Stock Price Behavior Research Articles

Stock Market Predictor using Long short-term Memory (LSTM) Technique

In the stock market, it is important to have accurate prediction of future behavior of stock price..Because of the great chance of financial loss as well as scoring profits at the same time, it is mandatory to have a secure prediction of the values of the stocks. But when it comes to predicting the value of a stock in future we tend to follow stock market experts but as technology is progressing we may use these technologies rather than following human experts who may be biased many times. Stock price prediction has been interesting area for investors and researchers. This article proposes an approach towards prediction of stock price using machine learning model Long Short Term Memory. This is an ensemble learning method that has been an exceedingly successful model for predicting sequence of numbers and words. Long Short Term Memory is a machine learning model for prediction. This technique is used to forecast the future stock price of a specific stock by using historical data of the stock gathered from Yahoo! Finance.

The change in investor reaction to 10-K filings after Regulation Full Disclosure and the Sarbanes–Oxley Act

PurposeThe purpose of this paper is to examine whether the investor reaction to 10-K filings has changed since the implementation of Regulation Full Disclosure (FD) and the Sarbanes–Oxley Act (SOX) and examine whether the market still underreacts to 10-K content and exhibits the continuation of filing day returns (FDRs) documented by You and Zhang (2009) after the passage of these regulations.Design/methodology/approachThe sample consists of 39,270 10-K filings over the sample period of 1996 to 2012. Performance of portfolios created based on FDRs around 10-K filings is examined. Regression models are used for multivariate analysis. Carhart αs are obtained using the four-factor risk adjustment model.FindingsBy comparing investor reaction to 10-K filings pre- and post-regulation, the paper shows a significant change in stock price behavior since the implementation of FD and SOX. Analogous to Burks (2011), results suggest improved price efficiency around 10-K filings. In the long-run of up to one year following the filing, the continuation of FDRs documented by You and Zhang (2009) disappears post-2000, especially after the implementation of SOX. Overall findings suggest that investors price the information in 10-K filings significantly differently after FD and SOX than before.Research limitations/implicationsThe sample ends in 2012. Therefore, this study does not examine the implications of the Dodd-Frank Act.Originality/valueThe paper contributes to the literature related to the impact of FD and SOX and market reaction to filings of financial reports. The current literature documents that there is a continuation of FDRs up to a year. This paper shows that the continuation has disappeared since FD and SOX were implemented.

Impact of Mergers and Acquisitions on Stock Price Behaviour of Merger and Acquirer Companies in Automobile Industry

Impact of Mergers and Acquisitions on Stock Price Behaviour of Merger and Acquirer Companies in Automobile Industry

Effect of Global Economic Crisis on the Price Behavior of Realty Sector Index Stocks of NSE

This study has been conducted to understand whether the global economic crisis triggered by sub - prime crisis, which was happened due to burst in asset price of housing sector in United States have made any significant negative impact on the price behavior of the housing sector stocks of Indian equity market ? and if yes, whether this negative impact has brought volatility, more specifically asymmetric volatility (Leverage effect) to the Indian equity market?. In the process finding out the answer to these questions, we have collected data relating to the price behavior of the constituent stocks of Realty sector index of NSE for the period from 9th January 2008 to 5th November 2010, the period where the Indian equity market index -NIFTY has travelled from its peak 6287 mark to 2573 mark and bounced smartly from this low to again its previous high (around 6300) and the price behavior data were collected from the official web site of NSE. The GARCH family models viz. GARCH (1,1) and EGARCH (1,1) were employed to understand the symmetric and asymmetric volatility and found that realty sector stocks were negatively influenced by the sub-prime crisis and has triggered the volatility of both symmetric and asymmetric volatility.

