Can Derivative Information Predict Stock Price Jumps?

2015 ◽  
Vol 31 (3) ◽  
pp. 845
Author(s):  
Noe-Keol Kwark ◽  
Hyoung-Goo Kang ◽  
Sang-Gyung Jun
Keyword(s):  
Standard Deviation ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Implied Volatility ◽  
Stock Index ◽  
Rates Of Return ◽  
Cross Sectional ◽  
Put Options ◽  
The Cross

<p>This study examines the predictability of jumps in stock prices using options-trading information, the futures basis spread, the cross-sectional standard deviation of returns on components in the stock index, and exchange rates. A stock price jump was defined as a large fluctuation in the stock price that deviated from the distribution thresholds of the past rates of return. This empirical analysis shows that the implied volatility spread between ATM call and put options was a significant predictor for both upward and downward jumps, whereas the volatility skew was less significant. In addition, the futures basis spread was moderately significant for downward stock price jumps. Both the cross-sectional standard deviation of the rates of return on component stocks in the KOSPI 200 and the won-dollar exchange rates were significant predictors for both upward and downward jumps.</p>

Stock Price Jumps and Cross-Sectional Return Predictability

2013 ◽  
Vol 48 (5) ◽  
pp. 1519-1544 ◽  
Author(s):  
George J. Jiang ◽  
Tong Yao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Return Predictability ◽  
Value Premium ◽  
The Other ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
Return Dynamics

AbstractWe identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquid stocks have higher jump returns to the extent that cross-sectional differences in jumps fully account for the size and illiquidity effects. Based on value-weighted portfolios, jumps also account for the value premium. On the other hand, jumps are not the cause of momentum or net share issue effects. The findings of our study shed new light on stock return dynamics and present challenges to conventional explanations of stock return predictability.

MODELING THE INTERACTIONS OF STOCK PRICE AND EXCHANGE RATE IN MALAYSIA

2009 ◽  
Vol 54 (04) ◽  
pp. 605-619 ◽  
Author(s):  
MOHD TAHIR ISMAIL ◽  
ZAIDI BIN ISA
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Price Index ◽  
Composite Index ◽  
Regime Shifts ◽  
Var Model ◽  
Vector Autoregressive ◽  
Stock Price Index

After the East Asian crisis in 1997, the issue of whether stock prices and exchange rates are related or not have received much attention. This is due to realization that during the crisis the countries affected saw turmoil in both their currencies and stock markets. This paper studies the non-linear interactions between stock price and exchange rate in Malaysia using a two regimes multivariate Markov switching vector autoregression (MS-VAR) model with regime shifts in both the mean and the variance. In the study, the Kuala Lumpur Composite Index (KLCI) and the exchange rates of Malaysia ringgit against four other countries namely the Singapore dollar, the Japanese yen, the British pound sterling and the Australian dollar between 1990 and 2005 are used. The empirical results show that all the series are not cointegrated but the MS-VAR model with two regimes manage to detect common regime shifts behavior in all the series. The estimated MS-VAR model reveals that as the stock price index falls the exchange rates depreciate and when the stock price index gains the exchange rates appreciate. In addition, the MS-VAR model fitted the data better than the linear vector autoregressive model (VAR).

scholarly journals The Role of Exchange Rates in the Stock Price Development of Chemical Companies in the Visegrad Four Countries

2019 ◽  
Vol 22 (3) ◽  
pp. 117-129
Author(s):  
Jana Šimáková ◽  
Nikola Rusková
Keyword(s):  
Exchange Rate ◽  
Pharmaceutical Industry ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchanges ◽  
The Exchange Rate ◽  
Chemical Companies ◽  
The Empirical Analysis

The aim of the paper is to evaluate the effect of exchange rates on the stock prices of companies in the chemical industry listed on the stock exchanges in the Visegrad Four countries. The empirical analysis was performed from September 2003 to June 2016 on companies from the petrochemical and pharmaceutical industry. The effect of the exchange rate on stock prices is analyzed using Jorion’s approach on monthly data. In contrast to the selected petrochemical companies, the pharmaceutical companies did not use any hedging instruments in the tested period. The effect of the exchange rate on the stock price was proved only in the case of companies from the pharmaceutical industry. This suggests that exchange rate risk could be eliminated by using hedging instruments.

