scholarly journals The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?

1999 ◽  
Author(s):  
Randall Morck ◽  
Bernard Yin Yeung ◽  
Wayne Yu
Keyword(s):  
Emerging Markets ◽  
Information Content ◽  
Stock Markets ◽  
Stock Price ◽  
Price Movements ◽  
Stock Price Movements

Anomalous Market Movements and the Rolling Settlement: Empirical Evidence from Indian Stock Markets

2007 ◽  
Vol 11 (4) ◽  
pp. 31-44 ◽  
Author(s):  
Ramesh Chander ◽  
Kiran Mehta
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Structural Changes ◽  
Abnormal Returns ◽  
Weekend Effect ◽  
Settlement Period ◽  
Price Movements ◽  
Anomalous Pattern ◽  
Stock Price Movements

Investors and analysts are unable to predict stock price movements consistently so as to beat the market in informationally efficient markets. Still, concerted efforts are being made to earn abnormal returns discerning some anomalous pattern in the stock price movements. Also, the study of some structural changes in the market leading to, or removing some anomalous pattern in the stock prices, are of interest to investors and analysts. The present study was conceptualised to scrutinise whether anomalous patterns yield abnormal return consistently for any specific day of the week even after introduction of the compulsory rolling settlement on Indian bourses. Three market series viz., BSE Sensex, S and P CNX Nifty and S and P CNX 500 were observed on daily basis for ten years viz., i) Pre-rolling settlement period, April 1997 - December, 2001 and ii) Post-rolling settlement period, January 2002 - March 2007 to discern evidences in this regard. Contrary to developed capital markets, the results reported in this study documented lowest (significant) Friday returns in the pre-rolling settlement period as credible evidence for the weekend effect. The findings recorded for post-rolling settlement period were in harmony with those obtained elsewhere in the sense that Friday returns were highest and those on Monday were the lowest. It implied that arbitrage opportunities existed (for different trade settlement cycle on two exchanges, BSE and NSE) have disappeared consequent to the rolling settlement. On the whole, the study noted stock markets moved more rationally and anomalous return pattern noticed earlier could not sustain, in the post rolling settlement period.

scholarly journals ELEMENTS INDICATING STOCK PRICE MOVEMENTS: THE CASE OF THE COMPANIES LISTED ON THE V4 STOCK EXCHANGES

2021 ◽  
Vol 22 (2) ◽  
pp. 503-517
Author(s):  
Florin Aliu ◽  
Orkhan Nadirov ◽  
Artor Nuhiu
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Stock Price ◽  
Listed Companies ◽  
Negative Influence ◽  
Country Level ◽  
Price Movements ◽  
Eastern European Countries ◽  
The Individual ◽  
Stock Price Movements

Stock markets stand as a financial mechanism that provides liquidity for firms and offers diversification benefits for investors. Stock markets in the Eastern European countries are weakform efficient which exposes them to speculative prices. This study investigates the influence of the macroeconomic and firm-specific factors on stock prices of the listed companies within the Visegrad Stock Markets. The study employs regression analyses based on a Pooled OLS and Fixed Effect models with year dummies and standard errors clustered at the country level, which are robust to autocorrelation and heteroscedasticity. Data collection consists of 55 listed companies based on the weekly stock prices, from January 2013 till December 2018. The results indicate that total equity is the only significant element that influences the individual stock prices of the companies in the four established models. Additionally, increase in supply of shares declines the current stock prices and the other way around. However, the exchange rate and inflation level indicate a negative influence on the stock prices with weaker significance. The findings show that stock markets of the V4 countries are overall inefficient since important indicators, such as economic activity, debt level, cash flow, firm size, oil, and gold prices have limited influence on the stock price movements.

An Empirical Study on Efficient Market Hypothesis with reference to FMCG Sector

GIS Business ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 109-126
Author(s):  
Nitin Tanted ◽  
Prashant Mistry
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Returns ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Controversial Issues ◽  
Efficient Market ◽  
Price Movements ◽  
Run Test ◽  
Stock Price Movements

One of the highly controversial issues in the area of finance is “Efficient Market Hypothesis”. Efficient Market Hypothesis states that, “In an efficient market, all available price information is reflected in the stock prices and it is not possible to generate abnormal returns compared to other investors.” A lot of studies conducted previouslyto test the Efficient Market Hypothesis, confirmed the theory until recent years, when some academicians found it to be non-applicable in financial markets. According to them, it is possible to forecast the stock price movements using Technical Analysis. The results of various studies have been inconclusive and indefinite about the issue. This study attempted to test the efficiency of FMCG Sector stocks in India in its weak form. For the study, closing prices of top 10 stocks from Nifty FMCG index has been taken for the 5-year period ranging from 1st October 2014 to 30th September 2019. Wald-Wolfowitz Run test has been used to test the haphazard movements in the stock price movements. The results indicated that FMCG sector stocks does support the Efficient Market Hypothesis and exhibit efficiency in its weak form. Hence, it is not possible to accurately predict the price movements of these stocks.

A Utility-Based Model of Common Stock Price Movements

1986 ◽  
Vol 41 (1) ◽  
pp. 67-92 ◽  
Author(s):  
ROBERT H. LITZENBERGER ◽  
EHUD I. RONN
Keyword(s):  
Stock Price ◽  
Common Stock ◽  
Price Movements ◽  
Stock Price Movements
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