Review of the Literatures on Stock Price Behavior of Malaysia

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. 

Value and Growth Stock Price Behavior during Stock Market Declines

2017 ◽  
Vol 26 (4) ◽  
pp. 41-52 ◽  
Author(s):  
Daniel Folkinshteyn ◽  
Gulser Meric ◽  
Ilhan Meric
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Price Behavior

scholarly journals Nonlinearities and Chaos: A New Analysis of CEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 707
Author(s):  
Claudiu Tiberiu Albulescu ◽  
Aviral Kumar Tiwari ◽  
Phouphet Kyophilavong
Keyword(s):  
Capital Markets ◽  
Stock Markets ◽  
Transition Period ◽  
Chaotic Behavior ◽  
Efficient Market Hypothesis ◽  
Eastern European ◽  
Price Behavior ◽  
Financial Systems ◽  
Efficient Market ◽  
Level Of Significance

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.

The Linkage between Chittagong Stock Market and Dhaka Stock Market

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Muhammad Shahidullah Tasfiq ◽  
◽  
Nasrin Jahan
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Price ◽  
Impulse Response Function ◽  
Decomposition Analysis ◽  
Variance Decomposition ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
Variance Decomposition Analysis

This paper aims at determining the relationship between the two domestic stock markets of Bangladesh – the Chittagong Stock Market (CSE) and the Dhaka Stock Market (DSE). The daily stock price indices that represent the performance of the two stock markets are collected. In order to find out the interdependent relationship, the Engle-Granger Cointegration test, Granger Causality test, Impulse Response Function, and Variance Decomposition Analysis are employed in this paper. The main finding of this study is that both the stock markets are related in the long run. However, there is a one-way short-run effect from the DSE on the CSE market. The CSE market quickly responds to the shock in the DSE market. But, the DSE market is not responsive to the CSE market. The variance decomposition analysis shows that most of the shocks in the CSE market are explained by its own market. On the other hand, a small number of shocks in the DSE market are explained by the CSE market as well as its own market.

Stock prices' long memory in China and the United States

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhengxun Tan ◽  
Yao Fu ◽  
Hong Cheng ◽  
Juan Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Markets ◽  
Information Disclosure ◽  
Structural Breaks ◽  
Efficient Market Hypothesis ◽  
The United States ◽  
Chinese Stock Market ◽  
Content Type

PurposeThis study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets.Design/methodology/approachThe authors employ various methods to estimate the memory parameters, including the modified R/S, averaged periodogram, Lagrange multiplier, local Whittle and exact local Whittle estimations.FindingsChina's two stock markets exhibit long memory, whereas the two US markets do not. Furthermore, long memory is robust in Chinese markets even when we test break-adjusted data. The Chinese stock market does not meet the efficient market hypothesis (EMHs), including the efficiency of information disclosure, regulations and supervision, investors' behavior, and trading mechanisms. Therefore, its stock prices' sluggish response to information leads to momentum effects and long memory.Originality/valueThe authors elaborately illustrate how long memory develops by analyzing not only stock market indices but also typical individual stocks in both the emerging China and the developed US, which diversifies the EMH with wider international stylized facts and findings when compared with previous literature. A couple of tests conducted to analyze structural break effects and spurious long memory demonstrate the reliability of the results. The authors’ findings have significant implications for investors and policymakers worldwide.

scholarly journals Review on Efficiency and Anomalies in Stock Markets

Economies ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 20 ◽  
Author(s):  
Kai-Yin Woo ◽  
Chulin Mai ◽  
Michael McAleer ◽  
Wing-Keung Wong
Keyword(s):  
Market Efficiency ◽  
Behavioral Finance ◽  
Stock Markets ◽  
Stock Price ◽  
Efficient Market Hypothesis ◽  
Past Century ◽  
Behavioral Models ◽  
Market Anomalies ◽  
Policy Makers ◽  
Conflicting Evidence

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review different market anomalies and different theories of Behavioral Finance that could be used to explain such market anomalies. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and Behavioral Finance underlie. The review is also beneficial to investors for making choices of investment products and strategies that suit their risk preferences and behavioral traits predicted from behavioral models. Finally, when EMH, anomalies and Behavioral Finance are used to explain the impacts of investor behavior on stock price movements, it is invaluable to policy makers, when reviewing their policies, to avoid excessive fluctuations in stock markets.

