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Добірка наукової літератури з теми "Stock price adjustment"

Автор: Grafiati

Опубліковано: 10 січня 2023

Оновлено: 28 січня 2023

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Статті в журналах з теми "Stock price adjustment"

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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Дисертації з теми "Stock price adjustment"

Grandner, Thomas, and Dieter Gstach. "Joint adjustment of house prices, stock prices and output towards short run equilibrium." Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 2004. http://epub.wu.ac.at/158/1/document.pdf.

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A dynamic IS-LM model including stocks and houses as additional assets will be analyzed in this paper. Providing also housing services, a major consumption item for most households, houses create an additional link between the monetary and the real sector of the economy. The adjustment path of output, house prices and stock prices after exogenous policy shocks will be derived within a rational expectation setup. This will show how different reaction patterns of asset prices are related to different elasticities of housing services demand. These general analytical results are contrasted with relevant empirical work, particularly Lastrapes [2002], leading to the identification of plausible elasticity ranges. The particular results for those shed new light upon the ongoing discussion about demand effects from real estate wealth and about determinants of house price fluctuations. (author's abstract)
Series: Department of Economics Working Paper Series

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boon, Lim keh, and 林啟文. "The research of stock price adjustment behavior." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/05103294848970336351.

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He, Yu-Ju, and 何玉如. "The Effect of Oil Price Adjustment on Taiwan''s Industry Stock Price Index." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/42774511662597202829.

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碩士
朝陽科技大學
財務金融系碩士班
96
This research was carried out by using Event Study to study the effect of oil price adjustment of CPC on Taiwan’s main industry stock price index during April 2002 to end of 2007. The result indicated that, on announcement date, the standardized average abnormal returns of main industry stock were not noticeable. However, the standardized cumulative average abnormal returns of other industries were presented positive returns expect information and electronic industry which showed the opposite way. The sample had been divided into bull and bear period. The research found that, the increased oil price of CPC has more effect than the decreased price. The situation was more noticeable, particularly when the oil price of CPC adjustment period in bull market. By analyzing the frequency of obvious effect, plastics & chemical industry was the most frequent, followed by information and electronic industry, textile industry, transportation index, food industry and then steel metal industry. Therefore, this is clear to see that plastics & chemical industry has the most effect on the adjustment of CPC’s oil price but steel metal industry has the least. In addition, according to analyze of abnormal return of other main industry, it showed that, during textile industry and steel metal industry’s bear period, the decreased CPC’s oil price had higher the oil industry stock return rate. In bull period, the increased CPC’s oil price had higher the oil industry stock return rate of plastics & chemical industry, textile industry and transportation industry than the decreased price.

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Chen, Xian-Wen, and 陳憲文. "Analysis of price adjustment machanism in the transnational stock markets." Thesis, 1994. http://ndltd.ncl.edu.tw/handle/24090810572620856173.

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Lee, Chung-Chi, and 李中琦. "Influences of Lead-lag Effect on Taiwan Stock Price Adjustment." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/99168269656263726412.

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碩士
國立臺灣大學
國際企業學研究所
96
Due to friction existing in the market and constraints of information diffusion, the speed each firm reacts to the information varies. And because those different speeds of reactions influence the speed of stock price adjustment, it is possible that there might be certain asymmetric lead-lag effects existing in the stock market. If there is lead-lag effect, then which variable is the determinant, and whether the lead-effect contains a persistent and highly significant industry component are the issues worth discussed. Moreover, I want to find out if there are any other alternative determinants which can also result in lead-lag effects. This study is based on the method used by Hou (2007) estimating the lead-lag effects in American stock market to test the intra-industry (inter-industry) lead-lag effects among the weekly stock returns on the Taiwan Stock Exchange from 1st January, 1986 to 31st December, 2006. First, I estimate within industries, whether the lead-lag effect is caused from firm size. Then compare the intra-industry lead-lag effects and the inter-industry lead-lag effects based on the firm-size variable, and figure out if the industry-specific information is the primary source of lead-lag effects. Finally, I test other possible variables such as institutional ownership, turnover, and sales and see without influences from firm size, are they the alternative determinates causing intra-industry lead-lag effects. The results indicate that: 1. Within the same industry, the stock returns of big firms lead the stock returns of small firms significantly. 2. Based on the firm-size variable, the lead-lag effect within industries is significantly stronger than the lead-lag effect across industries. 3. Under the condition of removing the influences of firm size, institutional ownership, turnover, and sales are also the determinants of lead-lag effects within industries.

