Stock Price Evolution Research Articles

The impact of the Russia-Ukraine war on the competitiveness of European airlines

Purpose – The research identifies the impact of the Russia-Ukraine war on the stock prices of six publicly traded European airlines and evaluates their ability to adapt to this situation. Research methodology – The dependence of the development of airline stock prices on the level of public and institutional stress due to the war was measured using GoogleTrends and is analysed on the basis of a Vector Autoregression model (VAR). Findings – A short-term negative relationship was confirmed between the development of stock prices and GoogleTrends; the impact of the stress related to the war was negligible about 5 months after the outbreak thereof. Those companies that were the fastest to adapt to the shock of the war in terms of share prices are identified. Research limitations – The link between GoogleTrends, as an input variable reflecting market sentiment, and the stock prices of European airlines, is considered a limitation. Practical implications – The impact of investor sentiment on the returns on the stocks of airlines is a thing of the past; which is an important finding for financial market participants and airlines alike. Originality/value – The ability of the specific airlines to adapt to the shock of war creates a competitive advantage.

Empirical Analysis of Sustainable Performance in Relation to Stock Exchange Performance: Evidence from Romania

Given the substantial advancements in worldwide financial markets and the sharp increase in sustainability concerns, this article proposes an incursion into the empirical analysis of the interaction between companies' sustainable performance and stock market performance, focusing on the specificities of the Romanian financial market. It emphasizes the importance of a comprehensive approach that goes beyond simple financial figure analysis to include aspects such as sustainability, corporate governance, and social impact. The article aims to shed light on this complex relationship through rigorous empirical analysis applied to data specific to the Romanian market. We will thoroughly investigate the connections between companies' sustainability practices and the evolution of stock prices, taking into account the economic particularities of Romania, culminating with the estimation of a multiple linear regression model. Our study reveals that there is a correlation between the market capitalization of a company, its corporate performance and the specific industry or sector in which it operates.

Pengaruh Good Corporate Governance dan Leverage Terhadap Kinerja Keuangan Perusahaan

Financial performance is one form of assessment with the principle of benefits and efficiency in the use of financial budgets, the financial performance of a company can be obtained from the information presented in financial reports in a period, not only seen from the development of stock prices. The company's performance can be measured using Tobin's return on equity and return on assets. This study aims to examine the effect of good corporate governance and leverage on the company's financial performance. The research approach used in this study is to use the associative method with a quantitative approach. The Data used in this study were obtained from the official website of the Indonesia Stock Exchange regarding the annual reports of banking sub-sector companies in 2020-2022. The population in this study is banking companies listed on the IDX for the period 2020-2022. Sample selection in this study using purposive sampling method. The results of this study can be concluded that the board of Commissioners, audit Committee, Board of Directors has no effect on financial performance, while leverage has a significant effect on financial performance.

ARIMA-GARCH MODEL IN OVERCOMING HETEROSCHEDSDATICITY IN STOCK PRICE PREDICTION (CASE STUDY: PT INDOFOOD, TBK (INDF))

Ensuring access to future stock price information holds significant weight for investors in formulating investment strategies. The Indonesian capital market serves pivotal economic and financial roles within the economy, offering various instruments, such as stocks. Among these, blue-chip stocks are recognized for their minimal risk exposure. The impact of the COVID-19 pandemic is anticipated to influence stock price dynamics, including those of blue-chip stocks. Statistical methodologies, such as Autoregressive Integrated Moving Average (ARIMA), are commonly utilized for stock price prediction. However, the efficacy of ARIMA is contingent upon the fulfillment of homoscedasticity assumptions. Failure to meet this assumption due to fluctuating stock price developments poses a challenge. Consequently, an ARIMA-GARCH hybrid model has been developed to address heteroskedasticity concerns in stock price forecasting. This study focuses on INDF stock data, exemplifying a blue-chip stock with positive performance. Results indicate that combining ARIMA-GARCH models, particularly the ARIMA(0,1,3)-GARCH(1,3) model, yields optimal predictions for subsequent stock prices. The MAPE value of the ARIMA-GARCH model stands at 1.41%, indicating superior performance compared to standalone ARIMA modeling. These findings are expected to serve as a valuable resource for investors navigating investment decisions.