SEMI-STRONG FORM EFFICIENCY OF NIFTY 50 INDEX: AN EMPIRICAL TESTING IN RELATION TO RIGHTS ISSUE ANNOUNCEMENTS

Stock price series is a wandering one. Investors put their money after analysing the behavior of the price using technical or fundamental analysis. The assumption behind these models is that the stock price behaviour is quite orderly and not random. Many researchers questioned this assumption and argued that the stock price behaviour is random. Efficient market hypothesis is explained in three levels. Weak form, semi-strong forma and strong form. With this background an attempt was made to anlayse the efficiency of the leading stock index in India i.e. Nifty 50 Index in weak-form in relation to rights issue. In this study rights issue of Nifty 50 companies announced during 2009-2018 were considered and event study methodology was applied to examine the randomness. The results of the study revealed that the Nifty 50 Index is not efficient in semi-strong form. KEY WORDS: Efficient Market hypothesis, Rights issue, event study, Nifty 50 index.

Stock prices, dividends, and structural changes in the long-term: The case of U.S.

According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the long-run. In this paper we consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical description of the Present Value model of U.S. stock prices. Our methodology is based on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed in Arai and Kurozumi (2007) and Kejriwal (2008). The results obtained are consistent with the existence of linear cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrating relationship has changed over time. In particular, the Kejriwal-Perron tests for testing multiple structural breaks in cointegrated regression models suggest a model of three regimes.

Implications of the paracrises on the companies’ stock prices

PurposeThe concept of social media crisis has been consequently replaced by the term “paracrisis”. However, the economic implications of the paracrises have not been thoroughly researched by now. The purpose of this paper is to examine the potential influence of paracrisis on companies’ stock price values.Design/methodology/approachSecondary data analysis has been conducted to identify paracrises for the publicly listed companies and verify that there were no other market events that could affect the stock price during the observed period. Quantitative data analysis has been conducted using the event study, observing stock price values before and during the paracrisis, and the relationship between stock price oscillations and S&P 500 trends was tested.FindingsThere were no significant differences in stock price values before and during the paracrisis. Additionally, a strong correlation between S&P 500 and stock price trends has been found. Findings indicate that paracrises do not significantly impact the stock price behaviour and they should be considered as an irrelevant market event from the stock price point of view.Originality/valueThis study is the first research that examines the stock price paracrisis interdependence.

High and low prices and the range in the European stock markets: A long-memory approach

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically, monthly, weekly and daily data on the following five European stock market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all cases, the order of integration of the range is lower than that of the original series, which implies the existence of a long-run equilibrium relationship between high and low prices. Further, multiple breaks are found in the high and low-price series but no breaks in the range, and the estimated fractional differencing parameter is positive in all cases, which represents evidence of long memory.

An Impact of Mergers and Acquisitions on Stock Price Behaviour of Acquiring Pharmaceutical Companies

An Impact of Mergers and Acquisitions on Stock Price Behaviour of Acquiring Pharmaceutical Companies

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

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.

Impact of Macro - Economic Factors on Indian Stock Market- A Research of BSE Sectoral Indices

Macro-Economic factors plays a major role in decision making. Evaluation of macroeconomic environment is required to examine the behaviour of stock prices, which further influences the investor’s investment behaviour. Even though some macro-economic factors are not directly related to the company or industry, but those factors has an impact on stock prices, further economic activity in the domestic and global level has its own impact on stock market. When economy of the country grows hastily, it leads to faster growth in the industry and vice versa. Financial market plays a central role in the performance of financial system of an economy. Stock market is a market where securities of listed companies are exchanged between different investors, it is very responsive market which, gives a stage to investors to invest their money in various securities. Market indices are the tools to measure the performance of various securities of stock market and Investors make use of those market indices to analyse performance of those industries in which, they prefer to invest. This study takes into account six macro-economic factors (Crude oil Price, Gold Price, Silver Price, Exchange Rate, Inflation and Interest Rate) to study & analyse the impact of these variables on selected sectoral indices at BSE, SENSEX, S&P BSE BANKEX, S&P BSE Oil and Gas, S&P BSE Capital Goods, S&P BSE Consumer Durables, S&P BSE Reality, S&P BSE PSU and S&P BSE Power. The study shows that gold price, exchange rate, consumer price index and interest rate are positively correlated with four indices but crude oil price and silver price have positively correlated with 3 indices. So from the result it is clear that investor need to take of all the variables for their investment decision and the investment banker also take care of these indicators before giving suggestion to their clients

