scholarly journals Microscopic Understanding of Cross-Responses Between Stocks: A Two-Component Price Impact Model

2017 ◽  
Vol 03 (03n04) ◽  
pp. 1850009
Author(s):  
Shanshan Wang ◽  
Thomas Guhr
Keyword(s):  
Price Change ◽  
Time Lag ◽  
Price Impact ◽  
Impact Model ◽  
Response Functions ◽  
Short Term ◽  
Impact Function ◽  
Price Impacts ◽  
Component Price ◽  
The Impact

We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-term liquidity of this stock itself and of the information about other stocks, we introduce a self- and a cross-impact function of the time lag. We model the average cross-response functions for individual stocks employing the impact functions of the time lag, the impact functions of traded volumes and the trade-sign correlators. We further quantify and interpret the price impacts of time lag in terms of temporary and permanent components. To support our model, we also analyze empirical data, in particular the memory properties of the sign self- and average cross-correlators. The relation between the average cross-responses and the traded volumes which are smaller than their average is of power-law form.

scholarly journals How Does A Firm’s Previous Social Network Position Affect Innovation? Evidence from Chinese Listed Companies

2019 ◽  
Vol 11 (4) ◽  
pp. 1191 ◽  
Author(s):  
Xuan Wei ◽  
Wei Chen
Keyword(s):  
Social Network ◽  
Time Lag ◽  
Listed Companies ◽  
Negative Binomial Regression Model ◽  
Short Term ◽  
Network Position ◽  
Chinese Listed Companies ◽  
Lag Structure ◽  
The Impact ◽  
Social Network Position

The impact of social network position on innovation has been widely confirmed in past studies. However, research on the time-lag structure of the impact is still insufficient. Within the time window 2010 to 2017, this study constructs a two-mode social network between Chinese listed companies and other participants. To analyze the lag structure of the effect of social network position on innovation, this study uses a panel negative binomial regression model transformed by the Almon polynomial. The results show that a firm does need an advantageous past social network position for innovation. Previous local and global centrality in a social network has a different influence on innovation. For the local centrality indices, degree centrality has a positive impact in the short-term, but has a negative impact in the long-term; the impact of betweenness centrality is not significant in the short-term and is negative in the long run. For the global centrality indices, closeness centrality has a positive influence that decreases with the increase of the time-lag. At the same time, using the method of necessary condition analysis (NCA), this study calculates the bottleneck for a given innovation level. Finally, based on these research conclusions, the theoretical implications and management practice implications are summarized.

Study on Effect of Oil Price Rising on China’s General Price Level

2011 ◽  
Vol 347-353 ◽  
pp. 3836-3841
Author(s):  
Shu Sen Gui ◽  
Hai Lin Mu ◽  
Nan Li
Keyword(s):  
Price Level ◽  
Price Change ◽  
Price Impact ◽  
Oil Price ◽  
Input Output ◽  
Price Model ◽  
Economic Sectors ◽  
General Price Level ◽  
Rate Of Increase ◽  
The Impact

This paper analyzes and evaluates the oil price change on effects of China’s general price level and economic sectors’ price level by adopting the input-output price model and input-output of China in 2007. In the case of oil price rise 100%: Compare with the results over the years show that oil price impact on the whole society increased year by year, and the rate of increase present accelerated tendency; Compare with the other energy sector, the impact of oil prices level is generally lower than the price of electricity and heat levels.

Terrorism and tourism in Israel

2016 ◽  
Vol 23 (6) ◽  
pp. 1343-1352 ◽  
Author(s):  
Marion Karl ◽  
Gordon Winder ◽  
Alexander Bauer
Keyword(s):  
Time Lag ◽  
Research Model ◽  
Long Term Effects ◽  
Short Term ◽  
Event Tourism ◽  
Using Data ◽  
Terrorist Event ◽  
The Impact ◽  
The Relationship

While the relation between terrorism and tourism has been an important topic for tourism research, the questions whether terrorism affects tourism immediately and how long after a terrorism event tourism recovers are, as yet, not clearly answered. The aim of this article is to better understand the magnitude and temporal scale of the impact of terrorism on tourism. To this end, a research model differentiating between short-term and long-term effects of terrorism on tourism is developed and analyzed for the destination Israel using data on tourists from Germany. The results show both short-term and long-term impacts with a time lag between the terrorist event and the beginning of tourism decline of 1 or up to 6 months. An economic influence on the development of tourist arrivals was not detected, but seasonality plays an important role in the relationship between terrorism and tourism.

scholarly journals The Impact of the PSR Rural Insurance Program on the Agricultural Productivity in the Matopiba Region of Brazil