Macroeconomic Environment and Stock Price Movement in Nigeria: An Evaluation of Fama’s Model of Efficient Market

The study examined the link between macroeconomic environmental dynamics and stock price movements in Nigeria using Fama’s model of efficient market approach. The macroeconomic climate posed issues for Nigerian stock markets. The buying power of local currency occasionally impacted unfavourable changes in the majority of macroeconomic variables. In this study, an ex post facto research design was used. The study looked at certain macroeconomic variables and the evolution of Nigerian stock prices between 1985 and 2021. To test the hypothesis, quantile regression estimates of the Fama-French three-factor coefficient were derived. The findings showed that the interest rate and stock price movement have a negative and negligible association. Additionally, a strong and positive correlation was observed between the exchange rate and changes in stock prices. It was recommended that in order to promote stock market activity and, by extension, enhance stock prices in Nigeria, a suitable monetary policy and a sufficient amount of money supply must be implemented. Also, well-diversified portfolios that mirror the entire market portfolio should be recommended to investors to protect themselves against stock price volatility. This would serve as a guide to protect them against shocks resulting from the macroeconomic environment.

WINTERS EXPONENTIAL SMOOTHING UNTUK FORECASTING HARGA SAHAM PT ASTRA INTERNATIONAL TBK

Investing in the stock market is one of the investment options that are in great demand by investors. Investors generally invest because want to gain profits which can be seen from the stock returns. On the other hand, there is a risk of loss if the investor makes the wrong decision. Investors need accurate information, predictions and a sense of security in stock transactions. Investors or shareholders need to know the development of stock prices in the future with forecasts to anticipate large losses. This study aims to predict the share price of PT. Astra International Tbk (ASII.JK) one year ahead using the winters exponential smoothing method. Forecasting results show that ASII's share price for the next year will increase every month. This can provide information on future stock movements for investors as a consideration for investing in these stocks.

Forecasting Analysis of Stock Prices on European Markets Using the ARIMA-GARCH Model

The achievement of profits when trading on the stock markets is conditioned by a quality analytical forecast of the development of stock prices in the coming period. This research attempts to compare the results of the ARIMA model and the ARIMA-GARCH model to forecast the development of stock prices on a sample of selected stocks from the Czech, German, Austrian, Polish and British markets. The 4 most liquid titles from each of the above-mentioned markets were selected for the sample of analyzed stocks. Available daily closing stock price data, mostly from the period 2000–2022, were used for the analysis. Research has shown that for most of the analyzed titles, it is more appropriate to use the ARIMA-GARCH model, which better captures variability for this data than just the ARIMA model. The quality of the selected model is evaluated by autocorrelation, heteroskedasticity tests, and Theil´s inequality coefficient.

Financial Performance and Capital Structure on Firm Value with Commodity Prices as a Moderating Variable

The objective of this study is to examine the impact of liquidity, profitability, and capital structure on firm value, with commodity prices as a moderating variable. Causal research was employed, and 23 companies were selected as samples using purposive sampling at the IDX. Secondary data from these companies were used for analysis, and panel data analysis with e-views was applied. The findings reveal that liquidity and profitability do not significantly influence firm value, while capital structure has a significant effect on firm value. Commodity prices moderate the relationship between profitability and firm value, but not for liquidity and capital structure. The study's implications suggest that coal mining companiesˑneed to carefullyˑconsider decisions that affect theirˑvalue, particularly regarding investment funding through the management of capital structure, profitability, and liquidity. For investors, it is crucial to make informed decisions based on firm value and performance, considering financial reports and stock price developments at IDX

Non-Performing Loan and its Impact on Stock Price Index Through Return on Equity in the Banking Industry