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Hsieh, Yi-Li, and 謝易利. "The announcement effect of the CPC oil price adjustment on food industry stock price." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/05927507993016264471.

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碩士
國立高雄第一科技大學
金融營運所
95
CPC has a social function to stabilize price of commodities. There is a relationship between the characteristic of price policy on CPC and the food which is the energy of human lives. We shall discuss the relationship between the impacts of food industry stock price and the raising of CPC oil price. Food is the necessity of the human kind. We use the method of “Event Study” to analyze the announcement effect of the CPC oil price adjustment on food industry stock price. We can obtain a conclusion from Event Study. There is not an obvious abnormal return when CPC adjusts oil price on the same day, while there is an obviously abnormal return before the event day, because of the information leakage. After the event day, there is higher abnormal return because of higher commodity price. Moreover, the higher CPC raises oil price, the more abnormal return CPC can get. Therefore, from the relationship between oil price raise and raise scale and abnormal return of sample company scale, we can obtain two conclusions as follows. 1. If the company has larger size in capital, it has higher abnormal return of stock price than that of all sample companies as CPC raises oil price; and the abnormal return will be higher than that of the company on less capital. 2. If the company has larger size in capital, it has higher abnormal return than that of all sample companies; and the abnormal return is higher too on all sample companies and on small size in capital .

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Chung, Shu-June, and 張淑貞. "A Re-examination of the Ex-date Stock Price Adjustment to Stock Dividends: Observation from Taiwan." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/95990224018764055589.

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Lee, Rong-Zhau, and 李榮釗. "The Effect of Oil Price Adjustment on Taiwan’s Stock After a Financial Crisis." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/gqhdrx.

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Tzeng, Sheng-Fu, and 曾生富. "Holmes-Smyth Effect, Intertemporal Policy Mix and the Dynamic Adjustment of Stock Price." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/04264364539505304745.

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Cheng-Ta, Hsieh, and 謝承達. "Exchange Rates Policy Announcement and Stock Price Dynamics Adjustment under Fixed Exchange Rates Regime." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/80751577231633660629.

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碩士
嶺東科技大學
財務金融研究所
95
Before 1960, the studies of international finance mostly attend to the foreign exchange market and neglecting the relationship between the foreign exchange market and other markets. Until the initial stage of 1960, Mundell (1963) and Fleming (1962) had builted a general equilibrium analytic model. Is this model we call Mundell-Fleming model. When Mundell-Fleming model was proposed, the price-level of social environment appeared stable, so this model was hypothesized the price was fixed. In the initial stage of 1970,there was a stagflation happened to international, in order to accord with the social form, Dornbusch issued ' Expectations and Exchange Rate Dynamics ' in 1976. In the article, he changed price stiff firm of Mundell-Fleming model into varied price and fixed output model. This article also drove the studying trend of Exchange Rate Dynamics adjust. Blanchard issued ‘Output, the Stock Market and Interest Rates’ in 1981 thereafter. This is the first classical literature of stock price dynamics under anticipated assumption. This article extended the model of Dornbusch (1976) and Blanchard (1981), under the fixed exchange rate , set up a opening economic system which include the commodity market, money market, foreign exchange market, and stock market. Treating of the effect of policy change (including the change of exchange rate) to the domestic stock price and influences of the foreign exchange reserve. In this article, we found: 1. For long-term equilibrium, when the government administered expansion financial policy, the impact on stock price is uncertainty, it depend on capital moving degree ,the proportion of the output distribute to shareholders and the relative size of the net export price elastic . 2.Under the fixed exchange rate system, the economic system has a positive root and a negative root, it mains the economic system has the characteristic of saddle point stability. When the government announces the exchange depreciation, stock price and foreign exchange reserve will move towards the new long-run equilibrium through the stability function of this system, this is consistent with the cointegration and GARCH model for real example. 3.When , after the policy announce to the policy implement. The foreign exchange reserve will present the phenomenon of misadjustment. 4.For long-run equilibrium, the government increases the domestic credit level have no effect on stock price; but that will reduce the foreign exchange reserve. In other words, the currency for a long-run does not have neutrality. 5.When the foreign nominal interest rises, for a long-run equilibrium, the stock price will be dropped; and the foreign exchange reserve will be reduced.