WHEN THE BUBBLE IS GOING TO BURST …

1999 ◽  
Vol 02 (03) ◽  
pp. 285-292 ◽  
Author(s):  
JING CHEN
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Stock Price ◽  
Price Change ◽  
Convertible Bond ◽  
Price Behavior ◽  
Clear Signal ◽  
Security Markets ◽  
Relationship Of ◽  
The Relationship

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.

scholarly journals Efficient Market Hypotheses Controversy and Nigerian Stock Exchange Relations

2020 ◽  
pp. 1-13
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Unit Root Test ◽  
General Meeting ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Annual Data ◽  
Efficient Market ◽  
Price Series

This study; Nigerian Stock Exchange and Efficient Market Hypothesis was done using All Share Index (ASI) with daily data from January 02, 2014 to May 20, 2019 (1333 observations) and annual data from 1985 to 2018 (34 observations) collected from the Nigeria Stock Market fact books. The study employed three analytical methods namely the unit root test, GARCH Model and the Autocorrelation cum patial autocorrelation method for the assessment of weak form hypothesis on the daily and annual all share index in the Nigerian Stock market. The results of these evaluations indicated a significant relationship between the price series and their lagged values implying that stock price series do not follow a random walk process in Nigerian stock market. Thus, affirming that the Nigeria Stock Exchange is not efficient in weak form. In the light of this, the researchers recommend that the supervisory and regulatory authorities should strengthen the Nigerian Stock Market through palliating its regulations pertaining to transparency of information management rules such as market barriers and stringent listing requirement, publication of accounts, notices of annual general meeting and the like.

scholarly journals Targeted Sentiments and Hierarchical Events based Learning Model for Stock Market Forecasting from Multi-Source Data

2020 ◽  
Vol 9 (4) ◽  
pp. 1763-1770
Keyword(s):  
Stock Market ◽  
Sentiment Analysis ◽  
Stock Price ◽  
Market Price ◽  
Movement Patterns ◽  
Event Extraction ◽  
Spotted Hyena ◽  
Price Movement ◽  
Training Time ◽  
Source Data

Stock market price movement forecast from multi-source data has gained massive interest in recent years. Studies were focussed on extracting the events and sentiments from different source data and employ them in learning the stock price movement patterns. This approach provided accurate and highly reliable forecasting as it involves multiple stock price indicators. However, some aspects of sentiment analysis and event extraction increase the training time and computation complexity in big data stock analysis. To overcome these issues, the hierarchical event extraction and the target dependent sentiment analysis are performed in this paper to improve the learning rate stock price movement patterns. In this paper, the events are hierarchically extracted from news articles using Deep Restricted Boltzmann Machine (DRBM). The target based sentiments from the tweets are detected using Improved Extreme Learning machine (IELM) whose parameters are optimally selected using Spotted Hyena Optimizer (SHO). The stock indicators obtained from these two processes are used in the learning process performed using Tolerant Flexible Multi-Agent Deep Reinforcement Learning (TFMA-DRL) model for analysing the stock patterns and forecasting the future stock trends. The forecasting results obtained by using the TFMA-DRL model by combining the stock indicators of targeted sentiments and hierarchical events are trustworthy and reliable. Evaluations are performed using three datasets collected for 12 months period from three sources of Twitter, Market News and Stock exchange. Results highlighted that the proposed stock forecasting model achieved 90% accuracy with minimum training time.

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

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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