Log Price Changes Research Articles

Pine Log Price Changes in South America: A Comparison of Argentina, Brazil, and Uruguay Markets

Pine Log Price Changes in South America: A Comparison of Argentina, Brazil, and Uruguay Markets

Predictability and underreaction in industry-level returns: Evidence from commodity markets

This paper finds significant evidence that commodity log price changes can predict industry-level returns for horizons of up to six trading weeks (30 days). We find that for the 1985–2010 period, 40 out of 49 U.S. industries can be predicted by at least one commodity. Our findings are consistent with Hong and Stein’s (1999) “underreaction hypothesis.” Unlike prior literature, we pinpoint the length of underreaction by employing daily data. We provide a comprehensive examination of the return linkages among 25 commodities and 49 industries. This provides a more detailed investigation of underreaction and investor inattention hypotheses than most related literature. Finally, we implement data-mining robust methods to assess the statistical significance of industry returns reactions to commodity log price changes, with precious metals (such as gold) featuring most prominently. While our results indicate modest out-of-sample forecast ability, they confirm evidence that commodity data can predict equity returns more than four trading weeks ahead.

Rumors in Financial Markets

This paper develops a dynamic model of asset price behavior based upon the arrival and diffusion of rumors in a securities market. The model is based upon a time-homogeneous pure birth process in which the number of informed and uninformed traders varies probabilistically over time as learning occurs. Traders become informed by observing the original source of information or through communication with an individual who has ‘heard’ the information already, both of which are probabilistic events. Price changes result from trades that occur when an individual hears and acts on the information. Rumors can contain true or false information. False rumors ultimately are corrected. Results from simulating the model yield log price changes similar to actual intraday common stock returns.

SPOTTED OWL PROTECTION, BOOMING HOUSING MARKET, AND LOG PRICE CHANGES IN THE PACIFIC NORTHWEST

ABSTRACT. In this paper we assess the impacts of the federal policy shifts and the booming housing market on log price changes in the Pacific Northwest. Our intervention analysis and causality test indicate that both factors have affected the log market dynamics. Our further estimation shows that at least 71% of the log price movements might have been caused by the policy shifts induced by the spotted owl debate, with the remaining caused by lumber price changes driven by the booming housing market. We also discuss the implications of our results for understanding policy decision and market behavior.

Spotted owl protection, boominghousing market, and log pricechanges in the Pacific Northwest

ABSTRACT. In this paper we assess the impacts of the federal policy shifts and the booming housing market on log price changes in the Pacific Northwest. Our intervention analysis and causality test indicate that both factors have affected the log market dynamics. Our further estimation shows that at least 71% of the log price movements might have been caused by the policy shifts induced by the spotted owl debate, with the remaining caused by lumber price changes driven by the booming housing market. We also discuss the implications of our results for understanding policy decision and market behavior.

Empirical investigation of stock price dynamics in an emerging market

We study the development of an emerging market – the Budapest Stock Exchange – by investigating the time evolution of some statistical properties of heavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard deviation of intra-day log-price changes. We observe scaling using both seconds and ticks as units of time. For the investigated stocks a Levy shape is a good approximation to the probability density function of tick-by-tick log-price changes in each quarter: the index of the distribution follows an increasing trend, suggesting it could be used as a measure of market efficiency.

A NOTE ON THE EXPIRATION DAY PRICE EFFECT IN THE AUSTRALIAN 90 DAY BANK ACCEPTED BILLS MARKET

This paper investigates the impact on the price volatility of Australian 90 day Bank Accepted Bills (BABs) when the futures contracts written on BABs expire. Using the absolute value of log price changes as a measure of volatility, and appropriate non‐parametric tests, the analysis does not detect any expiration day price effect, nor reversal in volatility between expiration Fridays and the following Mondays for the period 1 November 1979 to 1 November 1993. These findings are consistent with the results of those overseas studies which do not find evidence for expiration day effects.

Using non-linear methods to search for risk premia in currency futures

This paper uses currency futures prices to test the joint null hypotheses of rational expectations and absence of a time-varying risk premium in the foreign exchange market. We find no linear predictability in the logarithm of futures price changes, either using its own past or past interest differentials. Also we establish that there is no non-linear predictability in log price changes, conditioning on its own past, or past interest rate differentials. Thus, if a time-varying risk premium exists in currency futures market, it is not related to its own past or past interest rate differentials.

Implications of Nonlinear Dynamics for Financial Risk Management

This paper demonstrates that when log price changes are not IID, their conditional density may be more accurate than their unconditional density for describing short-term behavior. Using the BDS test of independence and identical distribution, daily log price changes in four currency futures contracts are found to be not IID. While there appear to be no predictable conditional mean changes, conditional variances are predictable, and can be described by an autoregressive volatility model that seems to capture all the departures from independence and identical distribution. Based on this model, daily log price changes are decomposed into a predictable part, which is described parametrically by the autoregressive volatility model, and an unpredictable part, which can be modeled by an empirical density, either parametrically or nonparametrically. This two-step seminonparametric method yields a conditional density for daily log price changes, which has a number of uses in financial risk management.

Short-run Share Price Behaviour: New Evidence on Weak Form of Market Efficiency

Using daily price quotations of 93 actively traded shares for the period January 1988 to April 1990, S. K. Chaudhuri makes an attempt to examine the serial independence of share price changes. In particular, he applies the serial correlation test and the runs test to daily log price changes. The test results, according to him, do not appear to support the hypothesis of weak form of market efficiency.

An Analysis of the Effects of Northern Spotted Owl Conservation, Harvest Replanning, a Log Embargo, and Recession on the Northwest Log and Lumber Trade

Abstract Protection of habitat for the northern spotted owl (Strix occidentalis caurina) became a major feature of land management and timber production in the Pacific Northwest in 1990, with designation of about 8 million ac as Habitat Conservation Areas (HCAs), mostly on public lands (USDA Forest Service et al. 1990). Additional owl-conservation provisions were recommended for half the forestland base outside HCAs, including private timberland. Concerns were raised immediately about impacts of these proposals, now being implemented, for the region's timber economy. Our study was aimed at portraying key economic effects of the owl conservation strategy—log and lumber price changes, production and export levels–within the context of rapidly changing policy and economic climates. We estimated the effects of new forest plans (most of which carry harvest reductions independent of provisions for the owl); a new embargo on exports of logs that affects timber from state lands; and the economic recession that continued from late 1990 into 1991. Effects of these conditions were gauged separately and in concert with owl impacts, for western Washington and western Oregon, here termed the fir region. We analyzed the degree to which lumber would substitute for logs in the export market, and likely interactions between domestic and offshore markets. We also assessed the degree to which the policy-driven timber supply changes can be expected to yield less-than-proportionate volume impacts and higher-than-proportionate price movements in the short run. West. J. Appl. For. 6(4):87-90.

A weak form evaluation of the efficiency of the Rotterdam and Italian oil spot markets

We examine whether the efficient market hypothesis can be applied to the Rotterdam and Italian oil markets, by analysing the log price changes observed in those markets for monthly data during the period January 1980 to December 1987. The objective is to investigate the leptokurticity in observed distributions of low price changes. The stable Paretian distributions have been used to test the leptokurtic distributions.