Topic
Stock exchange
About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.
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Papers
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TL;DR: In this paper, the role of the stock market in the transmission mechanism in the euro area and evaluate whether price stability and financial stability are mutually consistent and complementary objectives is investigated, and four major conclusions can be drawn from their work.
Abstract: In this paper we study the role of the stock market in the transmission mechanism in the euro area and evaluate whether price stability and financial stability are mutually consistent and complementary objectives. Four major conclusions can be drawn from our work. First, stock prices and, more generally, relative asset prices seem to play an important role in the transmission mechanism in the euro area. Second, we do not find any significant, direct impact of stock prices on inflation. Third, permanent productivity shocks are the driving force of the stock market in the long-run and contribute significantly to its cyclical behaviour. Nevertheless, the bulk of cyclical dynamics in the stock market is explained by transitory shocks. Fourth, a monetary policy focused on maintaining price stability in the long-run can contribute also to stock market stability.
128 citations
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TL;DR: In this paper, a multivariate dynamic conditional correlation model was proposed to capture the time-varying correlation within the full period of 1984 and 2006 and found that the international correlation structure of real estate securities and the broader stock market are linked to each other.
Abstract: We study international correlation and volatility dynamics of publicly traded real estate securities using monthly returns from 1984 and 2006. We also examine, for comparison, the correlations among the corresponding stock markets. A multivariate dynamic conditional correlation model captures the time-varying correlation within the full period. We confirm lower correlations between all real estate securities market returns than those between the stock market returns themselves. Some significant variations and structural changes in the correlation structure happened within the sample period. We detect a strong and positive connection between real estate securities market correlations and their conditional volatilities. We also find the international correlation structure of real estate securities and the broader stock market are linked to each other. Our results have economic motivations regarding the potential integration of international real estate securities markets and the possibility of including information on changing correlations and volatilities to design more optimal portfolios for international real estate securities.
128 citations
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TL;DR: In this article, the authors analyzed whether it is possible to perform an event study on a small stock exchange with thin trade stocks and concluded that a minimum of 25 events appears necessary to obtain acceptable size and power in statistical tests.
Abstract: This paper analyses whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. The main conclusion is that event studies can be performed provided that certain adjustments are made. First, a minimum of 25 events appears necessary to obtain acceptable size and power in statistical tests. Second, trade to trade returns should be used. Third, one should not expect to be able to consistently detect abnormal performance of less than 1%, or perhaps even much less than 2%, unless the sample contains primarily thickly traded stocks. Fourth, nonparametric tests are generally preferable to parametric tests of abnormal performance. Fifth, researchers should present separate results for thickly and thinly traded stock groups. Finally, when nonnormality, event induced variance, unknown event day, and problems of very thin trading are all considered simultaneously, no one test statistic or type of test statistic dominates the others.
127 citations
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TL;DR: In this article, the authors document the short-term stock price behavior following a period of stock market stress, focusing on price behavior using daily market indexes from 39 stock exchanges over the period 1989-1998.
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.
127 citations
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TL;DR: In this paper, a multi-criteria decision-making model is proposed to measure and compare the financial performance of thirteen technology firms trading in Istanbul Stock Exchange, which are examined and assessed in terms of ten financial ratios which are combined to obtain a financial performance score by using Technique for Order Preference by Similarity to Ideal Solution Methods (TOPSIS).
127 citations