Price Impact Research Articles

Inflation-balance of trade nexus in Nigeria: The impact of exchange rate pass-through

The relationship between exchange rate (EXR) and foreign trade (FT) in Nigeria has been a contentious issue since Nigeria’s independence in 1960. This study investigated the link between exchange rate and foreign trade through the prism of exchange rate pass-through (EXRPT) to domestic prices, utilizing monthly data from 2011 to 2022. The study was built on two models—the base and main models, respectively. Employing the VAR technique and its Vector Error Correction Model (VECM) extension, the paper found that EXRPT to consumer prices is incomplete in the short run, but its effect was found to be higher on imports than on consumer prices. It follows that the impact of EXRPT diminishes along the price chain. Results from the main model indicate that the impact of domestic prices on balance of trade was found to be negative with an elasticity of −0.437541 and is also statistically significant, thus confirming the Marshal-Lenner condition. The Marshal-Lenner condition and findings of this study provide evidence that depreciating exchange rate is not recommended for an import-inelastic country like Nigeria.

A Study on the Effect of Imported Wheat Prices on Türkiye’s Pasta Exports: ARDL Approach

Türkiye has possessed significant agricultural opportunities throughout its history. Although the effective utilization of these opportunities is a subject of debate today, the country still plays a significant role in the global trade of some agricultural products. When discussions about Türkiye’s exports are examined, a common complaint is the external dependency of the export industry. However, there are also debates about the diminishing agricultural advantages that have been present since the past. When these discussions are brought together, the trade of certain processed agricultural products, whose raw materials are agricultural products, also becomes a noteworthy research topic due to a similar import dependency. In this study, an analysis was conducted using time series and the ARDL model to investigate whether there is a relationship between Türkiye’s pasta export quantity, as one of the leading pasta exporter’s globally, and the prices of wheat imports from Ukraine, Russia, and Bulgaria. Also robustness checks enhanced the analyzes by employing FMOLS and DOLS methods. The research findings indicate variations in the impact of wheat prices from country to country on the quantity of pasta exported by Türkiye. Recommendations regarding the importance of wheat production in Türkiye are also provided as a result of the research.

The price impact of tweets: A high‐frequency study

The price impact of tweets: A high‐frequency study

Not a one-trick pony: Price impact of rating agency information

Prior literature on the informational role of credit rating agencies has largely focused on announcements by the rating agencies regarding rating actions. We take a tangent in this paper and examine the relevance of rating agencies’ other information disclosures beyond rating actions, such as credit opinions and sector comments. Credit opinions provide in-depth analyses of a firm’s financial performance and gives visibility into how a credit rating is derived. Analyzing the stock return decomposition among Moody’s information, earnings announcements, SEC filings, and earnings forecasts, we find that the additional disclosures by rating agencies, especially the credit opinions, are a source of useful and timely additional information to the market. Overall, our results indicate that stock market investors can do well to not only focus on credit rating actions, but also on credit opinions and other rating agency disclosures.

Impact of Product Quality, Price, and Promotional Activities on Consumer’s Purchase Decision on a Non-Subsidized NPK Fertilizer Market Leading Brand: Purchase Interest as a Mediator

This study investigates the influence of product quality, price, and promotional activities on the choices made while purchasing a market leading, non-subsidized NPK fertilizer brand in Indonesia. There is less study on agricultural marketing before this research. The study specifically looks at how purchase interest plays a role in mediating these factors. A total of 231 customers participated in an online survey, and the data obtained were evaluated using the SmartPLS software. The results indicate that the quality and price of a product have a substantial impact on the level of interest in making a purchase, which subsequently has a considerable influence on the final choice to make the buy. Curiously, there is a direct relationship between pricing and the level of interest in making a purchase. This emphasizes that this market leading NPK fertilizer brand is perceived as a product of great worth by the buyer. However, promotional activities have a minimal impact on the choice to purchase and only a weak connection with the level of interest in buying. The findings highlight the significance of purchase interest as a crucial element in the consumer's journey towards making a purchase, surpassing the impact of promotional tactics employed by leading fertilizer brands in the market. The study offers significant insights for manufacturers and policymakers in Indonesia, emphasizing the importance of prioritizing product quality and pricing strategies to improve customer interest and stimulate purchasing decisions.