2021 ◽  
Vol 12 (4) ◽  
pp. 1
Author(s):  
Francisco José da Silva Tabosa ◽  
Pablo Urano de Carvalho Castelar ◽  
José Eustáquio Ribeiro Vieira Filho ◽  
Domingos Isaías Maia Amorim ◽  
Maria Josiell Nascimento Da Silva
Keyword(s):  
Government Subsidy ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Short Term ◽  
Insurance Program ◽  
Auto Regressive ◽  
Subsidy Program ◽  
Second Year ◽  
Soy Production ◽  
The Impact

The present work aims to analyze the impact of a government subsidy program of rural insurance in Brazil, (called the Programa de Subvenção ao Prêmio de Seguro Rural - PSR), on the productivity of insured producers in the MATOPIBA region of the country, which encompasses four Brazilian states, Maranhão, Tocantins, Piauí and Bahia, between the years 2008 to 2019. For this, municipalities were selected that had at least one insured producer throughout the analyzed period. The variables used were the number of producers, the number of insurance policies, the planted area, the productivity obtained and the insured financial amount of the producers. The methodological procedure was based on Auto-regressive Vectors (VAR) for panel data. The results showed a concentration, of all the variables used in the research, in the state of Bahia, mainly in the municipalities of Formosa do Rio Preto and São Desidério, whose main economic activity is soy production. It was also found that the impulse response functions on productivity obtained through a shock in the other variables, except the planted area variable, the others showed positive initial (short-term) responses until the second year. The average time for responses to smooth over time occurs from the sixth year onwards.

scholarly journals EXPRESS: Measuring the real-time stock market impact of firm-generated content

2021 ◽  
pp. 002224292110428
Author(s):  
Ewelina Lacka ◽  
D. Eric Boyd ◽  
Gbenga Ibikunle ◽  
P.K. Kannan
Keyword(s):  
Subject Matter ◽  
High Frequency ◽  
Stock Price ◽  
Price Impact ◽  
Negative Valence ◽  
Price Impacts ◽  
Competitor Orientation ◽  
Frequency Changes ◽  
The Impact

Firms increasingly follow an ‘always on’ philosophy, producing multiple pieces of firm-generated content (FGC) throughout the day. Current methodologies used in marketing are unsuited to unbiasedly capturing the impact of FGC disseminated intermittently throughout the day in stock markets characterized by ultra-high frequency trading. They also neither distinguish between the permanent (i.e. long-term) and temporary (i.e. short-term) price impacts nor identify FGC attributes capable of generating these price impacts. In this study, the authors define price impact as the impact on the variance of stock price. Employing a market microstructure approach to exploit the variance of high frequency changes in stock price the authors estimate the permanent and temporary price impacts of the firm-generated Twitter content of S&P 500 IT firms. The authors find that firm-generated tweets induce both permanent and temporary price impacts, which are linked to tweet attributes; valence and subject matter. Tweets reflecting only valence or subject matter concerning consumer or competitor orientation result in temporary price impacts, while those embodying both attributes generate permanent price impact; negative valence tweets about competitors generate the largest permanent price impacts. Building on these findings, the authors offer suggestions to marketing managers on the design of intraday FGC.

scholarly journals The Impact of Divestment Announcements on the Share Price of Fossil Fuel Stocks

2019 ◽  
Vol 11 (11) ◽  
pp. 3122 ◽  
Author(s):  
Truzaar Dordi ◽  
Olaf Weber
Keyword(s):  
Stock Prices ◽  
Fossil Fuel ◽  
Statistical Tests ◽  
Price Change ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Short Term ◽  
Share Prices ◽  
The Impact

Several prominent institutional investors concerned about climate change have announced their intention or have divested from fossil fuel shares, to limit their exposure to the industry. The act of fossil fuel divestment may directly depress share prices or stigmatize the industry’s reputation, resulting in lower share value. While there has been considerable research conducted on the performance of the fossil fuel industry, there is not yet any empirical evidence that divestment announcements influence share prices. Adopting an event study methodology, this study measures abnormal deviations in stock prices of the top 200 global oil, gas, and coal companies by proven reserves, on days of prominent divestment announcements. Events are analyzed independently and in aggregate. The results make several notable contributions. While many events experienced short-term negative abnormal returns around the event day, the effects of events were more pronounced over longer event windows following the New York Climate March, suggesting a shift in investor perception. The results also find that divestment announcements related to campaigns, pledges, and endorsements all have a significant effect over the short-term event window. Finally, the results control for the general underperformance of the industry over the estimation window, attesting that the price change is caused by divestment announcements. Several robustness tests using alternate expected returns models and statistical tests were conducted to ensure the accuracy of the result. Overall, this study finds that divestment announcements decrease the share price of the fossil fuel companies, and thus, we conclude that ‘divestors’ can influence the share price of their target companies. Theoretically, the result adds new knowledge regarding the efficacy of the efficient market hypothesis in relation to divestment.

