Price Formation Research Articles

The ethanol market in Brazil: price behavior and regional differences

AbstractThe conditions facing the Brazilian ethanol market have created a need to improve the industry's understanding of price formation, and to analyze the effects of mandatory policies and the interaction between Brazil's ethanol, agricultural, and fuel markets. In this context, this study sought to analyze the behavior of ethanol production and consumption at the national and regional levels in Brazil from 2012 to 2016; hence, the supply and demand functions are estimated at national and at regional levels using the two‐stage least squares method. Our findings indicated that gasoline and anhydrous ethanol blended gasoline were substitutes for hydrous ethanol on the demand side in Brazil. At the national level, the estimates also showed that the income elasticity of hydrous ethanol characterizes it as a normal good. At the regional level, the regions with the highest production and consumption (southeastern and central‐western Brazil) responded to price variations less elastically than the other regions (southern, northeastern, and northern Brazil).

A complex adaptive agent modeling to predict the stock market prices

Understanding the behaviors of financial markets and their participants remains a challenging problem to resolve. Adaptive agents, which switch from fundamentalist to chartist behavior, are examined in some recent work. In this paper, we propose an adaptive agent-based model that combines three forecasting behaviors of financial agents: fundamentalist, chartist, and mimetic. The weighting of each type of behavior in the final forecasting changes according to the market cycle. Our model adapts to the different cycles of the market.We assess the ability of the proposed model to predict and explain the dynamics of stock market price formation. First, on the microscopic level, we consider four agent-based models: fundamentalist, chartist, mimetic and adaptive. We compare the prices generated by the different prediction models to the real prices generated by the US market (S&P 500 index) over the period (1990–2021). Second, at a macroscopic level, we set up a multi-agent system to simulate an artificial stock market composed of the four types of agents with different market fractions. We compare the prices generated by the artificial market with the real data generated by the US market.The series of statistical analyses that we have carried out allows us to conclude that: the proposed adaptive agent exists in the stock market, he offers a better accuracy of price predictions compared to fundamentalist, chartist and mimetic models and that he can explain the dynamics of the stock market prices formation when he dominates.

Points of Interest and Housing Prices

ABSTRACT Points of Interest (POI) are an inherent element of the urban landscape, and their number and density reflect, among other things, the degree of urbanization and the city’s spatial structure. The very presence of POI in the closest vicinity of a residential property may indirectly or directly affect housing value. This paper aims to demonstrate the usefulness of POI density information of different categories in assessing the quality of a property’s immediate surroundings. While the mere presence of POIs in the nearest neighborhood may affect real estate prices, the influence of specific categories may not necessarily be positive. Therefore, the study attempted to classify POIs and determine their importance in the price formation process using spatial regression models. The results indicate that a high density of POIs in the immediate area is a stimulant for housing prices. The detailed analysis indicated that only some POI categories might be related to transaction prices, while in certain situations, some POI categories may negatively impact prices.

Resource efficiency and pricing policy of industries the sustainable development context

In the article, the authors analyzed the theoretical foundations of sustainable economic growth based on the research of modern foreign and domestic scientists. It is proved that the economy of the linear type has exhausted itself due to the effect of scale. That is why, today, one of the foreground of research areas among leading domestic and foreign scientists is the concept of sustainable development which should be based on cyclical or circular economy principles. One of the directions of development is working out methods of products price formation taking into account resource-efficient strategies. The article presents price equilibrium scenarios developed by the authors, which were implemented in the oil and gas industry based on business activities for 2015-2020. These scenarios were developed by the authors using Leontiev’s cross-industry model, which explores how do these changes can impact the performance of resource use, based on changes in direct cost ratios, value added ratios and intermediate consumption ratios.