Dividend Announcement and Abnormal Return :An Applied Study on Banking Shareholding Firms in Amman Bourse

This study aims to test the effect of dividend announcement on stock prices on banking shareholding companies, and investigating the information content of this announcement on either stock prices and trading volumes. it is also aims to investigate the ability of investors to earn abnormal return by using these information.The behaviour of stock prices is studied on the basis of monthly or weekly movements. On this paper an attempt was made to analyze the daily stock prices of banking shareholding companies listed in Amman bourse using CAPM model in order to estimate the normal return and the percentage change of daily stock prices in order to estimate the actual return.The hypothesizes of the study were examined by using parametric tests as one-sample test and paired sample to test. it was found that there was no information content to these dividends' announcements on stock prices and investors couldn’t neither use information to beat the market nor earning abnormal return .This study can be a source of help to market makers to improve either way of timing their decision to buy and sell stocks or the way of analyzing dividend announcement content . and it is also a source of help to potential and current investors to improve their understanding and reading of these announcements . Keywords: return(excess return),normal: dividend announcements ,stock prices, abnormal return ,CAPM,under reaction,over reaction DOI : 10.7176/RJFA/10-18-03 Publication date :September 30 th 2019

Testing for Single Bubble Episode in the Nigerian Stock Market: An Empirical Investigation

This study tested for a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggested non-existence of a bubble in the NSE between 2010 and 2017. Though there was an indication of one explosive episode in September 2011 at which the Dickey-Fuller statistic lied above the critical values sequence line. However, it was not a bubble but a short deviation from trend. The study also estimated a time-varying long memory parameter, using a fractionally-integrated autoregressive model to check the robustness of the SADF test and it provided further evidence on the absence of a bubble. These findings showed that the behaviour of stock prices was not driven by a bubble in the Nigerian Stock Exchange (NSE). The study, therefore recommended that a time-to-time bubble diagnostic check on the exchange so that symptoms of a bubble can be early detected and managed to avoid losses that may result from the bust.

Three effects of stock repurchase on rival firms in Vietnam

Purpose The purpose of this paper is to examine the effects of share repurchase announcements on the stock price of rival firms in the same industry in Vietnam during 2010–2017. Design/methodology/approach Both event study and t-test are employed to test the effects of share repurchase announcements on rival firms. In addition, cross-sectional analysis by ordinary least square regression is also applied for investigating the heterogeneous effects due to information transfer. Findings The finding shows that stock repurchase announcements result in a positive and significant valuation effect for both announcing firms and rival firms in Vietnam. Furthermore, the degree of signal to the industry is conditional on the degree of signal about the announcing firms as a contagious effect. Intra-industry effects are more favorable when profit performance of rival firms is good and when leverage of rival firms is low. Practical implications Rival firms can seize opportunities surrounding share repurchase announcements in the same industry in Vietnam. However, due to firm characteristics, intra-industry effects of stock repurchases differ among industries. Originality/value By examining different methods, the paper attributes valuable results to investigate the stock price behavior of rival firms in the same industry when firms announce stock repurchase in Vietnam.

Heterogeneous Interpretations of Public Disclosure, Price Efficiency, and Keynesian Beauty Contest

This paper examines how public information about the fundamental value of a firm affects the firm’s stock price behavior and efficiency in the presence of Keynesian beauty contests when such information is heterogeneously interpreted by investors. In an overlapping generations rational expectations model of capital markets, we show that, if transparency and clarity of a public disclosure are of comparable magnitude, clarity is of first-order importance in improving price efficiency. Moreover, marginally improving transparency can be detrimental to price efficiency if the initial level of transparency is already sufficiently high.