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Книги з теми "Stock price adjustment"

Gweon, Seong C. Rational expectations, supply effect, and stock price adjustment process: A simultaneous equation approach. [Urbana, Ill.]: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1985.

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Jabbour, George. The option trader handbook: Strategies and trade adjustments. 2nd ed. Hoboken, NJ: Wiley, 2010.

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Philip, Budwick, ed. The option trader handbook: Strategies and trade adjustments. 2nd ed. Hoboken, N.J: Wiley, 2010.

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Budwick, Phillip, and George Jabbour. Option Trader Handbook: Strategies and Trade Adjustments. Wiley & Sons, Incorporated, John, 2004.

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Budwick, Philip H., and George Jabbour. Option Trader Handbook: Strategies and Trade Adjustments. Wiley & Sons, Incorporated, John, 2009.

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Budwick, Philip H., and George Jabbour. Option Trader Handbook: Strategies and Trade Adjustments. Wiley & Sons, Incorporated, John, 2010.

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Budwick, Phillip, and George Jabbour. Option Trader Handbook: Strategies and Trade Adjustments. Wiley & Sons, Incorporated, John, 2009.

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Budwick, Philip H., and George Jabbour. Option Trader Handbook: Strategies and Trade Adjustments. Wiley & Sons, Incorporated, John, 2009.

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Budwick, Philip H., and George Jabbour. Option Trader Handbook: Strategies and Trade Adjustments. Wiley & Sons, Limited, John, 2015.

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Budwick, Phillip, and George Jabbour. Option Trader Handbook: Strategies and Trade Adjustments. Wiley & Sons, Incorporated, John, 2004.

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Частини книг з теми "Stock price adjustment"

Arouri, Mohamed El Hedi, Fredj Jawadi, and Duc Khuong Nguyen. "Threshold Stock Price Adjustments." In The Dynamics of Emerging Stock Markets, 73–89. Heidelberg: Physica-Verlag HD, 2009. http://dx.doi.org/10.1007/978-3-7908-2389-9_4.

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Al-Rjoub, Samer A. M. "The Adjustments of Stock Prices to Information on Inflation: Evidence from MENA Countries." In Global Stock Markets and Portfolio Management, 23–35. London: Palgrave Macmillan UK, 2006. http://dx.doi.org/10.1057/9780230599338_3.

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Jawadi, Fredj. "Threshold stock price adjustment." In Advances in Econometrics, 183–98. Emerald Group Publishing Limited, 2009. http://dx.doi.org/10.1108/s0731-9053(2009)0000024011.

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Smithers, Andrew. "Corporate Leverage and Household Portfolio Preference." In The Economics of the Stock Market, 31–33. Oxford University Press, 2022. http://dx.doi.org/10.1093/oso/9780192847096.003.0005.

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In an economy in which there are only two sectors, corporations and households, the ratio of debt to equity must be the same in both. If households wish to hold more debt, companies must become more leveraged. Because there are large differences in price elasticities the adjustment occurs through changes in bond yields, rather than in equity returns. Corporate leverage is endogenous and equilibrium is achieved, when fiscal policy and portfolio preference alter, by its response to them via changes in bond yields. Fiscal deficits vary with the cycle, but the possibility of different secular levels rests on the assumption that the economy has more than one possible equilibrium. This is implied by the neoclassical consensus though, due to its failure to recognize the need for the balance between portfolio preference and leverage, there is no analysis on whether the output of economies operating under these different equilibria will grow at different rates. The model explains how this balance is achieved and indicates that an economy with a fiscal deficit and higher interest rates will tend to grow more slowly than one with smaller deficits and lower long-term interest rates.

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Nolte, David D. "Economic Dynamics." In Introduction to Modern Dynamics, 308–52. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198844624.003.0010.

