Stock Price Behavior Research Articles

Review of the Literatures on Stock Price Behavior of Malaysia

Stock price behavior is one of the core concerns of researchers and finance scholars from more than a half-century of years. Most of the times, they have tried to identify unexplored anomalies that could be used to explain stock price movement in the different stock market. As a result, we have found different models and theories relating to stock price behavior as well as the efficiency of the stock market. Malaysian stock market is considered the second among the largest South East Asian stock markets according to its domestic market capitalization. A considerable number of researches have already been done on the stock price behavior of Malaysian stock market. This study reviews the existing literatures on the stock price behavior of Malaysian stock markets within two wings, literatures on efficient market hypothesis of Malaysian market and the effect of economic and financial variables on the stock price.

The Effect of Economic Factors on Performance of the Stock Market in the Czech Republic

History has shown that the stock prices and other financial assets are important aspects of the dynamics of economic activity. Stock prices can be an indicator of social mood and are used as a leading factor in the economic activity and financial stability. This paper investigates the relationship between selected macroeconomic and microeconomic factors and stock prices of companies listed on the Prague Stock Exchange. The portfolio theory and Capital Asset Pricing Model for specification of stock market are used. Johansen and Juselius (1990) and Hansen (1982) approaches are applied to test for causal relationship. In addition, the Vector error correction model for equilibration of a potential long‑run relationship between variables is used. Selected macroeconomic and microeconomic factors provide a statistically significant relationship on stock prices during the observed period from 2006 to 2016. However, the results differ substantially among the sectors of economic activity, the industrial production, the gros domestic product and profitability ratios in particular, can explain a long‑run behavior of stock prices.

Divulgações de informações e o efeito no retorno de ações da maior empresa de educação listada na B3 (Brasil, Bolsa, Balcão)

O mercado é eficiente se novas informações relevantes causarem variação no retorno das ações. As ações podem ser afetadas por eventos e isso pode causar oscilações. A pesquisa analisa a reação do mercado à divulgação de informações sobre a maior instituição de educação listada na B3. Foi utilizado o estudo de eventos para confrontar o comportamento do retorno das ações no período de 30 de setembro 2015 a 30 de setembro de 2017. A pesquisa parte da teoria de mercado eficiente. As informações selecionadas foram distribuídas em grupos, sendo: A - Divulgação dos resultados trimestrais; B - Operações de compra e venda de participações; C - Mudanças relacionadas ao Financiamento Estudantil. Os resultados evidenciaram que a reação que caracterizou o fator mercado eficiente foi identificada no Grupo C, em parte corroborada pelo comportamento do preço da ação.

Theories Explaining Stock Price Behavior: A Review of the Literature

Estimation of stock price behavior is important for several reasons and for different stakeholders in the market. Many studies are trying to put forward theories to explain this phenomenon and more still have tried to use these theories in order to predict future changes in prices. The growing linkages of national markets in currency, commodity and stock with world markets and the existence of common players, have given stock price behavior a new property – that of its speedy transmissibility across markets. The present study aims to review the existing literature of the theories explaining stock price behavior. To review the literature, this study presented the theories in two different eras. First era is the pre modern era in financial theory and the second one is the theories in modern financial economics with technological development

Stock Price Behavior of Nepalese Commercial Banks: Random Walk Hypothesis

Using the data set on daily stock prices during the fiscal year 2015/16 (Sept 23, 2015 through Dec 22, 2015), this paper attempts to analyze the random behavior of stock price of Nepalese Commercial Banks by using run test, serial correlation and run tests and martingale random walk hypothesis under heteroscedasticity assumption of standard error. The results conclude that the proposition of Random Walk Hypothesis (RWH) in Nepalese stock markets does not hold true. This conclusion corroborates with the conclusions of the past studies carried out in Nepalese context.

PENGARUH STRUKTUR KEPEMILIKAN DAN STRUKTUR MODAL TERHADAP HARGA SAHAM

This paper aims to investigate the short and long run behavior of ownership structure, capital structure and Indonesian Stock Price over the period from 2007 to 2016. To capture the long run relationships, we used the panel cointegration by Pedroni (1999, 2000, 2004), while the short run relationship are measured by Vector Error Correction Model (VECM). The main findings are as follows. First, the result of most results of Pedroni’s panel cointegration tests, suggest the null hypothesis of no cointegration is rejected. In consequence, this result suggests that there is a cointegration between stock price, managerial ownership, institutional ownership, public ownership, debt to equity ratio and earnings per share. Second, the results of VECM indicate that in the short run, only managerial ownership that will influence the stock price.