시기별 아파트 질적 특성요인의 향상에 따른 가격효과 분석

In the domestic apartment market, the quality enhancement and differentiated strategies of construction companies have been implemented since the 2000s. In many ways, the quality characteristics of apartment buildings that have been improved continuously provided a variety of choices in the criteria for housing buyers to purchase. This study empirically analyzed the effect of improving the quality characteristics of apartments by period among the determinants of housing prices on apartments in Gangnam-gu, Seoul through the Hedonic price model. The analysis showed that all the variables of qualitative characteristics, which are the core variables of this study, had a positive effect on apartment prices. It was confirmed that some of the variables corresponding to the qualitative characteristic factors showed higher estimation coefficient values than other variables, which had a greater impact on apartment price formation. In addition, it can be seen that a significant portion of the price effect due to aging, which has been measured as a quadratic function in many previous studies, is the result of overlapping effects due to the improvement of the qualitative characteristics of apartments.

Market Integration of Wholesale Chilli Prices of Pakistan

Vegetables hold very important and significant place in our diet, among vegetables chilli (Capsicum annuum L.) is one of the most important vegetable crop of Pakistan. The vegetable’s market integration is the major problem in Pakistan and symbol of efficiency is integrated markets. The present study was conducted for domestic integration of four major chilli markets of Pakistan by using their monthly wholesale chilli prices of eighteen years (June 2000 to July 2019) by adopting Johan-sane integration approach. The Augmented Dickey Fuller (ADF) test revealed that prices are integrated at first difference and results of pair wise integration showed chilli markets of Pakistan (Hyderabad, Lahore and Quetta) are integrated in the long-run and in short run with strong relationship, except Peshawar market because of long distance, price variation & seasonal effects. The results of Vector Error Correction Model (VECM) showed significant adjustment of prices in almost three pairs of markets (Hyderabad, Lahore and Quetta) and the finding of Granger causality test showed the bidirectional and unidirectional causality relationship between the chilli markets. Granger causality tests have also indicated that unlike in other market pairs such as Lahore-Peshawar and Quetta-Peshawar have no causality direction on price formation between them. The government should design a network of chilli wholesale markets across the country that are nearly equal distance apart in order to improve market convergence and price transmission to make chilli more profitable.

Improving the financial model of a management company serving apartment buildings by taking into account the required return on capital in the cost of its services

During the analysis of the financial model of the management company (CC) serving apartment buildings, investment (one-time) and current expenses, as well as other elements and characteristics of the model, including the interdependence of risk and profitability, were identified. The approach to determining the composition of current expenses of management companies servicing apartment buildings and the need for margin analysis are substantiated. A numerical characteristic of profit and profitability is proposed, taking into account the investments necessary to create a management company and investments in its primary content. The method of calculating the cost of the services provided by the Management Company (the work performed by it) is presented and tested for the maintenance of an apartment building, with the application of a simplified taxation system. The specifics of the housing services market in Novosibirsk, in the formation of prices for services (works) servicing apartment buildings, are revealed.

Is $8.8 per kilogram more expensive than $3.99 per pound? An investigation of the effect of measurement units on price perceptions

AbstractRetailers often display prices in different formats to make them appear more attractive. In some contexts, they can also attach prices to different measurement units—e.g., cereal can be priced at $3.99 per kg or equivalently at $1.36 per lb. In five experimental studies, we show that consumers' perceptions of expensiveness and consumer spending are heavily influenced by the numerical magnitude of the price (“3.99”) with insufficient attention paid to the measurement unit (“kg”), that this overweighting of numerical magnitude persists across different price formats, and that product price perceptions mediate the effect of measurement system on the price image of the store. Our findings have implications for policy makers as well as pricing practitioners.

The role of market operators in scaling up voluntary carbon markets

As the effects of climate change are affecting countries across the globe, companies are increasingly turning to voluntary carbon markets to offset their greenhouse gas emissions (GHGE).1 Carbon markets comprised two types of markets: markets which are embedded in governmental GHGE reduction schemes (compliance markets) and markets that are the result of private initiatives (voluntary markets). Voluntary markets are more and more harnessed by public actors to reduce GHGE, allowing regulated entities to use voluntary credits for compliance purposes.2 However, issues concerning integrity, liquidity and quality are beleaguering these markets, causing inefficiencies and distorting price formation. If voluntary carbon markets are to support climate change mitigation strategies and if supply is to meet the growing demand for voluntary carbon credits (VCCs), these markets need to resolve these issues in order to grow (scale up).3 This article investigates which roles market operators authorized under the Markets in Financial Instruments Directive (MiFID II)4 could play in scaling up these markets. Market operators already facilitate transactions in voluntary markets, but their involvement is relatively limited. Given their experience with operating multilateral systems and providing transparency in markets in financial instruments, they could contribute to the resolution of these issues. The conclusion of this article is that market operators can indeed fulfil several key roles in voluntary markets while observing their obligations under MiFID II.