The impact of different names for a wine variety on prices

2018 ◽  
Vol 30 (2) ◽  
pp. 185-200 ◽  
Author(s):  
Eddie Oczkowski
Keyword(s):  
Revealed Preference ◽  
Price Impact ◽  
Research Approach ◽  
Hedonic Price ◽  
Content Type ◽  
Name Change ◽  
Price Premiums ◽  
Price Impacts ◽  
The Impact ◽  
Varietal Name

Purpose The purpose of this study is to illustrate a general method for identifying the price impact of using a different varietal name for a wine. Design/methodology/approach A revealed preference research approach is employed using marketed wines and prices. Price impacts are estimated using hedonic price models which control for the influence of other factors on prices. The technique is applied to the use of accepted synonyms to describe different varieties of Australian wine. Findings The use of varietal synonyms in the Australian market is suggested to be more of a marketing strategy designed to command a higher price rather than because of wine stylistic reasons. Important premiums are estimated for the use of the terms Syrah, Pinot Gris and to a lesser extent for Fumé Blanc. Practical implications Australian wine producers may be able to command price premiums by strategically choosing a name for a particular varietal. It appears no significant stylistic changes are needed to “justify” any varietal name change, and as such, only a label name change may be required. A switch to French-associated or -sounding names for a wine varietal may result in price premiums for Australian producers. Originality/value The paper illustrates a general revealed preference method for identifying wine varietal name price premiums and further illustrates the importance of “Frenchness” in wine name use.

The Market Microstructure of Central Bank Bond Purchases

2018 ◽  
Vol 55 (1) ◽  
pp. 193-221 ◽  
Author(s):  
Kathi Schlepper ◽  
Heiko Hofer ◽  
Ryan Riordan ◽  
Andreas Schrimpf
Keyword(s):  
Price Impact ◽  
Market Liquidity ◽  
Order Book ◽  
Low Frequencies ◽  
Price Impacts ◽  
Level Data ◽  
Perspective Drawing ◽  
Portfolio Managers ◽  
Flow Effects ◽  
The Impact

We study quantitative easing (QE) policies from a microstructure perspective, drawing on intraday transaction-level data for German bonds (purchased under the Eurosystem’s QE program). An initial analysis of purchase decisions reveals that portfolio managers consider liquidity and the scarcity of securities in repo markets. Suggestive of significant flow effects, we detect price impacts of purchases at high and low frequencies. We find the impact on market liquidity and functioning to be ambiguous. A higher purchase volume lowers transaction costs but has an adverse impact on order-book depth. The price impact varies with market conditions and is higher for more illiquid bonds.

Short-term and long-term effects of fuel carrier’s price rise on consumer price inflation in Iran

2020 ◽  
Vol 07 ◽  
Author(s):  
Nima Norouzi
Keyword(s):  
Commodity Prices ◽  
Food Price ◽  
Price Impact ◽  
Gasoline Prices ◽  
Long Term Effects ◽  
Short Term ◽  
Fuel Price ◽  
Price Inflation ◽  
The Impact

Introduction: Oil is one of the primary commodities of all countries in the world and is, in essence, the energy base of all that we know as transportation. Therefore, derivatives price fluctuations, especially those of fuel and oil derivatives, are the main concerns of the policymakers because they can cause serious problems, such as inflation in commodity prices. Objective: The impact of the price of fuel carriers on food price index remains a subject of debate and research. the aim of this paper is to develop a model to define the inflation regime in iran and then to estimate gasoline and diesel price impact in the inflation anount. Method: In this study, using the central bank time series and available data on energy balance and World Bank data banks a non-linear distributed online delay regression modeling is developed to analyze the relationship between fuel price and basic commodity inflation. Results: the results show that gasoline prices have an impact. In the long run, it doesn't have much in the way of prices, but diesel can be somewhat effective in raising prices, which can exacerbate poverty in the community that needs special attention. Conclusion: It was also found that the price of diesel is harmful to the economy because it can stimulate inflation in the long term. However, in the short term, diesel does not cause any significant inflation in the prices. While the price of gasoline can have many short term social effects, therefore, the Iranian government must control the price of diesel fuel to prevent long-term food price inflation.

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