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1
Heny Sidanti and Annisa Istikhomah. "The Effect Of Stock Price, Share Return, Share Trading Volume, And Return Variant On Bid-Ask Spread On Textile And Garment Companies Listed On The Indonesia Stock Exchange, 2019-2020." International Journal of Science, Technology & Management 2, no. 4 (July 23, 2021): 1357–66. http://dx.doi.org/10.46729/ijstm.v2i4.269.
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This study aims to obtain empirical evidence of the effect of Stock Price, Stock Return, Stock Trading Volume, and Return Variant on the Bid-Ask Spread of Stocks in Textile and Garment Companies Listed in Indonesia Stock Exchange in 2019-2020. The stock price used is the stock price recorded at the end of each closing period (closing price), stock returns are measured using the difference between returns on the research day and before the study divided by returns on the day before the study, stock trading volume is measured by the number of shares traded at the time of the study. t is divided by the number of shares outstanding at the time of the study, the variance of stock returns is measured using the standard deviation, and the bid-ask spread is measured by the difference between the selling price and the purchase price divided by the difference between the selling price and the purchase price divided by two. The population in this study is 17 textile and garment companies listed on the IDX. Based on the purposive sampling method, a sample of 16 companies was obtained with 309 data. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volumes affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volume affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread. This research data is obtained from the company's monthly data from 2019 to 2020. The results of the analysis show that stock prices and stock trading volumes affect the bid-ask spread, while stock returns and return variances do not affect the bid-ask spread. Meanwhile, simultaneously, stock prices, stock returns, stock trading volume, and return variance affect the bid-ask spread.
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Hasyim, Fuad, and Resyta Aulia Ardityasari. "Derivative Analysis of Value Added to Stock Returns at Jakarta Islamic Index." BISNIS : Jurnal Bisnis dan Manajemen Islam 8, no. 2 (December 30, 2020): 155. http://dx.doi.org/10.21043/bisnis.v8i2.8150.
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<p>This study aims to examine the effect of value added derivative such as economic value added (EVA), market value added (MVA) and refined economic value added (REVA) on stock return with stock price as an intervening variable. The object of this study are all Islamic stocks listed in the Jakarta Islamic Index (JII) in the period 2014-2019. This study using purposive sampling method and obtained by 11 companies. Data processing using panel regression with common, fixed and random modelling approach. The results show that economic value added (EVA) has no effect either on stock prices or stock returns, market value added (MVA) affects the stock price and stock return, while refined economic value added (REVA) has no effect on both. Then, stock prices are only able to mediate the effect of market value added (MVA) on stock return.</p>
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Siregar, Kurniawan, and Afriapollo Syafarudin. "ANALYSIS OF CRUDE PALM OIL (CPO) PRODUCTION VOLUME AND PRICE ON PROFITABILITYAND ITS IMPACT ON STOCK RETURNS." International Journal of Engineering Technologies and Management Research 6, no. 7 (March 31, 2020): 87–100. http://dx.doi.org/10.29121/ijetmr.v6.i7.2019.419.
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This study aims to examine and analyze the effect of production volume and crude palm oil (CPO) prices on profitability (proxied by return on assets, ROA) and its impact on stock returns (proxied by capital gains) in plantation industry sector companies listed on the Indonesia Stock Exchange (BEI) 2013 - 2017. The sampling method used was purposive sampling. From the population of 18 plantation industry companies, 12 companies met the criteria to be sampled. The type of data used is panel data, which is collected by documentation techniques. The analytical method used in this study is multiple linear regression using Eviews version 9.0 software. The results showed that CPO production had a positive and not significant effect on ROA. The price of CPO has a negative and not significant effect on ROA. ROA has a positive and not significant effect on stock returns. CPO production has a negative and not significant effect on stock returns. CPO prices have a positive and not significant effect on stock returns. Simultaneously CPO production and prices have no significant effect on ROA and stock returns. CPO production and CPO prices simultaneously contribute more to stock returns than through ROA as an intervening variable.
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He, Ling T. "Forecasting of housing stock returns and housing prices." Journal of Financial Economic Policy 7, no. 2 (May 5, 2015): 90–103. http://dx.doi.org/10.1108/jfep-01-2014-0004.
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Purpose – The purpose of this paper is to create an endurance index of housing investor sentiment and use it to forecast housing stock returns. This study performs not only in-sample and out-of-sample forecasting, like many previous studies did, but also a true forecasting by using all lag terms of independent variables. In addition, an evaluation procedure is applied to quantify the quality of forecasts. Design/methodology/approach – Using a binomial probability distribution model, this paper creates an endurance index of housing investor sentiment. The index reflects the probability of the high or low stock price being the close price for the Philadelphia Stock Exchange Housing Sector Index. This housing investor sentiment endurance index directly uses housing stock price differentials to measure housing investor reactions to all relevant news. Empirical results in this study suggest that the index can not only play a significant role in explaining variations in housing stock returns but also have decent forecasting ability. Findings – Results of this study reveal the considerable forecasting ability of the index. Monthly forecasts of housing stock returns have an overall accuracy of 51 per cent, while the overall accuracy of 8-quarter rolling forecasts even reaches 84 per cent. In addition, the index has decent forecasting ability on changes in housing prices as suggested by the strong evidence of one-direction causal relations running from the endurance index to housing prices. However, extreme volatility of housing stock returns may impair the forecasting quality. Practical implications – The endurance index of housing investor sentiment is easy to construct and use for forecasting housing stock returns. The demonstrated predictability of the index on housing stock returns in this study can have broad implications on housing-related business practices through providing an effective forecasting tool to investors and analysts of housing stocks, as well as housing policy-makers. Originality/value – Despite different investor sentiment proxies suggested in the previous studies, few of them can effectively predict stock returns, due to some embedded limitations. Many increases and decreases inn prices cancel out each other during the trading day, as many unreliable sentiments cancel out each other. This dynamic process reveals not only investor sentiment but also resilience or endurance of sentiment. It is only long-lasting resilient sentiment that can be built in the closing price. It means that the only feasible way to use investor sentiment contained in stock prices to forecast future stock prices is to detach resilient investor sentiment from stock prices and construct an index of endurance of investor sentiment.
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Kohli, Bindya, and Deepa Pillai. "Influence of Board Reformation on the Stock Returns: an Event Study." International Journal of Engineering & Technology 7, no. 3.16 (July 26, 2018): 71. http://dx.doi.org/10.14419/ijet.v7i3.4.16186.