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In microeconomics, forces of supply and demand lead to stable competition as well as business cycles. Continuous systems with price and quantity adjustments and a cost of labor exhibit Hopf bifurcation and a bifurcation cascade to chaos. Discrete cobweb models capture delayed adjustments that also can exhibit bifurcation cascades. In macroeconomics, investment-savings and liquidity-money capture dynamics in real income related to interest rates. Inflation and unemployment are also coupled through the Phillips curve with adaptive expectations. The stochastic dynamics of the stock market is introduced through stochastic variables that can be added to continuous-time price models. An important example of a stochastic dynamics in econophysics is the Black–Scholes equation for options pricing.

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Smithers, Andrew. "How the Market Returns to Fair Value." In The Economics of the Stock Market, 109–10. Oxford University Press, 2022. http://dx.doi.org/10.1093/oso/9780192847096.003.0021.

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The stock market rotates around fair value, which is when corporate net worth and the market valuation of corporate equity are, when correctly valued, equal—the q ratio is mean reverting. This could occur through changes in net worth or in value or in some combination of both. To fit the assumptions of the neoclassical synthesis the adjustment must come from rises in net worth in response to changes in investment. It doesn’t and attempts to explain the incompatibility of the data on q with the neoclassical synthesis by allowing for tax effects have not succeeded. The mean reversion of equity q must therefore come from that of share prices and this is the natural effect of the stationarity of equity returns. When the market is cheap the returns from it are high and when overpriced low, so the risk of loss increases as share prices rise and declines as they fall. The rewards from holding equities thus rise and fall in a way that serves to restrict their swings.

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Smithers, Andrew. "Life Cycle Savings Hypothesis." In The Economics of the Stock Market, 140–42. Oxford University Press, 2022. http://dx.doi.org/10.1093/oso/9780192847096.003.0028.

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Consensus models assume that the return on capital is set by a constant, psychologically determined, discount rate. The evidence is against this. The stationarity of equity returns and its absence from returns on total capital require a wide variation in either interest rates or leverage. As real interest rates fluctuate over time within a narrow range, the cause of major divergence between the returns on equity and total capital lies in variations in leverage, matched by those in household portfolio preference. Leverage varies and its fluctuations are not offset by changes in interest rates. The return on bonds is not, as consensus models imply, positively correlated with those on equity. Because the return on equity is inelastic to changes in bond yields and leverage is not, the process of adjustment only involves small changes in long bond yields and none in the return on equity. The large difference in bond and equity returns results from the utility function of savers being determined by their prime aim which is to preserve consumption in retirement, contrary to the usual assumption that savings are driven by a wish to boost spending. Retirement savings dominate the household sector’s total financial assets.

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Drobak, John N. "Legitimization of Greed—Heartbreak to Workers." In Rethinking Market Regulation, 81–100. Oxford University Press, 2021. http://dx.doi.org/10.1093/oso/9780197578957.003.0007.

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Chapter 7 discusses the changes in norms that have made it acceptable to make as much money as possible in any legal way, even at great harm to labor and communities. The chapter also considers the role of the media in glorifying the wealthy, along with its constant reporting of stock prices—which reinforces the belief that corporations exist only for shareholders. The chapter shows how the quest for wealth this century has led to a large, growing disparity in both income and wealth. Then the chapter examines the imprecision of unemployment statistics, showing how the statistics (1) overlook people who are not seeking work, and (2) disregard the change in pay and benefits when displaced workers take new jobs. In trying to assess the permanence of the harm caused to displaced workers, the chapter examines retaining programs under the Trade Adjustment Assistance program, which was designed to help workers who lost their jobs as a result of outsourcing. In what may be a surprising result, a number of studies have shown that retraining generally does not improve the employment prospects of displaced workers. Finally, the chapter looks at the tragic effects on two communities from the closing of an automobile manufacturing plant in Janesville, Wisconsin, and the shrinkage of a glass manufacturing company in Lancaster, Ohio.

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Plane, Mathieu, and Francesco Saraceno. "2. Public Investment and Capital in France." In A European Public Investment Outlook, 33–48. Open Book Publishers, 2020. http://dx.doi.org/10.11647/obp.0222.02.

