Impact of the Electronic Trading on the Stock Prices of Jordanian Listed Companies

2021 ◽  
Vol 39 (11) ◽  
Author(s):  
Sameer Alamr ◽  
Kayed Abdallah Al-Attar ◽  
Victor Setrag George Soultanian ◽  
Belal Yousef Al Smirat
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Price Volatility ◽  
Electronic System ◽  
Listed Companies ◽  
Market Liquidity ◽  
Electronic Trading ◽  
Trading Systems ◽  
Portfolio Flows ◽  
Before And After

The development of economies has been significantly hampered by inadequate financing. The introduction of securities exchanges is considered as a key strategy for improving access to financing for organizations. The introduction of electronic trading systems in these markets is meant to enable them take advantage of technology and improve access to financing for listed companies. However, the system may have the adverse effect of increasing the level of stock price volatility. A quantitative study using data collected from the ASE is undertaken here. The increase in price volatility for the industrial stocks in the ASE was not statistically significant. The mean returns for the shares were similar in the period before and after the introduction of the system.  The findings indicate that the electronic system increases the level of transparency in the market and improvement in efficiency is not accompanied by a change in the price volatility. It was expected that the change in market liquidity and portfolio flows would influence price changes in the market. This was not the case and it may be an indication that the level of returns in the market did not significantly increase.The market returns for the stocks of industrial listed companies are calculated. Using independent samples tests, the returns are evaluated for a period of 5 years before and after the introduction of the system.  

scholarly journals Forecasting Quoted Depth With the Limit Order Book

2021 ◽  
Vol 4 ◽  
Author(s):  
Daniel Libman ◽  
Simi Haber ◽  
Mary Schaps
Keyword(s):  
Financial Markets ◽  
Stock Prices ◽  
Limit Order Book ◽  
Vital Role ◽  
Market Liquidity ◽  
Order Book ◽  
Electronic Trading ◽  
Trading Systems ◽  
Additional Information ◽  
Feed Forward Neural Networks

Liquidity plays a vital role in the financial markets, affecting a myriad of factors including stock prices, returns, and risk. In the stock market, liquidity is usually measured through the order book, which captures the orders placed by traders to buy and sell stocks at different price points. The introduction of electronic trading systems in recent years made the deeper layers of the order book more accessible to traders and thus of greater interest to researchers. This paper examines the efficacy of leveraging the deeper layers of the order book when forecasting quoted depth—a measure of liquidity—on a per-minute basis. Using Deep Feed Forward Neural Networks, we show that the deeper layers do provide additional information compared to the upper layers alone.

scholarly journals Financing Constraints and Stock Price Volatility Empirical Evidence from Shanghai and Shenzhen A-share listed Companies

2021 ◽  
Vol 235 ◽  
pp. 01029
Author(s):  
Xuan Xiang ◽  
Fei Dong ◽  
Junxiu Chen
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Price Volatility ◽  
Listed Companies ◽  
Practical Significance ◽  
Financing Constraints ◽  
Cross Sectional ◽  
Stock Price Volatility ◽  
The Impact ◽  
A Share

Based on the theoretical analysis of financing constraints and stock price volatility, the hypothesis of “corporate financing constraints inhibiting corporate stock price volatility” is proposed. After data cleaning, the cross-sectional data based on A-share was used to make an empirical analysis of the relationship between financing constraints and stock price volatility of listed companies in 2018 through regression model. The study found that when companies relax financing constraints, due to widespread overinvestment, the stock price of companies will fluctuate more. In addition, we have shown that by replacing the return of financing constraint indicators and the regression of subsamples based on enterprise size, market type and ownership, the conclusion of the study is more robust. The research reveals the mechanism of the impact of financing constraints on the volatility of corporate stock prices. The conclusions have practical significance for investors, corporations and relevant regulatory authorities.

scholarly journals Pengaruh Pengumuman Kebijakan Dividen terhadap Volatilitas Harga Saham

Eksos ◽  
2020 ◽  
Vol 15 (2) ◽  
pp. 85-94
Author(s):  
Yani Riyani
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Dividend Policy ◽  
Linear Regression Analysis ◽  
Abnormal Returns ◽  
Price Volatility ◽  
Simple Linear Regression ◽  
Stock Price Volatility ◽  
Dividend Signaling ◽  
Before And After

This study aims to determine the effect of dividend policy announcements on stock price volatility. This research is an event study, with a period of observation 10 days before and after dividend announcement. According to the purposive sampling of 30 companies incorporated in the JII there are 20 companies that meet the criteria to be sampled. The variable used in this study is dividend policy announcements which are proxied by abnormal returns and stock price volatility. By using simple linear regression analysis, the results of the study found that the dividend announcement policy affects the volatility of stock prices. This means that dividend policy announcements contain information that causes shares to react. The results of this study are consistent with the dividend signaling theory which states that dividend policy announcements contain information that can cause stock prices to react.

scholarly journals Stock Price Reaction to the Stock Splits Announcement of Listed Companies in the Colombo Stock Exchange

