Showing papers on "Market capitalization published in 2014"

Spinning gold: The financial returns to stakeholder engagement

Abstract: We provide direct empirical evidence in support of instrumental stakeholder theory's argument that increasing stakeholder support enhances the financial valuation of a firm, holding constant the objective valuation of the physical assets under its control. We undertake this analysis using panel data on 26 gold mines owned by 19 publicly traded firms over the period 1993�2008. We code over 50,000 stakeholder events from media reports to develop an index of the degree of stakeholder conflict/cooperation for these mines. By incorporating this index in a market capitalization analysis, we reduce the discount placed by financial markets on the net present value of the physical assets controlled by these firms from 72 percent to between 37 and 13 percent.

Structure of a Global Network of Financial Companies Based on Transfer Entropy

Abstract: This work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area, from 2003 to 2012. We study the causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can assess which companies influence others according to sub-areas of the financial sector, which are banks, diversified financial services, savings and loans, insurance, private equity funds, real estate investment companies, and real estate trust funds. We also analyze the exchange of information between those stocks as seen by Transfer Entropy and the network formed by them based on this measure, verifying that they cluster mainly according to countries of origin, and then by industry and sub-industry. Then we use data on the stocks of companies in the financial sector of some countries that are suffering the most with the current credit crisis, namely Greece, Cyprus, Ireland, Spain, Portugal, and Italy, and assess, also using Transfer Entropy, which companies from the largest 197 are most affected by the stocks of these countries in crisis. The aim is to map a network of influences that may be used in the study of possible contagions originating in those countries in financial crisis.

Intellectual Capital Disclosure and Market Capitalization

Abstract: The objectives of this paper are to determine the level of the intellectual capital (IC) disclosure among Malaysian Listed Companies and to investigate the effect of IC information on market capitalization (MCAP). A sample of 185 companies listed in Bursa Malaysia was selected consisting of five industries which are Information Technology, Consumer Product, Industrial Product, Trading/Services and Finance. The descriptive statistics, content analysis were performed to analyze the data. The result found that a high percentage, about 69 percent of the companies selected disclosed intellectual capital in their annual reports. The study also found there is positive significant effect of IC information on market capitalization.

The Market for Cryptocurrencies

Abstract: Although it is sometimes considered one of a kind, or a first-mover monopolist in the market for cryptocurrencies, Bitcoin is surrounded by effective competitors. Between March 2013 and December 2014, while the market capitalization of Bitcoin grew four-fold, the market cap of other cryptocurrencies (“altcoins”) in the aggregate grew twelve-fold, eroding Bitcoin’s market share to 84% from 95%. Where Bitcoin is a non-profit project, the growth of altcoins has been driven by for-profit enterprises. Altcoins have introduced improvements in speed, robustness, and privacy. Contrary to the predictions of economists who tried to imagine what private irredeemable currencies would look like, cryptocurrencies have attained positive valuations by implementing a nominal quantity commitment with an observable public ledger, rather than by the traditional method of redeemability or a purchasing-power commitment. Cryptocurrencies are not all bubbles, although a number of bubble-like crashes (to below 98% of peak value) can be observed in the record. There is no reason to suppose that the market is plagued either by insufficient competition or by too much competition.

A Machine Learning Model for Stock Market Prediction

Abstract: Stock market prediction is the act of trying to determine the future value of a company stock or other financial instrument traded on a financial exchange.

Financial systems and economic growth in South Africa: a dynamic complementarity test

Abstract: This study examines the relationship between banks, stock markets and economic growth in South Africa. The study attempts to answer one critical question: are stock markets and banks complementary to one another in the process of enhancing economic growth? The complementarity between the stock markets and banks is examined by including a set of interactive terms in a standard growth model, alongside bank development and stock market development proxies. In order to test the robustness of the results, three proxies of stock market development have been used, namely stock market capitalization, stock market traded value and stock market turnover – against the ratio of bank credit to the private sector, a proxy for bank-based financial development. The economic growth is, however, proxied by real GDP per capita. Using the ARDL-Bounds testing procedure, the study finds that the complementarity between stock market development and bank-based financial development is weak and sensitive to the proxy used to meas...

