Stock Price Variations Research Articles

A fractal-based approach for modeling stock price variations.

The recent global financial crisis has threatened the financial system with total collapse of many economic sectors with a particular penetration to world's stock markets. The large swings in the prices of international stocks or indexes have reinvigorated the debate on their mathematical modeling. The traditional approaches do not seem to be very exhaustive and satisfactory, especially when extreme events occur. We propose a fractal-based approach to model the actual prices by assuming that they follow a Multifractional Process with Random Exponent. An empirical evidence is offered that this stochastic process is able to provide an appropriate modeling of actual series in terms of goodness of fit by comparing three main stock indexes.

The Relevance of CSR Ratings to Corporations

Using multivariate random effects regressions, we investigate whether corporate social responsibility (CSR) ratings capture the variation in stock prices or can be explained by firm-specific data, such as balance sheet items, income and cash flow statement items, and stock market data. Generally, CSR ratings seem to perform well in capturing the variation in stock price returns. However, changes in CSR ratings appears to be partly explained by certain firm specific data such as revenue and research & development expenses.

Corporate CAPEX and market capitalization of firms on Malawi stock exchange: an empirical study

PurposeMarket capitalization of firms reflects the current value of a firm and provides a reasonable basis on mergers and acquisition bargains. Determinants of a firm’s increasing or decreasing market capitalization are multi-faceted, hence the study. The paper is about a historical study of the responsiveness of common share prices of some listed industrial companies to the firms’ investments in capital expenditure. This study aims to discuss the impact of capital expenditure on a firm’s market capitalization, with a focus on companies listed on the Malawi stock exchange (MSE).Design/methodology/approachThe study reviews data collected from published annual reports for the years from 2007 to 2015. The variations in capital expenditure (CAPEX) which are termed “increase” or “decrease” were studied to establish their association with variations in stock prices before the increase or decrease, and after the increase or decrease. As stock price changes are caused by other determinants, the variables of return on capital employed (ROCE), net profit margin (NPM), asset turnover (ATO) and earnings retention ratio (ERT) were analyzed, and a respective correlation test was done against CAPEX movement over the years through panel data analysis and regression analysis to establish the correlation between the variables using XLSTAT.FindingsAt 95 per cent confidence level, CAPEX correlates with ROCE and NPM at 0.373 and 0.249 coefficients, respectively, and negatively with ERT at 6.45e-2. With tests favoring a positive relationship between elements of profitability and stock price, the study finds that there is a positive relationship between a firm’s CAPEXs and its future stock prices.Research limitations/implicationsThe firm’s commitment to CAPEX has a positive impact on its stock price on the stock exchange. These findings, however, need to be interpreted with caution as the data reviewed excluded that from financial institutions, the inclusion of which may affect the outcome, and that the data are derived from a small and young stock market which may be lacking in its efficiency compared to the old and big ones the world over.Originality/valueThe study was undertaken based on the study of listed companies on the Malawi Stock Exchange, and the results may or may not reflect the reality on the ground in other stock exchanges.

PENGARUH PROFITABILITAS TERHADAP HARGASAHAM PADA BANK PEMBANGUNAN DAERAHYANG TERDAFTAR DI BURSA EFEKINDONESIA PERIODE TAHUN 2013-2016

The financial performance is an important factor to attract investors to buy stocks. The stock value is determined by the price mechanism when the stock market is in progress based on the demand and supply of shares. This study was aimed to determine the effect of the financial performance by using ROA (Return on Assets), ROE (Return on Equity), and Operational Cost divided by Operational Income (BOPO) to the stock price of banking companies either partially or simultaneously. The sampling Development Bank listed on the Indonesia Stock Exchange (BEI) during the observation period of 2013-2016. The data used in this research was secondary data.The method of research analysis used was multiple linear regression analysis and assumption classical test. The research finding of F test showed simultaneously, the variable ROA, ROE, and BOPO had a significant influence on stock prices. Partially, with t test it showed that ROA variables had influence on stock price, but ROE, and BOPO variables did not have influence on stock price.Keywords : ROA, ROE, BOPO, Closing Price

