimental validation of the proposed approach was executed using microblogging data. The results show that the proposed method outperforms the previous studies.

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Chiao, Chaoshin, Ken Hung, and Cheng F. Lee. "The price adjustment and lead-lag relations between stock returns: microstructure evidence from the Taiwan stock market." Journal of Empirical Finance 11, no. 5 (December 2004): 709–31. http://dx.doi.org/10.1016/j.jempfin.2003.09.002.

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Qazi, Laila Taskeen, Atta Ur Rahman ., and Saleem Gul. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange." Pakistan Development Review 54, no. 3 (September 1, 2015): 215–44. http://dx.doi.org/10.30541/v54i3pp.215-244.

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Pairs Trading refers to a statistical arbitrage approach devised to take advantage from short term fluctuations simultaneously depicted by two stocks from long run equilibrium position. In this study a technique has been designed for the selection of pairs for pairs trading strategy. Engle-Granger 2-step Cointegration approach has been applied for identifying the trading pairs. The data employed in this study comprised of daily stock prices of Commercial Banks and Financial Services Sector. Restricted pairs have been formed out of highly liquid log share price series of 22 Commercial Banks and 19 Financial Services companies listed on Karachi Stock Exchange. Sample time period extended from November 2, 2009 to June 28, 2013 having total 911 observations for each share prices series incorporated in the study. Out of 231 pairs of commercial banks 25 were found cointegrated whereas 40 cointegrated pairs were identified among 156 pairs formed in Financial Services Sector. Furthermore a Cointegration relationship was estimated by regressing one stock price series on another, whereas the order of regression is accessed through Granger Causality Test. The mean reverting residual of Cointegration regression is modeled through the Vector Error Correction Model in order to assess the speed of adjustment coefficient for the statistical arbitrage opportunity. The findings of the study depict that the cointegrated stocks can be combined linearly in a long/short portfolio having stationary dynamics. Although for the given strategy profitability has not been assessed in this study yet the VECM results for residual series show significant deviations around the mean which identify the statistical arbitrage opportunity and ensure profitability of the pairs trading strategy. JEL classifications: C32, C53, G17 Keywords: Pairs Trading, Statistical Arbitrage, Engle-Granger 2-step Cointegration Approach, VECM.

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Kim, Chung-Ho, and Kwung-Hwan Kim. "International Real Estate Review." International Real Estate Review 2, no. 1 (June 30, 1999): 126–42. http://dx.doi.org/10.53383/100016.

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This paper offers an explanation for the existence of price control on new houses in Korea, which is deemed both inefficient and inequitable. This phenomenon cannot be explained by the conventional model of rent seeking or the capture theory of regulation. Instead, it is attributable to the popular belief that the removal of the price regulation will lead to the increase in the overall housing price by increasing the demand for existing houses that are a perfect substitute for new houses. However, the paper, using a stock-adjustment model of the housing market, demonstrates that the claimed outcome cannot materialize under perfect foresight or adaptive expectation. The outcome is possible in the short run under a peculiar expectation scheme of a self-fulfilling nature. But even in this case, the price increase will be a one-time event and in the long-run overall housing prices will fall below the level that would prevail if the price regulations were maintained.

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Sumarsono, Sumarsono, and Safira Amalia Hapsari. "PENGARUH EKSPEKTASI KEGIATAN USAHA TERHADAP INDEKS HARGA SAHAM GABUNGAN (Studi Kasus pada Bursa Efek Indonesia)." Jurnal Manajemen Maranatha 17, no. 2 (May 12, 2018): 135. http://dx.doi.org/10.28932/jmm.v17i2.804.

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The stock price reflect the performance of the company issuing the shares, not only at running time (t0) but also expectations for the future (t+). The intrinsic value of the stock is investor’s income in the form of dividends which depends on the income from business activities, so rating for effect of expectations of business activities can be seen as a reflection of expectations and risks to the performance of the company issuing the shares in the stock market which will affect stock prices, as reflected by Composite Stock Price Index (CSPI). This study aims to assess the effect of expectations of business activities on CSPI. The hypothesis is variables expectations of business activities individually or collectively affect the CSPI. Variable expectations of business activity expectation during the running time (t0) on business activity, financial condition and easiness access to credit and expectations in the future (t+) of business’s situation on three months ahead (t+3) and six months ahead (t+6). The study used survey data quarterly Kegiatan Dunia Usaha conducted by Bank Indonesia started from the first quarter of 2002 until the third quarter of 2016 and the data from Indonesia Stock Exchange Composite Stock Price Index after adjustment. Data taken from the publication of Bank Indonesia and Yahoo Finance. Hypothesis testing is using multiple regressionThe results of hypothesis testing found empirical evidence that the variable expectation of the company's financial condition of the present time and the expectation of business situation six months ahead have a significant positive effect on CSPI and business situation expectation over the next three months have a significant negative effect on CSPI. The variable of expectation of the current business activity and the expectation of easy access of credit have no significant effect to CSPI. All variable of expectation of business activity together have significant influence to CSPI. Keywords: Expectation of Business Activity, Composite Stock Price Index (CSPI).