Stock Market Performance and Macroeconomic Factors: The Study of Indian Equity Market:

Abstract: There has been an extensive debate on the relationship between real economy and stock market performance especially in the context of emerging markets. This article examines the causal relationships between the stock market performance and select macroeconomic variables in India, using monthly data from July 1997 to June 2011. We use factor analysis, ADF and PP Unit root tests, Regression, ARCH model, Granger causality and Johansen Co-integration test for data analysis. Impulse Response analysis has also been performed to check the response of stock market to shocks created in the real economy.We find a significant correlation among stock market indicators and macroeconomic factors. We identified three principal factors through Factor analysis viz Inflation, Interest rate and Exchange rate. The overall explanatory power of the regression model is 23.8%, 23.3% and 16.9% respectively for Sensex, Market capitalization and Market Turnover. There is uni directional causality from stock market to real economy. ...

Financial Sector Development and Economic Growth in Nigeria: An Empirical Investigation

Abstract: The study examines the relationship between Financial Sector Development and Economic Growth in Nigeria. Time series data from 1990-2009 were fitted into the regression equation using various econometric techniques such as Augmented Dickey Fuller (ADF) test, Johansen Multivariate Co-integration Test, Ordinary Least Square Regression and Vector Error Correction Model (VEC). The result shows that development in financial sector variables viz: banking sector credits, total market capitalization and foreign direct investment positively affect economic growth variables - Real Gross Domestic Product. This result is consistent with a number of earlier studies reviewed in the literature that found financial sector variables to positively affect real gross domestic product.

Exchange-traded funds, liquidity and volatility

Abstract: Given the exponential growth in exchange-traded fund (ETF) trading, ETFs have become a significant factor in the volatility generating process of their largest component stocks A simple model of trading is developed for securities that are included in ETFs, and empirical support is provided for the model hypotheses Volatility spillovers from ETFs to their largest component stocks are economically significant These spillovers are increasing in liquidity, the proportion of each stock held by the fund, deviations from net asset value, ETF flow of funds and ETF market capitalization The results are consistent with a positive volume–volatility relation and trading-based explanations of volatility, and are generally stronger for smaller stocks

Foreign capital inflows, economic growth and stock market capitalization in Asian countries: an ARDL bound testing approach

Abstract: This study investigates the effects of foreign capital inflows and economic growth on stock market capitalization in 18 Asian countries by using the panel data from the period of 2000–2010. The ARDL bound testing cointegration approach confirms the valid long run relationship between the considered variables. Results indicate that foreign direct investment has significant negative and economic growth has significant positive relationship with the stock market capitalization, whereas, the results of workers’ remittances is found insignificant in long run. The error correction model confirms the significant positive relationship of economic growth and workers’ remittances while, FDI has negative and significant impact on stock market capitalization in short run. Results of causality test based on Toda and Yamamoto (J Econom 66: 225–250, 1995) show the bidirectional causal relationship of foreign direct investment and economic growth with stock market capitalization. However, no causal relationship is found in between workers’ remittances and stock market capitalization. It is suggested that investor should not idealize the inflow of workers’ remittances to invest in Asian stock markets in long run. Simultaneously, size of the economy is a better leading indicator for Asian stock markets. On the other hand, inflows of FDI may mislead the investor to invest. Investor should keep on eye whether FDI come in the competition of domestic market or not? If this happens so investor should not invest in the stock market of host country.

New world order

Abstract: The article discusses the impacts that various technological advances have reportedly had on a unified global marketplace for labor and capital as of July 2014, focusing on the concept of a power law economy and computer company Apple Inc.'s iPhone smartphone product which was apparently designed in California and assembled in China. Market capitalization and a new world order are mentioned, along with an assessment of the relationship between technology and globalization. Factories in China's Guangdong province are also examined.