ANALISIS PENGARUH RASIO LIKUIDITAS, SOLVABILITAS TERHADAP HARGA SAHAM PT. INDOFOOD CBP SUKSES MAKMUR Tbk

This study aim to analyze the influence of liquidity ratio and solvabily to stock price of PT Indofood CBP Sukses Makmur. This research used quantitative research method with secondary data collection techniques. In this study, data was obtained by accessing the Indonesia Stock Exchange gallery website to obtain documents in the form of financial statements of PT. INDOFOOD CBP SUKSES MAKMUR Tbk. listed on the Indonesia Stock Exchange in accordance with the provisions of the writing. This research using multiple linear regression analysis techniques as the data analysis techniques. The capital market in Indonesia currently shows developments in the Indonesian economy. This rapid development occurred because of the increasing public interest in investing in the capital market, the development of public knowledge about the capital market, and the increasing number of companies registered in the capital market. The advantage of a company from investments made is one of the important factors that must be considered in making investments, because it affects stock prices. Variations in stock prices are influenced by various factors both internal and external factors. There are two analyzes that can be used to anticipate the risks arising from stock prices that change every time, fundamental security analysis or company analysis and technical analysis. Fundamental analysis tries to calculate the intrinsic value of a stock by using company financial data or ratios, including with liquidity ratios and solvency ratios. The liquidity ratio is to show or measure the ability of a company to meet its maturing obligations. In this study the ratio used to measure the level of corporate liquidity is Current Ratio. Solvency ratio is the ratio of the company's ability to fulfill its financial obligations. In this study the solvency ratio used is Debt to Equity Ratio. Based on the results of this study it can be concluded that the Variable Current Ratio (CR) and Debt to Equity Ratio (DER) simultaneously do not have a significant effect on Stock Prices; Current Ratio (CR) variable has a negative but significant effect on Return on Equity (ROE); and the Debt to Equity Ratio (DER) variable partially has a positive and insignificant effect on stock prices.

Does Systematic Risk Matter for Investors in Capital Market of Pakistan?

Risk and returns relationship is not similar in emerging and developed stock markets. Moreover, due to reasons such as family ownership, lesser trading volume, and smaller capital market, investors in Pakistan are not sufficiently diversified. Therefore, it is argued that both idiosyncratic and market risks are relevant, and hence beta (measure of market risk) underestimates the risk premium. More specifically, we use measures of risk such as beta, systematic risk, unsystematic risk, and total risk as independent variables to investigate if unsystematic and total risk will explain variation in stock prices in stock market of Pakistan? Data of 194 nonfinancial firms listed on KSE (now PSX) for a period of time from January 5, 2004 to October 13, 2008 is analyzed. It is concluded that assets’ pricing decisions in Pakistan stock market are based on factors other than these measures of risks. To make right decisions, we suggest that investors in Pakistan must use alternate asset pricing models and shall not rely solely on CAPM.

Impact Of Short Selling In Financial Markets

With the financial crisis gripping the stock market worldwide in the last few months of 2008, there have been widespread criticisms on the process of short selling. The opponents have questioned the existence of short selling and argued about the foul play of the short selling. Following such widespread campaigning, in order to boost the investors confidence short selling was either or restricted in most of the Western markets and in the Anglo-Saxon countries. Nevertheless, the financial experts and economists were divided in the opinion of anning short selling. Many argued that such ban will affect the market efficiency and disturb the market from operating freely and fairly. Hence the current research is about the impacts or the effects the ban on short selling have on the financial markets, especially the capital markets. This study focuses on finding such effects in a neutralised approach and free from bias to any side.
 The research is compiled in such a way that, the literature review was conducted with an aim of uncovering the loop holes and functioning of short selling experts. Accordingly, the findings of the literature review are in the form of a list of key characteristics short selling possess which increases the efficiency of the system. These key characteristics are evaluated based on the stock price variations in the LSE. The conclusions are drawn based on the findings on the literature review and the analysis done on the stock price movements, crude oil price variation and a survey on the perception of short selling. Based on the findings, a set of commendations are made which will help in the further understanding of the short selling.