Are Indian ADR Premiums Mispriced?

Purpose: Indian ADRs have been observed to trade at premiums to the price of the underlying shares flouting the law of one price theorem. Therefore, it becomes imperative to investigate whether the observed premiums are mispricing or investor demand. This paper examines the Indian ADRs trading at a significant premium for an extended period.
 Methodology: The paper studies all ten Indian ADRs traded from 2001 to 2006. It uses NYSE Trade and Quote Database to compute order imbalance for analysis of the mispricing. It employs multivariate regression models to examine the premiums.
 Findings: The results suggest that Indian ADR returns are closely associated with the underlying market returns. Premiums are negatively related to the underlying stock returns. The ADR prices only adjust partially to the prices of the underlying stock. The ADR and underlying stock have a separate process for price formation in their respective markets. Using order imbalance of small and total trades of ADRs, this study shows that Indian ADR premiums are significantly and positively related to the buy demand of investors. Overall, the results support the idea that investor demand drives the Indian ADR premiums and is not mispriced.
 Unique Contribution to Theory, Policy, and Practice: The study provides valuable information on the same security traded in different trading locations and market segmentations. It offers insight into an emerging market stock listed in the most developed financial markets. It expands the literature on order imbalanced and dual-listed securities, particularly for ADRs. The order imbalance can be decomposed into short- and long-run components, showing how both parts influence ADR returns and premiums/discounts.

A study on the comparison of technical indicators used in stock price prediction with the BAHP method

Savers want to direct their savings to investment areas where they can get maximum efficiency. This is the most basic feature that a rational investor should have. Stock investors also want to manage their investments with this thought. In this respect, investors conduct detailed research on the sector and stock they plan to invest in. Predictions regarding the possible price formation of the stock in the future is one of these studies. In the finance literature, there are many indicators, ratios, analyzes, indicators and oscillators developed for the future price prediction of the stock. In this study, technical indicators used by licensed professional stock investors were obtained by taking expert opinion. These indicators were conveyed to the experts again to get their opinions with the help of the fuzzy comparison matrix and the experts were asked to compare the variables. The data obtained were analyzed with the Fuzzy Analytical Hierarchy Process (FAHP) method and the technical indicators and ratios used by the experts were listed according to a certain hierarchy. As a result of the analysis, it has been determined that the most important ratio in the stock price estimation process is the MV/BV ratio. While EBIT is the second most important ratio in stock price prediction, P/E is the third most important indicator.Savers want to direct their savings to investment areas where they can get maximum efficiency. This is the most basic feature that a rational investor should have. Stock investors also want to manage their investments with this thought. In this respect, investors conduct detailed research on the sector and stock they plan to invest in. Predictions regarding the possible price formation of the stock in the future is one of these studies. In the finance literature, there are many indicators, ratios, analyzes, indicators and oscillators developed for the future price prediction of the stock. In this study, technical indicators used by licensed professional stock investors were obtained by taking expert opinion. These indicators were conveyed to the experts again to get their opinions with the help of the fuzzy comparison matrix and the experts were asked to compare the variables. The data obtained were analyzed with the Fuzzy Analytical Hierarchy Process (FAHP) method and the technical indicators and ratios used by the experts were listed according to a certain hierarchy. As a result of the analysis, it has been determined that the most important ratio in the stock price estimation process is the MV/BV ratio. While EBIT is the second most important ratio in stock price prediction, P/E is the third most important indicator.