Analisis Pengaruh Inflasi, Nilai Tukar Rupiah, dan BI-Rate terhadap Harga Indeks Saham Syariah Indonesia

2021 ◽  
Vol 4 (2) ◽  
pp. 47-56
Author(s):  
Fifi Afiyanti Tripuspitorini
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Partial Least Square ◽  
Least Square ◽  
Stock Index ◽  
Macroeconomic Factors ◽  
Negative Effect ◽  
Monthly Period

Islamic investment is experiencing an upward trend from year to year. Many investors are starting to look at Islamic stocks. One of the Islamic stocks in Indonesia is the Indonesian Sharia Stock Index (ISSI). Investors must have many careful considerations to invest. One of the factors that may influence stock prices is macroeconomic factors. This study aims to determine how macroeconomic variables in the form of inflation, the rupiah exchange rate against the dollar, and Bank Indonesia interest rates can affect the ISSI stock price. This study uses a quantitative data approach. The data is obtained from the Sharia Stock Index (ISSI) in the monthly period January 2016 to December 2018.Meanwhile, data analysis used Partial Least Square (PLS) with the help of WarpPLS. The results showed that inflation and the rupiah exchange rate had no effect on the ISSI stock price. while the BI rate has a significant negative effect on the ISSI stock price.

Fiber tracking of white matter integrity connecting the mediodorsal nucleus of the thalamus and the prefrontal cortex in schizophrenia: A diffusion tensor imaging study

2009 ◽  
Vol 24 (5) ◽  
pp. 269-274 ◽  
Author(s):  
Shinsuke Kito ◽  
Jiuk Jung ◽  
Tetsuo Kobayashi ◽  
Yoshihiko Koga
Keyword(s):  
Prefrontal Cortex ◽  
Standard Deviation ◽  
White Matter ◽  
Fractional Anisotropy ◽  
Fiber Tracking ◽  
Cross Sectional Area ◽  
White Matter Integrity ◽  
Sectional Area ◽  
Cross Sectional ◽  
The Cross

AbstractThe goal of this study was to detect abnormalities in white matter integrity connecting the mediodorsal nucleus of the thalamus and the prefrontal cortex using fiber-tracking technique. Diffusion tensor imaging was acquired in 20 patients with schizophrenia and 20 normal comparison subjects. Fiber tracking was performed on the anterior thalamic peduncle, and the tractography was used to determine the cross-sectional area, mean fractional anisotropy, and standard deviation of fractional anisotropy for every step separately in the right and left hemispheres. Compared with normal subjects, patients showed a significant reduction in the cross-sectional area of the left anterior thalamic peduncle. There were no significant differences for the mean fractional anisotropy bilaterally between the two groups, but significant differences for the standard deviation of fractional anisotropy in both hemispheres. Reduction in the cross-sectional area of the left anterior thalamic peduncle suggests the presence of the failure of left-hemisphere lateralization. In schizophrenic patients a significant increase of the standard deviation of fractional anisotropy raise the possibility that the inhomogeneity of white matter integrity, which is densely or sparsely distributed by site. These findings might provide further evidence for disruption of white matter integrity between the thalamus and the prefrontal cortex in schizophrenia.

Pharmaceutical R&D Spending and Threats of Price Regulation

2009 ◽  
Vol 45 (1) ◽  
pp. 239-264 ◽  
Author(s):  
Joseph Golec ◽  
Shantaram Hegde ◽  
John A. Vernon
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Natural Experiment ◽  
Price Regulation ◽  
Negative Effects ◽  
Firm Level ◽  
Cross Sectional ◽  
Price Changes ◽  
Health Security ◽  
Pharmaceutical Price

AbstractDo threats of pharmaceutical price regulation affect subsequent research and development (R&D) spending? This study uses the Clinton administration’s Health Security Act (HSA) of 1993 as a natural experiment to study this issue. We link events surrounding the HSA to pharmaceutical stock price changes and then examine the cross-sectional relation between firms’ stock price changes and their subsequent unexpected R&D spending changes. Results show that the HSA had significant negative effects on stock prices and firm-level R&D spending. Conservatively, the HSA reduced R&D spending by about $1 billion even though it never became law.