KONTRIBUSI INFLASI, SUKU BUNGA, KURS, PRODUK DOMESTIK BRUTO TERHADAP HARGA SAHAM KELOMPOK JAKARTA ISLAMIC INDEX DI INDONESIA PERIODE 2007-2015

Abstract : This study aimed to explain infation, interest rate, exchange rate, and gross domestic product that affect stock price. The determination of sample using saturated sampling technique. This study is using sample from 30 companies listed on JII. Data analysis using multiple liner regression. The result of this study showed that independent variables infation, interest rate, exchange rates, gross domestic product signifcant simultaneously effect on the dependent variable stock price. Partially, Infation negative and does not give the signifcant effect toward the stock price. Interest Rate and Exchange Rate positive and does not give the signifcant effect toward the stock price. Gross Domestic Product gives the positive and signifcant effect toward the stock price. Keywords : infation, interest rates, exchange rates, gross domestic product, the stock price

Does Stock Mispricing Drive Firm Policies? Mutual Fund Fire Sales and Selection Bias

Trading pressure following mutual fund outflows generates a potentially powerful quasi-experimental setting in which stock price variation is orthogonal to firm characteristics. To exclude information-based trading, strategies using this variation incorporate an assumption that managers sell firms in proportion to portfolio weights. I show that this assumption drives selection bias in price fluctuations. It inflates price impacts for poorly performing, illiquid firms with lower growth – firms that managers systematically avoid selling. Results drawn using these prices are twice the magnitude of unbiased results. Extensive selection bias precludes potential fixes. Numerous recent studies exploiting this variation should be re-evaluated.

The Interconnectedness between Foreign Exchange Rate on Stock Price and Macroeconomic Variables in Korea and the U.S.

본 연구에서는 국제통화시장의 원-달러, 원-유로, 원-위안과 원-엔 환율 변동이 한국과 미국 두 나라 주식시장의 변동 및 거시경제변수(금리, 유가 등)와 맺고 있는 상호 연관성을 비교 분석하였다. 연구방법으로는 네 가지 다섯 통화간의 환율과 주식시장 지표 및 주요거시경제지표에 대해 그랜저 인과관계 검정과 벡터오차수정모형(VECM)을 사용하여 실증분석하였다. 본 연구는 기존 연구와 달리 하나의 통화만이 아닌 한국경제와 연관성이 높은 네 가지 통화 즉, 원-달러, 원-유로, 원-위안 및 원-엔 환율의 영향을 조사했다는 점에서 차별되고 기여하는 바가 있다. 또한 동일한 내용에 대하여 미국의 주식시장에도 적용하여 한국의 결과와 비교해 보았다. 연구결과 코스피지수의 경우 네 가지 주요 국제통화의 환율 변동과 깊은 관련성을 보였으며, 다우존스지수나 국제유가와 같은 범세계적 경제지표도 유의적인 영향을 미쳤다. 미국의 경우 다우존스지수가 달러-원, 달러-엔, 달러-유로 환율과 높은 연관성을 보였다. 본 연구의 실증결과로서 미국 금융시장에서 달러-원이 주식시장의 변동에 설명력을 가진다는 점은 새로운 학문적 시사점을 제공하는 자료이기도 하다. 이와 더불어 표본을 분류하여 2008년 금융위기를 고려한 분석을 실시한 결과, 금융위기 이전과 이후에 한국과 미국의 주식시장에 영향을 주는 환율이나 경제변수는 조금 달랐지만 금융위기 이후 2008년부터 한국과 미국 모두 주가지수에 대해 환율이나 경제변수 및 타 국가의 주가지수의 영향이 차츰 높아졌음을 확인할 수 있었다. 본 연구의 결과는 기존의 연구와 달리 한 개의 주요한 통화가 아닌 여러 국제통화의 환율이 주식시장의 변동에 영향을 미칠 수 있다는 점을 제시하였다는 점에서 의의가 있다.