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Investor sentiments pertaining to stocks are propelled by the contentions of financial sector reforms, fiscal policy and management change. Any uncertainty has a significant impact on the stock prices and returns accruing to the company. The paper examines the effect of change in management on the stock returns of a corporate entity. Organizational performance is dependent on the realization of the numerous roles the board of directors are entrusted with. Any change in the composition of the board through the resignation, retirement or ouster can thus have a significant impact on the stock prices and returns accruing to the company. It is anticipated that voluntary resignations, age related turnovers have small or negative impact on the stock price reactions. The paper investigates the impact of the ouster of the Chairman of the Tata group on the volatility of the daily prices and returns of four companies under the Tata umbrella. Event study methodology has been adopted following the market model of return generating process. Investors react to the market information thereby affecting the security prices positively or negatively during the event window. The findings disclose market sentiments are affected on the occurrence of the event though the acceptance of the event may be unforeseen.
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Smajlbegovic, Esad. "Regional Economic Activity and Stock Returns." Journal of Financial and Quantitative Analysis 54, no. 3 (September 19, 2018): 1051–82. http://dx.doi.org/10.1017/s0022109018001126.
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This paper studies the diffusion of regional macroeconomic information into stock prices. I identify all U.S. states that are economically relevant for a company through textual analysis of annual reports and find that economic activity forecasts of company-relevant regions positively predict cross-sectional stock returns. Information arising from all relevant states is more important than that relating to the headquarter state alone. These forecasts also predict firms’ performance and earnings surprises, suggesting that the return predictability stems from future cash flows that are gradually reflected in prices. Finally, regional information takes longer to be incorporated into prices among difficult-to-arbitrage stocks.
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Kurniawan, Doni, and Mayar Afriyenti. "Pengaruh Harga Saham, Volume Perdagangan, dan Varian Return Terhadap Bid-Ask Spread (Studi Empiris pada Perusahaan yang Melakukan Stock Split yang Terdaftar di Bursa Efek di Asia Tenggara Tahun 2018)." Wahana Riset Akuntansi 7, no. 1 (June 25, 2019): 1397. http://dx.doi.org/10.24036/wra.v7i1.104564.
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This study aims to determine the effect of stock prices, trading volume, and variance of return on the bid-ask spread in companies that do stock splits listed on stock exchanges in Southeast Asia in 2018. In this study the sampling technique used was nonprobability purposive sampling so that produced a total of 248 companies with 26 companies on the Indonesia Stock Exchange, 10 companies on the Philippines Stock Exchange, 56 companies on the Malaysia Stock Exchange, 18 companies on the Singapore Stock Exchange, 48 companies on the Thailand Stock Exchange and 90 companies on the Vietnam Stock Exchange. This study uses multiple regression methods using Eviews 10 to process data. The results of the study indicate that on the Indonesia Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume has no significant negative effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Philippine Stock Exchange, stock prices have no significant negative effect on the bid-ask spread, trading volume has a positive and significant effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Malaysia Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume and variance returns have a positive and significant effect on the bid-ask spread. On the Singapore Stock Exchange, stock prices and trading volume have a negative and significant effect on the bid-ask spread, variance returns have a positive and insignificant effect on the bid-ask spread. On the Thailand Stock Exchange, stock prices have a negative and significant effect on the bid-ask spread, trading volume and variance returns have a positive and significant effect on the bid-ask spread. On the Vietnam Stock Exchange, stock prices have no significant negative effect on the bid-ask spread, trading volume has no significant positive effect on the bid-ask spread, variance returns have a positive and significant effect on the bid-ask spread.Keywords: Stock Price, Trading Volume, Variant Return, Bid-Ask Spread, Stock Split
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Salisu, Afees Adebare, Raymond Swaray, and Tirimisiyu Oloko. "US stocks in the presence of oil price risk: Large cap vs. Small cap." Economics and Business Letters 6, no. 4 (March 18, 2018): 116. http://dx.doi.org/10.17811/ebl.6.4.2017.116-124.
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This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is correct to make generalization about oil-U.S. stock relationship with large cap stocks when analysing returns spillovers, but the generalization is incorrect when considering stock caps returns volatility spillovers, particularly under falling and relatively stable oil prices.
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Muhtaseb, Buthaina M. A., and Ghazi Al-Assaf. "Oil Price Fluctuations and Their Impact on Stock Market Returns in Jordan: Evidence from an Asymmetric Cointegration Analysis." International Journal of Financial Research 8, no. 1 (December 8, 2016): 172. http://dx.doi.org/10.5430/ijfr.v8n1p172.
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This paper examines whether Amman stock market returns responds asymmetrically to oil price fluctuations for the quarterly period 2000-2015 by applying asymmetric cointegration. Using both TAR and MTAR specification of Enders and Siklos’s (2001) models, and based on the asymmetric ECM, the results provide evidence that stock returns react to oil price variations in an asymmetric manner. In particular, rising oil prices has a larger impact on stock returns; this implies that increases in oil prices have a significant effect on the behavior of stock market in Jordan. The significant relationship between oil prices and stock returns strengthen their predictability power, so that appropriate strategies may be built on the basis of expected increases or decreases in oil prices.
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Boucher, Christophe. "Stock Prices, Inflation and Stock Returns Predictability." Finance 27, no. 2 (2006): 71. http://dx.doi.org/10.3917/fina.272.0071.
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Santos, Leandro da Rocha, and Roberto Marcos da Silva Montezano. "Value and growth stocks in Brazil: risks and returns for one - and two-dimensional portfolios under different economic conditions." Revista Contabilidade & Finanças 22, no. 56 (August 2011): 189–202. http://dx.doi.org/10.1590/s1519-70772011000200005.
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For empirical purposes, value stocks are usually defined as those traded at low price-to-earnings ratios (stock prices divided by earnings per share), low price-to-book ratios (stock prices divided by book value per share) or high dividend yields (dividends per share divided by stock prices). Growth stocks, on the other hand, are traded at high price-to-earnings ratios, high price-to-book ratios or low dividend yields. Academic research so far produced, international and Brazilian alike, shows that value stocks outperform growth stocks, challenging the Efficient Market Hypothesis, which states that the market prices of traded stocks are the best estimate of their intrinsic values. Most studies use a single ratio to sort stocks on percentiles; risks (generally defined as beta or standard deviations) and returns are then calculated for the resulting value and growth portfolios. In the present paper, we aim to further contribute to the growing literature on the field by applying a method not previously tested on the Brazilian market. We build portfolios sorted by the price-to-earnings and price-to-book ratios alone and by a combination of both in order to assess value and growth stocks' risks and returns on the Brazilian stock market between 1989 and 2009. Furthermore, our risk analysis may be regarded as the paper's main contribution, since its approach departs from conventional risk concepts, as we not only test for beta: portfolios' returns are measured under different economic conditions. Results support a pervasive value premium in the Brazilian stock market. Risk analysis shows that this premium holds under every economic condition analyzed, suggesting that value stocks are indeed less risky. Beta proved not to be a satisfactory risk measure. Portfolios sorted by the price-to-earnings ratio yielded the best results.
