scholarly journals An empirical behavioral order-driven model with price limit rules

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Gao-Feng Gu ◽  
Xiong Xiong ◽  
Hai-Chuan Xu ◽  
Wei Zhang ◽  
Yongjie Zhang ◽  
...  
Keyword(s):  
Stock Price ◽  
Computational Experiment ◽  
Stock Exchange ◽  
Correlation Structure ◽  
Computational Experiments ◽  
Price Limits ◽  
Policy Makers ◽  
Price Limit ◽  
Experiment Platform ◽  
Market Participants

AbstractWe propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded on the Shenzhen Stock Exchange. The model can reproduce the main stylized facts in real markets. Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa. We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series, but cause remarkable changes in the average returns and the tail exponents of returns. Our EBOD model provides a suitable computational experiment platform for academics, market participants, and policy makers.

The Relevance of Information Technology Expenditures

2010 ◽  
Vol 24 (2) ◽  
pp. 39-77 ◽  
Author(s):  
B. Charlene Henderson ◽  
Kevin Kobelsky ◽  
Vernon J. Richardson ◽  
Rodney E. Smith
Keyword(s):  
Information Technology ◽  
Stock Price ◽  
Abnormal Returns ◽  
Firm Level ◽  
Policy Makers ◽  
Market Participants ◽  
Future Performance ◽  
Long Run ◽  
Level Information ◽  
Information Technology Expenditures

ABSTRACT: Although information technology (hereafter, IT) expenditures represent an increasingly large investment for most corporations, firms are not required to disclose them separately in their financial statements. We hypothesize and find evidence that information about a firm’s IT expenditures helps explain its future performance as reflected in both accounting measures (residual income, earnings volatility) and market measures (stock price and long-run abnormal returns). In particular, we provide evidence of market mispricing and suggest the lack of firm-level annual IT expenditure disclosure as one potential reason for such mispricing. Altogether, the evidence presents a persuasive case that information about a firm’s IT expenditures is useful to stock market participants. The evidence we report is useful to managers and accounting policy makers contemplating the public disclosure of firm-level information about IT investments.

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

2007 ◽  
Vol 10 (01) ◽  
pp. 51-61 ◽  
Author(s):  
Aktham I. Maghyereh ◽  
Haitham A. Al Zoubi ◽  
Haitham Nobanee
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Extreme Value ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Price Limits ◽  
Stock Volatility ◽  
Price Limit ◽  
Taiwan Stock Exchange

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

scholarly journals China-Pakistan Economic Corridor Agreement: Impact on Shareholders of Pakistani Firms

2017 ◽  
Vol 10 (1) ◽  
pp. 148 ◽  
Author(s):  
WaQar I. Ghani ◽  
Rajneesh Sharma
Keyword(s):  
Stock Price ◽  
Bilateral Trade ◽  
Developing Economies ◽  
Stock Exchange ◽  
Wealth Effects ◽  
Bilateral Agreements ◽  
Market Participants ◽  
Stock Price Reaction ◽  
Security Returns ◽  
Research Stream

This paper investigates the effects on shareholders’ wealth of firms composed of the Karachi Stock Exchange 100 index, around events leading up to the signing of the China-Pakistan Economic Corridor (CPEC) agreement. We used standard event study methodology to measure the stock price reaction of KSE 100 Index (composed of all major sectors of Pakistan economy) around three key events related to CPEC agreement. Based on average security returns and cumulative average security returns, our results show significant and positive reaction of KSE 100 Index around all three key CPEC events. Our results capture market participants’ assessment of the CPEC agreement’s impact on future growth of Pakistani companies and the resultant effect of its shareholders’ wealth. These positive wealth effects are of significant predictive value as additional bilateral and multilateral agreements are contemplated in that region. Our research contributes to a research stream that sees valuable payoffs of bilateral trade agreements for developing economies and support the argument that bilateral agreements can promote and attract institutional and private foreign direct investment (FDI), which otherwise may not be forthcoming. The argument goes on to argue that these bilateral agreements also help raise the quality of institutional framework in the developing countries.

scholarly journals PENGARUH PROFITABILITAS TERHADAP HARGA SAHAM PADA PERUSAHAAN LQ-45 DI BURSA EFEK INDONESIA (BEI)

2019 ◽  
Vol 8 (9) ◽  
pp. 5722
Author(s):  
Ade Indah Wulandari ◽  
Ida Bagus Badjra
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Multiple Linear Regression Model ◽  
Profit Margin ◽  
Return On Assets ◽  
Return On Equity ◽  
Market Participants ◽  
Net Profit ◽  
Observation Method

The stock price is the price on the stock market at a certain time determined by market participants and is determined by the demand and supply of the shares in question in the capital market. The stock price reflects the value of the company and the effectiveness of the company. The stock price is getting higher, the higher the company's value. This research was conducted to examine the effect of profitability on stock prices in LQ-45 companies on the Indonesia Stock Exchange (IDX). The number of samples studied were twenty-seven (27) companies selected through a saturated sampling method with a four-year observation period. The data collection method used in this study is a nonparticipant observation method. Data analysis was carried out by multiple linear regression model analysis techniques. Based on the results of the analysis it was found that Return On Equity and Net Profit Margin had a significant positive effect on stock prices, while Return On Assets had no significant effect on stock prices. The increase in ROE and NPM will be followed by an increase in stock prices.                                                                 Keywords: Stock Price, Return On Assets , Return On Equity , Net Profit Margin

scholarly journals The Effect Of Price Limits Changes On Return Volatility: Evidence From The Stock Exchange Of Thailand