The influence of economic policy uncertainty on stock market liquidity? The mediating role of investor sentiment

PurposeThe study examines the relationship between Economic Policy Uncertainty (EPU) and stock liquidity, and the mediating role of investor sentiment.Design/methodology/approachThis study draws on a sample of 4,620 firm-year observations covering nonfinancial firms in the United States from 2007 to 2020. We employ multiple regression analysis with panel data and path analysis with Structural Equation Modeling (SEM) to examine the impact of EPU on stock liquidity in detail.FindingsEPU significantly enhances stock liquidity. However, at elevated levels of EPU, this relationship reverses. The path analysis results indicate that EPU positively affects stock liquidity via the investor sentiment channel. This sentiment partially mediates the relationship between EPU and both trading volume and turnover rate, and fully mediates the relationship between EPU and both turnover price impact and illiquidity.Practical implicationsOur findings underscore the importance of liquidity for investors, who may require higher returns for holding more illiquid stocks. Second, they can help the government understand the implications of changes in EPU, highlighting the need for clear communication and the implementation of appropriate capital market policies.Originality/valueWhile considerable research focuses on the relationship between EPU and stock market liquidity, the analysis of the channels through which EPU influences stock market liquidity remains largely unexplored. Our study highlights the importance of investor sentiment in explaining this relationship.

Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems

We start with a stochastic control problem where the control process is of finite variation (possibly with jumps) and acts as integrator both in the state dynamics and in the target functional. Problems of such type arise in the stream of literature on optimal trade execution pioneered by Obizhaeva and Wang (J. Financ. Mark. 16:1–32, 2013) (models with finite resilience). We consider a general framework where the price impact and the resilience are stochastic processes. Both are allowed to have diffusive components. First we continuously extend the problem from processes of finite variation to progressively measurable processes. Then we reduce the extended problem to a linear–quadratic (LQ) stochastic control problem. Using the well-developed theory on LQ problems, we describe the solution to the obtained LQ one and translate it back to the solution for the (extended) initial trade execution problem. Finally, we illustrate our results by several examples. Among other things, the examples discuss the Obizhaeva–Wang model with random (terminal and moving) targets, the necessity to extend the initial trade execution problem to a reasonably large class of progressively measurable processes (even going beyond semimartingales), and the effects of diffusive components in the price impact process and/or the resilience process.

THE IMPACT OF ACCOUNTING INFORMATION ON BANKING COMPANY STOCK PRICES

With the help of this study, we want to determine to what extent accounting information influences the stock prices of banking companies listed on IDX between the years 2017 and 2021. For the purposes of this study, the population includes all financial institutions listed on. the Indonesia Stock Exchange (IDX) during the period from 2017 to 2021. The use of the purpose sampling method was found to be the most appropriate method. According to the survey report, there were 26 different companies. The results of this study show that the Earnings Per Share (EPS) variable appears to have a significant impact on stock prices. On the other hand, the variables "Debt-to-Equity Ratio" (DER), "Price to Book Value" (PBV) and "Net Profit Margin" (NPM) have influence on share prices.

The Impact of Transfer Pricing, Capital Intensity, Thin Capitalization on Tax Avoidance with Sales Growth as Moderating Variabel in Pharmaceutical and Health Companies Listed on Indonesia Stock Exchange 2017-2022

In Indonesia, current tax regulations aim to address these practices through rules like transfer pricing, restrictions on interest deductions on loans from affiliated companies (thin capitalization rules), and asset depreciation rules. However, companies often seek loopholes or new strategies to reduce their tax obligations. This study aims to evaluate the impact of transfer pricing, capital intensity, and thin capitalization on tax avoidance practices in the health and pharmaceutical sector in Indonesia. This is particularly relevant as health sector companies listed on the Indonesia Stock Exchange saw an average revenue increase of 6% during the overall economic downturn caused by the Covid-19 pandemic, reflecting the growing public awareness of health importance and efforts to maintain health during the pandemic. The data for this study is obtained from the financial statements of health and pharmaceutical sector companies listed on the Indonesia Stock Exchange from 2017 to 2022, selected through purposive sampling, with a total of 132 observations sourced from www.idx.co.id. The analysis method used was panel data regression analysis, with Gross Profit Margin (TA_GM) used as a proxy. The results show that transfer pricing, capital intensity, and thin capitalization have a positive impact on tax avoidance. However, sales growth does not enhance the influence of these independent variables on tax avoidance. These findings are expected to assist the Tax and Financial Services Authority in enhancing regulations related to tax avoidance in Indonesia, aligning with the reduction of tax avoidance practices in the health and pharmaceutical sector, and increasing state tax revenues.