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Njoroge, Parmenas, Michaela Baumann, Michael Baumann, and Dmitry Shevchenko. "Stock Price Reactions to Publications of Financial Statements: Evidence from the Moscow Stock Exchange." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 15, no. 1 (May 16, 2021): 19–36. http://dx.doi.org/10.17323/j.jcfr.2073-0438.15.1.2021.19-36.
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This paper analyses the effects of financial statements on the efficiency of the Russian stock market. Specifically, we analyse the impact of financial reporting on stock prices of the firms listed on the Moscow Stock Exchange. By means of the widely used event study method, which dates back to Ball and Brown [1], we analyse how corporate news publication affects stock prices.
Our research analyses 1000 samples, each consisting of 30 events, independent of the underlying stocks/firms and analyses the relation between the behaviour of the share prices and the release of the firms’ annual, quarterly, and unscheduled financial statements. We use the daily stock price data of 56 components of the Russia Trading System Index from the years 2014 to 2020 in order to analyse the relation between the behaviour of the shares’ prices and the releases of the firms’ annual, quarterly, and unscheduled financial statements.
Using an ordinary least squares market model, we estimate the market parameters and especially the so-called normal returns, i.e. benchmark values. With this, we calculate the abnormal returns, i.e. the price changes caused by the events cf. [1; 2]. We perform several statistical tests for non-Gaussian distribution of these abnormal returns and find that there is a significantly non-Gaussian relationship between the publication of financial statements and the prices of the shares, which should not be the case in an efficient market [2].
Our results indicate that stock price volatility on the publication of financial statements may be caused by some information asymmetry, and demonstrate that the Russian stock market responds significantly to new information. Thus, we discuss recommendations to improve the information content of financial statements in Russia. This means analysts and fund managers can use new information to predict future stock returns and, thus, construct profitable portfolios.
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Çevik, Emrah, Erdal Atukeren, and Turhan Korkmaz. "Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis." Energies 11, no. 10 (October 21, 2018): 2848. http://dx.doi.org/10.3390/en11102848.
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This study examines the Granger-causal relationships between oil price movements and global stock returns by using time-varying Granger-causality tests in mean and in variance. We use the daily returns from Morgan Stanley Capital International (MSCI) G7 and the MSCI Emerging Stock Market Indexes to distinguish between the effects of daily oil price movements on G7 countries’ and emerging market countries’ stock markets. We further divide the emerging markets into two groups as oil-exporting and oil-importing countries. For the oil market, we use both the West Texas Intermediate (WTI) and Brent oil daily price movements. While the Granger-causality-in-mean tests indicate a causal link from WTI oil prices and G7 countries’ stock returns to MSCI emerging countries’ stock returns, the Granger-causality-in-variance tests suggest no causal link from global oil market prices to stock market returns. Nonetheless, a causal link from the G7 countries’ stock returns to the MSCI emerging countries’ stock returns is detected. In addition, G7 countries’ stock market volatility is found to Granger-cause Brent oil price volatility. The time-varying Granger-causality-in-mean and Granger-causality-in-variance tests present new and further insights. A causal relationship between oil price changes and G7 countries’ stock returns is found for some periods during and after the global financial crisis. Time-varying Granger-causality-in-variance test results indicate evidence of causal linkages among oil prices and global stock market returns that are specific only to certain time periods. We also find that there might be a difference between the movements in Brent and WTI oil prices with respect to their Granger-causal effects on oil-importing emerging markets’ stock returns—especially after the global financial crisis. Our results provide further evidence that the effects of oil price movements on stock returns might be different depending on the volatility in the stock markets.
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Badshah, Koerniadi, and Kolari. "Testing the Information-Based Trading Hypothesis in the Option Market: Evidence from Share Repurchases." Journal of Risk and Financial Management 12, no. 4 (November 29, 2019): 179. http://dx.doi.org/10.3390/jrfm12040179.
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The informed options trading hypothesis posits that option prices lead stock prices. In this paper, we extended the research on this hypothesis to open-market share repurchases. Empirical tests showed that the implied volatility spread was not significantly related to buy-and-hold abnormal stock returns. However, further evidence reveal a significant relationship between implied volatility spread and subsequent stock return volatility around open-market share repurchase events. We concluded that option traders have private information on the volatility of stock returns and superior information processing ability that accounts for prescient pricing behavior in options relative to stocks.
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Al Masum, Abdullah. "Dividend Policy and Its Impact on Stock Price – A Study on Commercial Banks Listed in Dhaka Stock Exchange." Global Disclosure of Economics and Business 3, no. 1 (June 30, 2014): 7–16. http://dx.doi.org/10.18034/gdeb.v3i1.166.
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How do dividend policy decisions affect a firm’s stock price, is a widely researched topic in the field of investments and finance but still it remains a mystery that whether dividend policy affects the stock prices or not. There are those who suggest that dividend policy is irrelevant because they argue a firm’s value should be determine by the basic earning power and business risk of the firm, in which case value depends only on the income (cash) produced, not on how the income is split between dividends and retained earnings and opponents of this statement called dividend is irrelevance, that investors care only about the total returns they receive, not whether they receive those returns in the form of dividends, capital gains or both.The results of researches conducted in various stock markets are different. There are many internal and external factors, which simultaneously affect stock prices and it is almost impossible to segregate the effect of each so the variations remain. This paper empirically estimates excess stock market returns for all the thirty banks listed in Dhaka Stock Exchange for the period of 2007 to 2011. Attempts are made to examine, what kind of relationship exists between dividend policy and stock market returns of private commercial banks in Bangladesh, and to what degree the returns on stocks can be explained by their respective dividend policy for the same period of time. Various theories related to dividend policy are tested in various parts of the world with different results and findings. Various other articles are reviewed, written in Bangladesh and abroad to see the significance of dividend policy on the stock prices and to compare the results of this research with those conducted earlier. Sample size is large i.e. all the listed commercial banks of Dhaka Stock Exchange so the results are reliable and valid. Panel data approach is used to explain the relationship between dividends and stock prices after controlling the variables like Earnings per Share, Return on Equity, Retention Ratio have positive relation with Stock Prices and significantly explain the variations in the market prices of shares, while the Dividend Yield and Profit after Tax has negative, insignificant relation with stock prices. Overall results of this study indicate that Dividend Policy has significant positive effect on Stock Prices.
JEL Classification Code: D78; E64; H54; R53; G21
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Du, Chan, Liang Song, and Jia Wu. "Bank accounting disclosure, information content in stock prices, and stock crash risk." Pacific Accounting Review 28, no. 3 (August 1, 2016): 260–78. http://dx.doi.org/10.1108/par-09-2015-0037.
