Stock price crash risk is an unfavourable event in business that may decrease the shareholder’s wealth and hurt stability capital market growth. This study investigates impact of audit quality measured by auditor industry specialization (AIS), tenure (AT), committee independence (ACI), firm size(AFS)) on stock value (measured down-to-up unpredictability) for a sample 70 non-financial firms list...

We use data on a movie’s stock price as it trades on the Hollywood Stock Exchange, a popular online market simulation, to study the impact of movie advertising. We find that advertising has a positive and statistically significant effect on expected revenues, but that the effect varies strongly across movies of different ‘‘quality’’. The point estimate implies that the returns to advertising fo...

The stock price has long been an essential issue in stock market analysis, while rarely had any relevant study covered the relational effect of the bidder factor on stock price. Hereby we try to find an association between bid and transaction price time series. The fluctuation of pattern ratios embedded in the bid series affects the fluctuation of transaction price. That means when there is sma...

Managers are responsible for providing financial statements and they might try to make a good picture of their firm's conditions. Therefore, they try to delay the disclosure of bad news and release the good news as soon as possible. The ten-dency of managers toward hiding bad news increases the stock price crash risk. The protection of investor is one of the factors that can prevent from fallin...

This paper employs a bivaraite vector autoregressive-generalized autoregressive conditional heteroscedasticity (VAR-GARCH) model recently developed by Ling and McAleer (2003) to examine the impact of oil price fluctuations on stock market returns in the Kingdom of Saudi Arabia over the period from January 1, 2007 to December 31, 2011. The proposed model is estimated using maximum likelihood met...

Stock price, been studied for hundreds of years, is one of the most versatile thus hardly predictable things that is deeply rooted in the modern economy. With the trading frequency reaching sub-second and beyond, more advanced real-time stock price prediction tools would be highly demanded in addition to traditional financial analysis. In this work, we applied SVM and Naïve Bayes algorithms to ...

a r t i c l e i n f o This paper examines the relationship between option trading activity and stock market volatility. Although the option market is uniquely suited for trading on volatility information, there is little analysis on how trading activity in this market is linked to stock price volatility. The bulk of the discussion tends to focus on whether trading activity in the stock market i...

This study documents the asset pricing mechanism of Sharīʿah compliant securities listed on the Karachi Stock Exchange. We select the CAPM market model to test for the impact in variations of stock returns on a sample of Sharīʿah-compliant companies on ten years monthly data (2001-10). We first test the basic CAPM (Capital Asset Pricing Model) and its modified form known as the Sharīʿah-complia...

We consider the so-called “optimal execution problem” in algorithmic trading, which is the problem faced by an investor who has a large number of stock shares to sell over a given time horizon and whose actions have impact on the stock price. In particular, we develop and study a price model that presents the stochastic dynamics of a geometric Brownian motion and incorporates a log-linear effec...