THE EX-DIVIDEND-DAY BEHAVIOR OF STOCK PRICES AND VOLUME: THE CASE OF PHARMACEUTICAL DIVIDEND ARISTOCRATS

This paper presents the wide analysis of the profitability factors of dividend capture strategy on public pharmaceutical companies within a five-year period after the global financial crisis 2008. We investigate the abnormal return and trading volumes with event study, and the effect of price changes around the ex-dividend date under the influence of various factors. Our findings suggest that there are no abnormal trading volumes on both the [Formula: see text] day of the event window and the day of the event on a subsample of companies that do not declare a dividend before the register close date. We confirm the negative stock yield on the ex-dividend day in most markets. We further confirm the tax hypothesis explaining the behavior of the share price and note the specific behavior of stock prices in the ex-dividend date for companies that do not disclose information on future payments (Japan and South Korea) and on emerging markets. The positive average cumulative abnormal return is statistically significant only for companies with a share of R&D/Total revenue [Formula: see text]3%. For companies with a value of more than 3%, the return is negative. An anomaly in the pharmaceutical stock market behavior in the ex-dividend date for 2016 is documented in our paper. A statistically significant price increase is registered both without taking into account the general market behavior, and taking into account market and individual expected return for each share of the sample. The cumulative abnormal returns are greater for pharma companies with a total enterprise value more than $1 billion, except for 2016.

The effect of share ownership structure on ex-dividend day stock price behavior

PurposeThe purpose of this paper is to explore whether share ownership structure plays a role in determining the ex-day pricing of dividends. If share ownership structure, specifically the proportion of the firm’s stock held by individuals vs institutions, has an effect on the ex-dividend day stock price behavior, the ex-day premium is expected to be different for firms with different ownership structures.Design/methodology/approachTo investigate whether the ex-day pricing of dividends is affected by the proportion of the firm’s stock held by individuals vs institutions, the author look into the ex-day premium. The ex-day premium is calculated by dividing the difference between the closing price on the cum-dividend day and the closing price on the ex-dividend day by the amount of the dividend.FindingsConsistent with both the tax-based theory and the dynamic trading clientele theory, the author find that the ex-day premium decreases with the level of individual ownership. Consistent with the short-term trading theory, the author also find that the ex-day premium increases with the degree of investor heterogeneity, defined as the product of the proportion of the firm’s stock held by individual investors and the proportion held by institutional investors.Originality/valueThe author believe that this study contributes to the literature by providing useful evidence that share ownership structure affects the ex-day pricing of dividends, and thus this study will be of interest to the readers of managerial finance.

Forecasting stock market volatility: The role of technical variables

Accurate volatility forecasts are required by both market participants and policy makers. In this paper, we forecast stock return volatility by using a wide range of technical indicators constructed based on the past behavior of stock price, volatility and trading volume. Our out-of-sample results indicate that the incorporation of technical variables in the autoregression benchmark can produce significantly more accurate volatility forecasts. The forecasting performance of the combination of technical indicators is further compared with that of the popular economic indicators. Technical variables perform better than economic variables when the economy is an expansion, while the economic variables generate more accurate forecasts when the economy belongs a recession. These two types of variables provide complementary information over the business cycle. We obtain more reliable forecasts by combining all economic and technical information together than by combining either type of information alone.

Stock Price Cycles and Business Cycles

We present a simple model that quantitatively replicates the behavior of stock prices and business cycles in the United States. The business cycle model is standard, except that it features extrapolative belief formation in the stock market, in line with the available survey evidence. Extrapolation amplifies the price effects of technology shocks and - in response to a series of positive technology surprises - gives rise to a large and persistent boom and bust cycle in stock prices. Boom-bust dynamics are more likely when the risk-free interest rate is low because low rates strengthen belief-based amplification. Stock price cycles transmit into the real economy by generating inefficient price signals for the desirability of new investment. The model thus features a 'financial accelerator', despite the absence of financial frictions. The financial accelerator causes the economy to experience persistent periods of over- and under-accumulation of capital.

High and Low Prices and the Range in the European Stock Markets: A Long-Memory Approach

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically, monthly, weekly and daily data on the following five European stock market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all cases, the order of integration of the range is lower than that of the original series, which implies the existence of a long-run equilibrium relationship between high and low prices. Further, the estimated fractional differencing parameter is positive in all cases, which represents evidence of long memory.