PENGARUH STRUKTUR KEPEMILIKAN DAN STRUKTUR MODAL TERHADAP HARGA SAHAM

This paper aims to investigate the short and long run behavior of ownership structure, capital structure and Indonesian Stock Price over the period from 2007 to 2016. To capture the long run relationships, we used the panel cointegration by Pedroni (1999, 2000, 2004), while the short run relationship are measured by Vector Error Correction Model (VECM). The main findings are as follows. First, the result of most results of Pedroni’s panel cointegration tests, suggest the null hypothesis of no cointegration is rejected. In consequence, this result suggests that there is a cointegration between stock price, managerial ownership, institutional ownership, public ownership, debt to equity ratio and earnings per share. Second, the results of VECM indicate that in the short run, only managerial ownership that will influence the stock price.

Ex-Dividend Day Stock Price Behavior: Evidence from the 2003 Tax Cut

Ex-Dividend Day Stock Price Behavior: Evidence from the 2003 Tax Cut

More than reputation losses? Financial consequences from supply chain sustainability risks

Negative legitimacy spillovers in the form of supply chain sustainability risks (SCSR), which manifest whenever a buying firm is held accountable for the behavior of its suppliers, have recently drawn major attention by academic scholars. This study examines whether SCSR have an impact on the stock price performance of the buying firm. Specifically, we utilize event study methodology to analyze the stock price behavior surrounding 2,814 SCSR manifestations associated with 392 large companies listed on the Stoxx Global 1800 Index over a period of 10 years (2007-2016), providing evidence that manifestations of SCSR result in negative abnormal stock returns for the buying firms. Drawing on stakeholder theory, the legitimacy spillover literature, and the literature on SCSR, we posit that magnitude of the stock price reaction is affected negatively by the harshness associated with the issue and the media power, and positively by the anticipated sustainability risk. We find that negative abnormal stock returns are indeed higher for SCSR announced by more powerful media outlets and SCSR associated with firms operating in countries and industries where sustainable behavior is not expected. However, the level of harshness accompanying the incident is not associated with the stock price reaction.

Institutional Informed Trading and Stock Price Behavior

We assume that the aim of informed institutions is to maximize the joint profits of multiple investing sessions. The model shows that when the aggregate informed trades are relatively large, institutions would reach agreement in private, delaying the use of the information. Such delaying action is quite different from prior studies adopting rational expectations models, which mainly infer that institutions obtain and use information immediately, and the action can explain some market anomalies. Key words: Informed trading, institutions, multiple transactions, market anomalies

United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD

This study offers a new evidence for the nonstationary behavior of OECD stock prices using the PANICCA test of Reese and Westerlund (2016) which is a combined approach of the Principal Components-based Panel analysis of Nonstationarity in Idiosyncratic and Common components (PANIC) of Bai and Ng (2004, 2010) and the Cross-section Average (CA) of Pesaran et al. (2013). The results suggest that the nonstationarity evident in OECD stock prices is largely driven by idiosyncratic components while the common factors are stationary. More importantly, it is found that ignoring relevant covariates in the common factor model may lead to wrong conclusions.

Financial Distress and Stock Market Failures: Lessons from Indian Realty Sector

Investors prefer to be safe at market places. Hence, assessing potential financial distress and predicting stock failures are much crucial for their investment decisions. This article highlights the analytic values of financial ratios and discusses the uses of Altman Z-score model in assessing the financial distress and predicting stock market performance of Indian realty sector. The panel regression procedure administered on the 10-year firm-specific data for the period of 2006–2015 demonstrates how the performance dimensions embedded into the distress prediction score forecast the future stock price behaviour. The findings of the study suggest that the analytic value inherent in Altman Z-score model has utility in both distress classifications and stock market predictions in Indian context. To be precise, the current Z-scores of realty firms carry sufficient information content that forewarns their stock market failures 2–5 years in advance. The results may provide a valuable guide to the investors of Indian realty firms in analysing financial failures and thereby can substantiate their investment decisions.

Predicting Abnormal Stock Return Volatility Using Textual Analysis of News ? A Meta-Learning Approach

Textual analysis of news articles is increasingly important in predicting stock prices. Previous research has intensively utilized the textual analysis of news and other firm-related documents in volatility prediction models. It has been demonstrated that the news may be related to abnormal stock price behavior subsequent to their dissemination. However, previous studies to date have tended to focus on linear regression methods in predicting volatility. Here, we show that non-linear models can be effectively employed to explain the residual variance of the stock price. Moreover, we use meta-learning approach to simulate the decision-making process of various investors. The results suggest that this approach significantly improves the prediction accuracy of abnormal stock return volatility. The fact that the length of news articles is more important than news sentiment in predicting stock return volatility is another important finding. Notably, we show that Rotation forest performs particularly well in terms of both the accuracy of abnormal stock return volatility and the performance on imbalanced volatility data.

Time series analysis of S&P 500 index: A horizontal visibility graph approach

The behavior of stock prices has been thoroughly studied throughout the last century, and contradictory results have been reported in the corresponding literature. In this paper, a network theoretical approach is provided to investigate how crises affected the behavior of US stock prices. We analyze high frequency data from S&P500 via the Horizontal Visibility Graph method, and find that all major crises that took place worldwide in the last twenty years, affected significantly the behavior of the price-index. Nevertheless, we observe that each of those crises impacted the index in a different way and magnitude. Interestingly, our results suggest that the predictability of the price-index series increases during the periods of crises.