A structural model of short-term reversals

Abstract: We present a structural model of the stock market where a subset of the investors is infrequently present at the market. In our model the stocks’ return reversal pattern is exponential and the amount of return reversal, the speed of return reversal and stock’s transitory volatility are all related to liquidity. In contrast to common perception, fast return reversal is typically a sign of inefficient, illiquid markets, thus not a sign of efficiency. Other results are that the stock’s return liquidity premium and the cost of immediacy to transitory investors are non-monotonic in several structural parameters of the model, such as the number of market makers. Based on the entire available return history for NYSE and Amex traded stocks, we find that, on average, 24% of NYSE and Amex traded stocks’ excess returns revert within a week, that the pattern of return reversal is exponential, and that nearly 20% of daily volatility is transitory. Both the speed of return reversal and the amount of transitory volatility depend on the stock’s liquidity: For illiquid stocks, return reversals are faster and a greater amount of the volatility, 27%, is transitory. Our estimates of the total costs of immediacy suffered by investors, as a percentage of stock’s market capitalization, are non-monotonic in stock’s liquidity.

The glass ceiling that refuses to break: Women directors on the boards of listed firms in China and India

Abstract: This study uses quantitative analysis to build as complete a picture as possible of the gendered-nature of boardrooms in major listed firms in China and India. Data were collected and analysed to understand where women hold boardroom positions across the range of company sizes and types in both countries. In particular, data were analysed to establish the extent to which board size, company size (market capitalisation), workforce size, industry sector and/or firm ownership type are related to the presence of women on the board of a company. It was discovered that women do better than average in firms from within the financial services sector, and in firms with a larger work-force size. State-owned firms do comparatively better in India than in China, possibly reflecting the fact that women's political empowerment in India is more advanced than in China, and much more advanced than women's economic participation in India.

Diverse market models of competing Brownian particles with splits and mergers

Abstract: We study models of regulatory breakup, in the spirit of Strong and Fouque [Ann. Finance 7 (2011) 349-374] but with a fluctuating number of companies. An important class of market models is based on systems of competing Brownian particles: each company has a capitalization whose logarithm behaves as a Brownian motion with drift and diffusion coefficients depending on its current rank. We study such models with a fluctuating number of companies: If at some moment the share of the total market capitalization of a company reaches a fixed level, then the company is split into two parts of random size. Companies are also allowed to merge, when an exponential clock rings. We find conditions under which this system is nonexplosive (i.e., the number of companies remains finite at all times) and diverse, yet does not admit arbitrage opportunities.

The IPO of Industrial and Commercial Bank of China and the ‘Chinese Model’ of privatizing large financial institutions

Abstract: We examine the privatization process of the Industrial and Commercial Bank of China (ICBC), the largest bank in the world by market capitalization, and its dual initial public offerings (IPOs) in the Hong Kong and Shanghai Stock exchanges in 2006. The Chinese government retains majority equity ownership of ICBC while foreign institutional investors hold minority equity stakes. Other large financial institutions went through the same reform process and have similar, post-IPO ownership structures. The largest Chinese banks, as a group, outperformed their counterparts from other emerging and developed markets before and during the 2007–2009 financial crisis. We argue that the ‘Chinese model’ of privatizing and managing large financial institutions can be advantageously used in other countries.

Descriptive analysis of the finnish stock market: part ii

Abstract: This paper continues the data collection procedure and analysis set forth in Nyberg and Vaihekoski (2009). A number of new time series that are commonly used in finance literature are collected, created, and analyzed for the first time. These series include, among others, monthly dividend yields and market capitalization values. The series are also compared with GDP to evaluate the overall role of the stock market in the Finnish economy. The value-weighted average dividend yield from 1912 to 1988 is 4.98%. The average stock market capitalization to GDP ratio is found to be 15.14%. JEL-classification: G10, G11, N24

Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index

Abstract: We examine market reactions to changes in the FTSE SmallCap index membership, which are determined quarterly based on market capitalization and are free of information effects. Our main results are asymmetric price and liquidity responses between the firms that are shifted between FTSE indexes and the firms that are new to FTSE indexes. Firms promoted from a smaller-cap to a larger-cap FTSE index experience a permanent increase in stock price accompanied by improvements in liquidity. Similarly, firms demoted from a larger-cap to a smaller-cap FTSE index experience a permanent decrease in stock price accompanied by declines in liquidity. In contrast, firms added to the FTSE SmallCap index that were not previously in FTSE indexes show a transitory price gain and declines in liquidity. The results support the liquidity and price pressure hypotheses.

