Market capitalization

About: Market capitalization is a research topic. Over the lifetime, 3583 publications have been published within this topic receiving 77288 citations. The topic is also known as: market cap & market value.

The Determinants of Stock Price Volatility: An Industry Study

Abstract: The currently ongoing IT-revolution is a great challenge for economists. The industry displays ever arising new technologies, unstable market shares, long-term swings, and short-term volatility of stock prices. Yet, to study those phenomena empirically one is constrained by a lack of data. The U.S. auto industry, for which long-term time series are available, has shared a similar experience since its early development. This paper studies how long-term swings and short-term stock price volatility in the U.S. auto industry is related to innovative efforts and switching of market shares of firms. The early period of the life-cycle of the industry was characterized by high product innovation, high market share instability, volatile stock prices, and the later period by fewer firms, process innovation, more stable market shares and less stock price volatility. In this paper we focus on the “transition” period leading from the first to the second period and study the relation of innovative effort, market share fluctuations and stock price dynamics. After presenting stylized facts on the life-cycle of the industry we introduce a dynamic model that is able to replicate some of the stylized facts. The dynamic model admits heterogeneous firms and encompasses both evolutionary as well as optimizing approaches.

The stock market and pakistan economy - 1964-87

Abstract: This paper attempts to analyse and measure the link between stock market and ag gregate economic activity in Pakistan through two components of aggregate demand i.e. consumption expenditure and investment during 1964 1987. The results provide evidence of wealth effect from stock prices changes to consumption expenditure. The relationship between investment and stock market supports the neo-classical model of cost of capital, which suggests that Pakistani firms first determine the stock of real capital they desire and then determine the rate of investment. The causality relation ship between stock prices and industrial production (proxy for real economic activity) using monthly data establishes a feedback relationship which suggests that stock mar ket in Pakistan appears to be informationally efficient with respect to real economic ac tivity.

Foreign Institutional Investment Flows and Equity Returns in India

Abstract: This paper examines the relationship between foreign institutional investment and stock returns in India during 2002-04. The Foreign Institutional Investment as a percentage of market capitalization and floating stock has been improving over the years. Using NSE Nifty and FII capital flows to the equity market, Granger-causality, Cross-correlation method and GARCH have been applied to analyze the static and dynamic relationship between FII flows and Nifty. Granger-causality shows a unidirectional relationship, indicating that equity returns cause FII flows, whereas Cross-correlation method shows some evidence of contemporaneous and bi-directional causality. This is an interesting result not reported earlier, and it is possible that the impact may be strong at the level of individual stock prices. The Foreign Institutional Investors (FIIs) seem to be positive feedback traders, as there is a strong positive relationship with lagged daily returns, and the results also show a significant relationship with future equity returns. Individually, there is significant volatility clustering in FII investments and Nifty series but there is no transmission or destabilizing effect. It is suggested that information on trade by FIIs must be made publicly available more speedily.