دانلود رایگان مقاله لاتین خوشه بندی ثبات قیمت سهام از سایت الزویر
عنوان فارسی مقاله:
خوشه بندی قیمت و ثبات قیمت سهام
عنوان انگلیسی مقاله:
Price clustering and the stability of stock prices
سال انتشار : 2016
برای دانلود رایگان مقاله خوشه بندی ثبات قیمت سهام اینجا کلیک نمایید.
بخشی از مقاله انگلیسی:
3. Empirical results
In this section, we begin exploring our hypothesis that price clustering destabilizes stock prices. In the first subsection below, we examine whether the contemporaneous volatility-clustering relation exists within our sample. In the following subsection, we conduct a series of tests to explore the causal relation between volatility and clustering in both univariate and multivariate analyses. 3.1. Price clustering and volatility - correlation We begin by estimating Pearson correlations between the variables reported in Table 1. These correlations are reported in Table 2 with p-values displayed in parentheses. We find that our two approximations for volatility are positively correlated with stock price clustering. The correlation coefficient between return volatility and clustering is 0.027 which is statistically significant at the 0.01 level. Similarly, price volatility is directly correlated with clustering with a reported coeffi- cient of 0.0495, which is significant at the 0.01 level. The remaining correlation coefficients are generally consistent with our expectations. For instance, we find that firm size is negatively correlated with both clustering percentage and volatility. In addition, both spreads and illiquidity are positively related to clustering and volatility. Fig. 1 plots the level of price clustering and both measures of volatility across our sample time period. The contemporaneous relation between volatility and clustering has been shown to hold in a multivariate setting. We therefore acknowledge the need to perform an analysis that controls for firm-specific characteristics, to ensure that this relation indeed exists within our sample. We estimate the following linear regression equation using least squares.
برای دانلود رایگان مقاله خوشه بندی ثبات قیمت سهام اینجا کلیک نمایید.
کلمات کلیدی:
Stock Market Stability - The Calm Before... Sunny Days - Forbes www.forbes.com/sites/johntobey/.../stock-market-stability-the-calm-before-sunny-day... May 18, 2014 - No, it's not "too quiet" in the stock market. The stability is a sign of strength, meaning there could be upward price pressure this summer. Price limit and the stability of stock market: An application based on ... ieeexplore.ieee.org/document/6010254/ by X Liu - 2011 - Cited by 1 - Related articles This paper studies the impact of the daily price limit policy on the stability of stock market, through the establishment of computer simulation program to. Economic Freedom and the Stability of Stock Prices: A Cross ... - SSRN https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2266075 by BM Blau - 2013 - Cited by 5 - Related articles May 17, 2013 - This paper investigates the linkage between macroeconomic factors and the price stability of individual securities in a unique setting. Using a ... [PDF]The Joint Dynamics and Stability of Stock Prices and Volume Blake ... volume.technicalanalysis.org.uk/LeBa93.pdf by B LeBaron - 1993 - Cited by 6 - Related articles The Joint Dynamics and Stability of Stock Prices and Volume ... stability of the joint processes in different regions of volatility-volume space. It is found that this ... Economic Freedom and the Stability of Stock Prices ... - Mercatus Center mercatus.org/.../economic-freedom-and-stability-stock-prices-cross-country-analysis This paper investigates the link between economic freedom and the price stability of individual securities in a unique setting. Using a sample of 327 American ... Stable Earnings = Better Stock pages.stern.nyu.edu/~adamodar/New_Home_Page/invfables/stableearningstory.htm But what if you could make your equity earnings more stable? ... The resulting price stability should make the returns on these stocks much more predictable ...
