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.

Macroeconomic factors and stock returns: Evidence from Taiwan

Abstract: Increasing attention is being paid to the relationship between share prices and the macroeconomic variables by both economists and finance specialists. In the present-day scenario, where there is an increasing integration of the financial markets and implementation of various stock market reforms, the activities in the stock markets and their relationships with the macro economy have assumed significant importance. Economic agents use information in forming their expectations of future returns from holding stock securities. This study is an attempt to examine for Taiwan the casual relationship between index returns and certain crucial macroeconomic variable namely employment rate, exchange rate, GDP, Inflation and money supply. The analysis is based on stock portfolios rather than single stocks. In portfolio construction, four criteria are used: Market capitalization, price/earnings ratio (P/E ratio), PBR and yield. The purpose was to make a finer point with respect to the relationship between economic growth and stock market especially in terms of stock prices. Empirical findings revealed that exchange rate and GDP seem to affect returns of all portfolios, while inflation rate, exchange rate, and money supply were having negative relationship with returns for portfolios of big and medium companies.

Home Production Meets Time to Build

Abstract: An innovation in this paper is to introduce a time‐to‐build technology for the production of market capital into a model with home production. Our main finding is that the two anomalies that have plagued all household production models—the positive correlation between business and household investment, and household investment's leading business investment over the business cycle—are resolved when time to build is added.

Do individual investors trade Stocks as gambling? Evidence from repeated natural experiments

Abstract: Multiple natural experiments of large jackpot lotteries in Taiwan are used to document that some individual investors trade stocks as a form of gambling. Those investors substitute lottery gambling for stock trading. This substitution effect between lottery and stock is substantiated by the following five key findings. First, when the jackpot exceeds 500 million Taiwan dollars (about 15 million U.S. dollars), the number of shares traded by individual investors decreases by about 7% among stocks with high individual trading fraction, low market capitalization, high past returns, and high past turnover. Second, the reduction in individual trading is about 7% among stocks with lottery features, i.e. high return volatility and skewness. Third, the magnitude of the decline increases monotonically with the jackpot. Fourth, firm-level trading activity reacts negatively to large jackpots, and is statistically significant for a sizable number of firms. Finally, the aggregate trading activity by individual investors declines by about 5% on large jackpot days.

Short-term reaction of stock markets in stressful circumstances

Abstract: In this paper we document the short-term stock price behaviour following a period of stock market stress. We focus on price behaviour using daily market indexes from 39 stock exchanges over the period 1989–1998. Our results are not consistent with the overreaction hypothesis. We find positive (negative) abnormal price performance in the short-term window (up to 10 days) following positive (negative) price shocks. Our analysis also highlights differences between developed and emerging markets. We show that the post-shock abnormal performances are significantly larger for emerging markets but that this momentum behaviour is markedly less in the late 1990s. We find the size of the after-shock tremors to be related to market liquidity, with larger post-shock price changes in less-liquid markets.