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Stock Market (stock + market)
Kinds of Stock Market Terms modified by Stock Market Selected AbstractsPREDICTING THE IMPACT OF ANTICIPATORY ACTION ON U.S. STOCK MARKET,AN EVENT STUDY USING ANFIS (A NEURAL FUZZY MODEL)COMPUTATIONAL INTELLIGENCE, Issue 2 2007P. Cheng In this study, the adaptive neural fuzzy inference system (ANFIS), a hybrid fuzzy neural network, is adopted to predict the actions of the investors (when and whether they buy or sell) in a stock market in anticipation of an event,changes in interest rate, announcement of its earnings by a major corporation in the industry, or the outcome of a political election for example. Generally, the model is relatively more successful in predicting when the investors take actions than what actions they take and the extent of their activities. The findings do demonstrate the learning and predicting potential of the ANFIS model in financial applications, but at the same time, suggest that some of the market behaviors are too complex to be predictable. [source] FINANCE/MARKETS: STOCK MARKETS: NigeriaAFRICA RESEARCH BULLETIN: ECONOMIC, FINANCIAL AND TECHNICAL SERIES, Issue 7 2010Article first published online: 1 SEP 2010 No abstract is available for this article. [source] COINTEGRATION OF STOCK MARKETS BETWEEN NEW ZEALAND, AUSTRALIA AND THE G7 ECONOMIES: SEARCHING FOR CO-MOVEMENT UNDER STRUCTURAL CHANGEAUSTRALIAN ECONOMIC PAPERS, Issue 3 2005PARESH KUMAR NARAYAN This paper examines whether the New Zealand equity market is integrated with the equity markets of Australia and the G7 economies by applying both the Johansen (1988) and Gregory and Hansen (1996) approaches to cointegration. The Johansen (1988) test suggests that there is no long-run relationship between the New Zealand stock market and any of the other stock markets considered in the study. The Gregory and Hansen (1996) test finds that the New Zealand and United States stock market is cointegrated, but the New Zealand stock market is not cointegrated with the other stock markets in the study. This suggests that in order to avoid some of the risk through international portfolio diversification there is potential for investors to purchase shares in the New Zealand market and either the Australian market or most of the world's leading equity markets. [source] The Stability of the Relation Between the Stock Market and Macroeconomic ForcesECONOMIC NOTES, Issue 3 2002Fabio Panetta This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. The relation between stock returns and the macroeconomic factors is found to be unstable: not only are the factor loadings of individual securities virtually uncorrelated over time, but a high percentage of the shares experience a reversal of the sign of the estimated loadings. This result is not confined to single periods or to a small group of shares, but holds in different sub,periods and for securities in all risk classes. These findings suggest that research should carefully investigate the specification of the return generating process and the stability of the risk measures. (J.E.L.: G12, E44). [source] Boom and Bust Cycle of the Stock Market, and Economic Growth in a Vintage Capital ModelINTERNATIONAL JOURNAL OF ECONOMIC THEORY, Issue 3 2008Takeshi Kobayashi E13; E32; O33; O47 We construct a growth model of overlapping generations with vintage capital. There exists an equilibrium that converges to the balanced growth path through endogenous fluctuations of investment, consumption, and output in terms of the growth rate. When the technological change arrives and a rise in productivity is embodied only in newly invested capital, the economy converges to a new balanced growth path with a higher growth rate of output, but when we interpret the price of existing old capital as the stock market capitalization, the rise in productivity is accompanied by an initial decline in the stock market. Oscillatory equilibria are supported as perfect-foresight equilibria in the present framework with finitely lived agents and capital. Any oscillatory equilibrium is associated with the regime switch from an economy with both young and old capital in use into one with only old capital in use. [source] Devaluation Expectations and the Stock Market: a new measure and an application to Mexico 1994/95INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2002Torbjörn Becker Abstract This paper develops a market-based measure of devaluation expectations derived from the relative stock market performance of companies with different exposures of current and future profits to exchange-rate changes. The measure can be viewed as a complement to measures of devaluation expectations based on interest-rate-parity conditions, survey data or macroeconomic models. Some of the benefits of the measure are that data are available on a timely basis and that the stock market has traditionally been free of central bank intervention. As an illustration, we examine the Mexican devaluation of 1994. Contrary to what might have been expected given the alleged peso overvaluation, high-net-exporting firms outperformed the market beginning in late 1993. This pattern is, on the other hand, consistent with forward-looking stock prices that assigned an increasing probability to a devaluation benefiting exporting firms. Copyright © 2002 John Wiley & Sons, Ltd. [source] Investing Public Pensions in the Stock Market: Implications for Risk Sharing, Capital Formation and Public Policy in the Developed and Developing WorldINTERNATIONAL REVIEW OF FINANCE, Issue 3 2001Deborah Lucas Concerns that existing public pension systems will be unable to pay benefits to a rapidly ageing population without sharp tax increases, and the prospect of higher average returns on stocks than on government securities, are drawing the attention of policy,makers worldwide to the option of investing public pension assets in stocks. Including stock market investments in public pension plans could improve risk sharing within and between generations, and could perhaps lead to faster market development in some countries. It could also result in excessive risk,taking, higher transactions costs and a false sense of increased financial security. This paper assesses these issues, with an emphasis on the considerations that are of special importance to developing markets. A contrast is drawn between the demographic outlook in East Asia and the major industrialized countries. Some lessons are drawn from the reform experience in Chile and elsewhere in Latin America. [source] Risk and Return Around Bond Rating Changes: New Evidence From the Spanish Stock MarketJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 5-6 2006Pilar Abad-Romero Abstract:, This study analyzes the effect of corporate bond rating changes on stock prices in the Spanish stock market. We explore their effects on excess of returns and systematic risk. Rating changes by Moody's, Standard and Poor's and FitchIBCA are analyzed. On an efficient market, these changes will only have some effect if they contain some new information or if they are associated to a redistribution of wealth between shareholders and bondholders. We use an extension of the event study dummy approach. Our results support the redistribution of wealth hypothesis in the abnormal returns behavior. We also find that changes in both directions cause a rebalancing effect in the total risk of the firm, with significant reductions on their systematic component. [source] Discussion of On the Existence of Visual Technical Patterns in the UK Stock MarketJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2003Article first published online: 1 APR 200, Stephen J. Taylor First page of article [source] Monetary Policy and the Stock Market: Theory and Empirical EvidenceJOURNAL OF ECONOMIC SURVEYS, Issue 4 2001Peter Sellin This paper gives a comprehensive review of the literature on the interaction between real stock returns, inflation, and money growth, with a special emphasis on the role of monetary policy. This is an area of research that has interested monetary and financial economists for a long time. Monetary economists have been interested in the question whether money has any effect on real stock prices, while financial economists have investigated whether equity is a good hedge against inflation. Empirical studies show that money can be helpful in predicting future stock returns. Empirical evidence also suggest that equity is not a good hedge against inflation in the short run but may be so in the long run. The short-run negative relation between stock returns and inflation can easily be explained by theoretical models. If the central bank conducts a countercyclical monetary policy this will result in a negative relation between inflation and stock returns, while if it conducts a procyclical policy we could observe a positive relation. According to both theoretical and empirical studies investors receive an inflation risk premium for holding equity. [source] Rights Issues in the Chinese Stock Market: Evidence of Earnings ManagementJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 2 2008Hung-Gay Fung Using 665 rights offerings of Chinese firms, we demonstrate positive but diminishing price effects of successive announcements at the board meeting, the shareholders' meeting, the prospectus release date, and the ex-rights date, but negative abnormal returns before the ex-rights date. Public investors value the participation from shareholders of state and legal-person shares in the rights offerings, which seem to be linked to the future firm performance. The results overall supports the hypothesis that Chinese company earnings are considerably manipulated in the rights issue process. [source] Social Security and the Stock Market: How the Pursuit of Market Magic Shapes the System, edited by A. H. Munnell and S. A. SassJOURNAL OF RISK AND INSURANCE, Issue 1 2008Article first published online: 5 MAR 200 No abstract is available for this article. [source] Who Gambles in the Stock Market?THE JOURNAL OF FINANCE, Issue 4 2009ALOK KUMAR ABSTRACT This study shows that the propensity to gamble and investment decisions are correlated. At the aggregate level, individual investors prefer stocks with lottery features, and like lottery demand, the demand for lottery-type stocks increases during economic downturns. In the cross-section, socioeconomic factors that induce greater expenditure in lotteries are associated with greater investment in lottery-type stocks. Further, lottery investment levels are higher in regions with favorable lottery environments. Because lottery-type stocks underperform, gambling-related underperformance is greater among low-income investors who excessively