Research on the Impact of Coal Prices on BYD's Stock Price

Research on the Impact of Coal Prices on BYD's Stock Price

Institutional Brokerage Networks: Facilitating Liquidity Provision

Abstract We argue that institutional brokerage networks facilitate liquidity provision and mitigate the price impact of large non-information-motivated trades. Using commissions, we map trading networks of mutual funds (institutions) and their brokers. Central funds (institutions) tend to outperform their peripheral counterparts in terms of return gap (execution shortfall). This outperformance is more pronounced when funds experience large outflows and for large trades in less liquid stocks. Central brokers can deliver superior trade execution compared to peripheral brokers, but mainly for central institutions. We use the collapse of Lehman Brothers as a quasi-natural experiment to establish the likely causality of our findings.

Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets

The time proximity of high-frequency trades can contain a salient signal. In this paper, we propose a method to classify every trade, based on its proximity with other trades in the market within a short period of time, into five types. By means of a suitably defined normalized order imbalance associated to each type of trade, which we denote as conditional order imbalance (COI), we investigate the price impact of the decomposed trade flows. Our empirical findings indicate strong positive correlations between contemporaneous returns and COIs. In terms of predictability, we document that associations with future returns are positive for COIs of trades which are isolated from trades of stocks other than themselves, and negative otherwise. Furthermore, trading strategies which we develop using COIs achieve conspicuous returns and Sharpe ratios, in an extensive experimental setup on a universe of 457 stocks using daily data for a period of 4 years.

Housing prices and family fertility decision-making in China: Effect and mechanism

In our article, we conduct an empirical analysis utilizing a 5-year panel data sourced from the China Family Panel Studies. Our findings indicate that elevated housing price exert a significantly adverse influence on fertility decisions, with observed heterogeneity that is more pronounced among urban-dwelling families, those without property rights, those with existing children, and females aged between 31 and 40. Following the relaxation of the family planning policy, this negative effect becomes notably more pronounced. These conclusions remain robust with IV estimation. Considering the underlying mechanisms, the impact of high housing prices extends beyond a mere crowding-out effect on fertility through consumption. It also serves to motivate females to enhance their education, diminishes their self-identity, raises the cost of child-rearing, and exerts an inhibitory effect on marriage. Collectively, these factors further amplify the adverse impact of housing prices on the fertility rate.

Assessing the Impact of Pricing, Service, and Product Quality on Telkomsel Customer Loyalty

Assessing the Impact of Pricing, Service, and Product Quality on Telkomsel Customer Loyalty

Financial market concentration and misallocation

How does financial market concentration affect capital allocation? We propose a complete-markets model in which real investment and financial price impact are jointly determined in general equilibrium. We identify a two-way feedback mechanism whereby price impact induces misallocation and misallocation raises price impact. The mechanism is stronger if productivity is low or productivity dispersion is high. Given rising dispersion, the model can rationalize trends in corporate discount rates, cash holdings, investment, asset prices, and capital reallocation over the last two decades, even when market concentration is relatively stable. Overall, our findings suggest that financial market concentration may hamper allocative efficiency.

Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies

We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an optimal liquidation problem with general semimartingale controls when the instantaneous impact factor converges to zero. Our results provide a unified framework within which to embed the two most commonly used modelling frameworks in the liquidation literature and provide a foundation for the use of semimartingale liquidation strategies and the use of portfolio processes of unbounded variation. Our convergence results are based on novel convergence results for BSDEs with singular terminal conditions and novel representation results of BSDEs in terms of uniformly continuous functions of forward processes.

