scholarly journals The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange

2016 ◽  
Vol 6 (2) ◽  
pp. 13 ◽  
Author(s):  
Mondher Kouki ◽  
Mosbeh Hsini
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Empirical Test ◽  
Past Performance ◽  
Behavioral Bias ◽  
Portfolio Returns ◽  
Explanatory Factors ◽  
Market Trends

This paper examines the behavioral bias in Tunisia, a country with a small stock market in terms of capital, but surprisingly dynamic in comparison to other emerging markets. Our study is consistent with Jegadeesh & Titman (1993)’ approach as presented to highlight an analysis of  such reversal phenomena of portfolio returns, and provides explanatory factors  to the so-called market trends reversal. The empirical investigation is based on a weekly database for a period from January 2002 to January 2013 related to stock prices and index values of market capitalization (TUNINDEX). The empirical test demonstrates the existence of winner-loser phenomenon in accordance with over-reaction hypothesis stating that portfolios with the worst past performance outperform, during the subsequent periods, those having produced best past performance and vice versa. 

scholarly journals Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications

2019 ◽  
Vol 69 (2) ◽  
pp. 273-287 ◽  
Author(s):  
Florin Aliu ◽  
Besnik Krasniqi ◽  
Adriana Knapkova ◽  
Fisnik Aliu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Weighted Average ◽  
Stock Index ◽  
Risk Level ◽  
Average Return ◽  
Monetary System ◽  
Managerial Implications

Risk captured through the volatility of stock markets stands as the essential concern for financial investors. The financial crisis of 2008 demonstrated that stock markets are highly integrated. Slovakia, Hungary and Poland went through identical centralist economic arrangement, but nowadays operate under diverse stock markets, monetary system and tax structure. The study aims to measure the risk level of the Slovak Stock Market (SAX index), Budapest Stock Exchange (BUX index) and Poland Stock Market (WIG20 index) based on the portfolio diversification model. Results of the study provide information on the diversification benefits generated when SAX, BUX and WIG20 join their stock markets. The study considers that each stock index represents an independent portfolio. Portfolios are built to stand on the available companies that are listed on each stock index from 2007 till 2017. The results of the study show that BUX generates the lowest risk and highest weighted average return. In contrast, SAX is the riskiest portfolio but generates the lowest weighted average return. The results find that the stock prices of BUX have larger positive correlation than the stock prices of SAX. Moreover, the highest diversification benefits are realized when Portfolio SAX joins Portfolio BUX and the lowest diversification benefits are achieved when SAX joins WIG20.

scholarly journals Tangled String for Multi-Timescale Explanation of Changes in Stock Market

Information ◽  
2019 ◽  
Vol 10 (3) ◽  
pp. 118 ◽  
Author(s):  
Yukio Ohsawa ◽  
Teruaki Hayashi ◽  
Takaaki Yoshino
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Time Scale ◽  
Stock Exchange ◽  
Data Driven ◽  
Change Points ◽  
Sequential Data ◽  
Visualization Tool ◽  
Data Market ◽  
Innovation Platform

This work addresses the question of explaining changes in the desired timescales of the stock market. Tangled string is a sequence visualization tool wherein a sequence is compared to a string and trends in the sequence are compared to the appearance of tangled pills and wires bridging the pills in the string. Here, the tangled string is extended and applied to detecting stocks that trigger changes and explaining trend changes in the market. Sequential data for 11 years from the First Section of the Tokyo Stock Exchange regarding top-10 stocks with weekly increase rates are visualized using the tangled string. It was found that the change points obtained by the tangled string coincided well with changes in the average prices of listed stocks, and changes in the price of each stock are visualized on the string. Thus, changes in stock prices, which vary across a mixture of different timescales, could be explained in the time scale corresponding to interest in stock analysis. The tangled string was created using a data-driven innovation platform called Innovators Marketplace on Data Jackets, and is extended to satisfy data users here, so this study verifies the contribution of data market to data-driven innovation.

Political connection and firm value: an Indian perspective

2014 ◽  
Vol 3 (2) ◽  
pp. 170-189 ◽  
Author(s):  
Debabrata Datta ◽  
Santanu K. Ganguli
Keyword(s):  
Corporate Governance ◽  
Theoretical Model ◽  
Stock Market ◽  
Stock Prices ◽  
Empirical Test ◽  
Political Connection ◽  
Content Type ◽  
Election Results ◽  
Political Governance ◽  
Practical Implications

Purpose – The purpose of this paper is to verify existence of political connection of firms in India. For this purpose the paper first presents a theoretical model and then tests empirically the movement of stock prices during two state elections in India. Design/methodology/approach – The methodology is theoretical modelling where the paper applies the standard Cournot model of oligopoly. The paper then applies correlation and Wilcoxon Paired Rank Sum test to verify the results of the theoretical model by using data from the Indian stock market during the election results. Findings – The theoretical result states that some firms opt for political connection and some remain independent in an oligopoly. It also shows that political connection affects stock price. The empirical results find out that divergent responses of stock prices to the election results can be linked to politically connection. Research limitations/implications – The theoretical model is a simple two firm model and not generalized to n number of firms. The empirical test considers only two state elections and applies simple statistical test. The study is restricted to one country only. Practical implications – The paper has practical implications for stock market. It has implications for corporate governance and for political governance. This is important since political connection of firms has emerged as an important issue in India. Social implications – The paper is important as it addresses the issue of political connection of firms, which have ramifications for social equilibrium. In a democratic country like India any nexus between political party and firms may adversely affect not only corporate governance but also political governance. Originality/value – This paper looks at political connectedness theoretically in a federal structure, an issue not addressed so far in the literature. Second it considers not so discussed topic of market perception of political connection in India. The originality of the paper is that it presents a theory and also verifies the theoretical results with empirical test.

