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Stock investment is different from saving investment, deposits or foreign exchange, because stock investment always encounters many investors with their various profit expectations. Each stock investor has always to monitor the latest stock assurance development and observe the stock flow in the stock markets carefully and thoroughly, because they influence the stock prices.Many factors influence the stock prices, including the seller or buyer psychological factor, company condition, interest rate, rupiah exchange rate against foreign currency, economic condition, government policies, inflation rate, the country’s political and safety condition, and many others. This study analyzes the influence of those factors on the stock prices and is entitled “An Analysis of the influence of Macroeconomic Factors on Stock Prices in Go Public Manufacture Companies in Indonesia Stock Exchange “.The population are 151 manufacturing companies, 116 of which were analyzed in 3 years (2005 – 2007). The result shows that macroeconomic (inflation, SBI rates and rate of exchange) variables have significantly influenced the stock prices.

This paper examines whether and to what extent the oil product pricing reform in 2013 has affected uncertainty in the Chinese stock market at both the aggregate and sectoral levels. Based on daily data from 17 March 2011 to 27 March 2015 and univariate GARCH-based modelling augmented with interaction terms, the main empirical results can be summarized as follows: first, the 2013 reform has improved the risk-return pattern of the Chinese aggregate stock market. Second, since the reform, Chinese sectoral stocks have become more sensitive to the price adjustments of oil products. In particular, upward price adjustments impose larger effects on stock market volatility than downward price adjustments, primarily leading to a significant reduction in stock market volatility. Counter-intuitively, the main conclusions show that China’s 2013 oil product pricing reform has significantly reduced the risks of stock investments and financing, implying that a market-oriented pricing mechanism can actually decrease the financial market uncertainty surrounding domestic oil product price adjustments.

The 2007 financial crisis and the Great Recession that followed resulted in a loss of confidence among investors, and regaining their full trust and confidence has been a challenge for companies. Although economic growth has been volatile throughout the postwar World War II period, recent growth (2008–2015) has been remarkably weaker than in the previous low-growth period (1974–1995). The 2006–2015 period is often characterized by sluggish economic growth. This study investigates stock price reactions to stock dividend announcements, 30 days before and after the announcement dates, of publicly traded companies in the period 2006–2012. We use an event study methodology for 460 events and daily stock price data for companies in the CRSP historical data set. The study shows a significant reaction in stock prices around the event date. On average, stock prices reacted positively to stock dividend announcements. However, compared to previous findings of abnormal returns (5.9%), results from this study show small abnormal returns (about 1.81%) attributable to stock dividend announcements that are cumulative of the announcement day and up to 3-day post-announcement days. Our estimates are even lower than the 2.01% stock price reaction obtained in the 1987–1996 period.

In this article, we propose a margin-setting model under the assumption of extreme stock price changes. Specifically, extreme stock price changes are caused by the positive feedback effect of lever...

This study examines the information content of pricing error, measured by the difference between the implied price computed using the cost of carry model and the spot price of Single Stock Futures (SSFs), traded on National Stock Exchange (NSE), India. The returns of portfolios, based on ranking of such pricing errors, are investigated. The consistency of results is verified by controlling for established risk factors, that is, market, size, value and momentum premium, and idiosyncratic factors such as firm’s liquidity and size. Our study reveals that the pricing error is a priced risk factor that contains incremental information about stock returns of day t, and not beyond. We conclude that implied spot prices from stock futures market are useful for traders to profit in the spot market. JEL Classification: G120, G130

The study used quarterly panel data of 6 years from 2010 to 2015 of all companies listed on both Vietnamese stock markets including the Ho Chi Minh City Stock Exchange and Ha Noi Stock Exchange, and on three leading industries consisting of insurance-banking, foodstuff, and real estate to explore the relationship among four key financial ratios and stock trading volume. Two models, fixed effects model (FEM) and random effects model (REM), with robust standard errors, were applied for this study. The key findings showed that earnings before tax on sales, debt on owner’s equity, and owner’s equity on total assets significantly influenced trading volume.

In this paper, we examine the role of stock liquidity as a governance mechanism to discipline managers for withholding bad news (stock price crash-risk). This topic is useful to emerging markets because the dominance of controlling owners limits the monitoring of internal governance. Stock liquidity can be altered by the financial market regulations, thereby improving firm-level governance. In empirical analysis, we show that stock liquidity decreases stock price crash-risk. We identify two possible mechanisms through which stock liquidity reduces stock price crash-risk: the threat of intervention and price informativeness.