Does investor sentiment really matter?

We examine the role sentiment plays and its manifestation in the trading behavior of investors in the U.S. stock market. Our findings support the notion that sentiment-induced buying and selling is an important determinant of stock price variation. While ‘classical’ asset pricing categorizes investors who trade in ways not consistent with mean-variance optimization as ‘irrational,’ we show that this traditional view should not hastily be evoked to characterize sentiment-driven investing. We instead show that sentiment-driven investors can trade against the herd and sell when prices are overinflated as a result of over-bullishness and vice versa. The asset pricing implications of this paper are that sentiment is linked to shifts in risk tolerance and this triggers contrarian-type behavior. In sum, we uncover the following regarding the behavior of sentiment-driven investors; firstly, they are more apt to trade on survey-based indicators rather than market-based indicators. Secondly, they trade on the basis of information extracted from individual, rather than institutional, investor surveys. Thirdly, they respond asymmetrically to shifts in sentiment and trade more aggressively during periods of declining sentiment. Finally, there is asymmetry in the role of sentiment with respect to business conditions whereby such buying and selling is more pronounced during bear markets.

Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries

ABSTRACTIn this study, we estimate Bayesian vector autoregression (BVAR) and time-varying structural VAR (TVP-VAR) models for Brazil, Indonesia, Mexico and Turkey to analyze the impacts of short-term interest rates on stock prices and exchange rates considering the relationships between these variables. BVAR and TVP-VAR models’ estimations indicate that monetary policy decisions of these countries lead to capital movements as well as capital movements may create a considerable amount of variation in exchange and stock markets both in the periods of economic stability and financial crisis. We also reveal that increases in interest rates intending to prevent capital outflows may lead to decrease in stock returns, which in turn may deteriorate the real economic activity in Indonesia, while changes in short-term interest rates in Brazil, Indonesia and Turkey cannot be used as a tool to stabilize the value of their home currencies against the USD. Our study highlights the importance of formulating an optimal monetary policy framework accompanied by macro-prudential polices, which help to reach inflation target and smooth the possible variations in exchange rates and stock prices during economic crisis conditions in Brazil, Indonesia, Mexico and Turkey.

PENGARUH FAKTOR FUNDAMENTAL PERUSAHAAN TERHADAP HARGA SAHAM DI BURSA EFEK INDONESIA

The development of a company's stock price reflects the value of the company's stock. Changes in stock prices is influenced by several factors, including the company's fundamentals. This illustrates the company's fundamentals internal state companies, which can be seen on the data derived from the financial statements of the company. The purpose of this study in order to determine the effect of independent variables simultaneously or partially to variable stock price and how much contribution. This research method using panel data or Pooled Data is a combination of time series data (over time) and cross section (between individuals / space) by using software Eviews 8. In this study the samples used were 41 companies with the observation period 5 years (2007-2011). The dependent variable is the Stock price and the independent variables are the Current Ratio (CR), Earning per Share (EPS), Debt to Equity Ratio (DER), and Dividend Payout Ratio (DPR).The results of this study indicate that in partial EPS and DER significant effect on stock prices, while the variables CR and DPR did not have a significant effect on stock prices. Effect of CR, EPS, DER and DPR simultaneously to the stock price can be seen from the value of Adjusted R Square that is equal to 0.837975 This means that stock prices is explained by the CR, EPS, DER and DPR of 83.7975% and the remaining 16.2025 % explained by other variables such as the price earnings ratio, devident yield, net profit margin, return on assets, return on equity