scholarly journals Testing Weak-Form Market Efficiency of Dhaka Stock Exchange

2015 ◽  
Vol 4 (2) ◽  
pp. 79-90
Author(s):  
Md.‬ Abu Hasan‬‬‬‬‬‬‬‬
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Jel Classification ◽  
Ratio Test ◽  
Daily Return ◽  
Classification Code ◽  
Augmented Dickey Fuller

Measuring the efficiency of the stock market is an important research topic as there are various implications for investors. This paper investigates the weak form efficiency in the framework of the random walk hypothesis for the stock market in Bangladesh, employing both Non Parametric tests (Runs test and Phillips-Perron test) and Parametric tests (Autocorrelation test, Augmented Dickey-fuller test, and Variance Ratio test). The study uses daily return data for the three stock indices of Dhaka Stock Exchange such as DSI (from 02 January 1993 to 27 January 2013) with a total of 4823 daily return observations, DGEN (from 01 January 2002 to 31 July 2013) with a total of 2903 daily return observations, and DSE-20 (from 01 January 2001 to 27 January 2013) with a total of 3047 daily return observations. The evidence suggests that all the return series do not follow the random walk model, and thus the Dhaka Stock Exchange is inefficient in weak form. Thus, historical stock prices can be used to achieve superior gains from the stock markets in Bangladesh. JEL Classification Code: C22, G10, G14

scholarly journals Semi-Strong Form of Efficiency of Nigerian Stock Market: An Empirical Test in the Context of Input and Output Index

2017 ◽  
Vol 9 (1) ◽  
pp. 115
Author(s):  
Ajayi John Ayodele ◽  
Segun Anthony Oshadare ◽  
Olufunmilayo Adekemi Ajala
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Empirical Test ◽  
Sampling Technique ◽  
Strong Form ◽  
Secondary Sources ◽  
Average Value ◽  
Output Index ◽  
Market Index ◽  
Input And Output

This paper examines the semi-strong form of efficiency of the Nigerian stock market. Such examination is made in the context of whether information impounded in previous stock prices reflect current prices through the input and output index. Data for the study were from secondary sources and it spans from 2005-2013. The population for this study encompasses all the companies that traded in the period of January 1, 2005 to December 31, 2013. All these companies are ranked according to their capitalization and a random sampling technique was employed to select the companies that have the capitalization values above the average value. The study made use of modified transfer function model to estimate the market index which is represented by the outputindex and the computed selected securities represented by the input index which is tantamount to published information. Findings from the paper show that publicly published information captured by the input index commands significant effect on the stock market represented by the output index hence making the Nigerian stock market to be semi-strong inefficient.

Performance and development of a thin stock market: the Stockholm Stock Exchange 1912–2017

2020 ◽  
pp. 1-19
Author(s):  
Kristian Rydqvist ◽  
Rong Guo
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Stock Selection ◽  
Data Set ◽  
Transaction Prices ◽  
Limit Orders ◽  
A Value

We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices that spans more than 100 years. Stock returns exhibit all the familiar characteristics. The growth of the public sector depressed the stock market, and the process of globalization revitalized it. Banks played an important role in the early development of the stock market. There was little trading in the past, and we examine the effects on return measurement from missing data. Stock selection and the replacement of missing transaction prices through search back procedures or limit orders make little difference to a value-weighted stock price index, while ignoring the price effects of capital operations makes a big difference.

scholarly journals The Behavior Patterns of Investors in Thailand Stock Market

2017 ◽  
Vol 9 (1) ◽  
pp. 155
Author(s):  
Quan Nhu Tran
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Exchange ◽  
Investment Decision ◽  
Behavior Patterns ◽  
Individual Investors ◽  
True Value ◽  
Investment Decision Making ◽  
Depth Interview ◽  
Decision Making Processes

The purpose of this paper is to investigate behavioral patterns expressed by investors in the Thailand stock market. The paper examines investment decision-making processes in the context of the current financial market in Thailand to shed some light on behavioral-induced pattern behind such investments. Data for this research was collated from 8 individual investors by semi-structured and in-depth interview. There are four behavioral factors of individual investors in Thailand Stock Exchange: Overconfidence, Excessive Optimism, Psychology of risk, and Herding Behavior. Securities Companies may also use the findings of this research for better understanding on investors’ decision to give better recommendations to them. Stock prices then reflect their true value and Thailand stock market becomes the yardstick of the economy’s wealth and helps enterprises to raise capital for business activities.

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