scholarly journals ELEMENTS INDICATING STOCK PRICE MOVEMENTS: THE CASE OF THE COMPANIES LISTED ON THE V4 STOCK EXCHANGES

2021 ◽  
Vol 22 (2) ◽  
pp. 503-517
Author(s):  
Florin Aliu ◽  
Orkhan Nadirov ◽  
Artor Nuhiu
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Listed Companies ◽  
Negative Influence ◽  
Country Level ◽  
Price Movements ◽  
Eastern European Countries ◽  
The Individual ◽  
Stock Price Movements

Stock markets stand as a financial mechanism that provides liquidity for firms and offers diversification benefits for investors. Stock markets in the Eastern European countries are weakform efficient which exposes them to speculative prices. This study investigates the influence of the macroeconomic and firm-specific factors on stock prices of the listed companies within the Visegrad Stock Markets. The study employs regression analyses based on a Pooled OLS and Fixed Effect models with year dummies and standard errors clustered at the country level, which are robust to autocorrelation and heteroscedasticity. Data collection consists of 55 listed companies based on the weekly stock prices, from January 2013 till December 2018. The results indicate that total equity is the only significant element that influences the individual stock prices of the companies in the four established models. Additionally, increase in supply of shares declines the current stock prices and the other way around. However, the exchange rate and inflation level indicate a negative influence on the stock prices with weaker significance. The findings show that stock markets of the V4 countries are overall inefficient since important indicators, such as economic activity, debt level, cash flow, firm size, oil, and gold prices have limited influence on the stock price movements.

Anomalous Market Movements and the Rolling Settlement: Empirical Evidence from Indian Stock Markets

2007 ◽  
Vol 11 (4) ◽  
pp. 31-44 ◽  
Author(s):  
Ramesh Chander ◽  
Kiran Mehta
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Structural Changes ◽  
Abnormal Returns ◽  
Weekend Effect ◽  
Settlement Period ◽  
Price Movements ◽  
Anomalous Pattern ◽  
Stock Price Movements

Investors and analysts are unable to predict stock price movements consistently so as to beat the market in informationally efficient markets. Still, concerted efforts are being made to earn abnormal returns discerning some anomalous pattern in the stock price movements. Also, the study of some structural changes in the market leading to, or removing some anomalous pattern in the stock prices, are of interest to investors and analysts. The present study was conceptualised to scrutinise whether anomalous patterns yield abnormal return consistently for any specific day of the week even after introduction of the compulsory rolling settlement on Indian bourses. Three market series viz., BSE Sensex, S and P CNX Nifty and S and P CNX 500 were observed on daily basis for ten years viz., i) Pre-rolling settlement period, April 1997 - December, 2001 and ii) Post-rolling settlement period, January 2002 - March 2007 to discern evidences in this regard. Contrary to developed capital markets, the results reported in this study documented lowest (significant) Friday returns in the pre-rolling settlement period as credible evidence for the weekend effect. The findings recorded for post-rolling settlement period were in harmony with those obtained elsewhere in the sense that Friday returns were highest and those on Monday were the lowest. It implied that arbitrage opportunities existed (for different trade settlement cycle on two exchanges, BSE and NSE) have disappeared consequent to the rolling settlement. On the whole, the study noted stock markets moved more rationally and anomalous return pattern noticed earlier could not sustain, in the post rolling settlement period.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

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

WHY DO EMERGING STOCK MARKETS EXPERIENCE MORE PERSISTENT PRICE DEVIATIONS FROM A RANDOM WALK OVER TIME? A COUNTRY-LEVEL ANALYSIS

2009 ◽  
Vol 14 (S1) ◽  
pp. 3-41 ◽  
Author(s):  
Kian-Ping Lim ◽  
Robert D. Brooks
Keyword(s):  
Random Walk ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Private Property ◽  
Structural Characteristics ◽  
Income Group ◽  
Market Liquidity ◽  
High Income Group ◽  
Country Level

This paper employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of fifty countries over the sample period 1995–2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high-income group. This clustering effect is not due to market liquidity or other structural characteristics, but instead can be explained by cross-country variation in the degree of private property rights protection. Our conjecture is that weak protection deters the participation of informed arbitrageurs, leaving those markets dominated by sentiment-prone noise traders whose correlated trading causes stock prices in emerging markets to deviate from the random walk benchmarks for persistent periods of time.

scholarly journals Neural Network Backpropagation Identification of Jakarta Islamic Index (JII) Stock Price Patterns

2020 ◽  
Vol 4 (1) ◽  
pp. 90-94
Author(s):  
Musli Yanto ◽  
Liga Mayola ◽  
M. Hafizh
Keyword(s):  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Share Prices ◽  
Inflation Rates ◽  
Price Patterns ◽  
Price Movements ◽  
Pattern Determination ◽  
Network Patterns ◽  
Stock Price Movements

Jakarta Islamic Index (JII) is an organization engaged in the economy with the aim to pay attention to stock movements every day. With the JII, people who do not understand about shares and their movements, will be easy to know and understand the movement of shares that occur at certain times. The problem in this research is that many investors are unable to predict the rise and fall of stock prices. The prediction process can be done with a backpropagation algorithm. The algorithm is a concept of computer science which is widely used in the case of analysis, prediction and pattern determination. The process starts from the analysis of the variables used namely interest rates, exchange rates, inflation rates and stock prices that occurred in the previous period. The variables used are continued in the formation of network patterns and continued in the process of training and testing in order to produce the best network patterns so that they are used as a process of identifying JII stock price movements. The results obtained in the form of the value of stock price movements with an error rate based on the MSE value of 11.85% so that this study provides information in the form of knowledge for making a decision. The purpose of the research is used as input for investors in identifying share prices. In the end, the benefits felt from the results of this study, investors can make an initial estimate before investing in JII.

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