Determinants Of Stock Prices Research Articles

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Abstract: Alternative funding from an external company is through an inclusion mechanism that is generally done by selling company shares to the public or often known by going public terms. If the Company already decided to take Go Public at the beginning, have to start their initial company share known as Initial Public Offering (IPO). The absence of an observable previous market price to be used as a bid determination makes the initial stock price determination at IPO very difficult. If the price of shares on the primary market (IPO) is lower than shares price on the secondary market on the first day, then there will be a phenomenon of low prices on the initial offering market, which is referred to as Underpricing. Several factors affect the Underpricing, which are Underwriter Reputation, The Age of Company, The Company Size, and Return on Asset.

FAKTOR FUNDAMENTAL DAN MAKRO EKONOMI YANG MENENTUKAN HARGA SAHAM PERUSAHAAN MAKANAN DAN MINUMAN DI BURSA EFEK INDONESIA

The research intends to determine the stock price from fundamental (Current Ratio [CR], Return on Assets [ROA], Earning Per Share [EPS], Debt to Equity Ratio [DER]) and macroeconomic factors (Inflation Rate) of food and beverage companies on the Indonesia Stock Exchange. This type of research is a verification study with an explanatory survey method. The type of data used is secondary data with a sampling method that is purposive sampling. There are thirteen sample companies that use panel data regression analysis methods, with regression models that meet the classical assumption test. Based on the results of the study note that simultaneously CR, ROA, EPS, DER, and Inflation variables determine the stock price. Partially, CR does not determine the stock price, ROA partially determines the stock price positively and significantly. EPS partially determines stock prices positively and significantly. DER partially does not determine stock prices. The inflation rate partially determines stock prices negatively. The implication of this research is that companies really need to pay attention to the level of profitability because the ratio is very influential on investor perceptions. In addition, macroeconomics must also be considered because it affects the perception of investors in the company's position.

Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries

Fundamental and behavioural factors are the two determinants of stock prices but are rarely investigated simultaneously. This paper examines the role of fundamental and behavioural factors in stock return volatility in the Association of Southeast Asian Nations-5 countries (ASEAN-5) for the period of January 1995 to December 2018 comprising three regimes (before Asian, between Asian and Global, and after Global financial crises). We find that fundamental factors play crucial roles in influencing stock market volatility in Malaysia, Thailand, and Singapore; whereas, behavioural factors affect stock market volatility more significantly than fundamental factors in Indonesia and the Philippines. We find distinctive differences across the three regimes supporting the above findings. Further our results suggest that ASEAN-5 has made encouraging progress of integration with Malaysia and Thailand being closer to Singapore in terms of economic development, corporate values, and political stability; however, Indonesia and the Philippines are much behind showing economic instability and their vulnerabilities are especially associated with the timing of the Asian and global financial crises. Our findings also suggest that monetary policies play a more important role than fiscal policies in the region and highlight a number of policy implications.

Monetary Policy and Stock Market Returns: Evidence from ARDL Bounds Testing Approach for the Case of Vietnam

The paper investigates the presence of a cointegrating relationship between monetary policy indicators (namely refinancing rate, money supply, exchange rate, domestic credit, and inflation rate) and VN-Index (the main representative index of Vietnamese stock markets) from August 2000 to December 2018. By using the Autoregressive Distributed-Lag (ARDL) bounds tests, followed by the error correction model for short term dynamics and robustness tests for the stability of the model, the key findings showed that the VN-Index was significantly influenced by all the selected variables in the long term. The outcomes contributed to the current literature by clarifying the determinants of stock prices from monetary policy perspective within the context of an emerging economy and then providing relevant recommendations for enhancing the performance of the Vietnamese stock market. The remaining money supply expansion and the local currency appreciation, while controlling inflation, domestic credit, and reducing refinancing rate can promote the progress of the Vietnamese securities market. Any shock from equilibrium should be adjusted at the considerably high-speed of 48.91% over the next period. It can be considered as a precious reference for policymakers, financial analysts, stock exchange examiners, and any researchers who interested in this field.