This research aims to examine and analyze the influence of non-performing loans on the stock price index through return on equity in the banking industry listed on the Indonesia Stock Exchange. The study employs secondary data from 30 banking industries obtained from ICMD (Indonesia Capital Market Directory) for the period 2016 to 2020, as well as data from the Central Bureau of Statistics, Bank Indonesia, Jakarta Stock Exchange website, and Bank Indonesia. The data is analyzed using path analysis with AMOS version 7 to test the data and analyze the hypotheses. The research findings indicate the following: 1) Non-performing loans have a significant negative influence on return on equity, meaning that lower non-performing loan values in an industry lead to higher profitability levels measured by return on equity; 2) Return on equity has a significant positive influence on the stock price index, explaining that higher profits for banks, as measured by return on equity, correspond to higher stock prices as measured by the stock price index; 3) Non-performing loans have a significant negative influence on the stock price index through return on equity. This suggests that investors are more responsive to changes in non-performing loans rather than waiting for financial performance information, as measured by return on equity, to assess stock price developments.

The limit where Black-Scholes "works"

The seminal (Black and Scholes, 1973) publication celebrated in this issue introduced a (stock price evolution) model and an (option value) formula�two ideas worth distinguishing. Nowadays, the formula is used to represent option prices via an implied volatility, IV (T, K), where T is a time-to-maturity and K is a strike price. The formula is very useful. At the same time, because of the K-dependence, the model is strongly rejected in statistical tests. However, with T very large at fixed K, IV (T, K) typically flattens IV(T,K)? s8imp , where s8imp is independent of K. Flattening happens both with real data and many (more complicated) models. At fixed strike, the implied volatility parameter tends to a pure constant. But a constant volatility returns us to the original BS model in a sense. As somewhat of an abuse, I say that in the limit, the BS model again works�. What is this mysterious s8imp and how do we compute it? How is the limit approached? Answering those questions is the subject of this note. While my approach is largely expository, results for non- standard cases in the Heston model are likely novel. Their analysis requires a generalized saddle point method.

Investment disputes and their explicit role in option market uncertainty and overall risk instability

We propose a methodological approach for capturing and analyzing the impacts of investment disputes on option markets. A dispute submission typically brings in unspecified uncertainty and additional risk. The implied volatility of options is shown to reflect such effects. However, nontrivial caution and nonstandard statistical techniques are needed to analyze them appropriately. Artificial options with a constant (over time) maturity are introduced to emphasize these effects. A panel data representation of artificial implied volatility smiles is used to ensure the overall model flexibility, transparency, and its practical interpretability. Finally, a stochastically valid changepoint detection procedure is adopted to reveal significant impacts of an investment dispute on the overall riskiness and the stock price evolution. The results show significant impacts of the first tribunal meeting and the first procedural order of the disputes under consideration.

The Impact of the Corona Crisis on the Worldwide Stock Markets: An Empirical Analysis with Cross National Event Study Approach

The Corona Crisis led to a high drawdown in the stock markets in the whole world in March 2020. After that, infection rates, incidences, and dead people were published by many countries. Based on 11 stock price indices analyses according to volatility and correlation, we can conclude that only one event seems to be substantially affected by a Corona-related event not tied to specific countries. Therefore, in times of crisis, stock indices correlate highly positively. This leads us to a second step to our central research question: Do Corona dates significantly impact the stock price development? Therefore, we analyzed several events in Germany and the US with the event study approach. The main result is that only the March 2020 event significantly impacts the volatility and the returns. The following bad news but also the good news do not have any influence on the share prices and do not lead to abnormal returns. For example, the first approval of vaccinations had no apparent effect on the stock market, which was reflected in price movements comparable to those during the initial Lockdown.

An Enhanced Adaptative System based on Machine Learning for Predicting the Evolution of Islamic Stock Prices

This paper suggests an enhanced machine-learning-based system to guide future stock price decisions. In reality, most existing machine learning systems, such as SEA (Stream Ensemble Algorithm), VFDT (Very Fast Decision Tree ), and online bagging and boosting, keep models updated with only new data and reduce training timeframes to allow working rapidly with the most recent model. However, limited learning times and the exclusion of essential information from previous data may result in a bad performance. When it comes to learning models, our system takes a different approach. It builds several models based on random selections of historical data from the main stock as well as related stocks. The best models are then combined to generate a final, performant model. We performed an empirical study on five Islamic stock market indices. We can say from the results that our system outperforms the existing published algorithms. This framework can contribute then to having an enhanced system that will enable different stakeholders to make rapid decisions based on the forecasted trend of indices.