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In chapter 2, Mathieu Plane and Francesco Saraceno take up the case of France, where public investment has seen contrasting trends in recent decades. Although it was rather dynamic until the 2000s, a real inflection took place at the turn of 2010 when the government turned to austerity, and a large part of fiscal adjustment was achieved by reducing capital expenditure. Their chapter starts by looking at the evolution of general government net wealth from the late 1970s. While still positive, the consolidated net wealth is today at an all-time low. Indeed, after reaching a record level in 2007 (58.1% of GDP) it has lost 45 points of GDP in the space of eleven years. Plane and Saraceno then focus on the evolution of the stock of non-financial assets held by the general government. Most of this is non-produced (land), and it has fluctuated greatly because of changes in prices. The stock of fixed assets, which represents the accumulation of public productive capital, has been much more stable, and it is owned mostly by local governments. The authors then focus on flows (investment), to conclude that, with the exception of intellectual property rights, all components of public investment are today at historic lows and it is “civil engineering works” that have experienced the greatest decline. For the last three years, public net investment was negative, meaning that France does not accumulate public capital anymore. In fact, since 2009 the increase of debt has not been used to finance new investment but mostly current expenditure. Finally, the chapter analyses, by means of a multi-sector macroeconomic model, the impact on growth in different macro sectors, of a permanent increase of public investment. Based on this analysis, the chapter concludes with an assessment of the public investment needs of the French economy, and, like other chapters of the Report, pleads for the introduction of a Golden Rule of public finances aimed at preserving capital expenditure.

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Тези доповідей конференцій з теми "Stock price adjustment"

Zeng, Ning, and Xixi Li. "INTEREST RATE ADJUSTMENT AND STOCK MARKET – THE CASE STUDY OF CHINA." In 5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eman.s.p.2021.31.

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This paper examines the impact of interest rate adjustment on the stock market in China. We collect the interest rate adjustment periods from April 21, 1991 to October 24, 2015 since the estab¬lishment of the stock market. Through an Error Correction model together with Granger causality, we investigate responses of the stock index to interest rate adjustment. Our findings suggest that there is existing a long-term reverse relationship between interest rate adjustment and stock index. The impact of interest rate adjustment on stock index returns could not be long-term disequilibria, which will be corrected in short-time. Also, the interest rate is the granger cause of the stock price index, while the stock price index is not the granger cause of interest rate.

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Peovski, Filip, Igor Ivanovski, and Sulejman Ahmedi. "FINANCIAL SECTOR STOCKS REACTION TO COVID-19 EVENTS." In Economic and Business Trends Shaping the Future. Ss Cyril and Methodius University, Faculty of Economics-Skopje, 2021. http://dx.doi.org/10.47063/ebtsf.2021.0023.

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Price fluctuations in the financial sector are often of major interest when projecting the general performance and state of the economy. The implications of the COVID-19 pandemic in the sector are analyzed through the event study method. A random sample portfolio of 20 financial sector stocks listed on the NYSE is used and its reaction on 15 different events throughout 2020 is observed. Results indicate that events in the earlier stage of the pandemic exhibit both higher abnormal returns and significance, compared to the ones at the latter stages, with a larger proportion of them being bad news. The financial sector is perceived to react significantly in such cases, usually anticipating them beforehand. As adjustment windows are rarely significant, the market’s reaction is deemed as efficient. The general conclusion is that the financial sector stocks react to important COVID-19 news, generating abnormal rather than expected returns.

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Dias, Rui, Paula Heliodoro, Paulo Alexandre, and Maria Manuel. "EVIDENCE OF INTRADAY MULTIFRACTALITY IN BRIC STOCK MARKETS: AN ECONOPHYSICS APPROACH." In Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/itema.s.p.2020.57.

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The pandemic outbreak (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay intends to analyse the efficiency, in its weak form, in the BRIC markets, namely the stock indexes of Brazil (BRAZIL IBOVESPA), China (Shanghai Stock Exchange), India (S&P BSE SENSEX), Russia (MOEX Russia). The data are intraday (1 hour), from May 2019 to May 2020; to obtain more robust results, we divided the sample into time scales up to 5 days (Period I), and above 10 days (Period II), in a complementary way, and we use the opening and closing prices to estimate the adjustment time of each market. The results indicate that the BRIC markets have significant persistence (over 10 days), which may jeopardize market efficiency, in its weak form. On the other hand, the low initial correlation in certain stock indexes may create some arbitrage opportunities. However, our study did not analyse anomalous meturns in these financial markets. These conclusions also open space for market regulators to take measures to ensure better information between these markets and international ones.