The Determinants of Stock Prices of European Football Clubs: An Empirical Analysis

This study investigates the sporting and financial performances impacts of football clubs on stock price dynamics. The sample covers all the European football companies listed on the Stock Exchange over the period 2012-2017. The stock price formation process for listed football companies is investigated through a multiple regression model in which the share price is a function of several variables of listed European football companies, because the authors analyze the impact of both sports and financial and management performance on the share prices of the companies. Panel data fixed effects estimations are employed to mitigate endogeneity concerns and to control for within-firm dynamics. It was found that on market performance: i) positively impacts of sports performance; ii) positively impacts of economic performance; iii) positively impacts of asset and revenue diversification. This topic would be of interest to international investors and will push club managers to nurture their own corporate culture, which, in many cases, is still not in keeping with the size or pace of market development. These findings have important implications for investors as well as club managers. The empirical research provides useful implications to direct club managements towards best practices that will help football clubs access capital markets. Indeed, they present an encouragement for the improvement of the competitive results and the economic-financial performances.

Factors Affecting Service Share Prices at Amman Stock Exchange

The research objective was to identify the determinants of services stock prices. Research community was represented by the service companies listed in Jordan’s Amman Stock Exchange (ASE). The companies were selected to whose shares continued trading during the study period (2010-2015). The study sample was composed of (27) shareholding companies which were listed on the Amman Stock Exchange (ASE) during the afore mentioned period.
 
 The study results revealed that there was a significant impact of the factors selected such as: profits (distributed profits, return on assets and net cash flows from operations) on the market value of service companies share prices listed on ASE.
 
 The study recommended that further studies ought to be conducted to specify the factors that might affect the market value of listed companies’ shares.

Fundamental and Technical Trading in the Emerging Market of an Oil-Based Economy

This paper investigates the roles played by technicians and fundamentalists in the emerging stock market of Kuwait. The impact on stock prices of traders whose actions are founded on technical analysis is differentiated from the impact of traders whose actions are based on fundamental analysis. This differentiation is performed by formulating, estimating and testing a model relating changes in stock prices to the actions of fundamentalists, technicians and the government. Both technicians and fundamentalists are found to contribute to stock price determination, with the former contribution appearing more significant, even when accounting for governmental intervention. Some explanations for these findings are presented.

How Do Investors Determine Stock Prices after Large Price Shocks?

Most large stock price shocks are not accompanied by publicly available information. Then, what other information do investors use to set prices? The authors find that investors rely on reference points and their private information signals. Stocks closer to their 52-week high (52-week low) have negative (positive) returns in the days that follow a large negative (positive) price shock. These results suggest that investors anchor to these reference points and underreact on the event day. The authors also find that future returns drift in the direction of the shock when the stocks’ abnormal returns before the shock are in the opposite direction.

Causality among Stock Market and Macroeconomic Factors: A Comparison of Conventional and Islamic Stocks

Shari’a compliant stocks are a recent development under Islamic finance, whereby stocks are screened through Shari’a compliance filters. This study is conducted to understand and document the important monetary factors contributing in determining stock prices of Shari’a compliant companies in Pakistan. Our sample includes all 97 non-financial Shari’a compliant companies screened by Al-Meezan Investment Management Ltd, based on accounting results of 2009. We have included ten macroeconomic variables in addition to market index in our study over a ten-year period (2001-10). We use JJ cointegration and OLS regression. Results identified the four important variables including interest rate, exchange rate, foreign direct investment and market index contributing in stock returns’ variations of Shari’a compliant securities. Evidence favors multifactor model for pricing of securities at KSE.

The Environmental Aspect of Companies as a Determinant of Stock Prices

This study aims to determine the effect of disclosure of Corporate Social Responsibility which is composed of economic, environmental and social to the stock price on the companies listed on the Indonesia Stock Exchange. The analysis technique uses multiple regression. The results of this study indicate that the economic and social aspects of Corporate Social Responsibility disclosure does not affect the stock price, while the environmental aspects affect the stock price. These results prove that companies that have environmental concerns as an effort to reduce the effects of global warming, can also increase the positive response of stakeholders through an increase in stock prices.