Modeling the Mexican Confidence and Mexican Stock Sectors with PLS-SEM

The study aims to model the evolution of stock prices and consumer/enterprise confidence index using the PLS-SEM path method to approach their behavior through different types of constructs. Furthermore, different construct sectors are analyzed using the most important enterprises of the Mexican Stock Index, modeling as explanatory variables confidence and macroeconomic single and non-single constructs. The PLS-SEM path model has arrived as a modeling option to be used in financial and economic sciences due to its numerous virtues in statistical assumptions. This research concludes that the Mexican Stock Market can be studied with constructs, improving flexibility and exploratory using different validity measures.

Akcie, zlato a inflace - vztahy a souvislosti v posledních 25 letech

Monetary metals have historically been important in providing limits to the quantity of money. The mandatory backing of money with gold or silver was gradually circumvented and abolished. Both precious metals have thus become, among other things, investment assets associated with returns and risks. They may or may not be profitable and safe. The absence of precious metal limits has led to a significantly faster devaluation of money. However, inflation may also be reflected in rising market prices for financial and real assets. This paper analyses the potential interrelationships between inflation, market prices of shares in the S&P 500 index, and market prices of gold over the period 1996-2020 in the United States. The analysis shows a strong impact of inflation on both the stock index and gold. The market price of gold was partly influenced by the development of market stock prices.

An Innovative Artificial Intelligence and Natural Language Processing Framework for Asset Price Forecasting Based on Islamic Finance: A Case Study of the Saudi Stock Market

Abstract Artificial intelligence has transformed the forecasting of stock prices and the evaluation of companies. Novel techniques, allowing the real-time processing of large amounts of data, have enabled the use of data on various external factors to improve the forecasting of the company’s value and stock price. Although conventional approaches solely focus on the use of quantitative data, history has shown that news announcements and statements may significantly affect the performance of the stock value of companies. We present an innovative framework for integrating a nonlinear autoregressive network with a natural language processing approach to analyze stock price movements and forecast stock prices. The framework analyzes and processes the company’s financial statements, determining indicative factors and transforming them into categorical parameters which are then integrated into a nonlinear autoregressive network to estimate and forecast the company’s stock price. The analysis of several Saudi companies listed in the Tadawul index affirms the improved estimation of the stock price and the possibility of a more precise prediction of long-term stock price evolution.

Regulating the Personal Affairs of Directors and Executives of Listed Companies: Three Dimensional Approach of Corporate Organization Law, Conduct Law and Information Law

The personal affairs of directors and executives of listed companies attract the attention of investors, and affect the company’s stock price and future development. This shows that the personal affairs of directors and executives of listed companies, especially star CEOs will have a substantial impact on corporate governance, corporation interests and shareholders’ rights, which is no longer an extra-legal space, and gradually evolved into two types of affairs: the “corporate nature” in the private field and the “quasi-commercial nature” in the corporate field, which should be included in the scope of regulation. In view of the dual particularity of subject identity and occurrence field, the regulation of the two types of personal affairs will be a tripartite problem spanning the binding contract under corporate organization law, the fiduciary duty under corporate conduct law and the information disclosure rules under corporate information law. Therefore, it is necessary to uphold the logic of typing according to the different types of private affairs. At the level of corporate organization law, the company attempts to restrict and regulate the personal behavior of directors and executives through the ethics code with positive incentives and the Weinstein Clause with negative binding. However, organization law usually only applies to personal affairs in the workplace, and the restraint and enforceability of the internal ethics code should be strengthened. At the level of corporate conduct law, the fiduciary duty is the main countermeasure to solve this problem. The current derivative litigation on personal affairs and the literary interpretation of fiduciary duty make it difficult to incorporate personal affairs into their regulatory scope. Therefore, it is necessary to explain the duty of loyalty with the purpose to protect corporate interest and expand the supervision connotation of the fiduciary duty of directors and executives. At the level of corporate information law, since the specific personal affairs of directors and executives will affect their ability to perform their duties and the investment decisions of investors, there is an urgent need to construct an information disclosure mechanism for the personal affairs of directors and executives of listed companies. The things which need to be disclosed should be limited to specific personal matters, with “significance” as the standard, while the relationship with personal privacy should be handled. The solution to this new type of problem in the field of corporate governance not only demonstrates the value of investor protection, but also reflects a fact at a deeper level: The regulation of the personal affairs of directors and executives of listed companies is a complex script which requires multiple methods to be used in conjunction and to make active changes to these methods.

