The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and interpretations of information. However there is substantial evidence to suggest that the stock market does ...

Abstract. We present a model of a stock market in which informed speculators continually receive new information about multiple stocks. They must decide how quickly to trade on their information, taking account that their trades will inform their rivals via price movements; symmetrically, they make use of the information in prices, not only of the stocks they are trading directly, but of other ...

this article intends to examine some theoretical viewpoints related to share values and prices in the stock market. in this context, the role of di vid end policie s, as well as the corelation of pricing th eories and dividends in postulating the market prices are studied. furthermore, the effects of promotion sh ares in the market, and the role of price anticipations and expected trends in the...

– Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movements of assets are mutually correlated and therefore knowledge of cross-correlations among asset price movements are of great importance. Our results support the possibility that the problem of finding an investment in stocks which exposes invested funds to a minimum level of risk is anal...

1. ASSETS AND DERIVATIVES. Assets of all sorts are traded in financial markets: stocks and stock indices, foreign currencies, loan contracts with various interest rates, energy in many forms, agricultural products, precious metals, etc. The prices of these assets fluctuate, sometimes wildly. As an example, Figure 1 shows the price of IBM stock within a single day. The picture would look more or...

The aim of this research is to analyze the effect return on assets and current ratio stock prices which moderated by disclosure corporate social responsibility. population in study are all Infrastructure Sector Companies listed Indonesia. Stock Exchange for 2016 - 2020 period. Sampling used a purpusive sampling method with criteria as (1) Conventional banking companies that go public registered...

We assess the impact of the opium trade on the economies of colonial Malaya, Netherlands Indies, and China from 1873 to 1911 using a new database of stock and commodity prices, plus measures of government revenues, commodity exports, and immigration. Stock returns for a few Malayan industries related to international trade are significantly correlated with opium price changes, as are prices for...

This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model determined by dynamic depe...

The recent availability of large data sets covering single transactions on nancial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of nancial markets and its dynamics. The speci c nature of transaction data such as the randomness of arrival times of trades, the discreteness of price jumps and signi cant intraday seasonalities, cal...

The option markets offer a very interesting example of the adaptation of a population (the traders) to a complex environment, through trial and errors and natural selection (unefficent traders disappear quickly). The problem is the following: an ‘option’ is an insurance contract protecting its owner against the rise (or fall) of financial assets, such as stocks, currencies, etc. The problem of ...