scholarly journals Financial Ratios and Share Prices of JII70 Indexed Companies for the 2018-2020 Period

2021 ◽  
Vol 6 (1) ◽  
pp. 23
Author(s):  
Ahmad Fauzan ◽  
Rindang Matoati
Keyword(s):  
Panel Data ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Share Price ◽  
Stock Index ◽  
Financial Ratios ◽  
Financial Ratio ◽  
Panel Data Regression ◽  
Data Regression

  Abstract: The sharia capital market in Indonesia has grown over the last five years. One of the members of the sharia capital market instrument is sharia shares. During the 2015-2020 period, the number of Islamic stock issuers continued to grow. The stock index is used by investors as a tool to choose stocks that suit their needs. IDX has issued three sharia stock indexes, and the most recent one is the JII70 index. A stock index is a collection of statistics about the price movement of a group of stocks that is evaluated periodically. One of the many factors that influence stock prices is the company's financial ratios. This study aims to analyze the influence of financial ratio factors such as Current Ratio (CR), Debt to Equity Ratio (DER), Total Assets Turnover (TATO), Return on Equity (ROE) and Earning per Share (EPS) on the stock price of JII70 indexed companies. The data used is secondary data in the form of JII70 indexed company financial statements in the 2018-2020 period. The method of determining the sample using purposive sampling. This research uses panel data regression analysis method. The results of this study show a significant effect of the DER and EPS variables on stock prices, while the CR, TATO and ROE variables do not significantly affect stock prices.Keywords: Share Price, JII70, Financial Ratio, Panel Data Regression, Sharia Shares

scholarly journals The Impact of Corona Virus Disease 2019 (COVID-19) on Indonesia Property Stock Index

2021 ◽  
Vol 4 (2) ◽  
pp. 85-96
Author(s):  
Kevin Ronaldo Gotama ◽  
Njo Anastasia
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Virus Disease ◽  
Sampling Technique ◽  
Stock Index ◽  
Event Analysis ◽  
Corona Virus ◽  
Before And After ◽  
The Impact

A promising investment in the property sector is due to appreciation in property value. As an economic instrument, the stock market, inseparable from different environmental factors, was triggered by incident in Wuhan, Hubei Province, China, an outbreak of acute respiratory tract infection 2 (SARS-CoV-2) in December 2019 and then spread across China. This study is a comparative study on the stock index of the property sector on the stock exchange of countries affected by the Corona Virus Disease 2019 (COVID-19) case, with a purposive sampling technique according to certain criteria for sample selection. The event analysis was performed by analyzing market reaction; with COVID-19 incident effect as one of the event tests, the stock price index. The findings of the study indicate that there is an index response to the incident of COVID-19. The reflected reaction shows in the abnormal return and trade volume activity before and after the incident. Thus, this study is expected to be taken into consideration for stock investors regarding the impact of the Corona Virus Disease 2019 (COVID-19) pandemic on stock prices, by providing an overview of changes in stock prices during the monitoring period, so that they can make investment decisions in the period before and after incident.

scholarly journals EFFECT OF RETURN ON EQUITY (ROE), DEBT TO EQUITY RATIO (DER) AND EXCHANGE RATE ON STOCK PRICE PT. INDOFOOD SUKSES MAKMUR TBK

2019 ◽  
pp. 1-9
Author(s):  
LC Anang Zamiarto ◽  
Suharto Suharto ◽  
Budhi Suparningsih
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Return On Equity ◽  
Equity Ratio ◽  
The Exchange Rate

This study aimed to determine the effect of return on equity (ROE), debt to equity ratio (DER), the exchange rate on stock prices either partially or simultaneously. Data were taken from 2008 to 2016. The data were analyzed using with regression. The results showed that in partial return on equity (ROE), debt to equity ratio (DER) effect on stock prices and exchange rates partially no effect on stock prices. Variable return on return on equity (ROE), debt to equity ratio (DER) and the exchange rate simultaneously positive and significant effect on the stock price.

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