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Tsai, Ming-Shann, and Shu-Ling Chiang. "The asymmetric price adjustment between REIT and stock markets in Asia-Pacific markets." Economic Modelling 32 (May 2013): 91–99. http://dx.doi.org/10.1016/j.econmod.2012.12.013.

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Fang, Hao, Yen-Hsien Lee, Jen-Sin Lee, and Wei-Jui Chen. "The adjustment speeds of short-run real estate investment trust (REIT) and corresponding stock returns in the USA and Australia." Investment Management and Financial Innovations 14, no. 3 (October 30, 2017): 173–88. http://dx.doi.org/10.21511/imfi.14(3-1).2017.02.

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This study first uses the non-linear co-integration with structural breaks by Gregory and Hansen (1996) to examine whether non-linear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Second, we employ the smooth transition vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of non-linear short-run REIT and corresponding stock return dynamics, as well as respective REIT return dynamics when the long-run disequilibrium occurs. The results show that a structural break co-integration exists between the equity and mortgage REITs and stock markets in the US, between the REITs and stock markets in the Australia and between the REIT markets in both the US and Australia. When there are large positive and negative deviations of STVECM, the adjustment speed of reverting to equilibrium of the S&amp;P 500 index is greater than that of the Mortgage REIT index. However, when there are large positive (negative) deviations of STVECM, the adjustment speed of reverting to equilibrium of the Australian REIT (stock) index is greater, and that of the Australian REIT (US REIT) index is greater. In addition, by using a non-linear Granger causality test by Hiemstra and Jones (1994), we find that credit price effects exist between the US for each type of REIT and stock markets regardless of large positive or negative deviations (or returns) in STVECM (or STVAR). However, there is a feedback effect exists between the REITs and the stock markets in Australia.

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Toppinen, Anne. "Incorporating cointegration relations in a short-run model of the Finnish sawlog market." Canadian Journal of Forest Research 28, no. 2 (February 1, 1998): 291–98. http://dx.doi.org/10.1139/x98-010.

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This paper reports on the results of a simultaneous equations sawlog market model using monthly data for Finland in 1985-1997. Johansen's multivariate method is used to estimate cointegration vectors, which are then included in a dynamic error-correction model. Rank tests indicate two cointegrating vectors, which is theoretically consistent with the demand and supply equations. In the sawlog demand, the equilibrium is established for sawlog stumpage price and quantity and sawn wood price and capital stock, while the supply function in a perfect capital market entails sawlog price and quantity, real interest rate, and the effect of increasing timber stock as captured by a linear trend. Contrary to earlier findings, stumpage price seems to have a positive effect on sawlog supply, both in the short and long run, while only the long-run price effect is present in the sawlog demand. Disequilibrium in demand is corrected within one quarter, while the speed of adjustment is found to be slow in the sawlog supply.

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Russell, Mark. "New information in continuous disclosure." Pacific Accounting Review 27, no. 2 (April 7, 2015): 229–63. http://dx.doi.org/10.1108/par-12-2012-0064.

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Purpose – This paper aims to examine the price-sensitivity of information under capital market disclosure regulation, the Australian continuous disclosure regulation (CDR). Design/methodology/approach – The study tests the information content of continuous disclosures and identifies the firm characteristics that condition the price-sensitivity of information under CDR. Findings – The study provides evidence that continuous firm disclosures are significantly associated with stock price adjustment to information. Further results are consistent with firm disclosure and its information content being determined by the economics of the firm. Practical implications – The findings of the study support the introduction of ongoing and continuous disclosure regimes in a number of capital markets, and assist firms and regulators model the price-sensitivity of information under CDR. Originality/value – The study highlights the sources of an informed market, and contributes to our understanding of the conditions under which the CDR reveals unexpected information. The results provide evidence of an association between firm disclosure and stock price synchronicity, consistent with managerial incentives to disclose information.

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Journal articles on the topic 'Stock price adjustment'

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