scholarly journals Effects of Common Factors on Dynamics of Stocks Traded by Investors with Limited Information Capacity

2017 ◽  
Vol 2017 ◽  
pp. 1-15
Author(s):  
Songtao Wu ◽  
Jianmin He ◽  
Chao Wang
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Positive Relationship ◽  
Intrinsic Value ◽  
Common Factors ◽  
Information Capacity ◽  
Limited Information ◽  
Agent Based ◽  
Information Characteristics

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.

scholarly journals Idiosyncratic volatility and nominal stock prices: evidence from approximate factor structures

2017 ◽  
Vol 1 (1) ◽  
pp. 30-45
Author(s):  
Patrick ROGER ◽  
Tristan ROGER ◽  
Alain SCHATT
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Common Factors ◽  
Efficient Market Hypothesis ◽  
Idiosyncratic Volatility ◽  
Price Effect ◽  
Firm Effect ◽  
Over Time ◽  
Firm Characteristic

Approximate factor structures defined by Chamberlain and Rotschild (1983) allow to test whether a given quantitative firm characteristic (the nominal stock price in this paper) is a determinant of the idiosyncratic volatility of stock returns. Our study of 8,000 U.S stocks over the period 1980-2014 shows that small price stocks exhibit a higher idiosyncratic volatility than large price stocks. This relationship is persistent over time and robust to variations in the number of common factors of the approximate factor structure. Moreover, this small price effect does not hide a small-firm effect because it is still valid when we analyze the tercile of large firms. Our result confirms that small price stocks have lottery-type characteristics and, therefore, it is not in line with the efficient market hypothesis.

Perbandingan harga saham, volume transaksi dan return saham sebelum dan sesudah terjadi pandemi covid-19 pada PT Agung Podomoro Land, Tbk

2021 ◽  
Vol 5 (4) ◽  
pp. 720
Author(s):  
Anggun Putri Romadhina ◽  
Eka Kusuma Dewi
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Research Data ◽  
Paired Sample ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
Stock Transaction

The first Covid-19 case in Indonesia was announced on March 2, 2020. This study aims to determine whether there is a significant difference in stock prices, stock transaction volume and stock returns due to the COVID-19 pandemic (case study at PT. Agung Podomoro Land, Tbk). This research data was taken 90 days before and 90 days after the announcement of the first case of COVID-19 in Indonesia. The data was processed by paired sample t-test, using SPSS version 20. From the results of data processing, it was shown that there was a significant difference in stock prices before and after the announcement of the first case of covid-19 in Indonesia. This is indicated by a significance value of 0.000 < 0.05 where the stock price has decreased compared to before the Covid-19 case. Meanwhile, the volume of stock transactions also showed a significant difference with a significance value of 0.007 <0.05, where the volume of stock transactions after the announcement showed a decrease. Likewise, stock returns show a significant difference with a significance value of 0.025 < 0.05 where stock returns have decreased after the announcement of the first case of covid-10 in Indonesia.  

scholarly journals FACTORS AFFECTING OPERATING CASH FLOW TO STOCK RETURN THROUGH STOCK PRICE

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Aprih . Santoso
Keyword(s):  
Stock Returns ◽  
Cash Flow ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Financial Statements ◽  
Manufacturing Companies ◽  
Operating Cash Flow

Abstract : Companies need funds in order to carry out operations such as the financing of production activities, pay employees, pay other expenses related to the operation of the company. One way to obtain these funds is to attract investors to invest in companies in the form of stock, but in making this investment is certainly not easy for investors, because investors need consideration beforehand to find out how the company's performance. The purpose of this study was to examine and analyze the effect of operating cash flow to stock return through stock price at companies listed on the Stock Exchange Year 2012-2015. The data used in this study dala are secondary data from the financial statements of companies listed on the Indonesia Stock Exchange period 2012 - 2015. The data are in the form of financial statements can be obtained from the Indonesian Capital Market Directory (ICMD), the IDX website www.idx.co. id as well as from various other sources to support this research. The population in this research is manufacturing companies listed on the Stock Exchange the period 2012 - 2015. The samples taken by the sampling technique used purposive sampling.From the test results and analysis of the data it can be concluded that operating cash flow directly and indirectly has no effect on stock returns through stock prices showed no significant results. Keywords :  Operating Cash Flow, Stock Price, Stocks Return

scholarly journals Systematic illiquidity, characteristic illiquidity, and stock returns: Timeseries analysis