Uranium Price Expectations and Stabilization Policy Formation in the Manhattan Project: An Institutional Economics Approach

Abstract Governments, and uranium producers and buyers assess policy implications for uranium markets by understanding the price of uranium and the role of government policy over time. To understand the key elements in the formation of price and policy in uranium markets, this study uses the institutional economics method to investigate the institutional arrangements used for procuring uranium in the Manhattan Project (1942–1946). Throughout this period, the formation of price expectations was bounded by the opportunities to receive revenue from selling uranium ore as a by-product and as a main product. In regards to policy formation, price expectations were guided by the need to secure ore for customers, to secure income stability for producers, and to maintain competitive conditions in establishing price stabilization as the main policy. Similar pricing rules and concerns with price stabilization were adopted throughout the uranium market history. These recurring similarities in customs, which are understood through the underlying competitive behavior, are expected to be adapted to contemporary trends, such as global climate change, the joint ownership of mines, and the creation of the Low Enriched Uranium Bank. The contemporary trends represent the new negotiating circumstances for uranium market participants. Therefore, elements in understanding the formation of pricing and price stabilization policy during the Manhattan Project may be adapted to frame future assessments of uranium markets as participants consider advanced nuclear reactors and various nuclear fuel cycles as an option in adapting to contemporary trends.

A Random-Supply Mean Field Game Price Model

We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading costs, the market clears, and supply meets demand. This problem arises in market economies, including electricity generation from renewable sources in smart grids. Our model includes noise on the supply side, which is counterbalanced on the consumption side by storing energy or reducing the demand according to a dynamic price process. By solving a constrained minimization problem, we prove that the Lagrange multiplier corresponding to the market-clearing condition defines the solution of the price formation problem. For the linear-quadratic structure, we characterize the price process of a continuum population using optimal control techniques. We include numerical schemes for the price computation in the finite and infinite games, and we illustrate the model using real data.

IFRS adoption, stock price synchronicity and firm-specific information in Indonesia stock market

This is the first study to explore the impact of Indonesia’s adoption of International Financial Reporting Standards (IFRS) on information flow and stock price informativeness throughout the pre-IFRS (2007–2011), transition (2012–2014), and post-IFRS (2015–2019) adoption periods, as determined by stock price synchronicity (SYNCH). This study examines if IFRS has reduced Indonesia’s SYNCH. The empirical data show that the mean value of SYNCH was negative for each of the 13 years investigated in this study, with the post-IFRS period having the lowest value. After that, SYNCH values steadily recovered. This study used panel data regression to objectively examine the relationship between a variety of independent variables and SYNCH. This research found that requiring the adoption of IFRS will first boost the flow of private information (firm-specific information) into stock price formation and eventually reduce the surprise impact of future disclosed information. This study also contributes new knowledge by offering proof of the effects of IFRS adoption and helping standard-setters in weighing the pros and disadvantages of their choices to keep implementing IFRS in Indonesia.

Algorithmic Trading and Post-Earnings-Announcement Drift: A Cross-Country Study

Synopsis The research problem This study investigates whether algorithmic trading matters to post-earnings-announcement drift (PEAD) across 41 countries. Motivation The increasing importance of algorithms has sparked interest in how computer-triggered trades affect the formation of securities prices. Thus, a large body of research has emerged to probe the instantaneous impact of algorithmic trading on price discovery; however, little work explores the role of algorithms in efficient pricing of low-frequency financial statements. In addition, the literature on PEAD always highlights firm-level drivers of this phenomenon, whereas its country-level institutional determinants remain silent. The test hypotheses H1: Earnings-announcement algorithmic trading does not impact PEAD. H2: Country-level investor protection does not impact the association between earnings-announcement algorithmic trading and PEAD. H3: Country-level information dissemination does not impact the association between earnings-announcement algorithmic trading and PEAD. H4: Country-level disclosure requirements do not impact the association between earnings-announcement algorithmic trading and PEAD. Target population Various stakeholders include market traders, firm managers, regulators, and scholars. Adopted methodology Ordinary Least Square (OLS) Regressions. Analyses We follow Saglam [( 2020 ) Financial Management, 49, 33–67] to measure algorithmic trading using the transaction-level data. Based on a global sample covering 41 markets, we estimate the regression of PEAD on four proxies for algorithmic trading after considering firm-specific controls and fixed effects of country and year. Findings We find a negative and significant association between earnings-announcement algorithmic activity and PEAD. The documented relation retains despite addressing the endogeneity problem. Further analyses indicate that algorithmic participation mitigates investor disagreement, alleviates trader distraction, and reduces market friction, thus facilitating efficient pricing of earnings information. Finally, the impact of algorithmic trading on PEAD is more prominent in countries with stronger investor protection, faster information dissemination, and stricter disclosure requirements.