overweight lottery-type stocks. These results indicate that state lotteries and lottery-type stocks attract very similar socioeconomic clienteles. [source] Trusting the Stock MarketTHE JOURNAL OF FINANCE, Issue 6 2008LUIGI GUISO ABSTRACT We study the effect that a general lack of trust can have on stock market participation. In deciding whether to buy stocks, investors factor in the risk of being cheated. The perception of this risk is a function of the objective characteristics of the stocks and the subjective characteristics of the investor. Less trusting individuals are less likely to buy stock and, conditional on buying stock, they will buy less. In Dutch and Italian micro data, as well as in cross-country data, we find evidence consistent with lack of trust being an important factor in explaining the limited participation puzzle. [source] Uncovering the Risk,Return Relation in the Stock MarketTHE JOURNAL OF FINANCE, Issue 3 2006HUI GUO ABSTRACT There is ongoing debate about the apparent weak or negative relation between risk (conditional variance) and expected returns in the aggregate stock market. We develop and estimate an empirical model based on the intertemporal capital asset pricing model (ICAPM) that separately identifies the two components of expected returns, namely, the risk component and the component due to the desire to hedge changes in investment opportunities. The estimated coefficient of relative risk aversion is positive, statistically significant, and reasonable in magnitude. However, expected returns are driven primarily by the hedge component. The omission of this component is partly responsible for the existing contradictory results. [source] Is Disinflation Good for the Stock Market?THE JOURNAL OF FINANCE, Issue 4 2002Peter Blair Henry The stock market appreciates by an average of 24 percent in real dollar terms when countries attempt to stabilize annual inflation rates that are greater than 40 percent. In contrast, the average market response is 0 when the pre,stabilization rate of inflation is less than 40 percent. These results suggest that the potential long,run benefits of stabilization may dominate short,run costs at high levels of inflation, but at low to moderate levels of inflation, benefits may be offset by costs in a present value sense. Stock market responses also help predict the change in inflation and output in the year following all 81 stabilization efforts. [source] Liquidity Commonality and its Causes: Evidence from the Korean Stock Market,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2010Hyuk Choe G11; G14; G18 Abstract This paper investigates the causes of liquidity commonality. We consider information asymmetry, volatility, utilitarian trading interest, style-based trading, inventory cost, and investor sentiment as potential candidates. Our empirical analysis shows that greater information asymmetry causes higher liquidity commonality. The significant effect of the order imbalance beta supports our volatility hypothesis as a cause of liquidity commonality. Program trading and the KOSPI200 index dummy are positively related to liquidity commonality, which is consistent with the style-based trading hypothesis. Higher individual trading is associated with higher liquidity commonality, which means that investor sentiment operates in the Korean market. However, volume beta and return beta, as proxies for the utilitarian trading effect and the inventory cost, respectively, are insignificantly related to liquidity commonality. [source] Regulatory Environment, Changing Incentives, and IPO Underpricing in the Korean Stock Market,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 2 2010Inseok Shin G24; G28; G32 Abstract I examine the importance of price support regulation in explaining IPO underpricing in the Korean stock market from 2001 through 2007. In contrast to the US practice where price support is provided effectively at the cost of the issuing firms, the price support in Korea resulted in direct costs to the underwriters. I construct a simple model to capture this feature of the regulation where IPO prices are determined through the interaction of the maximizing behaviors of underwriters and issuers. In the model, three variables, namely, the expected post-IPO price volatility, size of newly issued shares, and size of tradable shares, are specified to affect the opportunity costs of underpricing. When combined with the regulatory regime change in 2003, which lightened underwriters' obligations towards price support, the model implies that the magnitudes of the relationships between the three variables and underpricing have decreased since 2003. I test the hypotheses and find supportive empirical results: the relationship of underpricing with the expected price volatility has changed from positive to insignificant; those with sizes of newly issued and tradable shares from insignificant to negative. The findings contrast with existing Korean studies that do not find any evidence that price support regulation decreased the opportunity cost of underpricing for underwriters. The results also illustrate a more general point that to fully understand underpricing in a given stock market, it is crucial to take into account the regulatory environment that systematically influences agents' incentives to control or generate underpricing. [source] Intraday