In this paper we investigate whether and how different oil price shocks affect the stock market liquidity in China. Our empirical results show that stock market liquidity only increases when the positive oil price shocks come from oil-specific demand side. When the oil price shocks are from oil supply side or the aggregate demand side, stock market liquidity negatively comoves with oil price.

The objective of this paper is to determine if the macroeconomic variables affect the Indian stock market. Sensex was chosen as the indicator of the Indian stock market. The study reveals that the Indian stock market has a positive relationship with macroeconomic variables like the wholesale price index, index of industrial production and short term interest rate and a negative relationship with oil prices and exchange rates. The paper provides a practical insight to the academicians to understand the various models used in the study. It also contradicts some of the theories and provides reasons why there are contradictory results.

Previous studies on the choice of stock payment in M&A mainly focus on managerial private information. This study shows that managers also learn new firm-specific information from financial markets in making this decision. The acquirer's stock price firm-specific information increases the stock-payment-to-Q sensitivity. The target's stock price firm-specific information decreases the stock payment probability. Further analyses on deal and firm characteristics as well as shareholder wealth in stock mergers support the managerial learning argument. Overall, this study highlights a new set of information that affects the form of merger payment in mergers and acquisitions.

China introduced short selling for designated stocks in March 2010. Using this important policy change as a natural experiment, we examine the effect of short selling on stock price efficiency and ...

With the development of the social network, the interaction between investors in stock market became more fast and convenient. Thus, investor sentiment which can influence their investment decisions may be quickly spread and magnified through the network, and to a certain extent the stock market can be affected. This paper collected the user comments data from a popular professional social networking site of China stock market called Xueqiu, then the investor sentiment data can be obtained through semantic analysis. The dynamic analysis on relationship between investor sentiment and stock market is proposed based on Thermal Optimal Path (TOP) method. The results show that the sentiment data was not always leading over stock market price, and it can be used to predict the stock price only when the stock has high investor attention.

This paper aims to apply the quantile regression analysis to explore the impacts of the stock market trading value, change in international oil prices, and the US implementation of Quantitative easing monetary policy on Taiwan’s and Korea’s stock index returns. This study is in accordance with the 2008 US implementation of quantitative policy to conduct research on 53-month data collected from April 2004 to February 2013 in order to explore the differences between before and after the US implementation of quantitative policy. The results find that under situations of high distribution of stock index returns, Taiwan’s and Korea’s stock markets reveal the same phenomenon of “the stock price increases and the trading volume rises, the stock price declines and the trading volume descends”. Meanwhile, under situations of low distribution of stock index returns, the Korea’s increasing stock trading value will cause stock index returns to fall. Noteworthy, under situations of low distribution of stock index returns, oil price changes are found to have positive effects on Taiwan’s and Korea’s stock index returns. Finally, the US implementation of quantitative easing monetary policy is indicated to have non-significant influence on Taiwan’s and Korea’s stock index returns. Further investigating whether there are inconsistencies before and after the implementation of quantitative policy regarding the impacts between these two nations’ stock trading values and oil price changes on stock index returns, the results show no differences.

GEM stocks are more susceptible to the attention of news media because of their liquidity and high risk characteristics. This paper uses Baidu News search and the data of companies listed on GEM from 2009 to 2015 to investigate the impact of media attention and stock liquidity on stock price information content respectively and the impact of stock liquidity on the relationship between media attention and stock liquidity. The results show that with the number of media news coverage increasing and stock liquidity accelerating, stock information content will also be improved; further studies find that with the acceleration of stock liquidity, liquidity weakens the positive relationship between media attention and shares information content.

The present study explores the effect of anchoring on stock trading volumes. I hypothesize that if on the days when the market index rises (falls), a given stock's return is higher (lower) than the market return, potentially perceived as a psychological "anchor", then investors may treat that as a salient event and subsequently increase their trading activity in the stock. Employing a large sample of daily price and trading volume data, I find support for this hypothesis, documenting that average abnormal daily stock trading volumes are significantly higher on the days when absolute daily stock returns are higher than the contemporaneous absolute market returns. This effect is found to be stronger on the days of negative stock and market returns, suggesting that on these days, investors are probably more inclined to treat the market returns as anchors when making their trading decisions. The effect remains significant after controlling for other potentially influential factors, including contemporaneous and lagged actual and absolute stock and market returns, historical stock returns and volatilities, and company-specific events, like earnings announcements and dividend payments.