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Purpose This paper aims to examine how banks’ accounting disclosure policies affect information content in stock prices and stock crash risk. Design/methodology/approach This paper uses 1996-2013 as the sample period. The final sample includes 10,045 observations in 37 countries. This paper uses stock return synchronicity to measure information content in stock prices. This study uses the frequency difference between extremely negative and positive stock returns to measure stock crash risk. To measure the level of bank accounting disclosure, this research follows Nier and Baumann (2006) to construct an aggregate disclosure index based on inclusions and omissions of a series of items in a bank’s annual accounting reports. Findings This paper finds that banks’ stocks have lower stock return synchronicity and fewer extremely negative returns if banks have higher levels of financial statement disclosure. These results suggest that banks’ stocks have higher information content and lower crash risk if banks’ information environment is more transparent. Originality/value Overall, this paper provides new insight about how to increase banks’ transparency and the safety of the banking industry, which is beneficial to economic growth. To increase banks’ transparency and reduce the possibility of extremely negative stock returns, one way to regulate banks is to increase their accounting disclosure. In addition, the extant literature (Chen et al., 2006, Durnev et al., 2003, 2004; Wurgler, 2000) demonstrates that firms with lower stock return synchronicity have more transparent information environments and higher investment efficiency. Thus, this paper finds that higher levels of bank accounting disclosure are associated with lower stock return synchronicity, which further reduces banks’ opacity and increases banks’ investment efficiency. Finally, compared to business firms, stock crash risk has much direr consequences because one bank’s stock crash will affect overall financial stability. Thus, it is important for authorities to know the effects of accounting disclosure on bank stock crash risk.
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LIU, Hsiang-Hsi, and Sheng-Hung CHEN. "NONLINEAR RELATIONSHIPS AND VOLATILITY SPILLOVERS AMONG HOUSE PRICES, INTEREST RATES AND STOCK MARKET PRICES." International Journal of Strategic Property Management 20, no. 4 (December 14, 2016): 371–83. http://dx.doi.org/10.3846/1648715x.2016.1191557.
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This paper addresses the interaction between interest rates and the significant increases in both Taiwanese house and stock market prices seen in recent years. Changes in house prices impact banks’ nonperforming loans, whereas changes in interest rates directly influence the ability of individuals and businesses to pay loan interest, accentuating the co-movements between house and stock mar-ket prices. We investigate the nonlinear relations and volatility spillovers among house prices, interest rates and stock market prices using monthly data from January 1985 to March 2009 for Taiwan. We find that the Smooth Transition Vector Error Correction GARCH (STVEC-GARCH) model has the best forecasting ability based on goodness of fit tests while showing a nonlinear and co-integrated relation among the three variables. Specifically, house price leads stock market returns when the interest rate is led by either house price or stock market returns. The volatility of stock market returns has significant impacts on interest rates, implying that borrowers should be aware of stock market fluctuations and thus strengthen their risk management because of unexpected changes.
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Barth, Mary E., Kurt H. Gee, Doron Israeli, and Ron Kasznik. "Stock Price Management and Share Issuance: Evidence from Equity Warrants." Accounting Review 96, no. 5 (February 5, 2021): 31–52. http://dx.doi.org/10.2308/tar-2017-0675.
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ABSTRACT We investigate whether firms manage stock prices in anticipation of share issuance. Warrant exercise results in share issuance and warrant expiration dates are fixed years in advance, which precludes market timing. We predict firms manage stock prices to prevent (induce) warrant exercise when exercise is dilutive (anti-dilutive) to existing shareholders. To test our prediction, we examine stock returns around warrant expiration dates. We find that the difference between out-of-the-money (OTM) and in-the-money (ITM) firms' return patterns (i.e., post-expiration minus pre-expiration returns) is positive, and OTM (ITM) firms' return pattern is positive (negative). Return patterns of three sets of pseudo warrant firms differ from patterns of warrant firms. Return patterns are stronger when more feasible price changes are required to affect warrant expiration status, and firm-issued news items is a mechanism for price management. Thus, our findings provide evidence that firms engage in stock price management in anticipation of share issuance. JEL Classifications: G14; G15; G32; M41.
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Daines, Robert M., Grant R. McQueen, and Robert J. Schonlau. "Right on Schedule: CEO Option Grants and Opportunism." Journal of Financial and Quantitative Analysis 53, no. 3 (May 3, 2018): 1025–58. http://dx.doi.org/10.1017/s0022109017001259.
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After the public outcry over backdating, many firms began scheduling option grants. This eliminates backdating but creates other agency problems: Chief executive officers (CEOs) aware of upcoming option grants have an incentive to temporarily depress stock prices to obtain lower strike prices. We show that some CEOs have manipulated stock prices to increase option compensation, documenting negative abnormal returns before scheduled option grants and positive abnormal returns afterward. These returns are explained by measures of CEOs’ incentives and ability to influence stock prices. We document several mechanisms used to lower stock price, including changing the substance and timing of disclosures.
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Arfianto, Erman Denny, and Ivan Irawan. "Short Horizon Return Predictability di Pasar Modal Indonesia." Jurnal Pasar Modal dan Bisnis 1, no. 1 (September 2, 2019): 41–54. http://dx.doi.org/10.37194/jpmb.v1i1.7.
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Purpose- This study aims to examine the effect of effective spread, price impact, trading volume, stock prices, and volatility of returns on the predictability of short-term returns (short horizon return predictability).
Methods- This research offers a new approach perspective which is a market microstructure with intraday data to measure short horizon return predictability as an efficient market inversion. The sample in this study was 64 non-financial companies listed on the KOMPAS100 Index during October 2017-March 2018. Intraday data used using the 5-minute frequency obtained from Bloomberg. This study uses multiple linear regression analysis.
Finding- This study found that price impact, trading volume, stock prices, and volatility have a positive impact on the predictability of long-term returns. This study also found that effective spread does not have a significant impact on the predictability of short-term returns.
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Eksandy, Arry, and Dirvi Surya Abbas. "Relevansi Nilai Earning per Share, Price Book Value, Cash Flow, Current Ratio dan Harga Saham: Return on Asset Sebagai Pemoderasi." Jurnal Akuntansi 12, no. 2 (October 26, 2020): 187–202. http://dx.doi.org/10.28932/jam.v12i2.2152.
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The purpose of this study is to determine the results of Earnings Per Share, Book Value Equity, Operating Cash Flow, Investment Cash Flow, Funding Cash Flow, Current Ratio, Asset Returns and Asset Returns moderate Operating Cash Flow to Share Prices in manufacturing companies found in Indonesia stock exchange. This research population publishes manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the 2015-2018 period. The sampling technique uses purposive sampling technique. Based on predetermined criteria the number of samples obtained by 9 companies. The type of data used in this study is secondary data using panel data regression analysis methods. The results showed that Earnings Per Share and Book Value of Equity showed a positive effect on the Share Price, then, Funding Cash Flow, Return on Assets and Return on Assets moderate the Operating Cash Flow negatively evaluating the Stock Price. Whereas Operating Cash Flow, Investment Cash Flow, and Current Ratio do not affect the stock price.
