scholarly journals Earnings Surprise, Portfolio Inertia and Stock Price Volatility

2015 ◽  
Vol 3 (4) ◽  
pp. 301-320
Author(s):  
Shunwu Huang ◽  
Wang Chang ◽  
Lan Zheng
Keyword(s):  
Decision Making ◽  
Institutional Investors ◽  
Stock Prices ◽  
Stock Price ◽  
Price Volatility ◽  
Mediation Effect ◽  
Stock Price Volatility ◽  
Earnings Surprise ◽  
The Relationship

AbstractFrom the perspective of the mediation effect, this paper investigates whether institutional investors adjust their portfolios according to the listed companies earnings surprise. We find that the portfolio adjustments by institutional investors exert the mediation effect on the relationship between earnings surprise and stock price volatility. Institutional investors actively manage their portfolios in the rising market, which induces the stock price volatility; while they less adjust their portfolio in the falling market, the volatility declines. This paper helps understand the role of institutional investors in the fluctuation of stock prices, and provides a new basis for decision making of regulatory administration.

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.

Dividend policy and stock price volatility of industrial products firms in Malaysia

2018 ◽  
Vol 13 (1) ◽  
pp. 203-217 ◽  
Author(s):  
Rozaimah Zainudin ◽  
Nurul Shahnaz Mahdzan ◽  
Chee Hong Yet
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Price Volatility ◽  
Industrial Products ◽  
Stock Price Volatility ◽  
Dividend Payout ◽  
Content Type ◽  
Crisis Period ◽  
The Impact ◽  
The Relationship

Purpose The purpose of this paper is to analyse the relationship between stock price volatility (SPV) and dividend policy of industrial products firms listed on Bursa Malaysia. Design/methodology/approach The sample comprises 166 industrial products public-listed firms covering a time span from year 2003 to 2012. Using Baskin’s framework, firm’s SPV is related to dividend payout, controlling for earnings volatility, firm size, leverage and growth of assets. Further, the impact of the global financial crisis on the relationship between SPV and the tested variables is examined. Findings Earning volatility significantly explains SPV of industrial product firms during the crisis period, while dividend payout ratio (PR) predominantly influences volatility during pre- and post-crisis sub-periods. The empirical results indicate that dividend policy is a strong predictor of SPV of industrial products firms in Malaysia, particularly during the post-crisis period. Originality/value The paper explores the firm’s SPV and dividend policy for a new set of data focussing on industrial products firms listed on the Malaysian Stock Exchange.

scholarly journals LISTING OF SHARES OF SOME COMMERCIAL BANKS AND FINANCIAL SERVICES COMPANIES IN POLAND

2018 ◽  
pp. 43-51
Author(s):  
Sławomir Juszczyk
Keyword(s):  
Stock Prices ◽  
Financial Services ◽  
Commercial Banks ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Strongly Correlated ◽  
Stock Price Volatility ◽  
Warsaw Stock Exchange

The purpose of the research was to identify the volatilities of daily quotes of banks and financial services companies listed on Warsaw Stock Exchange in the six-year period ie 2011-2016. It was found that the volatility of the stock price of the eCard was the strongest correlated with BPH stock price volatility, while the volatility of KREDYTIN stock prices was strongly correlated with the volatility of BZ WBK shares, ING and PKO BP. The strongest correlation between the stock prices of banks and the surveyed financial services companies was on the day of their listing. Unlike banks, financial services companies are highly diversified.

scholarly journals Interaction between Industrial Policy and Stock Price Volatility：Evidence from China’s Power Market Reform

2018 ◽  
Author(s):  
Ye Fan ◽  
Zhicheng Zhang ◽  
Xiaoli Zhao ◽  
Haitao Yin
Keyword(s):  
Industrial Policy ◽  
Stock Prices ◽  
Stock Price ◽  
Price Volatility ◽  
Power Market ◽  
Green Energy ◽  
Market Reform ◽  
Stock Price Volatility ◽  
Price Fluctuations ◽  
The Impact

China combines green energy and industrial policy in its power market reform with various policy initiatives, including price support scheme for electricity from renewable sources and subsidies in the push for broader use of greener energy. This study focuses on the impacts of power market reform on the stock price volatility of listed power companies: 1) we use the Iterative Cumulative Sums of Squares (ICSS) algorithm to identify structural break points in stock prices; 2) we analyze the characteristics of stock price volatility based on the GARCH model; 3) we report the impact of power regulation on stock price fluctuations based on the Autoregressive Distributed Lag (ARDL) model. The result suggests three structural breaks in China’s power stock price volatility were related to the promulgation of power market reform policies. We find that industrial policies promote the reduction of power stock price fluctuations and its impact on power stock price volatility is consistent in the long run. However, our study also indicates the recent policies related to renewable energy do not have a very significant impact on the power stock market.

scholarly journals FAKTOR PENENTU BID-ASK SPREAD SAHAM LQ45

2020 ◽  
Vol 2 (1) ◽  
pp. 43-54
Author(s):  
Sabna Ainazah Fatikhah ◽  
Siti Puryandani
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Linear Regression Analysis ◽  
Price Volatility ◽  
Multiple Linear Regression Analysis ◽  
Company Size ◽  
Stock Price Volatility ◽  
Company Stock ◽  
Bid Ask Spread

Investors always use various information to get the maximum profit in investment activities. One such information is the bid-ask spread. This study aims to determine the effect of company size, stock prices, stock price volatility and trading volume on the bid-ask spread of companies listed in the LQ45 index in the period 2015 to 2018. A total of 14 companies were taken as a purposive sampling sample in order to obtain 56 observational data. The analytical method used in this study is the method of multiple linear regression analysis. The results showed that stock prices and stock price volatility affect the bid-ask spread. While company size and trading volume do not affect bid-ask spread. Investors can consider the size of the company, stock prices, stock price volatility, and trading volume to avoid high spreads and get profit in the future.