Analysis Of Differences In Share Prices Before And In Covid-19 Pandemic Era(Case Studies In The Sub-Sector Of Telecommunications, Hotel And Tourism, Health, Bumn Finance, And Transportation Listed On The Indonesia Stock Exchange)

This study aims to determine the differences of share prices in the telecommunications, hotel and tourism, health, finance and transportation sub-sectors listed on the Indonesia Stock Exchange before and in the Covid-19 pandemic era. An analysis of stock price movements is carried out by investors to reduce investment risk. This aim is to minimize the possibility of losses from investment activities, especially in the midst of the Covid-19 pandemic that occurred at the beginning of March 2020. The existence of this outbreak caused the Composite Stock Price Index (ISHG) to weaken due to the application of Large-Scale Social Restrictions (PSBB) or social distancing by the government. However, stock trading activities are still valid and carried out. The research method used is descriptive and verification methods with a quantitative approach, using the research sample consisted of 28 companies. The results showed that descriptively the average stock price development in the telecommunications, hotel and tourism, health, finance, and transportation sub-sectors experienced fluctuations which tended to decline as a result of the Covid-19 pandemic. Meanwhile, based on verification study show that there is a significant difference between the share price at telecommunication, hotel and tourism, health, finance, and transportation sub-sector before and in pandemic era.

On the Impact of Dividend Payments on Stock Prices - an Empirical Analysis of the German Stock Market

Abstract This paper examines the relation between dividend payments and stock prices of all firms in the German prime standard DAX 30 in the time period from 2012 to 2019. The irrelevance theory introduced by Miller and Modigliani states that dividend payments must not have an impact on stock prices in a perfect market. In contrast, the signaling theory and the dividend puzzle indicate that dividend payments are likely to have a profound impact on the stock price. According to our findings the ex-dividend decrease of stock prices was significantly smaller than the dividend payment. Nevertheless, the results support the impact of the dividend payment on the share price. Firstly, the existence of the ex-dividend markdown is a proof that dividend payments cause share price losses. Secondly, the study explains in particular that high dividend payments result in high share prices over the examined period. Thirdly, our analysis demonstrates a positive correlation between the dividend and the stock price development according to the signaling theory. Considering the above- mentioned results, we can conclude that the share price of a company is highly affected by the decision making of the company regarding the dividend policy.

Analisis Fundamental Sebagai Prediktor Harga Saham Sektor Telekomunikasi

The rapid development and growth of the economy requires companies to improve their business performance. Companies with good performance are generally reflected in their share prices. This makes the stock price one of the investors' preferences for investing. Deepening the development of stock prices can be through the company's fundamental analysis. The purpose of this study is to analyze the company's fundamental factors on stock prices. The research was conducted on the telecommunications sector on the IDX, with an observation period of 2017 - 2019. There is a total population and a sample of 5 issuers at the same time. This study uses secondary data and multiple linear regression analysis techniques. The findings of this study are from 5 (five) ratios used, current ratio, debt to equity ratio, and earnings per share individually have no significant effect on stock prices. Gross profit margin have a positive signifikan effect on stock price ratio of total asset turn over which has a negative significant effect on the stock price of telecommunications companies on the IDX.