Individualism, Synchronized Stock Price Movements, and Stock Market Volatility

2013 ◽  
Author(s):  
Feng Zhan
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Price Movements ◽  
Stock Price Movements

Individualism, synchronized stock price movements, and stock market volatility

2019 ◽  
Vol 15 (3) ◽  
pp. 371-403
Author(s):  
Feng Zhan
Keyword(s):  
Stock Market ◽  
National Culture ◽  
Stock Price ◽  
Market Volatility ◽  
Investor Behavior ◽  
Stock Market Volatility ◽  
Content Type ◽  
Individualistic Culture ◽  
Price Movements ◽  
Stock Price Movements

PurposeThe purpose of this paper is to examine the impact of national culture on herding behavior across international financial markets.Design/methodology/approachThe relation between national culture and investor behavior, and how it impacts overall market volatility is studied by examining synchronized stock price movements and stock market volatility in 47 countries around the world over the period of January 2003–May 2012.FindingsThe author finds that nations with lower values of individualistic culture are more likely to have a higher number of synchronized stock price movements. Further, the correlation between stock price movements apparently increases stock market volatility. Nations with high individualistic culture have a lower number of synchronized stock price movements and, thus, have lower levels of stock market volatility. The positive relationship between synchronized stock price movements and stock market volatility is stronger for emerging markets during the financial crisis from June 2007 to December 2008.Originality/valueThe empirical results in this paper indicate that a portion of the difference in market level volatility is attributed to the investor bias of different cultures. Investor behavior bias creates excess volatility that drives stock prices away from fundamentals. This impact is strong in nations with lower individualistic culture. The result from this research could also have a wide implication in the investment industry.

scholarly journals The Effect of The Match Results on Bali United’s Stock Price Movements

2020 ◽  
Vol 3 (1) ◽  
pp. 26
Author(s):  
Agung Novianto Margarena ◽  
Arian Agung Prasetiyawan
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
European Countries ◽  
Football Club ◽  
Study Results ◽  
Price Movements ◽  
Positive Effect ◽  
Stock Price Movements

This study was conducted due to differences in the study results inseveral countries related to the effect of the match results on stockmovements. Dimic et. al (2019) stated the match results effect themovement of stock prices, while Mishra & Smyth (2010) stated thevice versa. Then, Floros (2014) put forward different results throughthe study of four clubs in four European countries. Thus, this studyreexamines the effect of the match results on the stock pricemovement of Bali United. Moreover, Bali United is the first SoutheastAsian football club to be listed on the stock market. This study uses aquantitative method with a sample of 31 Bali United’s matches afterlisted on the stock market. The data were analyzed using simple linearregression with SPSS 21 with either won, drawn or lost match resultsrepresented by goal margins. The stock price movements arerepresented by stock prices after the results of the match. It was foundthat the results of the match had a positive effect on the stockmovement of Bali United

Stock price synchronicity and its effect on stock market volatility: evidence from the MENA region

2018 ◽  
Vol 5 (3) ◽  
pp. 276 ◽  
Author(s):  
Omar Farooq ◽  
Neveen Ahmed ◽  
Mohammed Bouaddi
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Mena Region ◽  
Stock Price Synchronicity

Stock market tweets annotated with emotions

Corpora ◽  
2020 ◽  
Vol 15 (3) ◽  
pp. 343-354
Author(s):  
Fernando J. Vieira da Silva ◽  
Norton T. Roman ◽  
Ariadne M.B.R. Carvalho
Keyword(s):  
Machine Learning ◽  
Stock Market ◽  
Stock Price ◽  
Brazilian Portuguese ◽  
Learning Models ◽  
Stock Trading ◽  
Emotion Identification ◽  
Price Movements ◽  
Machine Learning Models ◽  
Stock Price Movements

As stock trading became a popular topic on Twitter, many researchers have proposed different approaches to make predictions on it, relying on the emotions found in messages. However, detailed studies require a reasonably sized corpus with emotions properly annotated. In this work, we introduce a corpus of tweets in Brazilian Portuguese annotated with emotions. Comprising 4,277 tweets, this is, to the best of our knowledge, the largest annotated corpus available in the stock market domain for this language. Amongst its possible uses, the corpus lends itself to the application of machine learning models for automatic emotion identification, as well as to the study of correlations between emotions and stock price movements.