2022 ◽  
Vol 9 (2) ◽  
pp. 72-80
Author(s):  
Soltane et al. ◽  
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Timeseries Analysis ◽  
The Relationship

The objective of this research is to investigate the relationship between illiquidity and stock prices on the Tunisian stock exchange. While previous researches tended to focus on one form of illiquidity to examine this relationship, our study unifies three forms of illiquidity at the same time. Indeed, we simultaneously consider illiquidity as systematic risk, as a characteristic of the market, and as a characteristic of the stock. The aggregate illiquidity of the market is the average of individual stock illiquidity. The illiquidity risk is the sensitivity of the stock price to illiquidity shocks. Shocks of market illiquidity are estimated by the innovations in the expected market illiquidity. Results show that investors on the Tunisian stock exchange do not require higher returns when they expect a rise of market illiquidity, whereas investors on U.S markets are compensated for higher expected market illiquidity. In addition, shocks of market illiquidity provoke a fall in stock prices of small caps, while large caps are not sensitive to market illiquidity shocks. This differs slightly from results based on U.S. data where illiquidity shocks reduce all stock prices but most notably those of small caps. Robustness tests validate our findings. Our results are consistent with previous studies which reported that the “zero-return” ratio predicts significantly the return-illiquidity relationship on emerging markets.

The cost of presidential impeachment to politically connected firms

2019 ◽  
Vol 21 (2) ◽  
pp. 109-121
Author(s):  
Ha Na Lee ◽  
B. K. Song
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Constitutional Court ◽  
Korean History ◽  
South Korean ◽  
Price Data ◽  
Political Events ◽  
Abnormal Stock Returns ◽  
The Cost

AbstractThis study examines the ways political events can affect the stock prices of politically connected firms by studying one of the biggest corruption scandals in modern South Korean history, which led to the first-ever impeachment of a sitting president. We analyzed the stock returns of firms that donated money to foundations allegedly controlled by the president's confidante. We found that the abnormal stock returns of politically connected firms decreased when the president was removed from office. Using tick-by-tick stock price data, we were able to pinpoint the exact moments when the stock prices of firms that donated money fluctuated, as the president's fate was determined by the justices of the Constitutional Court.

scholarly journals Normal and reverse stock splits in the V4 countries

2016 ◽  
Vol 13 (4) ◽  
pp. 95-105 ◽  
Author(s):  
Manuela Raisová ◽  
Martin Užik ◽  
Christian M. Hoffmeister
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Stock Splits ◽  
Announcement Date ◽  
Reverse Stock Splits ◽  
Stock Split ◽  
Reverse Stock Split ◽  
A Company

The economic crisis has forced managers of joint stock companies to look for short-term solutions for the sharp changes in stock prices of their companies. Even the companies of the V4 countries are not the exception. The authors have focused on those companies where have been used either reverse stock split or stock split. They analyzed the effects of the reverse stock split or stock splits on the abnormal returns of stocks. In this paper, the authors analyzed a dataset from 1993 until 2015 with 124 reverse stock splits and 184 stock splits in total focused on the stock market in V4. Based on their own research they conclude that when reverse stock splits were used stock returns significantly decreased one day around the announcement date. They conclude that managers of a company might use this instrument to move the stock price back to the optimal trading range outside of the penny stock area. In the case of stock splits, the authors concluded that the use of this tool results in a significant increase in the returns of a stock after the announcement date. However, the results are in contrast to some former studies which found no positive effect on the returns caused by stock splits. The authors conclude that managers of a company might use this instrument to transport information content of future (positive) performance of a company to the traders. Keywords: Vysegrad group countries, normal stock split, reverse stock split, abnormal returns. JEL Classification: G11, G23, G32

scholarly journals Impact of Exchange Rate Volatility to Stocks’ Return in Indonesia: The Augmented Markov-Switching Egarch Approach

2020 ◽  
Vol 21 (2) ◽  
pp. 161-173
Author(s):  
Wasiaturrahma Wasiaturrahma ◽  
Dita Normalaksana Putri ◽  
Shochrul Rohmatul Ajija
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Foreign Exchange Market ◽  
Markov Switching ◽  
High Volatility ◽  
Volatility Regimes ◽  
The Exchange Rate ◽  
Exchange Rate Changes

