Narrative Intensity and Stock Market Instability

2021 ◽  
pp. 240-264
Keyword(s):  
Stock Market ◽  
Market Instability

scholarly journals Ownership structure and corporate governance: What does the data reveal about Saudi listed firms?

2017 ◽  
Vol 14 (4) ◽  
pp. 413-424 ◽  
Author(s):  
Mamdouh Abdulaziz Saleh Al-Faryan ◽  
Everton Dockery
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Firm Size ◽  
Ownership Structure ◽  
Ownership Concentration ◽  
Listed Firms ◽  
Ownership Structures ◽  
Market Instability ◽  
Positive Effect ◽  
Size Variable

In this paper we examine the ownership structure of 169 firms listed on the Saudi Arabian stock market from 2008 to 2014. The analysis uses the testing methodology described by Demsetz and Lehn (1985) to examine the effects of firm and market instability on Saudi ownership structure and additionally, the effect of systematic regulation that imposes constraints on the behaviour of the selected listed firms. We find evidence, for the majority of the ownership structures considered, in favour of the view that firm size, regulation and instability affects ownership structure. The results suggest that the size variable has a positive effect on ownership concentration. Our analysis also shows that instability had some effect on ownership concentration and structure when using the non-linear specification, particularly when using firm specific instability, albeit the effect was stronger when the instability measure was accounting profit returns. Lastly, there is evidence that government-owned firms were mostly affected by regulation while diffused owned firms were affected most by instability than non-government owned firms.

scholarly journals Hedonic Pricing on the Fine Art Market

Information ◽  
2020 ◽  
Vol 11 (5) ◽  
pp. 252
Author(s):  
Anna Zhukova ◽  
Valeriya Lakshina ◽  
Liudmila Leonova
Keyword(s):  
Stock Market ◽  
Price Index ◽  
Art Market ◽  
Fine Art ◽  
Hedonic Pricing ◽  
Influential Factors ◽  
Special Treatment ◽  
Asset Return ◽  
Heckman Model ◽  
Market Instability

In conditions of the stock market instability the art assets could be considered as an attractive investment. The fine art market is very heterogeneous which is featured by uniqueness of the goods, specific costs and risks, various peculiarities of functioning, different effects and, hence, needs special treatment. However, due to the diversity of the fine art market’s goods and the absence of the systematic information about the sales, researchers do not come to the same opinion about the merits of the art assets conducting studies on single segments of the market. We make an attempt to investigate attractiveness of the fine art market for investors. Extensive data was collected to obtain a complete pattern of the market analyzing it within different segments. We use the Heckman model in order to estimate the art asset return and find out the most influential factors of art price dynamics. Based on the estimates obtained we construct monthly art price index and compare it with S&P500 benchmark.

How Novelty and Narratives Drive the Stock Market

2021 ◽  
Author(s):  
Nicholas Mangee
Keyword(s):  
Big Data ◽  
Stock Market ◽  
Real Time ◽  
Textual Analysis ◽  
Comprehensive Investigation ◽  
Animal Spirits ◽  
Corporate Scandals ◽  
Financial News ◽  
Market Instability ◽  
The U.S

'Animal spirits' is a term that describes the instincts and emotions driving human behaviour in economic settings. In recent years, this concept has been discussed in relation to the emerging field of narrative economics. When unscheduled events hit the stock market, from corporate scandals and technological breakthroughs to recessions and pandemics, relationships driving returns change in unforeseeable ways. To deal with uncertainty, investors engage in narratives which simplify the complexity of real-time, non-routine change. This book assesses the novelty-narrative hypothesis for the U.S. stock market by conducting a comprehensive investigation of unscheduled events using big data textual analysis of financial news. This important contribution to the field of narrative economics finds that major macro events and associated narratives spill over into the churning stream of corporate novelty and sub-narratives, spawning different forms of unforeseeable stock market instability.

scholarly journals Do Banking and Financial Services Sectors Show Herding Behaviour in Indian Stock Market Amid COVID-19 Pandemic? Insights from Quantile Regression Approach

2021 ◽  
pp. 097639962110323
Author(s):  
P. K. Mishra ◽  
S. K. Mishra
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Financial Services ◽  
Stock Exchange ◽  
Financial Assets ◽  
Supply Chain Disruptions ◽  
Market Participants ◽  
Market Instability ◽  
Indian Stock Market ◽  
Stock Market Investment

In India, the coronavirus (COVID-19) pandemic-induced country-wide regulatory lockdown and consequential supply-chain disruptions and market instability have all posed serious challenges before the regulators and policymakers. Amid the pandemic, the stock market showed return volatilities primarily due to the unexpected investors’ behaviour. One of the behavioural biases is herding, which has the power to wreck the market equilibrium and shatter the market efficiency. Given that the pandemic has generated unprecedented spirals of uncertainties across the globe, thereby creating interruptions in the pattern of stock market investment decisions, this study examined the herding behaviour of 54 stocks of banking and financial services sectors listed in the national stock exchange. In the quantile regression framework, the study provides evidence of the presence of herding for public sector banking and financial services under the bull market conditions during the pandemic in the 90th quantile of the return distribution. This finding has implications for the mispricing of financial assets in these sectors. So, the study suggests removing information asymmetry among the market participants and devising policy initiatives for ensuring market stability.

An early warning system for financial crisis using a stock market instability index

2009 ◽  
Vol 26 (3) ◽  
pp. 260-273 ◽  
Author(s):  
Dong Ha Kim ◽  
Suk Jun Lee ◽  
Kyong Joo Oh ◽  
Tae Yoon Kim
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Early Warning ◽  
Early Warning System ◽  
Warning System ◽  
Instability Index ◽  
Market Instability

scholarly journals Application of ensemble of recurrent neural networks for forecasting of stock market sentiments

Equilibrium ◽  
2018 ◽  
Vol 13 (1) ◽  
pp. 7-27 ◽  
Author(s):  
Nijole Maknickiene ◽  
Indre Lapinskaite ◽  
Algirdas Maknickas
Keyword(s):  
Stock Market ◽  
Prediction Model ◽  
Financial Markets ◽  
Investor Sentiment ◽  
Value Added ◽  
Individual Investors ◽  
Stock Indices ◽  
Market Dynamic ◽  
Market Instability ◽  
The Individual

Research background: Research and measurement of sentiments, and the integration of methods for sentiment analysis in forecasting models or trading strategies for financial markets are gaining increasing attention at present. The theories that claim it is difficult to predict the individual investor’s decision also claim that individual investors cause market instability due to their irrationality. The existing instability increases the need for scientific research.   Purpose of the article: This paper is dedicated to establishing a link between the individual investors’ behavior, which is expressed as sentiments, and the market dynamic, and is evaluated in the stock market. This article hypothesizes that the dynamics in the market is unequivocally related to the individual investor’s sentiments, and that this relationship occurs when the sentiments are expressed strongly and are unlimited. Methods: The research was carried out invoking the method of Evolino RNN-based prediction model. The data for the research from AAII (American Association of Individual Investors), an investor sentiment survey, were used. Stock indices and sentiments are forecasted separately before being combined as a single composition of distributions. Findings & Value added: The novelty of this paper is the prediction of sentiments of individual investors using an Evolino RNN-based prediction model. The results of this paper should be seen not only as the prediction of the connection and composition of investors’ sentiments and stock indices, but also as the research of the dynamic of individual investors’ sentiments and indices.

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