2021 ◽  
Vol 7 (2) ◽  
Author(s):  
W. S. S Soyza ◽  
K. A. S. S. Kodithuwakku ◽  
S.M.R.K. Samarakoon
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Listed Companies ◽  
Share Price ◽  
Stock Splits ◽  
Average Abnormal Return ◽  
Stock Split ◽  
Before And After

A stock split is a corporate event that directly impacts the number of a company’s shares and indirectly on stock prices. This study tests the effect of the stock splits on the share price of companies listed in the Colombo Stock Exchange during the periods of pre and post stock split announcement in accordance with the Efficient Market Hypothesis. The main objective of this paper is to identify the overall impact of a stock split announcement on stock prices. This study analyses 88 annual stock splits during the ten (10) year period from 2009 to 2019 by taking the listed companies in the Colombo Stock Exchange into consideration. It uses the event study methodology to test the market efficiency of the Colombo Stock Exchange, and the market model is run with the aid of abnormal returns, which are calculated based on daily closing stock prices and the All-Share Price Index. For analysing the results, the graphical analysis and t statistics have been utilized. According to the event day average abnormal return, the majority of stock splits were more negative than positive with a significant t value at 5% by indicating that investors were taking the stock split announcement as bad news just after the split announcement was released. Each day with a significant Average Abnormal Return shows more positives than negatives. Graphical results have shown both Average Abnormal Return, and Cumulative Average Abnormal Return has remained continuously negative up to 18 and 25 days, respectively, by implicating that stock splits have made a deleterious impact on stock return. This study finally concludes that the information regarding the stock splits has not been absorbed efficiently by the market because the market reactions before and after the date of the split announcement were significant at 5%, although the Average Abnormal Return got a quick reaction to the announcement. Furthermore, results had not provided evidence for Semi-Strong Form efficiency of the Colombo Stock Exchange since the significant stock price adjustments before and after the event day was noticed. By this study, the policymakers and investors are convinced that all information has not been incorporated into stock prices in making their decisions.

Znaczenie czynników behawioralnych w podejmowaniu decyzji inwestycyjnych na rynku kapitałowym

2016 ◽  
pp. 173-183
Author(s):  
Mirosław Wasilewski ◽  
Marta Juszczyk
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Investment Decisions ◽  
Price Volatility ◽  
Decision Making Process ◽  
Emotional States ◽  
Psychological Conditions ◽  
History Of ◽  
Research Show

The aim of the study was to investigate the investors’ opinions concerning the usefulness of behavioral factors for investment decisions. The research was carried out in the group of 100 investors, using the services of five brokerages with a long history of operation. The results of the research show that people’s psychological conditions and sentiment in the stock market play an important role in the decision-making process of investors in the capital market. The importance of this factor increased with the length of the investment period. The emotional states of people and their psychological conditions affect the stock price volatility. However, the complexity of the determinants of stock prices makes the market value of stocks can be affected by many factors at the same time and investors seem aware of this.

scholarly journals Stock Market Reaction to COVID-19: Evidence in Customer Goods Sector with the Implication for Open Innovation

2020 ◽  
Vol 6 (4) ◽  
pp. 99
Author(s):  
Zaky Machmuddah ◽  
St. Dwiarso Utomo ◽  
Entot Suhartono ◽  
Shujahat Ali ◽  
Wajahat Ali Ghulam
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Practical Implication ◽  
Efficient Market Hypothesis ◽  
Future Research ◽  
Observation Data ◽  
Economic Sectors ◽  
Significant Difference ◽  
Before And After ◽  
Long Term Impact

The coronavirus pandemic has spread all over the world, affecting both the health and economic sectors. The aim of this research was to observe stock prices of customer goods before and after the COVID-19 pandemic using event study and the comparison test. The sample included data of daily closing stock prices and volume of stock trade during the three months before (−90 days) and after (+90 days) the occurrence of the COVID-19 pandemic ongoing, totaling 2670 observation data both before and after the COVID-19 pandemic, for a total of 5340. The research findings indicate a significant difference between the daily closing stock price and volume of stock trade before and after the COVID-19 pandemic. The current research has both theoretical and practical implications: the findings strengthen the efficient market hypothesis, which states that the more complete the provided information, the more efficient the market. The practical implication is that investors should be careful when choosing to invest. Investors should choose customer goods sector companies that provide products that are much needed by customers, for example, pharmacy, food, beverages, etc. Future research is needed to investigate the long-term impact of the pandemic on the economy.