The stock price is one indicator that represents the economic performance in a country. Changes in stock prices, including various factors, as an example, is the exchange rate changes as the representation from the foreign exchange market. The fluctuating exchange rate price also influences the volatility of the stock price. Furthermore, volatility has different high and low regime stages that will cause a disparate impact on the outcome of the relationship changes. This study aims to examine the presence of asymmetric volatility and its effects on the volatility of LQ45 stock returns, as well as the changes in exchange rates of Rupiah against USD from 1997 to 2017. Using the Augmented Markov Switching EGARCH  approach,  the  results  of  this  study  indicate  an  asymmetric  behavior  in  the  volatility  of LQ45 stock returns. High volatility regimes are more dependent and more unstable than low volatility regimes, and low volatility regimes dominate the duration compared to the high volatility regime. The good and bad news give different impact on LQ45 stock return volatility and exchange rate changes. Moreover, the unstable economies will respond faster than the stable economies in terms of facing the exchange rate changes.

scholarly journals The Impacts Of Institutional Stock Ownership On Stock Returns And Performance: A Financial Market Perspective

2011 ◽  
Vol 3 (3) ◽  
Author(s):  
Johnston Osagie ◽  
Gbolahan Solomon Osho ◽  
Cynthia Sutton
Keyword(s):  
Stock Returns ◽  
Financial Market ◽  
Stock Prices ◽  
Stock Price ◽  
Institutional Ownership ◽  
Small Companies ◽  
Font Size ◽  
And Performance ◽  
The Relationship ◽  
Market Perspective

<p class="MsoBodyText" style="line-height: normal; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">Recent studies indicate that corporations with high Institutional ownership have higher stock prices than those with less Institutional ownership. Even small companies with high Institutional ownership have higher stock prices in their range. Institutions have researchers and analysts to investigate the financials and the industry potential of the firms. As a result, the perception is that high institutional ownership indicates good value<span style="color: #ff6600;">. </span>This study investigates if the percentage of institutional ownership directly correlates with the price of stocks.<span style="mso-spacerun: yes;">&nbsp; </span>The relationship between the Institutional ownerships and price was prevalent. This was more indicative among the large cap stocks than the small caps stocks.<span style="mso-spacerun: yes;">&nbsp; </span>It was also found that the higher the percentage of Institutional ownership does reflect a higher stock price.<span style="mso-spacerun: yes;">&nbsp; </span>This was manifest among the large caps than the small caps. </span></span></p>

scholarly journals Impact of Interest Rate on Stock Prices Volatility: A Case of Textile Sector of Karachi Stock Exchange

2021 ◽  
Vol 2 (2) ◽  
pp. 149-156
Author(s):  
MUHAMMAD SOHAIL KHALIL ◽  
MUHAMMAD AAMIR NADEEM ◽  
MUHAMMAD TAHIR KHAN
Keyword(s):  
Interest Rate ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Stock Price Volatility ◽  
Relationship Of ◽  
The Relationship ◽  
Textile Sector

This study investigates the relationship between interest rate and stock price volatility in textile sector of Karachi Stock Exchange. Initially, EWMA model is used to calculate the volatility of stock prices. Stock returns are calculated as a proxy to stock prices. Afterwards, linear regression analyzes the relation between interest rate and stock price volatility. The significance F change is below the limit of 0.05 showing goodness-to-fit of the model to project the responses from predictor to be reliable. The research concludes the relationship of interest rate with volatility of stock prices as slightly inverse in nature.

Performance and development of a thin stock market: the Stockholm Stock Exchange 1912–2017

2020 ◽  
pp. 1-19
Author(s):  
Kristian Rydqvist ◽  
Rong Guo
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Stock Selection ◽  
Data Set ◽  
Transaction Prices ◽  
Limit Orders ◽  
A Value

We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices that spans more than 100 years. Stock returns exhibit all the familiar characteristics. The growth of the public sector depressed the stock market, and the process of globalization revitalized it. Banks played an important role in the early development of the stock market. There was little trading in the past, and we examine the effects on return measurement from missing data. Stock selection and the replacement of missing transaction prices through search back procedures or limit orders make little difference to a value-weighted stock price index, while ignoring the price effects of capital operations makes a big difference.

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