Keywords: Stock Prices, Cash Flow, Finance Ratio
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Pathak, Rajesh, Thanos Verousis, and Yogesh Chauhan. "Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market." Journal of Emerging Market Finance 16, no. 2 (July 10, 2017): 169–87. http://dx.doi.org/10.1177/0972652717712373.
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This study examines the information content of pricing error, measured by the difference between the implied price computed using the cost of carry model and the spot price of Single Stock Futures (SSFs), traded on National Stock Exchange (NSE), India. The returns of portfolios, based on ranking of such pricing errors, are investigated. The consistency of results is verified by controlling for established risk factors, that is, market, size, value and momentum premium, and idiosyncratic factors such as firm’s liquidity and size. Our study reveals that the pricing error is a priced risk factor that contains incremental information about stock returns of day t, and not beyond. We conclude that implied spot prices from stock futures market are useful for traders to profit in the spot market. JEL Classification: G120, G130
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Atiq, Zeeshan, and Muhammad Farhan. "IMPACT OF OIL PRICES ON STOCK RETURNS: EVIDENCE FROM PAKISTAN’S STOCK MARKET." Journal of Social Sciences and Humanities 57, no. 2 (December 31, 2018): 47–63. http://dx.doi.org/10.46568/jssh.v57i2.31.
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Very few studies have investigated the movement in stock returns that result due to changes in oil prices. In recent years due to cooling down of China, unveiled oil reserves of Iran, decreasing demand worldwide and discovery of shale gases the world has experienced a large fall in the oil prices. These changes are also affecting performance of manufacturing and other associated companies in countries all over the world. Pakistan has also been affected by these changes in many ways. Especially, the returns on stock markets have been affected a lot by the variations in the oil prices. This paper using monthly data set from years 2014 to 2016 of the non-financial firms operated in Pakistan Stock Exchange (PSX), investigates the effect of variation in oil prices on returns on stock. Results from the panel data analysis indicate a negative relationship between the variables. Since, Pakistan is an oil importing, movement in the prices contribute towards affecting the production cost in a positive manner which in turn affects the execution of the enterprises as well as returns of the stocks negatively.
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Stotz, Olaf. "Germany’s New Insider Law: The Empirical Evidence after the First Year." German Economic Review 7, no. 4 (December 1, 2006): 449–62. http://dx.doi.org/10.1111/j.1468-0475.2006.00129.x.
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Abstract This paper investigates insider trading activities in German stocks during the first year following implementation of the new Insider Law on 1 July 2002. It can be observed that insiders act as contrarian investors. They buy stocks after prices have fallen and sell stocks after prices have risen. In general, insider trades are very profitable. A typical stock purchased by an insider yields an abnormal return of almost 3 per cent during the 25 days following the transaction. In contrast, a typical stock that has been sold by insiders achieves an abnormal return of nearly -3 per cent over the same time period. Outsiders who copy the transactions of insiders can achieve nearly the same abnormal returns. Abnormal returns remain substantial even after transaction costs. The results suggest that prices of stocks in which insiders trade do not seem to be semi-strong efficient.
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Zivney, Terry L., and Donald J. Thompson. "RELATIVE STOCK PRICES AS PRECURSORS OF STOCK RETURNS." Financial Review 20, no. 3 (August 1985): 124. http://dx.doi.org/10.1111/j.1540-6288.1985.tb00302.x.
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Azar, Samih Antoine. "Irrelevance of inflation: The Dow stocks." Accounting and Finance Research 9, no. 1 (January 5, 2020): 45. http://dx.doi.org/10.5430/afr.v9n1p45.
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The irrelevance of inflation is a proposition, inherited from corporate finance, which states that inflation is irrelevant for the valuation of nominal and real stock prices. In other terms, Net Present Values (NPVs) and stock returns are independent of the inflation rate. The issue at stake is both theoretical and empirical, although the first came much before the latter. In the empirical realm, stock returns are found to be statistically negatively related to inflation. However, and theoretically, the classical school predicted that they should be related positively one-to-one. Moreover long run analysis, that came later, found that stock prices are positively related to price indexes. This stems from the fact that stocks are claims upon real assets, and, therefore, should be a hedge against inflation with the same one-to-one relation. This paper differs by subjecting all these hypotheses to the individual stocks included in the Dow Jones Industrial Index, and not to returns calculated from stock indexes, which is the usage. The empirical results in this paper support strongly the irrelevance of inflation. This is true whatever the price index, whatever the econometric procedure, whatever the industry to which the stock belongs, and whatever the specification of the model. Hence inflation is neither negatively nor positively related to stock returns, whether nominal or real.
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Chowdhry, Bhagwan, Richard Roll, and Yihong Xia. "Extracting Inflation from Stock Returns to Test Purchasing Power Parity." American Economic Review 95, no. 1 (February 1, 2005): 255–76. http://dx.doi.org/10.1257/0002828053828554.
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Relative purchasing power parity (PPP) holds for pure price inflations, which affect prices of all goods and services by the same proportion, while leaving relative prices unchanged. Pure price inflations also affect nominal returns of all traded financial assets by exactly the same amount. Recognizing that relative PPP may not hold for the official inflation data constructed from commodity price indices because of relative price changes and other frictions that cause prices to be “sticky,” we provide a novel method for extracting a proxy for realized pure price inflation from stock returns. We find strong support for relative PPP in the short run using the extracted inflation measures.
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Ho, Wen-Rong Jerry, C. H. Liu, and H. W. Chen. "Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example." Review of Pacific Basin Financial Markets and Policies 13, no. 04 (December 2010): 621–45. http://dx.doi.org/10.1142/s0219091510002104.
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This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.
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Jotanovic, Vera, and Rita Laura D’Ecclesia. "Do Diamond Stocks Shine Brighter than Diamonds?" Journal of Risk and Financial Management 12, no. 2 (May 3, 2019): 79. http://dx.doi.org/10.3390/jrfm12020079.
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This paper addresses two practical investment questions: Is investing in the diamond equity market a more feasible and liquid alternative to investing in diamonds? Additionally, is diamond equity affected by polished diamond prices? We assemble an original database of diamond mining stock prices traded on main stock exchanges in order to assess their relationship with diamond prices. Our results show that the market of diamond-mining stocks does not represent a valid investment alternative to the diamond commodity. Diamond equity returns are not driven by diamond price dynamics but rather by local market stock indices.
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Adegboyega, Bidemi S. "Inflation and Stock Returns: Implication for Nigerian Stock Exchange Market." AGOGO: Journal of Humanities 6 (February 15, 2021): 1. http://dx.doi.org/10.46881/ajh.v6i0.231.