Price-Swinging Stock Market Fundamentals: Nexus and Contemporary Features

The factors which determine stock prices in capital markets are many and diverse; hence researchers in the academic fields of accounting and finance intermittently undertake to track them with contextual emphasis. From the philosophical basics to the more rigorous econometric dispositions, analysts in different schools of thought had ventured in this regard and came up with divergent outcomes. Some factors did commonly appear for most stock markets, while various conditions surrounding the respective scenes accounted for environmental dynamics. This reinforces the truism that each market has acclimatized rules and regulations, country peculiarities, and investor typologies; all of which provide basis for uniqueness. In this conceptual analysis, the factors that feature as dominant determinants of stock prices are Earnings per Share (EPS), Dividend Per Share (DPS), and Price-Earnings Ratio (P/ER); among which the last is the most and not the least. It further attests to the prevailing value relevance of financial statement information emanating from corporate accounting reports; hence the imperativeness of stock market regulators sustaining the rules that make for adherence to best practices. The alternative to informational reliability is institutional fragility; because when investors’ confidence erodes, liquidity squeezes, efficient markets crashes, and in turn, investors withhold investments. It, therefore, requires market regulatory/administrative mechanisms to be focally directed at enhancing reportorial compliance and compelling higher due diligence, accountability and responsibility in line with international standards.

Fundamentals of Common Stock Pricing: Evidence from Commercial Banks of Nepal

This study relates cross-sectional differences in stock prices of Nepalese commercial banks to the underlying behavior of six fundamental variables: earnings per share, book value per share, cash dividend per share, stock dividend per share, price earnings ratio, and firm size. This study uses secondary sources of data. The balanced panel data from commercial banks including 150 observations are used for the period of 2000-2014. The earnings per share and stock dividend per share are the more significant determinants of stock prices of commercial banks in Nepal. The performance of the stock dividend is especially noteworthy; this variable is statistically and economically the most important of the six fundamental variables investigated.NCC JournalVol. 3, No. 1, 2018, page: 44-64

CART를 이용한 주가결정요인분석과 주가예측 : 코스피 200을 중심으로

Existing stock price analysis studies tended to focus only on stock price rather than stock price determinants, but in this study we develop a stock price forecasting system with a two-step method. In the first step, we find the factors that determine the stock price and predict the stock price based on the factors determined in the second step. The scope of the research is meaningful in reducing the cost of collecting data by developing predictive-based models that can be used in the stock market and selecting the variables needed for forecasting. The research methodology will use CART (Classification And Regression Tree). In this study, we applied to the stock price prediction in two directions of both prediction and classification. We use the KOSPI 200 data for empirical analysis and present a quantitative forecasting model that considers the direction of future share prices by using financial statement indices, past and present stock prices related to asset value and profitability value. Experiments were conducted in three experiments according to the input parameters of prediction and classification problem. Based on the experimental results, two determinants and two models are suggested for prediction and classification.

Media Sentiment and International Asset Prices

We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known determinants of stock prices. But not all news-sentiment is alike. A local (country-specific) increase in news optimism (pessimism) predicts a small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign – rather than local – investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.

Fundamentals of common stock pricing: evidence from commercial banks of Nepal

This study relates cross-sectional differences in stock prices of Nepalese commercial banks to the underlying behavior of six fundamental variables: earnings per share, book value per share, cash dividend per share, stock dividend per share, price earnings ratio, and firm size. This study uses secondary sources of data. The balanced panel data from commercial banks including 150 observations are used for the period of 2000-2014. The earnings per share and stock dividend per share are the more significant determinants of stock prices of commercial banks in Nepal. The performance of the stock dividend is especially noteworthy; this variable is statistically and economically the most important of the six fundamental variables investigated.NCC JournalVol. 3, No. 1, 2018, page: 44-64

On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models

Identification schemes are of essential importance in structural analysis. This paper focuseson testing a commonly used long-run structural parameter identification scheme claiming to identifyfundamental and non-fundamental shocks to stock prices. Five related widely used structural modelson assessing stock price determinants are considered. All models are either specified in vector errorcorrection (VEC) or in vector autoregressive (VAR) form. A Markov switching in heteroskedasticitymodel is used to test the identifying restrictions. It is found that for two of the models considered,the long-run identification scheme appropriately classifies shocks as being either fundamental or nonfundamental.A small empirical exercise finds that the models with properly identified structuralshocks deliver realistic conclusions, similar as in some of the literature. On the other hand, modelswith identification schemes not supported by the data yield dubious conclusions on the importance offundamentals for real stock prices. This is because their structural shocks are not properly identified,making any shock labelling ambiguous. Hence, in order to ensure that economic shocks of interest areproperly captured, it is important to test the structural identification scheme.