Applying a Markov chain for the stock pricing of a novel forecasting model

ABSTRACTIn this article, a stock-forecasting model is developed to analyze a company's stock price variation related to the Taiwanese company HTC. The main difference to previous articles is that this study uses the data of the HTC in recent ten years to build a Markov transition matrix. Instead of trying to predict the stock price variation through the traditional approach to the HTC stock problem, we integrate two types of Markov chain that are used in different ways. One is a regular Markov chain, and the other is an absorbing Markov chain. Through a regular Markov chain, we can obtain important information such as what happens in the long run or whether the distribution of the states tends to stabilize over time in an efficient way. Next, we used an artificial variable technique to create an absorbing Markov chain. Thus, we used an absorbing Markov chain to provide information about the period between the increases before arriving at the decreasing state of the HTC stock. We provide investors with information on how long the HTC stock will keep increasing before its price begins to fall, which is extremely important information to them.

Determinants of stock prices during dividend announcements: an evaluation of firms' variable effects in Nigeria's oil and gas sector

AbstractThe aim of this research was to analyse, statistically significant, quantitative variables that determine the share price of oil and gas sector companies listed on the Nigerian Stock exchange, during the economic slowdown period of 2009–2013, after the world financial crisis of 2008, and investigate whether the signalling hypothesis holds or not. In terms of analytical tools, multiple regression analysis is used. During dividend increase announcements, the regression coefficient determinant (R2) indicates that over 90 per cent of variations in stock prices is explained by variations in dividend announcements. This study supports the dividend signalling hypothesis (DSH) but discredits the efficient market hypothesis. During a dividend decrease, the R2 for both equations indicates that over 64 per cent of variations in stock prices is explained by variations in dividend announcements. This result also supports the DSH. The implication of this is that racketeers can capitalise on this and make unjustified returns. By so doing, both sector investors and the stock market will be short changed. As this research considers only the oil and gas sector, further studies need to be conducted that consider possibly all listed firms in the Nigerian stock market, within the same interval to further investigate if the signalling hypothesis will hold or not. But most appropriately, applicable, as a comparative study of the same sector before and after the world financial crisis of 2008 the paper seeks to find out if this phenomenon is also applicable to OPEC member states. This research is in progress.

Enhancement of stock market forecasting using an improved fundamental analysis-based approach

Stock investment is regarded as a high-risk financial activity, in which life savings can be destroyed when investors fail to consider factors in stock price variation or do not master professional knowledge and experiences related to investment. To enhance decision-making quality and profitability for investors, numerous different methods for forecasting stock market prices have appeared. However, these forecasts usually do not appear as expected because of uncertainties in the stock market. Therefore, how to effectively use stock information to help investors make stock investment decisions has become a primary issue in stock investment. Based on the bottom-up approach that considers financial conditions of listed companies, industrial environment, macroeconomics, and financial news respectively, an improved fundamental analysis-based approach for stock market forecasting is developed for selecting optimal stocks from the stock market and predicting their future price trends to provide a reference for investor decisions. This study involves the following tasks: (1) design an improved fundamental analysis-based approach to stock market forecasting; (2) develop techniques related to fundamental analysis-based stock market forecasting, and (3) demonstrate and evaluate the proposed fundamental analysis-based approach to stock market forecasting. The improved fundamental analysis-based approach to stock market forecasting involves techniques such as calculating the weight of financial indicators, evaluating and selecting individual stocks, selecting financial news features, determining stock trading signals based on financial news, and forecasting stock price trend.