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Understanding various hypotheses often dictates the nexus between inflation and stock returns and over the years studies have failed to establish which among these hypotheses are examined in Nigeria. Therefore, this present study examines the long-run relationships and dynamic interactions between stock returns and inflation in Nigeria using quarterly data of the All Share Price Index from the Nigerian Stock Exchange and Inflation rate together with other selected macroeconomic variables such as interest rate, exchange rate and growth in real GDP from 1985Q1 to 2018Q4. The analytical technique of Vector Error Correction Model, Johansen Co-integration technique and Granger Causality test were exploited. From the results, it is evident there exists a long run relationship between stock returns and inflation in Nigeria. The short run dynamic model also revealed that the speed of convergence to equilibrium is moderate implying that there is a short run relationship between stock returns and inflation. However, in order to establish the causal links and its directions between inflation rate and stock returns, the Johansen co-integration shows that there exist a unidirectional relationship between stock return and inflation rate. This is attributable perhaps to the instability of prices of stocks noticed over time and also the study supported the Proxy hypothesis. Based on the above, it is a perfect avenue for investors to use in an attempt to hedge against inflation.
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Teulon, Frederic, Khaled Guesmi, and Salma Fattoum. "Is There A Difference Between Domestic And Foreign Risk Premium? The Case Of China Stock Market." Journal of Applied Business Research (JABR) 30, no. 5 (August 26, 2014): 1287. http://dx.doi.org/10.19030/jabr.v30i5.8785.
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This article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the expected return and market price of risk between A and B shares. However, the significance of the difference between market prices of risk disappears if GARCH models are used.
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Yu, Jing Long, Tse Mao Lin, and Xin Hui Wu. "Does Brexit Have a Bullish or Bearish Effect on the Taiwan Stock Market?" International Journal of Economics and Financial Research, no. 73 (July 11, 2021): 90–101. http://dx.doi.org/10.32861/ijefr.73.90.101.
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Using the event study method to analyze one year of daily trading data of formal and Over-The-Counter (OTC) stocks in Taiwan, this study investigates whether the Brexit referendum led to abnormal returns, as well as the financial characteristics of the stocks, and the influential financial variables. The Taiwan stock market had negative abnormal returns on the day of the Brexit referendum. The high-abnormal return group was more significantly affected than the low-abnormal return group. The book-to-market ratio, price-to-earnings ratio, yield rate, average foreign shareholding ratio, and stocks overbought and oversold had a more significant impact on the low-abnormal return group. Abnormal returns were generated mostly in the OTC (Over-The-Counter) market. This event affected financial stocks more significantly than electronics and information technology stocks. The effects on formal stocks, OTC (Over-The-Counter) stocks, and the overall market were the most significant for the turnover rate and stocks overbought and oversold, yield rate, and turnover rate and book-to-market ratio, respectively. The results confirm that the model of the impact of a special event on the behavioral response in the Taiwan stock market can be used to predict changes in stock market prices when a special event occurs in the future.
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Lavista, Eka. "STOCK PRICE BEHAVIOR AROUND CUM-DIVIDEND DATE OF INDONESIA BLUE CHIPS STOCKS." Review of Management and Entrepreneurship 2, no. 1 (September 24, 2019): 49–60. http://dx.doi.org/10.37715/rme.v2i1.952.
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This study tests whether there are significant stock prices changes around the cum-dividend date. In particular, it examines the stock price movement of two days before and two days after the cum-dividend date. It uses an event study methodology. The population of this study are all companies in the LQ45 listed at Indonesia stock exchange for the year 2017 and the sample consists of 38 companies. Abnormal return is measured using the single index model. Results show that there are no significant abnormal returns around the cum-dividend date. In addition, there is no significant abnormal return difference between two days before and two days after the cum-dividend date. The implication of the reported findings is that investors may not obtain significant positive abnormal returns using a cum-dividend date as the trading strategy.
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Irshad, Hira. "Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility." Studies in Business and Economics 12, no. 2 (August 28, 2017): 70–99. http://dx.doi.org/10.1515/sbe-2017-0023.
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Abstract This study investigated the relationship of political instability with the stock prices. Results of the study indicated the negative relationship of stock prices with political instability. Moreover, results of suggested that instable political system ultimately leads decline in stock prices. Inflation has shown negative relationship with stock prices whereas, industrial production and Exports have positive relationship with stock prices.
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Husain, Fazal, and Traiq Mehmood. "Monetary Expansion and Stock Returns in Pakistan." Pakistan Development Review 38, no. 4II (December 1, 1999): 769–76. http://dx.doi.org/10.30541/v38i4iipp.769-776.
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The effect of changes in money supply on stock returns has been a matter of controversy among economists for many decades. Those in favour of presence of links between money market and stock market argue that any change in money supply creates a wealth effect which disturbs the existing equilibrium in the portfolio of investors. When they re-adjust their asset portfolio, a new equilibrium is established in which the price level of various assets is changed. On the other hand, if the stock market is efficient, it would already have incorporated all the current and anticipated changes in money supply. Consequently, a causal relationship between changes in money supply and stock prices will not be established. Moreover if the change in money supply coincides with a corresponding change in the velocity of money, it will not have any effect on stock prices. The pioneering work in this regard was done by Sprinkel (1964). Using the data from 1918 to 1960, he found a strong relationship between stock prices and money supply in the United States. His conclusions, however, were mostly based upon graphical analysis.
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Goncalves-Pinto, Luis, Bruce D. Grundy, Allaudeen Hameed, Thijs van der Heijden, and Yichao Zhu. "Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market." Management Science 66, no. 9 (September 2020): 3903–26. http://dx.doi.org/10.1287/mnsc.2019.3398.
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Stock and options markets can disagree about a stock’s value because of informed trading in options and/or price pressure in the stock. The predictability of stock returns based on this cross-market discrepancy in values is especially strong when accompanied by stock price pressure, and it does not depend on trading in options. We argue that option-implied prices provide an anchor for fundamental stock values that helps to distinguish stock price movements resulting from pressure versus news. Overall, our results are consistent with stock price pressure being the primary driver of the option price-based stock return predictability. This paper was accepted by Tyler Shumway, finance.
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Parmar, Kanaiyalal Shantilal, and Chakrapani Chaturvedula. "The Effectiveness of Trade for Trade Segment as a Surveillance Effort to Prevent Price Manipulation: Evidence from India." Accounting and Finance Research 6, no. 1 (December 6, 2016): 9. http://dx.doi.org/10.5430/afr.v6n1p9.
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Indian Stock Exchanges use trade for trade segment as part of surveillance activity to restrict the unwanted growth in prices to safeguard the interest of the investors. This paper studies the impact of the announcement to shift securities to trade for trade segment on stock returns and volatility of the stock returns using event study methodology. It was found that the securities have generated exorbitant positive average abnormal returns during 30 days in the pre event period, which led the exchanges to shift these stocks to trade for trade segment. The event is found to be significantly impacting average abnormal returns during 30 days in the post event period showing the negative price reaction. Also volatility of the stocks returns is found to be increasing post the announcement.