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Heliodoro, Paula, Rui Dias, Paulo Alexandre, and Cristina Vasco. "INTEGRATION IN BRIC STOCK MARKETS: AN EMPIRICAL ANALYSIS." In 4th International Scientific Conference – EMAN 2020 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/eman.s.p.2020.33.

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This paper aims to analyse financial integration in the markets of Brazil, China, India and Russia (BRIC’s), from July 2015 to June 2020, being the sample split in pre and during the global pandemic (Covid-19). In order to carry out this analysis, different approaches were undertaken to analyse two issues, namely, whether: (i) the global pandemic has accentuated the interdependencies in the BRIC financial markets? If so, how it has influenced the efficiency of portfolio diversification. The results suggest very significant levels of integration, in the Covid period these evidences diminish the chances of portfolio diversification in the long term. In turn, the analysis of the relationship between markets, in the short term, through the impulse response functions, in a period of global pandemic, shows positive/negative movements, with statistical significance, with persistence exceeding one week. In addition, there was no immediate adjustment in prices between markets, due to the high levels of shocks identified. Regarding the implementation of efficient portfolio diversification strategies, we consider that a good option for investors would be to avoid investments in stock markets. In this sense, one suggestion could be to invest in derivatives, gold and sovereign debt markets, with the purpose of diversifying portfolios and mitigating the risk arising from the global pandemic. The authors consider that the results achieved are of interest to investors seeking opportunities in these exchanges, as well as to policy makers to undertake institutional reforms in order to increase the efficiency of stock markets and promote the sustainable growth of financial markets.

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Barbosa, Fábio C. "Brazilian Freight Rail Concessions Overview: Current Outcomes and Perspectives." In 2019 Joint Rail Conference. American Society of Mechanical Engineers, 2019. http://dx.doi.org/10.1115/jrc2019-1237.

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The formerly public owned Brazilian Freight Rail System was under pressure in the middle nineties, mainly due to the revenue insufficiency, resulting from the government rate control policy and the inherent lack of investments, as well as the increasing funding requirements from the public budget. In this context, the system has been denationalized in the mid nineties, following a corridor format, with 11 regionalized concessions, with 30 year term contracts, running under a price-cap rate regime. The denationalization model has set contractual production and safety targets, which ultimately have indirectly set the required investments to comply with the contractual targets. The post denationalization scenario has allowed the rehabilitation of the former freight rail installed capacity, as a result of private investments on both rail network and rolling stock. The acknowledged freight rail system installed capacity recovery, followed by a profit guided management, have fostered the improvement of freight rail system’s performance, which ultimately have been translated into system’s production and safety enhancements. Albeit the huge advances observed during the first half of contract terms, there were some hurdles to be addressed, mainly the low interoperability/interchange rates, as well as the lack of greenfield investments, required for the necessary expansion of the Brazilian rail network. In this context, the regulatory authority has issued, in 2011, a rail regulatory package reform, focused on: i) interoperability improvement; ii) a widespread service coverage along the rail network (stretches production targets) and iii) a compilation of rail stakeholders (shippers and carriers) rights and obligations. The so called 2011 rail regulatory package has brought more transparency and equilibrium among shippers and carriers relationship, but has not addressed the lack of greenfield required rail investments, necessary to expand the freight rail share on Brazilian transport matrix. In this context, the Brazilian Government has proposed in 2012 the Freight Rail System Unbundling (Open Access Model), in which infrastructure managers would be in charge of providing rail capacity (with the guarantee of the demand risk covered by the Brazilian government) and granted rail operators allowed to operate on the network under a fee payment. However, the unbundled freight rail proposal has not evolved, mainly due to the lack of funding required to guarantee rail infrastructure managers return on investments, resulted from a strong fiscal crisis. Currently, the Brazilian Rail Regulatoy Authority is working on a proposal to extend the current (bundled) freight rail contracts, conditioned to contractual adjustments, focused on the imposition of mandatory investments for capacity improvement and interoperability enhancement. This work is supposed to present an overview of Brazilian Freight Rail System’s performance evolution since the denationalization process, followed by an assessment of the 2011 Rail Regulatory Reform, the 2012 Rail Unbunbled initiative attempt and the perspectives associated with the current freight rail bundled contract term extension proposal.

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