scholarly journals Crowded Trades, Market Clustering, and Price Instability

Entropy ◽  
2021 ◽  
Vol 23 (3) ◽  
pp. 336
Author(s):  
Marc van Kralingen ◽  
Diego Garlaschelli ◽  
Karolina Scholtus ◽  
Iman van Lelyveld
Keyword(s):  
Systemic Risk ◽  
Stock Price ◽  
Asset Prices ◽  
Stock Return ◽  
Causal Effect ◽  
Null Model ◽  
Price Stability ◽  
Return Distribution ◽  
Present Evidence ◽  
Price Instability

Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock, the clustering measure captures the degree of trading overlap among any two investors in that stock, based on a comparison with the expected crowding in a null model where trades are maximally random while still respecting the empirical heterogeneity of both stocks and investors. We investigate the effect of crowded trades on stock price stability and present evidence that market clustering has a causal effect on the properties of the tails of the stock return distribution, particularly the positive tail, even after controlling for commonly considered risk drivers. Reduced investor pool diversity could thus negatively affect stock price stability.

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.

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 Estimation of Parameters and Verification of Statistical Hypotheses for Gaussian Models of Stock Price

2016 ◽  
Vol 55 (1) ◽  
pp. 91-101
Author(s):  
Dmytro Marushkevych ◽  
Yevheniia Munchak
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Asset Prices ◽  
Estimation Of Parameters ◽  
Gaussian Models ◽  
Hurst Coefficient ◽  
Statistical Hypotheses

We construct models of asset prices on the Ukrainian stock market and analyse their applicability by checkingappropriate statistical hypotheses using actual observed data. We also analyse the presence of jumps in the dynamics ofdifferent assets and estimate the Hurst coefficient for the logarithm of the price of the asset by two different methods.

Analisis Pengaruh Tingkat Harga Saham, Return Saham, dan Volume Perdagangan Saham terhadap Stock Split ISSI Periode 2015– 2020

2021 ◽  
Vol 4 (2) ◽  
pp. 234-245
Author(s):  
Farhan Maulana ◽  
Ahmad Mulyadi Kosim ◽  
Abrista Devi
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Positive Impact ◽  
Secondary Data ◽  
Normality Test ◽  
Stock Split ◽  
Before And After ◽  
Sample Test

For companies that collect funds from the public through capital from capital market, it can be used to meet capital needs and finance the company’s operation. So that company is expected not to rely on commercial debt financing both from within the country and abroad. With stock split, it is hoped that it will increase investors’ interest in buying affordable shares. This study aims to determine whether the stock split has an effect on stock prices, trading volume, and stock return. The method used by the researcher uses quantitative secondary data methods by using descriptive statistical data test, then use the kolgomorov smirnov normality test, and using theaverage paired sample test. The results of this research is that: 1) stock price have a significant effect after the stock split occurs, 2) while the trading volume has no significant effect after the stock split occours, 3)  then stock return has a siginificant impact before and after the stock split because it is expected to have a positive impact for issuers and investors.

Effect of Stock Price Information on Timing of Share Repurchases

2019 ◽  
Vol 4 (1) ◽  
pp. 36-46
Author(s):  
Chong-Meng Chee ◽  
Nazrul Hisyam Bin Ab Razak
Keyword(s):  
Cost Saving ◽  
Private Information ◽  
Stock Price ◽  
Stock Return ◽  
Market Timing ◽  
Abnormal Returns ◽  
Jel Classification ◽  
Share Repurchases ◽  
Price Informativeness ◽  
Stock Price Informativeness

Objective - This study investigates whether private information newly incorporated into stock price enhances performance in timing share repurchases. Methodology/Technique - Cost saving gained in share repurchases is used a proxy for performance of market-timing in share repurchases and firm-specific stock return variation is used to gauge stock price informativeness. A sample of 334 U.S. repurchasing firms are tested using panel data regression. Findings - The paper concludes that managers possess better market timing skill by obtaining more cost saving from their share repurchases when private information is reflected in stock price. Stock price informativeness may be the tool for managers to improve their market timing skill to take advantage of the stock market. Furthermore, firms with smaller size and a higher market-to-book ratios, and firms with higher cash-to-assets ratios are found to achieve more cost saving in buying back their shares indicating that these firms are able to time the market in share repurchasing. Novelty – Despite numerous previous studies focusing solely on using share repurchases announcement for computing cumulative abnormal returns in testing managerial market timing, this study contributes to the literature in several ways: (i) providing evidence relating stock price informativeness and performance of market-timing in share repurchases; (ii) developing a better timing measure constructed using actual repurchasing data; (iii) adopting a cost saving measure as the timing measure instead of cumulative abnormal return. Type of Paper - Empirical. Keywords: Managerial Learning Hypothesis; Market Timing; Stock Repurchase; Stock Price Informativeness; Firm-specific Stock Return Variation. JEL Classification: G12, G13, G14. DOI: https://doi.org/10.35609/jfbr.2019.4.1(5)