Equity Prices and Real Output: Evidence from a Structural VAR f or the MINT Economies

This paper presents a bivariate structural VAR model which investigates the interrelationships between the stock market indexes of the MINT economies - Mexico, Indonesia, Nigeria and Turkey; and a significant macro-economy proxy measured by the growth rate of industrial production using monthly data from 2000:1 to 2014:12 obtained from DataStream International, World bank, IMF and stock exchange sites of each countries where available. Improving on previous studies, we employed the Bai and Perron test to determine the significant break period and the Coefficient covariance matrix was specified by employing the HAC (Newey-West) method and allowing error distributions to differ across breaks which identified a common break (pre and post crisis) period for all the MINT economies corresponding to respective economic activity of the countries. Examining possible relationship between the variables, our Granger/ Block exogeneity test reveals that, the null hypothesis will not be rejected in all cases, except the hypothesis that stock returns has a lead-lag effect on industrial production for the case of Mexico during the pre-crisis period but reverse is not the case. Our VAR estimation revealed that real activity shocks only explain a small fraction of the variability in real stock prices during the pre-crisis period than the post-crisis period in the case of Indonesia, Nigeria and Turkey excluding Mexico which explained larger variation in the pre-crisis than the post-crisis period for both the stock return and real activity. The results also reveals smaller variation of each variable on one another for variation of real activities due to innovations from stock returns for Nigeria and Indonesia alone while Mexico ant Turkey depicts the opposite. Thus, the study provides additional evidence for the absence of the direct linkage between real stock returns and real economic activities measured by industrial production which shows that the market is inefficient and perhaps not derived or guided by fundamentals, more so, the impact of the global financial crisis is also revealed and policy recommendation provided.

PENGARUH NILAI TUKAR TERHADAP HARGA SAHAM SETELAH INITIAL PUBLIC OFFERING (IPO)

This study aims to examine the effect of exchange rate on stock prices after Initial Public Offering (IPO) on companies listed on the Indonesia Stock Exchange. Observations made on 137 companies that conduct an IPO in the period of 2009 to 2014. The purposive sampling method undertaken in this study resulted in 78 companies that became the research sample. Data analysis technique used in this research is simple regression model. The test results prove that exchange rate has positive but not significant effect on stock price after IPO. The value of determination coefficient is 0.047 (4.7%) indicating that the exchange rate variation can only explain 4.7% against stock price variation after IPO. The other 95.3% is another variable not included in this study.

ANALISIS PENGARUH FAKTOR FUNDAMENTAL DAN PASAR TERHADAP HARGA SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA

This study aimed to analyze the influence Earning Per Share, Return on Equity, Book Value, Growth Company and market factors, namely Capitalization Rate on stock price on manufacturing companies listed in Indonesia Stock Exchange. The object of this research is manufacturing companies listed in Indonesia Stock Exchange 2010-2012 period who actively publish the financial statements in the period of observation. In this study, the data collected is of secondary data is data obtained indirectly from the object of research. Therefore, in this study the data capture technique using the documentation techniques. The procedure of sample selection is purposive sampling and analysis model used is the Multiple regression to test the hypothesis that the t test and F test and also performed classical assumption. The results showed that the Earning Per Share, Return on Equity, Book Value positive and significant effect on stock prices and capitalization rates and a significant negative effect on stock prices. Based on the test results indicate that simultaneous Earning Per Share, Return on Equity, Book Value, Growth companies and capitalization rates affect stock prices. Variations independent variable Earning Per Share, Return on Equity, Book Value, Growth companies and capitalization rate is able to explain the variation in stock prices by 95.64%.

General properties of solutions to inhomogeneous Black–Scholes equations with discontinuous maturity payoffs

We provide representations of solutions to terminal value problems of inhomogeneous Black–Scholes equations and study such general properties as min–max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security pricing. In particular, we focus on finding representation of the gradient (with respect to the stock price variable) of solutions to the terminal value problems with discontinuous terminal payoffs or inhomogeneous terms. Such terminal value problems are often encountered in pricing problems of compound-like options such as Bermudan options or defaultable bonds with discrete default barrier, default intensity and endogenous default recovery. Our results can be used in pricing real defaultable bonds under consideration of existence of discrete coupons or taxes on coupons.