Market Efficiency in Malaysia: An Empirical Study of Random Walk Hypothesis of Kuala Lumpur Stock Market (Composite Index) Bursa Malaysia

As long as financial markets are concerned, for many years’ economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Kuala Lumpur Stock Market, Malaysia is efficient if the Stock Returns follow a random walk. The study employs daily closing prices of Kuala Lumpur Stock Exchange – Bursa Malaysia Composite Index for a time period of 28 Apr 1998 to 30 Dec 2014. The existence of random walk for Bursa Malaysia Index has been examined through autocorrelation, Q-statistics and the run test and finds that the Kuala Lumpur Stock Market was not efficient in the weak form during the testing period. The results suggest that the stock prices in Malaysia do not reflect all the information in the past stock prices and abnormal returns can be achieved by investors through exploiting the market inefficiency.

Market Efficiency in India: An Empirical Study of Random Walk Hypothesis of Indian Stock Market NSE Midcap

As long as financial markets are concerned, for many years’ economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Indian stock market is efficient if the stock returns follow a random walk. The study employs daily closing prices of NSE Midcap 50 Index for a time period of 15 Sept 2010-28 Nov 2014. The existence of random walk for NSE Midcap Index has been examined through autocorrelation, Q-statistics and the run test and finds that the Indian stock market was not efficient in the weak form during the testing period. The results suggest that the stock prices in India do not reflect all the information in the past stock prices and abnormal returns can be achieved by investors through exploiting the market inefficiency.

Stock Returns and the Tone of Marketplace Information: Does Context Matter?

ABSTRACTThe author provides empirical evidence that marketplace context matters for understanding stock price behavior. Investor sentiment, as measured by the informational tone of stock market reports from the Wall Street Journal and Bloomberg News outlets, is compared across 2 classification dictionaries: the Harvard General Inquirer IV-4 dictionary and the financial context-specific dictionary of Loughran and McDonald [2011]. Empirical analyses find a negative relationship between measures of investor pessimism and real stock returns. However, this relationship is strongest and statistically significant only for the context-specific measures. The results suggest that investor sentiment based on contextualized information is able to explain medium- to longer-term swings in aggregate stock prices. This, in turn, implies that investor interpretation of stock market information may not unfold in mechanical ways.

A Study on the Impact of Dividend Announcements on Stock Prices in Indian Capital Market

The investment decision is influenced by many factors, of which one such factor is the return. The shareholders may get the return in the form of dividends which affects the share prices. The behavior of stock prices is unpredictable as price movement for different activities will move in different ways. The stock price influence activities can be divided into Economic and corporate activities. The impact of economic activities will be more or less the same on all the stock prices, while the impact of corporate action varies from one stock to the other. Dividend payment is one of the essential corporate actions that will impact the behavior of stock prices. This research highlights the impact of dividend payment on the behavior of stock prices and their abnormal returns. To understand this behavior, 120 stocks have been randomly picked, which have paid cash dividends in 2016 and used the popular event methodology.

Extended Model of Stock Price Behaviour

We have developed an extended model for stock price behaviour that is able to accommodate fat-tailed distributions with support as large as . The “homogeneously saturated” (HS) model avoids exponential price changes for large fluctuations by means of a saturation parameter. In the limit where the saturation parameter is zero, the standard model of stock price behaviour (i.e., geometric Brownian motion) is recovered. We compare simulated stock price series generated for both the standard and HS model for the DJIA and five random stocks from the NYSE and NASDAQ exchanges. We find that in all cases, the HS model provides a better fit to the observed price series than the standard model. This has implications to many areas of finance including the Black-Scholes formula for option pricing.

The global financial crisis and stock price behaviour: time evidence from Nigeria

Extensive research was conducted on the effect of the global financial crisis on stock markets across the globe, but only a limited number focused attention on African stock markets. This study examined the impact of the global financial crisis on emerging stock market behaviour by providing evidence of the efficiency and volatility of the Nigerian stock market across different time periods. The period under review ranges between July 2004 and December 2014. It was sub-divided into the period before the crisis (July 2004–June 2007), the crisis period (July 2007–November 2011), and the period after the crisis (December 2011–December 2014). The generalised ARCH (GARCH) model was built to test for persistence of volatility shocks in the sub-sample periods, while an exponential GARCH (EGARCH) model was developed to determine asymmetry and persistence of volatility in the overall period. The study showed that price is a martingale in all sub-sample periods, except for the pre-crisis period. However, in the overall period, price is not a martingale – suggesting that the Nigerian stock market is not weak form efficient. In addition, there was evidence of long-term persistence in price volatility in the crisis, aftermath and overall periods. Holistically, this study found that the global financial crisis reduced stock prices, but did not have a significant impact on price volatility in the Nigerian stock market.