The healthcare sector is the category of stocks relating to medical and healthcare goods or services. The healthcare sector includes hospital management firms, health maintenance organizations (HMOs), biotechnology and a variety of medical products. The objective of this research paper is to forecast the performance of share price for healthcare sector in Malaysia. The research methodology implemented in this study is forecasting method using autoregressive integrated moving average (ARIMA). Data selection in this study is share price of healthcare company sector namely IHH Healthcare Berhad. Result shows the ARIMA(1,1,1) model exhibits r-squared value of 0.184 and Akaike Information Criterion (AIC) value is -1.112. Residual diagnostics shows ARIMA (1,1,1) is reliable model for forecasting of healthcare sector in Malaysia. The findings from this study will help economists to analyze the stock market performance especially in healthcare sector in Malaysia. This result also will help investors to decide appropriate decision in portfolio selection of capital investment.

The purpose of this research is to examine the ability of the historical financial information in constructing a resilient value portfolio for investors by predicting stock returns in the Sri Lankan context. One of the most imperative and interesting phenomena for the investors and the analysts would be the stock returns from the financial markets. The present study will aim at mainly to assess correlation between financial ratios and the predictability of stock returns for companies listed on the Colombo Stock Exchange. This study applies ordinary least squares (OLS) techniques to estimate the predictive regressions in form of simple and multiple models of panel data sets. For the current study, 60 listed companies were selected and 10 years of data has been analyzed from 2004 to 2013. The results highlighted that ROE, EPS and MV/BV have a significant positive relationship with the stock return which is followed by a simple equation to predict the future stock returns. Hence the investors should consider these ratios of the companies and movement in these ratios in selecting a resilient portfolio to invest.

Governments impose taxes and levies to manage the effect of gold and crude oil imports on the exchange rate. These in return have relations with the economy of the country, best reflected in the stock market index. This study aims to explore the relation between global prices of gold, crude oil, the USD–INR exchange rate, and the stock market in India. The dynamic contemporaneous linkages have been analyzed using DCC-GARCH (standard, exponential and threshold) models and the lead lag linkages have been examined using symmetric and asymmetric Non Linear Causality tests. Empirical analyses indicate fall in gold prices and crude oil prices cause fall in the value of the Indian Rupee and the benchmark stock index i.e. Sensex. The findings of this study also support the emergence of gold as an investment asset class among the investors. More importantly, this study highlights the need for dynamic policy making in India to contain exchange rate fluctuations and stock market volatility using gold price and oil price as instruments.

Purpose: The purpose of the study is to find out the relation between the stock price and investment and to explore the consequence of information asymmetry on the stock price sensitivity to investment and investment sensitivity to the stock prices for the manufacturing firms that are working in Pakistan and listed at KSE.Methodology: Study was conducted by 99 firms listed at KSE and 1386 observations for the period of 2001-2014. Empirical studies were conducted based on two hypotheses by using price non-synchronous, price delay, firms' size and age as a proxy of asymmetric information and change in asset as a measure of investment.Findings: Overall results show that there is an insignificant negative correlation between the sensitivity of investment to stock prices and there is an insignificant positive correlation between the sensitivity of stock prices to the investment. The critical findings of the study are that the management must learn from the market during the decision making.Practical Implications: The research has significant impact on investors, firm management, Government and as well as for the young potential in the field of research.Originality/Value: The paper fills the research gap. It studies the impact of asymmetric information on the investment sensitivity to stock price, and the stock price sensitivity of investment in Karachi stock Exchange (Pakistan) for the first time.

We formulated four compartments stochastic differential equations of a stock markets from schematic diagram of stock market interaction. In stock markets, return on investment is the most important single factor to investors. Stock investors desire to know the behaviour of return on investment and its volatility at a particular period (either short or long period).The four compartments include stock price, return on investment, return on investment volatility and stock price volatility. The formulation was a modification and extension of Heston’s model of two compartments (Stock price and its volatility). In this research work, the formulation follow geometric Brownian motion model. We showed the existence and uniqueness of the solution. We conclude that the formulated model can be use to show the real application of stock market in four compartment.

In this paper, we examine whether nominal stock price can help to explain the ex-dividend day anomaly where stock prices drop by less than the dividend amount on the ex-dividend date. We find that stocks with lower nominal prices have ex-dividend day price drops that are more consistent with theoretical predictions based on an efficient market. After controlling for factors that have been previously documented to influence ex-dividend day stock price behavior, price-drop-to-dividend ratios are closer to one for lower priced stocks. To further explore this phenomenon, we examine the change in the price-drop-to-dividend ratio around stock splits. Firms that split their shares have a larger price-drop-to-dividend ratio after the split, and companies that reverse split their shares have a smaller price-drop-to-dividend ratio after the split. Our evidence indicates that ex-dividend day stock price behavior is influenced by the nominal price of a share and that this relation could also influence the decision to split a firm’s shares.