Distribution Characteristics of Multivariate Financial Assets Return based on Mathematical Model

2021 ◽  
Vol 7 (5) ◽  
pp. 2244-2259
Author(s):  
Han Wang
Keyword(s):  
Mathematical Model ◽  
Stock Return ◽  
Time Variability ◽  
Financial Assets ◽  
Return Distribution ◽  
Proposed Model ◽  
Dynamic Portfolio ◽  
T Distribution ◽  
Dynamic Portfolio Optimization ◽  
Fluctuation Model

For the non-normality and time variability of the distribution of multivariate financial assets return, a dynamic model of the distribution of multivariate financial assets return based on mathematical model is constructed in this paper. AR(1)-DCC(1,1)-GARCH(1,1) model reflects dynamic characteristics of conditional expectation and conditional variance of multivariate financial assets return. It solves the problem that restricts the in-depth research on high order dynamic portfolio optimization, which is the estimation of conditional coskewness matrix and conditional cokurtosis matrix. By constructing a multi-dimensional fluctuation model with biased t distribution, conditional asymmetric parameter and conditional free degree parameter, the distribution of multivariate financial assets return is researched. Experimental results show that the proposed model can reasonably reflect the time-varying characteristics of the multivariate stock return distribution in China’s stock market.

The Mirror of Malaysia Real Estate Investment Trust Stock Return in the Short-Run Dynamics

2021 ◽  
Vol 12 (3) ◽  
pp. 547-562
Author(s):  
William Choo Keng Soon Et.al
Keyword(s):  
Real Estate ◽  
Crude Oil ◽  
Capital Market ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Financial System ◽  
Empirical Finding ◽  
Short Run ◽  
The Impact

The formation of Islamic capital market under the subcomponent of Islamic financial system scratch a milestones development of Islamic finance in Malaysia. The Islamic capital market operates in mirror with convention capital market in expending, deepening and broadening Malaysia financial system. Malaysia is one of the REIT markets that value both the Islamic and conventional practices, such flexibility makes the attract not only to the local investor but also Islamic investors and foreign investor. The major source that generates income for REIT is the rental of the commercial real estate invested and hold as portfolio by the REIT management company. Furthermore, Malaysia REIT is known to be defensive stocks which consist of cyclic income producing assets that has some potential of asset appreciation. On the other hand, it witnessed by the moderation of Malaysia government bond yields created a lower pressure on the REIT stock price and analyst’s report highlighted the uncertainties on global crude oil prices and inflation is main concerned to REIT investors. In addition, the revision of 2019 tax system in Malaysia furnished a long run affected the dividend payout and volatility of REIT stock price. Therefore, this impact on the REIT stock liquidity and trading volume experiencing anil liquid trading. Therefore, the impact of external forces towards the mirror of two type of Malaysia REITs is significant to the investors, policy makers and government to outline the short-run relationship and facilitate future growth. The Vector auto regression model, granger causality and variance decomposition employed in this study to analyze the mirror of two types Malaysia REIT stock return. The empirical finding shows that the variability of dividend yield is vital explanatory variables to explain the both type of REIT stock return in Malaysia followed by interest rate for Islamic REIT stock return. The mirror of conventional REIT further implicated that trading volume and global crude oil price are useful to forecasting the changes in the stock return. Nutshell, this study provides a discussion of Malaysia REIT stock return behavior and it should be given necessary attention by researchers in ensuring the newly develop Islamic REIT are competitive and stability as the conventional REIT.

scholarly journals OPTION PRICING IN MARKETS WITH INFORMED TRADERS

2020 ◽  
Vol 23 (06) ◽  
pp. 2050037 ◽  
Author(s):  
Yuan Hu ◽  
Abootaleb Shirvani ◽  
Stoyan Stoyanov ◽  
Young Shin Kim ◽  
Frank J. Fabozzi ◽  
...  
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Stock Return ◽  
Asset Pricing Theory ◽  
Black Scholes ◽  
Informed Traders ◽  
Pricing Theory ◽  
Option Pricing Theory ◽  
Information Intensity ◽  
Dynamic Asset Pricing

The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete markets, where we consider traders with information on the stock price direction and stock return mean. The Black–Scholes–Merton option pricing theory is extended for markets with informed traders, where price processes are following continuous-diffusions. By doing so, the discontinuity puzzle in option pricing is resolved. Using market option data, we estimate the implied surface of the probability for a stock upturn, the implied mean stock return surface, and implied trader information intensity surface.

Sentiment, Asset Prices, and Systemic Risk

2012 ◽  
Author(s):  
Giovanni Barone-Adesi ◽  
Loriano Mancini ◽  
Hersh M. Shefrin
Keyword(s):  
Systemic Risk ◽  
Asset Prices
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