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MALIK, MUHAMMAD IRFAN, and ABDUL RASHID. "RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE." Annals of Financial Economics 12, no. 02 (June 2017): 1750007. http://dx.doi.org/10.1142/s2010495217500075.
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This paper aims to investigate the return and volatility spillover between world oil prices and the sectoral stock of Pakistan. We estimate a bivariate VAR(1)-AGARCH (1,1) model using weekly data sampled from January 1, 2001 to December 31, 2015. The model results are used to estimate the optimal portfolio weights and hedge ratios. The empirical findings suggest no short-run price transmission between world oil prices and stock sectors of Pakistan Stock Exchange. Only the past unexpected shocks in world oil prices has significant effect on the volatility of sectoral stock returns of Pakistan Stock Exchange, and no volatility spillover exist between world oil price and stock sectors. The optimal portfolio weights and hedge ratios for oil/stock holdings are sensitive to sectors considered. These findings are of great interest for policy makers, hedge fund managers, [Formula: see text] investors and market participants.
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Kwark, Noe-Keol, Hyoung-Goo Kang, and Sang-Gyung Jun. "Can Derivative Information Predict Stock Price Jumps?" Journal of Applied Business Research (JABR) 31, no. 3 (May 1, 2015): 845. http://dx.doi.org/10.19030/jabr.v31i3.9222.
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<p>This study examines the predictability of jumps in stock prices using options-trading information, the futures basis spread, the cross-sectional standard deviation of returns on components in the stock index, and exchange rates. A stock price jump was defined as a large fluctuation in the stock price that deviated from the distribution thresholds of the past rates of return. This empirical analysis shows that the implied volatility spread between ATM call and put options was a significant predictor for both upward and downward jumps, whereas the volatility skew was less significant. In addition, the futures basis spread was moderately significant for downward stock price jumps. Both the cross-sectional standard deviation of the rates of return on component stocks in the KOSPI 200 and the won-dollar exchange rates were significant predictors for both upward and downward jumps.</p>
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Dewi, Adistie Nucke Arista, and Indri Kartika. "FAKTOR-FAKTOR YANG MEMPENGARUHI BID-ASK SPREAD PADA PERUSAHAAN MANUFAKTUR." Jurnal Akuntansi Indonesia 4, no. 2 (November 14, 2016): 85. http://dx.doi.org/10.30659/jai.4.2.85-96.
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The amount of information asymmetry faced by dealers will be reflected in the spread. Dealers will try to maintain the bid-ask spreads are optimal, so the need to determine the factors that affect the bid- ask spread . This study aimed to analyze the effect of stock returns, trading volume, variants of stock returns and stock prices to bid-ask spread stock . The population in this study are manufacturing companies that publish financial statements in the period 2010-2012 . The samples with purposive sampling, to obtain the 61 companies . From the data obtained were processed and analyzed using SPSS 19 o’clock, by means of multiple linear regression analysis. Multiple linear regression analysis was preceded with the classical assumption. The results showed that the first, the stock return significant negative effect on the bid- ask spread stock. Second, the volume of stock trading is not a significant positive effect on the bid- ask spread stock . Third, the stock price significant negative effect on the bid- ask spread stock. Fourth, variant stock returns are not significant positive effect terdahap stock bid-ask spread. Future studies could add other variables that stock price fluctuations (volatility) in the given period. Predicted volatility can affect the bid- ask spread stocks as investors memilliki enough information about the investment that not only perform certain transactions on the stock .
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Asif, Muhammad, Sharif Ullah Jan, and Shahid Iqbal. "OIL PRICES MOVEMENTS AND INDUSTRY STOCK RETURNS: EVIDENCE FROM PAKISTAN STOCK EXCHANGE (PSX)." March 2021 37, no. 01 (March 30, 2021): 84–96. http://dx.doi.org/10.51380/gujr-37-01-08.
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The recent financial and economic recessions have chiefly increased the importance of risk management and forecasting for business firms. Capital markets being the main pillar of economy are affected the most in such circumstances. The current study has attempted to investigate the impact of oil prices on the returns and volatility of Pakistani listed firms using the GARCH (1,1) model. Furthermore, this relationship has been investigated by categorizing the existing sectors of the Pakistan Stock Exchange (PSX) into oil producers, oil users, and oil substitutes for the period from January 2015 to December 2019. The findings of the study highlighted some strong evidence regarding the oil price movement and the firms’ returns across these sectors. Interestingly, firms’ returns behave differently about the magnitude of significance and direction of symbols based on their nature of the industry. Therefore, it is suggested for future studies to consider the nature of the sector of oil while exploring the relationship between oil prices and stock returns.
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MUNIR, QAISER, KOK SOOK CHING, FUMITAKA FUROUKA, and KASIM MANSUR. "THE EFFICIENT MARKET HYPOTHESIS REVISITED: EVIDENCE FROM THE FIVE SMALL OPEN ASEAN STOCK MARKETS." Singapore Economic Review 57, no. 03 (September 2012): 1250021. http://dx.doi.org/10.1142/s021759081250021x.
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The efficient market hypothesis (EMH), which suggests that returns of a stock market are unpredictable from historical price changes, is satisfied when stock prices are characterized by a random walk (unit root) process. A finding of unit root implies that stock returns cannot be predicted. This paper investigates the stock prices behavior of five ASEAN (Association of Southeast Asian Nations) countries i.e., Indonesia, Malaysia, Philippines, Singapore and Thailand, for the period from 1990:1 to 2009:1 using a two-regime threshold autoregressive (TAR) approach which allows testing nonlinearity and non-stationarity simultaneously. Among the main findings, our results indicate that stock prices of Malaysia and Thailand are a non-linear series and are characterized by a unit root process, consistent with the EMH. Furthermore, we find that stock prices of Indonesia, Philippines and Singapore follow a non-linear series, however, stock price indices are stationary processes that are inconsistent with the EMH.
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Lee, Hsiu-Chuan, Cheng-Yi Chien, Hsiang-Lan Chen, and Yen-Sheng Huang. "The Extended Opening Session of the Futures Market and Stock Price Behavior: Evidence from the Taiwan Stock Exchange." Review of Pacific Basin Financial Markets and Policies 12, no. 03 (September 2009): 403–16. http://dx.doi.org/10.1142/s021909150900168x.