The purpose of this study was to analyze the effect of capital structure proxy for debt to asset ratio (DAR) and the debt to equity ratio (DER), company size and profitability are proxied by return on assets (ROA), return on equity (ROE) and net profit margin (NPM) to the stock price on the company's Food and Beverage listed on the Indonesia Stock Exchange. This study uses Associative approach. The population in this study is the Food and Beverage companies listed in Indonesia Stock Exchange year period 2011 to 2014. Sampling method used is purposive sampling and the amount of samples obtained is 11 companies with 44 observations. Hypotheses were tested using multiple regression analysis. Results of the study were 1) capital structure proxy for debt to asset ratio (DAR) significant negative effect on stock prices, this means that if a decline in the value of DAR, the stock price will rise, 2) capital structure proxy for debt to equity ratio (DER) significant positive effect on stock prices, it means that the higher the value of DER then be followed by a decrease in stock prices, 3) The company size significant positive effect on stock prices, this suggests that the relationship between the SIZE with stock prices in the same direction, if SIZE increases, the stock price will increase, 4) profitability is proxied by return on assets (ROA) significant positive effect on stock prices, this means that the assets of the company to make a profit can affect stock prices, 5) profitability proxied with a return on equity (ROE) significant negative effect, this means that if a decline in ROE it will be followed by a decrease in stock prices, and 6) Profitability which is proxied by net profit margin (NPM) significant negative effect on stock prices, this means that while the net profit increased, the total sales will rise this is due to the high costs incurred by the company so that NPM has no effect on stock prices.

I find limited evidence of firm learning from stock prices in Europe and uncover multifaceted complementarities between firm informational and operating environments in determining investment sensitivity to stock prices. Specifically, European firms seemingly do not shift away from their own (peer) stock prices even in instances in which their peers’ (own) stock prices become relatively more informative about firms’ fundamentals. This is consistent with European managers adopting more conservative strategies relative to their U.S.-based peers, and stock prices being less revealing in Europe than in the U.S. Furthermore, while a firm may attach equal weight to both its own stock prices and peer price innovations when peer firms are relatively smaller, investment responds more positively to peers’ price shocks than to that firm’s own stock prices when peers are relatively larger. Interestingly, investment sensitivity to peers’ stock prices decreases in peers’ market share, operating performance, and capital intensity. The decrease is accentuated when peer firms have more informative stock prices and are industry leaders or more capital intensive, thereby signaling perceived reduced growth opportunities. Broadly, these results imply that the specifics of the interaction between stock prices and firm behavior in the U.S. do not necessarily generalize to Europe. More important, these different learning patterns are partly attributable to differences in the amount of internal information, which in turn depends on country-level institutional infrastructures.

During the past few months, there has been a steady downside trend on oil price. From summer, 2015 to winter, 2016, the oil price has declined to the $20 range. Its rate of decline is amazing, having lost $10, one third of its value, in just one month. This paper presents a survey on recently published studies on relationship between oil price and stock market. The study covers several studies on the effects of oil price on China, India, Lebanon, United States and some other G7 stock markets. We also review the effects of oil price volatility on stock market. The results of most studies have indicated some strong relationships between oil price volatility and stock market return.

This study investigates the determinants of the ex-dividend day price behavior in the Athens Stock Exchange (ASE), a unique institutional setting, and examines how a major regulatory change in the price adjustment method affects the extent of the ex-day stock price drop. We find that allowing the market to freely adjust prices, after 2001, the ex-dividend day price improves the pricing efficiency of the market in the sense that the raw price ratio tends to one and abnormal returns tend to zero. We also find that in the absence of taxes on dividends and capital gains and certain microstructure impediments discussed in the literature – i.e., bid-ask spread, market makers, price discreteness, tick size and limit order adjustment mechanism – stock illiquidity is the best candidate for explaining the magnitude of the ex-dividend day price adjustment.