Volatility Patterns in the Taiwan Stock Market and the Impact on Volatility ForecastingASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 1 2010Yaw-Huei Wang G10; C10; C30 Abstract Given the growing importance of the Taiwan stock market, the present study sets out to provide a comprehensive investigation of the intraday time series of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). We begin by exploring the intraday volatility patterns and then go on to examine their impact on intraday volatility forecasting. We find that the volatility of the TAIEX returns exhibits an L-shaped intraday periodic pattern, which is distinct across each day of the week. Our empirical results indicate that taking the intraday periodic pattern into account in a generalized autoregressive conditional heteroskedasticity model can substantially improve the precision of intraday volatility forecasting. [source] An Empirical Note on the Influence of the US Stock Market on Australian Economic ActivityAUSTRALIAN ECONOMIC PAPERS, Issue 3 2000Nicolas De Roos This paper empirically examines the impact of the US stock market on Australian economic activity as one explanation of the strong correlation in the Australian and US business cycles. It is found that both the US and Australian share markets appear to have a significant impact on Australian activity. [source] Financing Alternatives for Chinese Small and Medium Enterprises: The Case for a Small and Medium Enterprise Stock MarketCHINA AND WORLD ECONOMY, Issue 1 2007Hung-gay Fung Dr Y. S. Tsiang Professor Abstract Financing alternatives for small and medium enterprises in China are discussed in the present study. In particular, we analyze the significant changes and developments in China s "second board" stock market. China s extensive network of regional assets and equity exchanges, which were set up to facilitate private equity transfer, and non-performing loan transactions seem to partially fill the void for small and medium enterprises, which cannot easily obtain approval for listing on the stock exchanges. Foreign investors can identify investment opportunities in non-listed domestic state-owned and private businesses through these regional assets and equity exchanges. At the same time, foreign stock markets are now attracting the young Chinese enterprises to list their stocks on their exchanges. (Edited by Zhinan Zhang) [source] Governing Emerging Stock Markets: legal vs administrative governanceCORPORATE GOVERNANCE, Issue 1 2005Katharina Pistor Transition economies face a fundamental dilemma. They need to develop financial markets, and yet they lack the ingredients it takes to do so. Recipes for legal governance mechanisms that have worked elsewhere, including reactive law enforcement by courts and proactive law enforcement by regulators, may not help in the short to medium term. Using evidence from stock market development in China and Russia, this paper suggests that at least in the short term, administrative governance may be a viable alternative to legal governance in emerging stock markets. [source] Geography of Stock MarketsGEOGRAPHY COMPASS (ELECTRONIC), Issue 4 2009Dariusz Wójcik Geography matters for stock markets. Stock market actors and institutions do not just have to be somewhere, but where they are in relation to other actors and institutions has an effect on their behaviour and performance. Hence, the geography of stock markets is crucial to the spatial distribution of financial services and centres. On another level, the evolution and structure of stock markets involves a complex interplay of politics, technology, economy and culture, and can never be explained with economic models alone. Finally, stock markets do not just reflect economy and society, they influence how economy and society work. The current financial crisis only underscores the value of geography as a lens through which to view stock markets, and the significance of the latter in the world economy. [source] Integration Among Asia-Pacific and International Stock Markets: Common Stochastic Trends and Regime ShiftsPACIFIC ECONOMIC REVIEW, Issue 1 2001Pierre L. Siklos Are stock markets in the Asia-Pacific region integrated with each other and with the US and Japan? The paper examines a number of common stochastic trends among stock prices in the US, Japan, Hong Kong, Korea, Singapore, Taiwan and Thailand. If integration exists it is a fairly recent phenomenon. Institutional and economic considerations suggest the same is true so that a single common stochastic trend among Asian and North American markets is a recent phenomenon. The reason is that the stock markets studied were only recently sufficiently liberalized to permit some form of integration to emerge. Also, not only was the 1987 stock market crash significant, but the 1991 Gulf War also signalled a turning point in the degree of stock market integration among the countries studied. [source] Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value ApproachREAL ESTATE ECONOMICS, Issue 2 2001Yuming Fu This paper develops a methodology to identify asset price response to news in the framework of the Campbell,Shiller log-linear present-value equation. We further show that a slow price adjustment in real estate markets not only induces a high serial autocorrelation in excess returns, but also dampens the return volatility