Analysts' information influence on the dynamics of stock prices

2010 ◽  
Author(s):  
Daiva Jurevičienė ◽  
Lina Albrichtaitė
Keyword(s):  
Stock Prices ◽  
Dynamics Of Stock Prices

scholarly journals Systemic Risk and Dynamics of Stock Prices: A Short and Long Run Analysis from Nigeria Capital Market

2019 ◽  
Vol 1 (1) ◽  
pp. 1-19
Author(s):  
Fortune Bella Charles ◽  
Charles Ugochukwu Okoro
Keyword(s):  
Capital Market ◽  
Systemic Risk ◽  
Stock Prices ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Exchange Rate Risk ◽  
Operating Environment ◽  
Rate Risk ◽  
Negative Effect ◽  
Dynamics Of Stock Prices

This study examined the effect of systemic risk on the dynamics of stock prices in Nigeria capital market. The objective was to investigate the dynamic effect of systemic risk on stock prices traded on the floor of Nigeria stock exchange. Time series data was sourced from Central Bank of Nigeria Statistical Bulletin from 1990-2017.  Stock prices were modeled as the function of prices risk, liquidity risk, interest rate risk and exchange rate risk. Multiple regression with ordinary least square properties of co-integration was used to examine the relationship between the dependent and the independent variables. The study found  price and liquidity risk have positive effect on stock price while interest rate and exchange rate risk have negative effect on stock prices of equities traded on Nigeria stock exchange. It concludes that systemic risk has significant effect on stock prices and recommends, among others, that the management of the capital market should ensure that the operating environment is risk minimum to ensure appreciable stock prices by developing strategies and policies aim at managing the systematic risk in the operating environment and engage a regular environmental impact assessment on systemic risk, to avert it’s negative effect on stock prices.

scholarly journals Description of dynamics of stock prices by a Langevin approach

2007 ◽  
Vol 16 (4) ◽  
pp. 975-983 ◽  
Author(s):  
Huang Zi-Gang ◽  
Chen Yong ◽  
Zhang Yong ◽  
Wang Ying-Hai
Keyword(s):  
Stock Prices ◽  
Langevin Approach ◽  
Dynamics Of Stock Prices

scholarly journals Dynamics of Stock Prices and Market Efficiency

2018 ◽  
Vol 11 (6) ◽  
pp. 29
Author(s):  
Antônio André Cunha Callado ◽  
Carla Renata Silva Leitão
Keyword(s):  
Market Efficiency ◽  
Empirical Evidence ◽  
Stock Prices ◽  
Academic Research ◽  
Econometric Models ◽  
Efficiency Measurement ◽  
Leading Position ◽  
Dynamics Of Stock Prices ◽  
Epistemological Perspectives

Over the last few decades, academic research on market efficiency has taken a leading position in the field of financial theories. The objective of this paper is to present contradictions within the evidence about market efficiency and discuss efficiency measurement as an emerging approach. The paper presents the evolution of research and also the lack of convergence between evidence provided by the literature and the lack of consistent arguments for explaining them. The paper also presents a framework that illustrates intermediate levels of efficiency and the first approach designed to measuring market efficiency. Finally the paper points out that divergences amongst the empirical evidence found in the literature should be considered as a key issue and further efforts should focus on specific conceptual elements inherent to its operationalization. Therefore, econometric models should not be given the exclusive responsibility of explaining market efficiency, nor possibility of incorporating alternative epistemological perspectives into the efficient / inefficient duality should be kept outside.

Dynamics of stock prices

2004 ◽  
Vol 69 (6) ◽  
Author(s):  
Rosario Bartiromo
Keyword(s):  
Stock Prices ◽  
Dynamics Of Stock Prices

scholarly journals SYSTEMS AND VALUE-BASED APPROACH SYNTHESIS IN THE PROCESS OF STRUCTURAL MODERNIZATION OF ENTERPRISES

2014 ◽  
pp. 94-97
Author(s):  
K. A. Gusev
Keyword(s):  
Stock Prices ◽  
Fair Value ◽  
Market Capitalization ◽  
Dynamics Of Stock Prices

The article analyzed the dynamics of stock prices in five years and identified the factors most market capitalization growth OJSC “AvtoVAZ” and OJSC “KamAZ”. Reviewed the concept of structural modernization of the enterprise as a tool to implement its strategy. It is the structural modernization of enterprises is an effective tool of improving their fair value and market capitalization in the medium and long term period.

scholarly journals STOCHASTIC INFORMATIVE EXPERT SYSTEM FOR INVESTMENT

2020 ◽  
Vol 21 (1) ◽  
pp. 136-156
Author(s):  
Aleksandras Vytautas Rutkauskas ◽  
Viktorija Stasytytė
Keyword(s):  
Expert System ◽  
Financial Markets ◽  
Stock Prices ◽  
Value Added ◽  
Risk Tolerance ◽  
Individual Investors ◽  
Investment Funds ◽  
Macroeconomic Indicators ◽  
Investment Process ◽  
Dynamics Of Stock Prices

The stochastic nature of investment process implies that it should be treated not unambiguously. Instead of concentrating only on possible return, it is worth analysing three parameters when we discuss the future investment results. These parameters are return possibility, reliability of this possibility, and the riskiness. The stochastic informative expert system for investment allows to analyse the behaviour of financial markets, forecasting the dynamics of stock prices and, along with that, rationally allocating investment resources. The proposed system is based on the adequate portfolio model, previously developed by the authors. Considering the real-time characteristics of financial markets, the system can be useful for individual investors, as well as for institutional investors, such as investment funds. Also, the authors propose the original risk tolerance determination methodology, which divides investors into three categories according their risk tolerance. The system can be applicable not only to capital markets, but also to other business or macroeconomic processes. As an example, a portfolio of the interaction of macroeconomic indicators with USA, UK, and Lithuanian data is developed. Such results could be useful for economists and governments in order to attain the higher value added in a particular country.

Systemic Risk and Dynamics of Stock Prices: A Short and Long Run Analysis from Nigeria Capital Market

2019 ◽  
Vol 1 (1) ◽  
pp. 1-19
Author(s):  
Fortune Bella Charles ◽  
Charles Ugochukwu Okoro
Keyword(s):  
Capital Market ◽  
Systemic Risk ◽  
Stock Prices ◽  
Stock Exchange ◽  
Liquidity Risk ◽  
Exchange Rate Risk ◽  
Operating Environment ◽  
Rate Risk ◽  
Negative Effect ◽  
Dynamics Of Stock Prices

This study examined the effect of systemic risk on the dynamics of stock prices in Nigeria capital market. The objective was to investigate the dynamic effect of systemic risk on stock prices traded on the floor of Nigeria stock exchange. Time series data was sourced from Central Bank of Nigeria Statistical Bulletin from 1990-2017.  Stock prices were modeled as the function of prices risk, liquidity risk, interest rate risk and exchange rate risk. Multiple regression with ordinary least square properties of co-integration was used to examine the relationship between the dependent and the independent variables. The study found  price and liquidity risk have positive effect on stock price while interest rate and exchange rate risk have negative effect on stock prices of equities traded on Nigeria stock exchange. It concludes that systemic risk has significant effect on stock prices and recommends, among others, that the management of the capital market should ensure that the operating environment is risk minimum to ensure appreciable stock prices by developing strategies and policies aim at managing the systematic risk in the operating environment and engage a regular environmental impact assessment on systemic risk, to avert it’s negative effect on stock prices.

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