We develop a model predicting two channels through which creditor protection affects stock prices: (1) the probability of a liquidity crisis leading to a binding investment-finance constraint falls with better creditor protection; (2) the stock prices under the investment-constrained regime increase with better creditor protection. We find evidence for both predictions using data on stock marke...

Stock prices in each industry are one of the major issues in the stock market. Given the increasing number of shareholders in the stock market and their attention to the price of different stocks in transactions, the prediction of the stock price trend has become significant. Many people use the share price movement process when com-paring different stocks while investing, and also want to pred...

Establishing the relationship between stock prices and macroeconomic variables is very important for formulating current economic stabilisation policies. This paper investigates the causal relationship between four macroeconomic variables and Dhaka Stock Exchange (DSE) stock prices using cointegration and Granger causality test. The results suggest that cointegration exists between stock prices...

This section describes a simplified version of the dynamic IS − LM model in Blanchard (1981), that extends this elementary macroeconomic scheme along two dimensions: (i) by considering dynamics, and (ii) by enlarging the set of financial markets beyond the traditional "money" and "bonds". In the model below, the latter extension is limited to the stock market. Stock prices have a forward-lookin...

Previously security market research had been focused mainly on developed economies with no attention paid to the security markets of developing countries of South East Asia. In an attempt to fill this gap in the literature, this paper conducts an empirical investigation of the random walk of security prices in Pakistani stock markets. The Augmented Dickey fuller test, Ljung Box Q test, Variance...

This paper investigates the presence of bull and bear market states in stock price dynamics. A new definition of bull and bear market states based on sequences of stopping times tracing local peaks and troughs in stock prices is proposed. Duration dependence in stock prices is investigated through posterior mode estimates of the hazard function in bull and bear markets. We find that the longer ...

How do dividend policy decisions affect a firm’s stock price, is a widely researched topic in the field of investments and finance but still it remains a mystery that whether dividend policy affects the stock prices or not. There are those who suggest that dividend policy is irrelevant because they argue a firm’s value should be determine by the basic earning power and business risk of the firm...

In this paper we have investigated the interactions between stock prices and exchange rates in three emerging countries of South Asia named as Bangladesh, India and Pakistan. We have considered average monthly nominal exchange rates of US dollar in terms of Bangladeshi Taka, Indian Rupee and Pakistani Rupee and monthly values of Dhaka Stock Exchange General Index, Bombay Stock Exchange Index an...

According to several empirical studies, the linear present-value model fails to explain the behaviour of stock prices in the long run. We analyse the possible presence of threshold cointegration between real stock prices and dividends for the US market during the period from 1871:1 to 2004:6. According to our results, the null hypothesis of linear cointegration between stock prices and dividend...