and the correlation with excess returns in other asset markets. Using Hong Kong real estate and stock market data, we find that the quarterly real estate price assimilates only about half the effect of market news, whereas the quarterly stock price incorporates the news fully. Our analysis identifies a cumulative price adjustment that recovers lost information in real estate returns due to market inefficiency and thereby restores the real estate return volatility and the correlation between real estate and stock markets. [source] Information Uncertainty Risk and Seasonality in International Stock MarketsASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 2 2010Dongcheol Kim G14; G12 Abstract A parsimonious two-factor model containing the market risk factor and a risk factor related to earnings information uncertainty has been developed to explain the seasonal regularity of January in international stock markets. This two-factor model shows apparently stronger power in explaining time-series behavior of stock returns and the cross-section of average stock returns in all major developed countries than do the competing models. Furthermore, the arbitrage residual return in January, which is the difference in the average residual returns between the smallest and largest size portfolios, is statistically insignificant in all the countries. These results indicate that the risk factor related to earnings information uncertainty plays a special role in explaining the seasonal pattern of stock returns in January, and that January might be a month that potentially tends to differentially reward stocks having uncertain earnings information. It could be argued, therefore, that large returns in January might be a risk premium for taking information uncertainty risk concerning earnings and unexpected earnings surprises faced at the earnings announcement, and that the previously reported strong January seasonality in stock returns might result from the use of misspecified models in adjusting for risk. [source] Macroeconomic News and Stock Returns in the United States and GermanyGERMAN ECONOMIC REVIEW, Issue 2 2006Norbert Funke Stock markets; macroeconomic news Abstract. Using daily data for the January 1997 to June 2002 period, we analyze similarities and differences in the impact of macroeconomic news on stock returns in the United States and Germany. We consider 27 different types of news for the United States and 12 different types of news for Germany. For the United States, we present evidence for asymmetric reactions of stock prices to news. In a boom (recession) period, bad (good) news on GDP growth and unemployment or lower (higher) than expected interest rates may be good news for stock prices. In the period under consideration there is little evidence for asymmetric effects in Germany. However, in the case of Germany, international news appears at least as important as domestic news. There is no evidence that US stock prices are influenced by German news. The analysis of bi-hourly data for Germany confirms these results. [source] Understanding the Chinese stock marketJOURNAL OF CORPORATE ACCOUNTING & FINANCE, Issue 6 2007Cheng Guo Stock markets are often seen as economic barometers. But until recently, the Chinese stock market hasn't reflected the growth of the Chinese economy. Why was this so? The answer lies in the peculiarities of the Chinese stock market, say the authors. And they explain what foreign investors need to know. © 2007 Wiley Periodicals, Inc. [source] PREDICTING THE IMPACT OF ANTICIPATORY ACTION ON U.S. STOCK MARKET,AN EVENT STUDY USING ANFIS (A NEURAL FUZZY MODEL)COMPUTATIONAL INTELLIGENCE, Issue 2 2007P. Cheng In this study, the adaptive neural fuzzy inference system (ANFIS), a hybrid fuzzy neural network, is adopted to predict the actions of the investors (when and whether they buy or sell) in a stock market in anticipation of an event,changes in interest rate, announcement of its earnings by a major corporation in the industry, or the outcome of a political election for example. Generally, the model is relatively more successful in predicting when the investors take actions than what actions they take and the extent of their activities. The findings do demonstrate the learning and predicting potential of the ANFIS model in financial applications, but at the same time, suggest that some of the market behaviors are too complex to be predictable. [source] Are Fundamentals Priced in the Bond Market?,CONTEMPORARY ACCOUNTING RESEARCH, Issue 3 2003Inder K. Khurana Abstract To date, the discussion of the Lev and Thiagarajan 1993 fundamentals in the prior literature has been exclusively in the context of the stock market. Our study is the first to examine the value-relevance of these fundamentals for default risk. By focusing on the market for new bond issues, we examine the value-relevance of the fundamental score using expected rather than realized returns. Also, by focusing on the bond market we provide a different perspective than that brought by prior studies relying solely on stock prices. We find the fundamentals to be priced in the market for new bond issues as indicators of expected future earnings and to be value-relevant in enabling the market to discern differences in bond credit quality over and above the published bond ratings. [source] | ||||||||||||||||||||||||||||||||||||||||