Value and Growth Stock Price Behavior during Stock Market Declines

There has been constant debate about the predictability of the security markets. We examine the relationship between the prices of a stock and its convertible bond during the Hong Kong stock market bubble of 1997 and its subsequent crash. We find that the price behavior of the share and the convertible bond not only gave a clear signal of the market reversal, but also the minimum range of the stock price change. This example offers concrete evidence that the market becomes highly predictable at times and gives us a chance to understand the relationship of the underlying stock and its derivatives during market bubbles.

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Does Macroeconomic Indicators Influence Stock Price Behavior? Evidence from Nigerian Stock Market

International Finance and Banking ◽

10.5296/ifb.v6i2.14928 ◽

2019 ◽

Vol 6 (2) ◽

pp. 26

Author(s):

Peter Ego Ayunku

Keyword(s):

Stock Market ◽

Significant Influence ◽

Stock Prices ◽

Stock Price ◽

Time Series Data ◽

Unit Root Test ◽

Series Data ◽

Price Behavior ◽

Market Growth ◽

Integration Test

This paper investigate whether macroeconomics indicators influences stock price behavior in Nigerian stock market, using an annual time series data spanning from 1985-2015. The study employed some econometric tools such as Augmented Dicker Fuller (ADF) Unit Root test, Johansen’s co integration test, Vector Error Correction Model (VECM) to analyze the variables of interest. The study found out that Money Supply (MS) has an inverse but statistically significant influence on stock prices in Nigerian stock market also Treasury Bill Rate (TBR) has an inverse and statistically insignificant influence on stock market prices. While on the other hand, Market Capitalization (MCAP) has a positive and statistically significant influence on stock prices while Exchange Rate (EXR) has positive but statistically insignificant relationship with stock prices in the Nigerian Stock Market. In view of the above, the study recommends amongst others that monetary authorities should try as much as possible to implement sound macroeconomic policies that would enhance stock market growth and development in Nigeria.

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The Ex-Dividend Day Stock Price Behavior in the Chinese Stock Market

SSRN Electronic Journal ◽

10.2139/ssrn.314881 ◽

2002 ◽

Cited By ~ 6

Author(s):

Nikolaos T. Milonas ◽

Nickolaos G. Travlos ◽

Zezhong Xiao ◽

Cunkai Tan

Keyword(s):

Stock Market ◽

Stock Price ◽

Chinese Stock Market ◽

Price Behavior

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The Effects of Unstable Macroeconomic Indicators on Stock Price Behavior of Banking Sector in the Nigerian Stock Market

Binus Business Review ◽

10.21512/bbr.v11i2.6047 ◽

2020 ◽

Vol 11 (2) ◽

pp. 71-78

Author(s):

Ibrahim Bello Abdullahi

Keyword(s):

Interest Rate ◽

Stock Market ◽

Stock Price ◽

Inflation Rate ◽

Banking Sector ◽

Positive Influence ◽

Price Behavior ◽

Distributed Lag ◽

Ex Post ◽

Long Run

The research aimed to investigate the stock price behavior of banking sector in response to unstable macroeconomic variables in the Nigerian stock market. The research employed ex-post facto research design, and the data were subjected to Autoregressive Distributed Lag method of analysis to examine both the short and long run of the studied variables between 2009 and 2018. The findings reveal significant negative effects of interest rate and foreign reserves on the stock price behavior of the banking sector in the long run. Meanwhile, the inflation rate has a significant positive influence on stock price behavior. Then, the exchange rate is not statistically significant in influencing stock price behavior in the Nigerian stock market. It can be concluded that the stock price behavior of banking sector is influenced by foreign external reserve, interest rate, and inflation rate. It is recommended that the monetary policy rate should be reduced to decrease the cost of borrowing and enhance liquidity level in the stock market.

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Review of the Literatures on Stock Price Behavior of Malaysia

International Journal of Islamic Business & Management ◽

10.46281/ijibm.v2i2.219 ◽

2018 ◽

Vol 2 (2) ◽

pp. 32-38

Author(s):

Fatima Ruhani ◽

Md. Aminul Islam ◽

Tunku Salha Tunku Ahmad

Keyword(s):

Stock Market ◽

Stock Markets ◽

Stock Price ◽

Efficient Market Hypothesis ◽

Price Behavior ◽

Price Movement ◽

Financial Variables ◽

The Core ◽

The Times ◽

East Asian Stock Markets

Stock price behavior is one of the core concerns of researchers and finance scholars from more than a half-century of years. Most of the times, they have tried to identify unexplored anomalies that could be used to explain stock price movement in the different stock market. As a result, we have found different models and theories relating to stock price behavior as well as the efficiency of the stock market. Malaysian stock market is considered the second among the largest South East Asian stock markets according to its domestic market capitalization. A considerable number of researches have already been done on the stock price behavior of Malaysian stock market. This study reviews the existing literatures on the stock price behavior of Malaysian stock markets within two wings, literatures on efficient market hypothesis of Malaysian market and the effect of economic and financial variables on the stock price.

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Was There a Bubble in the 1929 Stock Market?

The Journal of Economic History ◽

10.1017/s0022050700013486 ◽

1993 ◽

Vol 53 (3) ◽

pp. 549-574 ◽

Cited By ~ 45

Author(s):

Peter Rappoport ◽

Eugene N. White

Keyword(s):

Stock Market ◽

Stock Prices ◽

Stock Price ◽

Price Behavior ◽

The Past ◽

Cointegration Tests ◽

The Future ◽

Historical Accounts

In contrast to historical accounts of the boom and crash of the 1929 stock market, recent econometric studies have concluded that there were no bubbles in the American stock market over the past one hundred years. Examining the pricing of loans to stock brokers, we find information on the lenders' perceptions of the future course of stock prices in 1929. From this market, we extract an estimate of the bubble in stock prices. This bubble component contributes significantly to explain stock price behavior, even though standard cointegration tests suggest that there was no bubble in the market.

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Value and Growth Stock Price Behavior During Stock Market Declines

SSRN Electronic Journal ◽

10.2139/ssrn.2814956 ◽

2016 ◽

Author(s):

Daniel Folkinshteyn ◽

Gulser Meric ◽

Ilhan Meric

Keyword(s):

Stock Market ◽

Stock Price ◽

Price Behavior

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The Extended Opening Session of the Futures Market and Stock Price Behavior: Evidence from the Taiwan Stock Exchange

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s021909150900168x ◽

2009 ◽

Vol 12 (03) ◽

pp. 403-416 ◽

Cited By ~ 7

Author(s):

Hsiu-Chuan Lee ◽

Cheng-Yi Chien ◽

Hsiang-Lan Chen ◽

Yen-Sheng Huang

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Price ◽

Stock Exchange ◽

Futures Market ◽

Price Behavior ◽

Taiwan Stock Exchange ◽

Market Opening ◽

Opening Session ◽

Extension Period

This paper examines how the introduction of the extended opening session of the futures market affects stock price behavior around the market opening. On January 1, 2001, the Taiwan Futures Exchange (TAIFEX) extended the trading hours by opening earlier 15 minutes than the Taiwan Stock Exchange (TWSE). This change presents an opportunity to analyze how the extended opening session of futures market affects stock price behavior. Compared with the pre-extension period, the empirical results show that stock returns are less volatile and return autocorrelations are less positively correlated around the stock market opening. Moreover, overreaction for opening prices of the stock market is mitigated in the post-extension period. Finally, unexpected futures returns during the extended opening session can predict overnight stock returns. Overall, the empirical results are consistent with Foster and Viswanathan (1990) in that informed traders will trade aggressively at the market opening.

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