This study examines the effect of short-sale constraints on a stock market, in particular, on stock prices, trading volume, and the relationship between stock price movements and output cycles. The economic model features incomplete markets and heterogeneous agents. The short-sale constraint is endogenously determined in the economy and is a function of agents’ risk aversion, time preference, a...

Stock based rewards are often used to motivate high-level managers to take actions to increase the stock price of the fi rm. However, numerous constraints may weaken the perceived link between individual effort and stock price appreciation for many recipients. This study introduces a new construct, stock price expectancy, which we defi ne as individuals’ perceptions of infl uence over their fi ...

A number of research had been carried out to forecast stock price based on technical indicators, which rely purely on historical stock price data. Nevertheless, their performance is not always satisfactory. In this paper, the effect of using hybrid market indicators of technical, fundamental indicators and experts opinion for stock price prediction is examined. Input variables extracted from th...

Employing the dataset of WTI oil spot price and stock price index in China Brazil, India, US, German, France, UK and Japan, this paper obtains five subinterval of whole sample range through a nonparametric multiple change point algorithms. Furthermore, it analyses dependence between oil spot price and stock price index through copula model and computes the value of VaR and ES based on simulatio...

We estimate a behavioural heterogeneous agents model with boundedly rational traders who know the fundamental stock price, but disagree about the persistence of deviations from the fundamental. Some agents (fundamentalists) believe in mean-reversion of stock prices, while others (chartists) expect a continuation of the trend. Agents gradually switch between the two rules, based upon their relat...

Penelitian ini adalah penelitian tentang pengaruh price earning ratio dan unusual market activity terhadap stock movement yang dimoderasi investment risk. Di dalam investasi ada 3 fase penting pergerakan harga saham, pertama akumulasi, kedua partisipasi publik terakhir distribusi. Pergerakan saham tidak wajar dapat diindikasi dengan diterbitkannya activity, bertujuan sebagai pemberitahuan bahwa...

This paper aims to investigate the effect of firm reporting quality, timeliness andquantity for disclosure and reliability of financial reports on the reaction of stockprice delay. Statistical population includes 111 active firms in Tehran stock exchangeduring 2010-2014 using Cochrane method with the confidence level of95%. Totally, they were 555 firms-years. In this paper, linear and nonlinear...