2011 ◽  
Vol 3 (9) ◽  
Author(s):  
Sirapat Polwitoon
Keyword(s):  
Trading Volume ◽  
Stock Return ◽  
Stock Exchange ◽  
Price Volatility ◽  
Price Limits ◽  
Price Limit ◽  
Return Behavior ◽  
Stock Exchange Of Thailand ◽  
Return Variance ◽  
The Impact

This paper investigates the effect of price limits changes on stock return behavior on the Stock Exchange of Thailand (SET). We compare the short run behavior of stock return under different regimes of price limits. The comparison is based on structural volatility, as measured by ratio of open-to-open return variance and close-to-close return variance. We also examine the covariance components of the 24-hour return and 12-hour return to detect the relation between limit width and the pattern of overreaction. We analyze the impact of trading volume and market value on structural volatility and overreaction as well. We find that return behavior at the SET is found to be rather consistent with those of other exchanges that employed price limit namely, Tokyo Stock Exchange and Taiwan Stock Exchange. In particular, the changes of price limit at the SET magnify the pattern of return behavior that exists before and after the changes resulting in increases in structural price volatility and overreaction during the narrow limit regime.

scholarly journals EFFECT OF CURRENT RATIO AND DEBT TO EQUITY RATIO ON STOCK PRICES ON REGISTERED METAL AND SIMILAR COMPANIES ON THE INDONESIA STOCK EXCHANGE

2021 ◽  
Vol 1 (2) ◽  
pp. 245-356
Author(s):  
Ihsan Rambe ◽  
Nurwahyuni Nurwahyuni ◽  
Jasman Saripuddin Hasibuan
Keyword(s):  
Stock Prices ◽  
Financial Management ◽  
Stock Price ◽  
Sampling Method ◽  
Stock Exchange ◽  
Current Ratio ◽  
Demand And Supply ◽  
Market Participants ◽  
Equity Ratio

The stock price is the price that occurs in the stock market at a certain time and the stock price is determined by market participants. The high and low price of these shares is determined by the demand and supply of these shares in the capital market. Current Ratio is a ratio to measure the company's ability to pay its long-term debt approach which is due immediately when billed in its entirety. and Debt to Equity Ratio is a ratio that shows the percentage of provision of funds by shareholders to lenders. The higher the ratio, the lower the company's funding provided by shareholders. This study aims to determine whether there is an effect of Current Ratio and Debt to Equity Ratio on stock prices either partially or simultaneously. This study uses financial management theory related to the variables of stock price, current ratio, debt to equity ratio. The approach used is an associative approach. The population in this study are Metal & Similar companies listed on the IDX for the period 2014-2018. Samples were taken using purposive sampling method, in order to obtain 6 companies as samples. The results show that: (1) the effect of the current ratio on stock prices has no effect; (2) the effect of Debt to Equity Ratio on stock prices has an effect; (3) the influence of the Current Ratio and Debt to Equity Ratio on stock prices simultaneously has an effect.

scholarly journals AUDIT COMMITTEE, FINANCIAL CONDITION, AND FIRM PERFORMANCE: EMPIRICAL EVIDENCE FROM INDONESIA

2020 ◽  
Vol 1 (2) ◽  
pp. 253-261
Author(s):  
Ekawati Jati Wibawaningsih ◽  
Lidya Primta Surbakti
Keyword(s):  
Firm Performance ◽  
Firm Size ◽  
Audit Committee ◽  
Stock Exchange ◽  
Random Effect ◽  
Negative Relationship ◽  
Manufacturing Companies ◽  
Policy Makers ◽  
Market Participants ◽  
Financial Condition

This study has examined the characteristics of the audit committee (size, independence, and expertise) in addition to financial Condition (leverage and firm size) in increasing firm performance. The random effect with panel data regression was applied on 309 firm-year observations of the manufacturing companies listed in the Indonesian Stock Exchange (IDX) for the period of 2016 - 2018. Return on Assets was used as the measurement of firm performance. This study’s results show a significant and positive relationship between firm size with performance and a significant negative relationship between leverage and firm performance. However, the findings show no significant relationship between the characteristics of the audit committee and firm performance. The results of this study have implications for investors, regulators, and market participants. Policy makers might use these findings, especially regarding the characteristics of the audit committee and financial conditions, for improving the performance of the companies in Indonesia

PENGARUH FREKUENSI PERDAGANGAN PADA SEKTOR PROPERTY DAN REAL ESTATE TERHADAP HARGA SAHAM

2019 ◽  
Vol 7 (02) ◽  
pp. 51
Author(s):  
Adri Wihananto
Keyword(s):  
Real Estate ◽  
Stock Price ◽  
Stock Exchange ◽  
Stock Trading ◽  
Trading Frequency ◽  
Important Thing ◽  
Know How ◽  
Stock Value ◽  
Measuring Frequency ◽  
Case Based

Trading frequency can be said as the implementation from trader of commerce. This case based on positive or negative trader reaction given by trader information.  Stock trading in BEI always fluctuate with price of volume value and frequency particularly. Frequency itself shows the company  involved or not. In trading frequency, if the indicator frequency it self shown the higher point, it means better. In spite of the most important thing is how the fluctuation or value conversion itself. On the frequencies we also could see which stocks is interested by the investor. When trading frequency high, it  may be create sense of interest from investors.The aim of this research, in order to know how far the effect of trading frequency (X) with stock value (Y) using cover stock value. The information used is begin 2008 with sample from twelve property and real estate companies. According to the research can be conclude from twelve companies in Indonesia Stock Exchange in 2008, 75 % of trading frequency samples doesn’t have signification degree between trading frequency and stock value. This case can be explained count on smaller than t tableEvaluation of this research is the trading measuring frequency at property sector and real estate not influence to stock priceKeywords : Trading Frequency, Stock Price 

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