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This paper examines how the introduction of the extended opening session of the futures market affects stock price behavior around the market opening. On January 1, 2001, the Taiwan Futures Exchange (TAIFEX) extended the trading hours by opening earlier 15 minutes than the Taiwan Stock Exchange (TWSE). This change presents an opportunity to analyze how the extended opening session of futures market affects stock price behavior. Compared with the pre-extension period, the empirical results show that stock returns are less volatile and return autocorrelations are less positively correlated around the stock market opening. Moreover, overreaction for opening prices of the stock market is mitigated in the post-extension period. Finally, unexpected futures returns during the extended opening session can predict overnight stock returns. Overall, the empirical results are consistent with Foster and Viswanathan (1990) in that informed traders will trade aggressively at the market opening.
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Wu, Songtao, Jianmin He, and Chao Wang. "Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity." Discrete Dynamics in Nature and Society 2017 (2017): 1–15. http://dx.doi.org/10.1155/2017/6831596.
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An artificial stock market with agent-based model is built to investigate effects of different information characteristics of common factors on the dynamics stock returns. Investors with limited information capacity update their beliefs based on the information they have obtained and processed and optimize portfolios based on beliefs. We find that with changing of concerned information characteristics the uncertainty of stock price returns rises and is higher than the uncertainty of intrinsic value returns. However, this increase is constrained by the limited information capacity of investors. At the same time, we also find that dependence between returns of stock prices also increased with the changing information environment. The uncertainty and dependency pertaining to prices show a positive relationship. However, the positive relationship is weakened when taking into account the features of intrinsic values, based on which prices are generated.
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Mollick, Andre, and Khoa H. Nguyen. "U.S. oil company stock returns and currency fluctuations." Managerial Finance 41, no. 9 (September 14, 2015): 974–94. http://dx.doi.org/10.1108/mf-02-2014-0029.
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Purpose – The purpose of this is paper is to pay a closer look at the 2008-2009 financial crisis (and its aftermath) and analyzes stock returns of nine major US oil companies as well as the oil and gas sector under daily data from January 1992 to April 2012. Design/methodology/approach – The authors adopt the arbitrage pricing theory model to examine the relationship between stock returns and their influences including oil price return, yield spreads, and US dollar index return. The authors also provide a test for structural changes in each regression model of return series to capture for multiple breaks. To examine the asymmetric effect of oil price returns on stock returns, the authors separate oil price returns series into two series: positive changes in oil price and negative changes in oil price. Findings – The authors find stock returns of oil companies as well as the oil and gas sector are positively affected by oil prices and have stronger effects in the downward direction. Interestingly, The authors find the effects of oil price movements on stock returns increase over time. The authors examine the possibility that investors wishing to hedge against a weakening USD invest in US oil companies and find that more than half of these companies benefit from a weaker USD against the JPY, while all strongly benefit from a weaker USD against major currencies. Originality/value – The authors employ daily data for two-decade period including the last global financial crisis. Due to the long-term period covered in this study, sequential Bai-Perron tests are used to detect structural breaks of stock return series. In addition, the data-dependent procedures result in good specifications throughout with white-noise processes in almost all cases.
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AMARAL, LUÍS A. N., VASILIKI PLEROU, PARAMESWARAN GOPIKRISHNAN, MARTIN MEYER, and H. EUGENE STANLEY. "THE DISTRIBUTION OF RETURNS OF STOCK PRICES." International Journal of Theoretical and Applied Finance 03, no. 03 (July 2000): 365–69. http://dx.doi.org/10.1142/s0219024900000218.
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We perform a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets. We consider (i) the trades and quotes (TAQ) database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994–95, and (ii) the Center for Research and Security Prices (CRSP) database, for which we analyze 35 million daily records for approximately 16,000 companies in the 35-year period 1962–96. We study the probability distribution of returns over varying time scales — from 5 min up to 4 years. For time scales from 5 min up to approximately 16 days, we find that the tails of the distributions can be well described by a power-law decay, characterized by an exponent α ≈ 3 — well outside the stable Lévy regime 0 < α < 2. For time scales greater than 16 days, we observe results consistent with a slow convergence to Gaussian behavior.
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Gupta, Anjali, and Purushottam Kumar Arya. "Impact of splits on stock splits ratios around announcement day: empirical evidence from India." Investment Management and Financial Innovations 17, no. 3 (October 6, 2020): 345–59. http://dx.doi.org/10.21511/imfi.17(3).2020.26.
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Stock split should not have any impact on share prices, and there should be no value creation. The purpose of this study is to find any impact of stock splits announced in India between 1999 and 2019 on stock returns. The study aims to find differences in the impact of stock splits on stock returns with differences in stock split ratios. To examine the impact, the study includes 224 splits and adopts the standard event study methodology to find results. The presence of an abnormal return around split announcement day is the main factor, which determines the impact of stock split on the stocks. Average Abnormal Returns and Cumulative Average Abnormal Returns on percentage basis, z-test and p-value are used to statistically analyze the impact on stock prices around the announcement day of splits. These tests are used across different window periods (e.g., 20 days, 10 days and 5 days) around the event day (announcement day) to check if the impact of the event continues or decreases over time. The results point to a significant positive impact of stock splits on the returns of stock around the day the split was announced. The results also show that the impact is stronger for stock splits with ratios 10:1 (2.72 percent) and 10:2 (2.14 percent). It can be suggested that 10:1 and 10:2 are the most popular split ratios that receive maximum ongoing response to splits in the announcement window.
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Hendershott, Terrence, Roman Kozhan, and Vikas Raman. "Short Selling and Price Discovery in Corporate Bonds." Journal of Financial and Quantitative Analysis 55, no. 1 (December 3, 2018): 77–115. http://dx.doi.org/10.1017/s0022109018001539.
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We show short selling in corporate bonds forecasts future bond returns. Short selling predicts bond returns where private information is more likely, in high-yield bonds, particularly after Lehman Brothers’ collapse of 2008. Short selling predicts returns following both high and low past bond returns. This, together with short selling increasing following past buying order imbalances, suggests short sellers trade against price pressures as well as trade on information. Short selling predicts bond returns both in the individual bonds that are shorted and in other bonds by the same issuer. Past stock returns and short selling in stocks predict bond returns but do not eliminate bond short selling predicting bond returns. Bond short selling does not predict the issuer’s stock returns. These results show bond short sellers contribute to efficient bond prices and that short sellers’ information flows from stocks to bonds but not from bonds to stocks.
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Kumar, Rajesh, and Sujit K S. "Wealth Creators in the Banking Sector in UAE during 2010-2015 Period." Asian Journal of Finance & Accounting 7, no. 2 (October 19, 2015): 152. http://dx.doi.org/10.5296/ajfa.v7i2.8256.
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<p>The returns of 20 actively traded banking stocks in UAE were analysed during the five and half year period 2010 to mid-2015.The performance of the stocks of banking firms was analysed in terms of yearly average returns, cumulative total returns and holding period returns. The stock prices were obtained from Abu Dhabi Stock Exchange and Dubai Financial Market websites.</p>
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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.