Forecasting Stock Market Volatility: Evidence from Six Emerging Markets

2013 ◽  
Vol 14 (2) ◽  
pp. 68-93
Author(s):  
Naliniprava Tripathy ◽  
Ashish Garg
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Price ◽  
Market Volatility ◽  
Future Market ◽  
Investment Strategies ◽  
Stock Market Volatility ◽  
Efficient Management ◽  
Asymmetric Garch

This paper forecasts the stock market volatility of six emerging countries by using daily observations of indices over the period of January 1999 to May 2010 by using ARCH, GARCH, GARCH-M, EGARCH and TGARCH models. The study reveals the positive relationship between stock return and risk only in Brazilian stock market. The analysis exhibits that the volatility shocks are quite persistent in all country’s stock market. Further the asymmetric GARCH models find a significant evidence of asymmetry in stock returns in all six country’s stock markets. This study confirms the presence of leverage effect in the returns series and indicates that bad news generate more impact on the volatility of the stock price in the market. The study concludes that volatility increases disproportionately with negative shocks in stock returns. Hence investors are advised to use investment strategies by analyzing recent and historical news and forecast the future market movement while selecting portfolio for efficient management of financial risks to reap benefits in the stock markets.

Exploring the Relationships among Interest Rate, Exchange Rate, and Stock Market in Indonesia

2016 ◽  
Vol 4 (3) ◽  
pp. 37-43
Author(s):  
Sherlinda Octa Yuniarsa ◽  
Jui-Chuan Della Chang
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Stock Price ◽  
Structural Breaks ◽  
Emerging Market ◽  
Exchange Rate Volatility ◽  
Market Volatility ◽  
Empirical Literature ◽  
Stock Market Volatility

Objective - The purpose of this research is to explore the relationships among interest rate, exchange rate, and stock price in Indonesia. Methodology/Technique - This study used data from the Central Bank of Indonesia to empirically test a proposed model of interest rate, exchange rate, and stock price. Findings - The findings confirmed that there are positive volatilities from exchange rate and negative volatility from interest rate. The relationships among interest rate, exchange rate, and stock market excessive volatility a little bit strengthen during economic crises, a study that allows for structural breaks, to account for the effects of sudden macroeconomic shocks, recessions, and financial crises, would be important to empirical literature on Indonesia. Novelty - This study proved that it is important to point out the variance decomposition results also showed that except for volatility in the exchange rate, interest rate, and stock market volatility also seems to explain quite a high proportion of the some variations of the macroeconomic excessive volatility. Type of Paper - Conceptual Keywords: interest rate volatility, exchange rate volatility, stock market volatility, emerging market, Asymmetric ARCH models

Forecasting stock price movements with multiple data sources: Evidence from stock market in China

2020 ◽  
Vol 542 ◽  
pp. 123389 ◽  
Author(s):  
Zhongbao Zhou ◽  
Meng Gao ◽  
Qing Liu ◽  
Helu Xiao
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Data Sources ◽  
Multiple Data Sources ◽  
Multiple Data ◽  
Price Movements ◽  
Stock Price Movements

scholarly journals Stock market volatility and it's determinants in Pakistan stock market.

2021 ◽  
Vol 17 (1) ◽  
Author(s):  
Sumaira Tufail ◽  
Keyword(s):  
Foreign Direct Investment ◽  
Stock Market ◽  
Foreign Exchange ◽  
Stock Price ◽  
Direct Investment ◽  
Dividend Policy ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Price Volatility

Stock price volatility is considered as one of the most important areas of concern for the capital markets regulators, investors and academicians in recent years. Corporate dividend policy as a determinant of stock market volatility is a significant area of concern for the investors as well as the managers of the company due to political instability and the current economic crisis in Pakistan. This study aims at determining the effect of significant factors such as dividend yield, dividend payout ratio, foreign exchange rate and foreign direct investment on stock price fluctuation in Pakistan, which contributes to overall variation in stock price volatility. The study used a sample of 200 Pakistani listed companies by employing the regression analysis. The endogeneity issues were addressed through the generalized method of moments (GMM) estimation. The study concludes that stock price volatility has a negative association with dividend policy. The study also suggests that foreign direct investment and foreign exchange rates both negatively influence the stock price fluctuations in emerging markets. The findings of this study provide practical implications for the investors, policymakers and firm managers.

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