FAKTOR-FAKTOR PENENTU DALAM HARGA SAHAM PERUSAHAAN PROPERTI

The goal of this research was to determine if ROA, NPM, and DER play a role in the stock price formation process in the real estate industry from 2017-2021. Inductive, quantitative, and descriptive features all play a role in the research technique. Thirty firms listed in IDX's property sector match the requirements for inclusion in the sample, which was selected using a purposive selection method. Using a Partial Least Squares (PLS) model for data analysis on a Structural Equation Model (SEM). SmartPLS 3.0 was utilized to perform the PLS analysis. Based on the findings of this study, it can be concluded that ROA and NPM have a positive and negative influence on stock prices, respectively, but DER has no effect on stock prices. Rate of return, net profit margin, and dividend yield all have a role in determining stock prices. The corrected R2 value shows that this component explains 15.7% of the variance, while the remaining 84.3% is accounted for by independent variables.

ФОНДОВИЙ РИНОК ЯК ІНСТРУМЕНТ СТАБІЛІЗАЦІЇ ЕКОНОМІЧНОГО РОЗВИТКУ УКРАЇНИ

To restore and stabilize economic development in Ukraine, it is necessary to ensure access to investment resources through effective capital formation mechanisms. Therefore, an urgent issue is the study of the essence and clarification of the functions of the stock market in conditions of a deep crisis, as well as as a tool for the implementation of financial policy in the country. The purpose of the article is a theoretical generalization of the essence of the stock market category and clarification of the functions of the stock market during the stabilization of the national economy. The subject of the research is the essence and functions of the stock market in the context of recovery and stabilization of economic growth. The methods of the research: generalization, comparison, analysis, synthesis. The statement of basic materials. The article highlights controversial issues regarding the definitions of "stock market" and "securities market". A refined definition of the concept of "stock market" is proposed, taking into account the current conditions of the functioning of the economy of Ukraine. Based on the generalization of the theoretical and methodological principles, the key functions of the stock market are highlighted. The peculiarities of the manifestation of the functions of the stock market during the recovery and stabilization of the national economy have been clarified. The practical significance of the obtained results lies in the formation of a theoretical basis for determining the priority directions of the development of the stock market in crisis conditions. Conclusions and perspectives of further research. Stabilization of the national economy largely depends on the development and functioning of the stock market, which will ensure a balanced distribution of capital to restore the stability of economic development after the end of the war in Ukraine. The stock market is a system of economic and legal relations related to the emission and circulation of securities and their derivatives, it must act in accordance with the relevant standards and perform a number of functions. Given its purpose in the country's economic system during a period of deep crisis, the key functions are mobilization, distribution (redistribution), regulation, price formation, information, stabilization, and stimulation.

Price formation in the eggplant (Solanum melongena L.) value chain in the department of Córdoba, Colombia

The objective of the work was to analyze the price formation within the eggplant chain in the department of Córdoba (Colombia). Data from the weekly wholesale series of Montería market obtained from the DANE weekly information system during the years 2020 and 2021 were used. The other calculations for the retail intermediaries and wholesale food distributors come from the proportions found in socioeconomic characterization works of the production system. Engle and Granger cointegration techniques were used; as well as analysis of the relationships between the series, the integration of the links in the chain and its incidence in the price formation were determined. The results show the integration of the value chain being lower between the farmer and the final consumer, which was demonstrated with an elasticity of 0.34. The integration of the chain shows the price transfers from one link to another, also makes clear the increase when the link is changed, thus, the difference between the value paid by the consumer and the one received by the farmer is notorious. The work concludes that commercialization increases occur in the absence of adding value to the product.