On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models

Identification schemes are of essential importance in structural analysis. This paper focuses on testing a commonly used long-run structural parameter identification scheme claiming to identify fundamental and non-fundamental shocks to stock prices. Five related widely used structural models on assessing stock price determinants are considered. All models are either specified in vector error correction (VEC) or in vector autoregressive (VAR) form. A Markov switching in heteroskedasticity model is used to test the identifying restrictions. It is found that for two of the models considered, the long-run identification scheme appropriately classifies shocks as being either fundamental or non-fundamental. A small empirical exercise finds that the models with properly identified structural shocks deliver realistic conclusions, similar as in some of the literature. On the other hand, models with identification schemes not supported by the data yield dubious conclusions on the importance of fundamentals for real stock prices. This is because their structural shocks are not properly identified, making any shock labelling ambiguous. Hence, in order to ensure that economic shocks of interest are properly captured, it is important to test the structural identification scheme.

PENGARUH BEBERAPA RASIO KEUANGAN TERHADAP HARGA SAHAM, STUDY EMPIRIS PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA

This study wants to analyze the influence of fundamental factors on stock prices listed manufacturing in Indonesia Stock Exchange with the observation period Z004 to 2006. Fundamental analysis is used to assess the feasibility of investing in the stock because it can generate the variables that determine stock prices in the fitture. Valuation concept stocks with fitndamental analysis will yield information about whether a particular stock worth buying or not feasible, based on the opportunity to generate returns. To perform this analysis, it would require the company's financial data and other data related to the concept of stock valuation. One source of information that can be used is the company's financial statements. Pniecahan study focused on the issue of corporate fundamental factors jointly influence the stock price companies manufacturing in Indonesia Stock Exchange and what factors aflect the price of the most dominant share of manufacturing companies in Indonesia Stock Exchange. The study aimed to determine the influence of fundamental factors together (simultaneously) on stock prices of manufacturing companies in Indonesia Stock Exchange and to determine the factors that most influence the predominantly manufacturing company‘s stock price in the Indonesia Stock Exchange. The results showed that the six independent variables are return on equity (ROE), debt to equity ratio (DER), net book value (NVB), dividend payout ratio (DPR), dividend growth (GTH) and the expected rate of return (KS5) significantly influence the company's stock price is publicly traded on the Indonesia Stock Exchange with a coeflicient value of R-squared = 0.828758 and Adjusted R-squared = 0.821720 with 0.0000 significance. These results indicate that all six variables are taken into consideration appropriate to analyze the stock prices of publicly traded companies in Indonesia Stock Exchange. The most dominant factor affiecting the stock price of publicly traded companies in Indonesia Stock Exchange is the net book value (NBV) with kefisien value of 0.647716. The analysis of this study indicate that the parties - stakeholders should consider the variable return on equity (ROE), debt to equity ratio (DER), net book value (NVB), dividend payout ratio (DPR), dividend growth (GTH) and the expected benefits (KS5) in making decisions.

Firm-specific determinants of stock prices in an emerging capital market: Evidence from Ghana Stock Exchange

AbstractThis study seeks to examine the influence of firm-specific determinants of stock prices in an emerging market with particular reference to firms listed on the Ghana Stock Exchange. The study employs a data-set from all listed firms on the Ghana Stock Exchange from 2008 to 2014. The study used panel regression analysis to analyse the data. In general, the study found that accounting information, specifically earning per share, return on equity, book value and market capitalization of the firms, is relevant in explaining stock prices after the adoption of International Financial Reporting Standards (IFRS) in Ghana. This study contributes to the ongoing debate on the firm-specific factors influencing share price in an emerging market with particular reference to Ghana Stock Exchange. It is recommended that the Directors of the firms listed on the Ghana Stock Exchange introduce policies which would have a positive impact on their return on equity and earnings per share to significantly influence their...