The macroeconomic determinants of private equity investment: a European comparison

Abstract: A strong private equity (PE) market is a cornerstone for commercialization and innovation in modern economies. However, substantial differences exist in the relative amounts raised and invested in PE across European countries. We investigate the macroeconomic determinants of PE investment in Europe, focusing on the comparison between Central and Eastern European (CEE) and Western European countries. Our estimations are based on a data set running from 2001 to 2011 that covers 16 countries. Applying robust estimation techniques, we identify a ‘robust’ set of determinants of PE activity in both regions. We find similarities as well as differences in the driving forces of PE investments in Western European and CEE countries. Our results suggest that economic activity, the inflation rate, equity market capitalization, unit labour costs, the unemployment rate as well the the institutional and legal environment are significant determinants of PE activity.

Stock Price Prediction Using Artificial Neural Network

Abstract: 2 ABSTRACT: A stock market is a public market for the trading of company stock. It is an organized set-up with a regulatory body and the members who trade in shares are registered with the stock market and regulatory body SEBI. Since stock market data are highly time-variant and are normally in a nonlinear pattern, predicting the future price of a stock is highly challenging. Prediction provides knowledgeable information regarding the current status of the stock price movement. Thus this can be utilized in decision making for customers in finalizing whether to buy or sell the particular shares of a given stock. Many researchers have been carried out for predicting stock market price using various data mining techniques. This work aims at using of Artificial Neural Network techniques to predict the stock price of companies listed under LIX15 index of National Stock Exchange (NSE). The past data of the selected stock will be used for building and training the models. The results from the model will be used for comparison with the real data to ascertain the accuracy of the model.

Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence

Abstract: Market efficiency is an important feature of successful financial markets. The aim of this paper is to analyze the available evidence on the efficient market hypothesis (EMH). Meta-regression analysis is applied to 1,560 estimates of the Variance Ratio test of the efficiency of Asian and Australasian stock markets. We test if there is evidence of violation of the EMH and we also explain the heterogeneity in the reported test results. Our meta-regression analysis specifically accommodates the possibility of publication selection in favor of accepting the null hypothesis of market efficiency. We find that Asian stock markets are, on average, not informationally efficient. However, market efficiency has improved over time and market capitalization and economic freedom influences stock market efficiency; more developed and less regulated stock markets are more efficient.

Stock Market Performance and Economic Growth in Nigeria: An Empirical Appraisal

Abstract: This study is aimed at determining the role and contributions of the Nigerian stock market to national income in Nigeria from 1981 – 2012. This is necessitated by the concern as to whether a lean stock market like we have in Nigeria with an average of 240 quoted companies (within the period of study) with an average market capitalisation of N4 billion can significantly exact the much expected positive impact on total output. Four explanatory variables were specified for this study based on theoretical underpinning. Stationarity test were conducted using Augmented Dickey Fuller unit root test, while Johansen Cointegration test was used to estimate the long-run equilibrium relationship among the variables. The Granger causality test was conducted in order to establish causal relationship, while the model was estimated using the error correction model (ECM). Key words: Nigerian stock exchange, stock market performance, economic growth, capital formation, and cointegration.

Foreign Portfolio Investment and Economic Growth in Nigeria (1986-2011)

Abstract: This study tries to ascertain the impact of foreign portfolio investment (FPI) on economic growth as well as the long run determinants of FPI in Nigeria, such that appropriate policies will be pursued to attract same in the long run. FPI has grown recently in proportion relative to other types of capital inflows to Nigeria before the wake of global financial crisis. Incidentally, there is no empirical regularity regarding the determinants of FPI. Hence the study added to knowledge by modeling the long-run impacts of foreign portfolio investment as well as other determinants of FPI on economic growth in Nigeria over the period 1986-2011. A three stage methodological process was adopted; one was to check the stationary status of the variables using Augmented Dickey Fuller Unit Root test, which confirmed that the variables had unit root problems, the second was to check for the possibility of a long run relationship using Johansen co-integration test; the third was the parsimonious error correction result. The variables considered are foreign portfolio investment, inflation rate, market capitalization, trade openness. It discovers that foreign portfolio investment; market capitalization and trade openness has a positive long-run relationship with real gross domestic product in Nigeria. Ongoing efforts therefore to sanitize the capital market should be vigorously pursued .It recommended that authorities should look for ways of strengthening the workings of the capital market against fraudulence to ensure the free flow of foreign capital into the economy as this would boost domestic investment. Policies should be business friendly and inflation should actively be controlled in the economy.