МАРКЕТИНГОВИЙ ПІДХІД У ДОСЛІДЖЕННІ ПРИВАБЛИВОСТІ РИНКУ ЗЕМЛІ В УКРАЇНІ

The article proposes to use a marketing approach to study the attractiveness of the land market in Ukraine. Land acts as a commodity, and therefore it has its own qualitative and quantitative characteristics in each region of the country. The refore, there is a need for a differentiated approach to the formation of prices for it. At the same time, it should be taken into account that land is a specific product that has a high value for the buyer, and therefore one of the tasks of marketing is to form a long-term strategy for its pricing. For this, it is necessary to conduct a deep and comprehensive marketing study of the situation in the land market. The proposed stages of marketing research of the attractiveness of the land market in Ukraine, which are proposed in the article, allow a systematic approach to the formation of the future price marketing strategy. Which one to choose: "removal of the cream", "market penetration strategy" or to create a certain mix of them – it is possible based on the analysis of the results of marketing research. Each of the mentioned strategies has its advantages and disadvantages, can be used only under certain conditions and at a certain time. Conducting planned marketing research allows you to collect qualitative and systematic information, create an information and analytical base, draw conclusions based on which to make a balanced management decision. The effectiveness of a well-thought-out and well-considered marketing research will affect the ability of both the state and a separate territorial community to receive real income from the sale of land plots. This, in turn, will allow to fill the budget and contribute to the socio-economic development of the territory. On the other hand, conducting marketing research on the attractiveness of the land market in Ukraine will make it possible to adjust the proposed strategy in accordance with changing conditions, if necessary. Taking into account the obtained results of the marketing research, it is possible to develop measures aimed at increasing the investment attractiveness of a certain territory, which in turn will influence the formation of the price of land in this territory.

ІДЕНТИФІКАЦІЯ ТОЧОК ДОКЛАДАННЯ ЗУСИЛЬ ТА МОДИФІКАЦІЯ АЛГОРИТМУ ЦІНОУТВОРЕННЯ В МАРКЕТИНГУ

The article clearly states that pricing in marketing is a system of interrelated methods, concepts, tools, factors, etc., integrated into the market environment, which are united by the typical task of any economic system: maximizing efficiency while minimizing resource costs. A typical approach to price formation in marketing is described, an approach where the price formation process determines the setting of pricing goals as the first step, and the general sequence of price calculation stages is schematically presented. It is stipulated that in marketing activities, pricing is carried out taking into account three main factors: costs, demand and competitive environment, which are related to each other as follows: costs (appearing in the form of cost price) determine the lower limit of the price; demand (the amount of a good that consumers can buy at a given price) determines the upper limit of the price; awareness of the competitive environment allows for price positioning, the price scheme in marketing pricing is also presented. It has been demonstrated that there are objective market circumstances, in view of which the enterprise has no influence on the price situation, and therefore there is no point in spending resources (of various kinds) and efforts on the development of a price policy; and there are market circumstances when the role of price strategy is important and the enterprise must be active in matters of pricing. t is stipulated that one way or another, the pricing policy is focused on the consumer, and the consumer (a person, a group of consumers, a target audience) is the core, in relation to which marketing tools, methods and concepts are applied to satisfy this consumer, while the preferences and consumer goals of people are very different , a product that is practically worthless to one person can be extremely valuable to another, therefore, determining the value of a specific product for a consumer and strengthening the value of this product for him allows to reduce the sensitivity of consumers to the price, which in the process of price positioning allows to reduce the sensitivity of the consumer to prices and bring the price as close as possible to the upper limit of the price determined by demand. Based on the theoretical basis, information from open sources and own research, an algorithm for identifying points of effort in marketing pricing has been developed, which is quite simple and convenient in practical use and involves: 1. Determination of the type of competitive environment for the type of activity under study; 2. Determination of the need for activity of the subject of pricing; 3. Determining which "activity" is needed: price or non-price. It is emphasized that the application of this algorithm will allow efficient use of time and resources in the marketing activities of enterprises.