scholarly journals Stock price volatility during the COVID-19 pandemic: The GARCH model

2021 ◽  
Vol 18 (4) ◽  
pp. 12-20
Author(s):  
Endri Endri ◽  
Widya Aipama ◽  
A. Razak ◽  
Laynita Sari ◽  
Renil Septiano
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Practical Implication ◽  
Abnormal Returns ◽  
Garch Model ◽  
Price Volatility ◽  
Efficient Market Hypothesis ◽  
Empirical Literature ◽  
Stock Price Volatility ◽  
The Garch Model

This study examined the response of stock prices on the Indonesia Stock Exchange (IDX) to COVID-19 using an event study approach and the GARCH model. The research sample is the closing price of the Composite Stock Price Index (JCI) and companies that are members of LQ-45 in the 40-day period before the COVID-19 incident, 1 day during the COVID-19 incident (March 2, 2020) and 10 days after, January 6, 2020 – March 16, 2020. Empirical findings prove that abnormal returns react negatively to COVID-19, JCI volatility fluctuates widely during the COVID-19 event, and the GARCH(1,2) model can be used to assess volatility and predict stock abnormal returns in IDX in market conditions infected with COVID-19. The practical implication of the study’s findings for investors is that the COVID-19 event caused stock price volatility, which affects abnormal returns. Therefore, to face the conditions of uncertainty and increased volatility in the future, several lines of risk management are needed in managing a stock portfolio. In addition, it also opens up opportunities for speculators to profit in an inefficient market environment. This study is based on the empirical literature currently being developed to investigate the phenomenon of stock price volatility behavior during COVID-19 on the IDX. The GARCH model used proves that during the COVID-19 pandemic, stock price volatility increases and leads to a decrease in abnormal returns. The empirical findings also validate the efficient market hypothesis theory related to the study of events and the theory of financial behavior related to uncertainty.

scholarly journals The impacts of IPO financing and monetary policy on economic growth in Bangladesh: Evidence from a dynamic assessment

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Sagira Sultana Provaty
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Service Industry ◽  
Dynamic Assessment ◽  
Price Volatility ◽  
Dividend Yield ◽  
Stock Price Volatility ◽  
Independent Variables ◽  
The Impact ◽  
The Relationship

The impact of dividend policy on stock price volatility is one of the most researched topics of corporate finance. This study investigates the relationship between stock price volatility and dividend policy among Bangladeshi financial service industry companies. Two key variables - dividend yield and dividend payout have been taken as the independent variables after controlling for firm size, asset growth, earnings volatility, long-term debt, and earnings per share. The stock price volatility has been taken as the dependent variable. Panel regression analysis is employed to explore the relationship of dependent with independent variables. Results reveal a significant positive relationship between stock price volatility and dividend yield among companies considered in this study. This study will help regulators and investors understand how the stock price fluctuates in response to financial information such as dividend announcements

scholarly journals DPR Sebagai Pemediasi Antara CAONS, DTAR, Dan GCG Pada Harga Saham

2021 ◽  
Vol 17 (1) ◽  
pp. 202-224
Author(s):  
Ainun Jariah
Keyword(s):  
Path Analysis ◽  
Stock Prices ◽  
Stock Price ◽  
Investment Decisions ◽  
Price Volatility ◽  
Share Price ◽  
Stock Price Volatility ◽  
Research Results ◽  
Share Prices ◽  
Dividend Policies

The company's performance projections are the focus of investors, especially investment decisions, funding decisions, and dividend policies, plus GCG which contribute to stock price volatility. The purpose of his research to detect the influence of CAONS, DTAR, and GCG individually and simultaneously on DPR and share prices, with DPR as a mediator. The number of samples 37 industry company registered on the BEI during 5 years since 2012. Analysis of data is path analysis and sobel tests for mediation variables. The research results explain that partially DTAR and GCG have a significant effect on DPR. but the share prices all three variables have no significant impact . Simultaneously CAONS, DTAR, and GCG have a significant impact on DPR and than no significant on share price. DPR has an effect and significant on share prices. Partially and simultaneously CAONS, DTAR, and GCG have no relationship to stock prices through DPR, and DPR is only able to mediate CAONS to stock prices. Keyword: CAONS, DTAR, GCG, DPR, and Stock Prices.

Impact of Dividend Policy on Stock Price Volatility: An Empirical Study on Financial Service Industry of Bangladesh

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Sagira Sultana Provaty ◽  
◽  
Khairul Alam Siddique
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Service Industry ◽  
Price Volatility ◽  
Financial Service ◽  
Dividend Yield ◽  
Stock Price Volatility ◽  
Independent Variables ◽  
Financial Service Industry ◽  
The Relationship

The impact of dividend policy on stock price volatility is one of the most researched topics of corporate finance. This study investigates the relationship between stock price volatility and dividend policy among Bangladeshi financial service industry companies. Two key variables - dividend yield and dividend payout have been taken as the independent variables after controlling for firm size, asset growth, earnings volatility, long-term debt, and earnings per share. The stock price volatility has been taken as the dependent variable. Panel regression analysis is employed to explore the relationship of dependent with independent variables. Results reveal a significant positive relationship between stock price volatility and dividend yield among companies considered in this study. This study will help regulators and investors understand how the stock price fluctuates in response to financial information such as dividend announcements.

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