Dragon's House of Cards: Perils of Investing in Variable Interest Entities Domiciled in the People's Republic of China and Listed in the United States

Abstract: An investor who buys shares on a stock exchange receives a piece of equity of the listed company. Typically, the listed company is either an operating company or a holding company that owns an equity stake in an operating company or companies. This, however, is not true of half of the businesses domiciled in the People’s Republic of China (“PRC”) that are listed in the United States using the Variable Interest Entity (“VIE”) structure. Under a VIE structure, a US investor purchases shares in an offshore entity, typically a shell company domiciled in the Cayman Islands, which owns neither a revenue-generating business operation nor equity in an operating company. The investor derives economic benefits solely from the contractual agreements between the listed entity and the underlying PRC-domiciled business. As such, a VIE investment is only as good as the validity of its underlying contracts. The combined market capitalization of US-listed PRC-domiciled VIEs was nearly US$100 billion as of September 2012, and is expected to reach US$300 billion by the end of 2014. The VIE structure of PRC-domiciled businesses was created in 2000 to circumvent the PRC government’s restrictions barring non-PRC ownership of PRC companies in certain “sensitive” industry sectors, such as energy, technology, and value-added telecommunications. Notably, almost all of the largest US-listed PRC-domiciled internet companies use the VIE structure. To date, the PRC government has not directly addressed either the legality of the VIE structure or the validity of its underlying contracts. Nevertheless, recent actions by the PRC’s regulatory bodies have significantly exacerbated concerns over the structure’s fundamental viability. The murky legal and political landscape surrounding VIEs poses unusual challenges to the protection of US investor interests. Part I of this Comment discusses the policy background, historical origin, common configuration, and the PRC’s current regulatory regime of the VIE structure. Part I also provides a brief overview of the role of the US Securities and Exchange Commission (“SEC”) in regulating publicly-held VIEs in the United States. Part II examines the inherent legal and regulatory risks of investing in VIE entities and the limited legal recourse afforded to VIE investors. Part III recommends two regulatory actions the SEC may consider taking to better inform the investing public in the nature of VIEs. For the sake of focus and brevity, in this Comment, the term “PRC” refers only to mainland China, and the term “VIE” means only those variable interest entity structures that involve PRC-domiciled businesses publicly traded in the United States.

Stock Market Screening: An Analogical Study on Conventional and Shariah-Compliant Stock Markets

Abstract: Benchmarking Shariah-Compliant stocks listed in Bursa Malaysia, this paper examined whether the stocks which are approved by SACSC are also considered as Shariah-Compliant under International Indices. 35 top Shariah-Compliant stocks listed in Bursa Malaysia were examined against four stock screening criteria of DJIM, MSCI, FTSE and S&P. Due to the differences in stock screening criteria, the factors evaluated that lead to variances in Shariah-Compliant status for a particular stock. The results from the test indicate that Shariah-Compliant stocks listed in Bursa Malaysia are not necessarily Shariah-Compliant stocks in the four Indices of DJIM, MSCI, FTSE and S&P. The high debt and low market capitalization are the main factors of dropping the Malaysian Shariah-Compliant stocks by the four Indices. The three stages of screening which carry the most Islamic stock screening process include screening on industry, income statement and balance sheet.

The global multi-asset market portfolio, 1959-2012

Abstract: The market portfolio contains important information for purposes of strategic asset allocation. One could consider it a natural benchmark for investors. The authors composed the invested global multi-asset market portfolio for 1990–2012 by estimating the market capitalization for equities, private equity, real estate, high-yield bonds, emerging-market debt, investment-grade credits, government bonds, and inflation-linked bonds. They also used an expanded period (1959–2012) for the main asset categories: equities, real estate, nongovernment bonds, and government bonds.