Perbandingan harga saham, volume transaksi dan return saham sebelum dan sesudah terjadi pandemi covid-19 pada PT Agung Podomoro Land, Tbk

2021 ◽  
Vol 5 (4) ◽  
pp. 720
Author(s):  
Anggun Putri Romadhina ◽  
Eka Kusuma Dewi
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Price ◽  
Research Data ◽  
Paired Sample ◽  
First Case ◽  
Significant Difference ◽  
Before And After ◽  
Stock Transaction

The first Covid-19 case in Indonesia was announced on March 2, 2020. This study aims to determine whether there is a significant difference in stock prices, stock transaction volume and stock returns due to the COVID-19 pandemic (case study at PT. Agung Podomoro Land, Tbk). This research data was taken 90 days before and 90 days after the announcement of the first case of COVID-19 in Indonesia. The data was processed by paired sample t-test, using SPSS version 20. From the results of data processing, it was shown that there was a significant difference in stock prices before and after the announcement of the first case of covid-19 in Indonesia. This is indicated by a significance value of 0.000 < 0.05 where the stock price has decreased compared to before the Covid-19 case. Meanwhile, the volume of stock transactions also showed a significant difference with a significance value of 0.007 <0.05, where the volume of stock transactions after the announcement showed a decrease. Likewise, stock returns show a significant difference with a significance value of 0.025 < 0.05 where stock returns have decreased after the announcement of the first case of covid-10 in Indonesia.  

scholarly journals Harga Saham Sebelum dan Sesudah Stock Split

2020 ◽  
Vol 3 (2) ◽  
pp. 390-395
Author(s):  
Junita Putri Rajana Harahap ◽  
Murni Dahlena Nasution
Keyword(s):  
Event Study ◽  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Research Method ◽  
Price Difference ◽  
Significant Difference ◽  
Stock Split ◽  
Before And After ◽  
A Company

The stock split causes the stock price to be cheaper so that it will attract potential investors to buy the stock. This research was conducted to determine when it is time for a company to do a stock split, information available on the capital market can be used by investors for consideration before investors make a decision to invest in shares. The study aims to determine the changes that occur in stock prices before and after the stock split policy by the company. The research method used in this research is event study research with a quantitative approach. This study examines how significant the stock price difference is after a stock split policy. The sample used in this study were all companies that carried out the 2016-2018 stock split policy. The results of research on companies that become samples have shown that the average stock price before the announcement of the stock split policy has no significant difference with the average stock price after the announcement of the stock split policy Keywords : Stock Price, Stock Split

Analisis Pengaruh Tingkat Harga Saham, Return Saham, dan Volume Perdagangan Saham terhadap Stock Split ISSI Periode 2015– 2020

2021 ◽  
Vol 4 (2) ◽  
pp. 234-245
Author(s):  
Farhan Maulana ◽  
Ahmad Mulyadi Kosim ◽  
Abrista Devi
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Trading Volume ◽  
Stock Return ◽  
Positive Impact ◽  
Secondary Data ◽  
Normality Test ◽  
Stock Split ◽  
Before And After ◽  
Sample Test

For companies that collect funds from the public through capital from capital market, it can be used to meet capital needs and finance the company’s operation. So that company is expected not to rely on commercial debt financing both from within the country and abroad. With stock split, it is hoped that it will increase investors’ interest in buying affordable shares. This study aims to determine whether the stock split has an effect on stock prices, trading volume, and stock return. The method used by the researcher uses quantitative secondary data methods by using descriptive statistical data test, then use the kolgomorov smirnov normality test, and using theaverage paired sample test. The results of this research is that: 1) stock price have a significant effect after the stock split occurs, 2) while the trading volume has no significant effect after the stock split occours, 3)  then stock return has a siginificant impact before and after the stock split because it is expected to have a positive impact for issuers and investors.

scholarly journals The Impact of International Oil Prices on the Stock Price Fluctuations of China’s Renewable Energy Enterprises

Energies ◽  
2019 ◽  
Vol 12 (24) ◽  
pp. 4630 ◽  
Author(s):  
Cody Yu-Ling Hsiao ◽  
Weishun Lin ◽  
Xinyang Wei ◽  
Gaoyun Yan ◽  
Siqi Li ◽  
...  
Keyword(s):  
Renewable Energy ◽  
Stock Prices ◽  
Stock Price ◽  
Capital Investment ◽  
Spillover Effect ◽  
Oil Prices ◽  
Listed Companies ◽  
Oil Price ◽  
Price Fluctuations ◽  
The Impact

In order to address a series of issues, including energy security, global warming, and environmental protection, China has ranked first in global renewable investment for the seventh consecutive year. However, developing a renewable energy industry requires a significant capital investment. Also, the international oil price fluctuations have an important impact on the stock prices of renewable energy firms. Thus, in order to provide implications for market investment as well as policy recommendations, this paper studied the spillover effect of international oil prices on the stock prices of China’s renewable energy listed companies. We used a Vector Autoregressive (VAR) model with innovations using a Factor-GARCH (Generalized Autoregressive Conditional Heteroskedasticity) process to evaluate the impact of market co-movements and time-varying volatility and correlation between the international oil price and China’s renewable energy market. The results show that the international oil price has a significant price spillover effect on the stock prices of China’s renewable energy listed companies. Moreover, the fluctuations of international oil prices have an influence on the stock price variations of Chinese renewable energy listed companies.

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