A low-carbon route optimization method for cold chain logistics considering traffic status in China

In the paper of cold chain logistics, it is necessary to consider both traffic status and carbon reduction simultaneously. In this paper, an improved BPR (Bureau of Public Roads) road impedance function is designed, which reflects the traffic status in China under congested status more accurately. A low-carbon cold chain logistics route optimization model considering the traffic status in China is constructed, considering the multiple impacts of traffic status on total delivery cost, freshness of fresh products, and carbon emissions. To address the challenges posed by this multidimensional and discrete model, an improved discrete firefly algorithm (IDFA) is proposed. The numerical result demonstrates that IDFA has higher solving efficiency and better quality of the obtained solutions. Moreover, this paper also analyzes the impact of traffic status, vehicle types, and carbon trading prices on cold chain logistics delivery, as well as the comprehensive impact of traffic status and carbon trading prices. The proposed model is suitable for cold chain logistics enterprises with a single delivery center, active emission reduction willingness, and mostly delivering in congested road sections with high traffic volume. It offers valuable guidance for decision making and management in low-carbon cold chain logistics delivery.

Not all oil shocks are alike and symmetric for economic growth: evidence from Korea

ABSTRACT This study’s primary contribution lies in conducting a comprehensive evaluation of how oil supply and demand shocks affect Korea’s economic growth, particularly emphasizing the role of uncertainty in global trade policies. Our research is primarily motivated by the desire to comprehend how various oil-related shocks impact a highly oil-import-dependent advanced economy like Korea, especially amid the fluctuating landscape of global trade policies. Employing a multi-step methodology that includes Structural Vector Autoregression (SVAR), Autoregressive Distributed Lag (ARDL), and Nonlinear ARDL models, we delve into an extensive analysis spanning from 1998:Q1 to 2021:Q4. Our findings reveal that Korea’s economic growth is primarily influenced by aggregate and oil-specific demand shocks rather than oil supply shocks in the short and long term. Additionally, we observe an asymmetric influence of aggregate demand and oil-specific demand shocks on Korea’s long-term growth. However, such asymmetry is not evident across these three shock types in the short term. Lastly, we underscore the significant role of global trade policy uncertainty in assessing the impact of oil prices on Korea’s economic expansion. Our study’s unique focus on oil supply and demand shocks alongside policy uncertainty distinguishes it, emphasizing its distinct contribution to the field.

Share Price Impact Of Pt XL Axiata Tbk and PT Link Net Tbk Before and After The Acquisition

The purpose of this study is to be able to analyze the impact of PT XL Axiata's stock price before and after the Link Net acquisition to help readers understand the direct impact of the acquisition on the company's stock price. The research sample is the stock price before and after the acquisition of PT XL Axiata and PT Link Net from January 1, 2021 to May 1, 2023. Data collection in this study is secondary data. There is a significant difference between PT XL Axiata and PT Link Net and stock prices can affect market sentiment. PT LINK Net shows a significant difference in share price before and after the acquisition of XL Axiata. Keyword: Impact, Acquisition, Stock Price, Company Performance

Do cryptocurrency rewards improve platform valuations?

This study investigates the impact of cryptocurrency rewards and token prices on user-generated content (UGC) provision by content creators on a blockchain-based platform. Analyzing data from the Steemit platform, we find that although an increase in total reward value incentivizes UGC contributions, the rise in token prices alone does not lead to a surge in UGC. Instead, token prices have a mediating role in the relationship between total rewards earned by content creators and the volume of UGC they produce. Furthermore, we observe that an increase in UGC does not lead to a corresponding rise in the platform's market capitalization, as increased website traffic intensifies competition for rewards from a constant pool, suggesting that heightened user engagement does not translate to enhanced market capitalization. These findings imply that carefully designed reward mechanisms are crucial for sustaining user engagement and content creation amidst market fluctuations. Our study underscores the importance of a comprehensive approach to incentivizing user participation and ensuring platform growth, as a mere increase in token prices may not guarantee sustained engagement or an associated increase in market capitalization.