This paper applies Markov-switching method to identify bear and bull market regimes and adopts interactive double-dummy variable approach to re-investigate the conditional relationship between the real oil price return and the international real stock return in 15 OECD countries when the sample is split into bear markets and bull markets. The empirical results indicate that, once the stock index is in the bull trend, an increase in oil price cannot affect the real stock return, while a decrease in oil price can lead to higher stock returns. On the contrary, if the stock market is in the bear era, the oil price growth cannot significantly affect the stock returns. Remarkably, oil price shocks cannot always damage the broad stock index, especially in a bull market era. Furthermore, regardless of the oil price shock, long-term investors need not adopt any policy and strategy to reduce the impact of the oil price on the stock market because the effect of a bull stock market will weaken the negative effect of an oil price shock. On the other hand, regardless of oil price shocks, when the stock market exhibits a bear trend, investors should adopt coping policies and strategies to avoid the impact of other non-oil factors shock, such as declines in real GDP to the stock market in the 15 selected countries. Clearly, regardless of whether the stock market exhibits a bear trend or a bull trend, the stock market trend will surpass the effect of an oil price shock.

Stock return forecasts and financial strength ratings are supposed to represent concise and complete summary measures of the financial prospects of publicly traded insurance companies. The key questions for investors and other parties who may choose to rely on these metrics are whether they help predict actual stock returns and the relative informativeness of each metric. Ours is the first study to provide empirical evidence on these questions for insurers. Our forecasted stock returns are computed from target stock prices, which represent an explicit estimate of a firm’s future market value. We find that the mean 12-month-ahead (forecasted) stock return in our sample is around 20 per cent, while the actual mean annualised stock return is around 10 per cent, suggesting analysts’ optimism, inaccuracy, or some of both. Current period forecasted stock returns are positively correlated with past forecasted stock returns, and negatively correlated with past actual stock returns. Current period forecasted stock returns exhibit a strong positive association with future period actual stock returns, suggesting that forecasted stock returns are useful predictors of future actual stock returns. Furthermore, an increase in actual or forecasted stock returns decreases the likelihood of a rating downgrade, but has little relation to rating upgrades. These results support the usefulness of stock return forecasts to investors and rating agents.

We examine nominal and real stock prices and the sequential price pattern of stock dividends and stock splits. We find that the average stock price has been fairly stable over time except for two decades in the beginning and end of the twentieth century. Inclusion of these periods yield a decline over time which is generally consistent with the drop in price levels found by Chittenden et al. [2010. “A Note on Affordability and the Optimal Share Price.” Financial Review 45: 205–216]. In a multivariate setting, the frequency of stock dividends and stock splits is positively related to the frequency for these events the prior year and recent market return. In further tests of the price change we find a positive relationship to the median price change for stock dividends/splits and negatively to labour income growth for stock splits. These findings indicate that stock price reduction via stock dividends and splits attracts individual investors as income grows. One key conclusion is that the primary reason for...

In corporate governance, spinoff decision is made either to focus on a specific area of business or to get rid of businesses with low profit margin. Separation of some management assets for a better management of existing assets referred to as a spin off. The spun off or subsidiary company is formed by issuing new shares to the existing shareholders while losing some original or parent company shares. By doing so, shareholders’ value might be lost. With a sample of 65 companies spun off since 2009, this paper analyse the stock price movements of the spun off and the parent company and productivity in terms of turnover of the spun off company. From the analysis, there has been an increase in both productivity and stock price. This paper also emphasizes how corporate governance in spin off decisions can protect shareholders’ value.

Financial information is used primarily with the aim of predicting the profitability of companies. In order to achieve this goal, the information user resorts to fundamental analysis tools which seek to determine the intrinsic value of an asset, submitting for analysis determinant factors of performance such as earning, expenses and profits. By comparing the intrinsic value to the market price, the investor has to make a rational decision. The present study follows the stock performance evolution of OMV Petrom S.A. on the Bucharest Stock Exchange during 2004-2013, in order to identify the main factors which impact share price and the price to book ratio with the central objective of disclosing the importance of combined analysis of stock performance indicators and financial reports, so that company performance is depicted according to reality.

Over the time everything flourished, at the same token the interrelationship among the stock market prices, returns and macroeconomic factors got attendance of the researchers in the field of finance and economics around the world. In this respect current study is an attempt to investigate the response of various macroeconomic factors (GDP, Money Supply, inflation, exchange rate and Size of firm) toward stock market prices in case of Karachi stock exchange over a period of 1971 to 2012. The study utilizes Autoregressive Distributed lag model (ARDL) technique. The results shows that in long run each factor significantly contribute to the stock price while in shot run some factors were significant while some were not but the error correction term shows significant convergence toward equilibrium. The findings of study suggest that for smoothness of stock market the current factors must be targeted.

The purpose of current study is to explore the impact of auditing on stock prices of Amman stock market. Study is conducted based on primary data collected from finance managers of listed companies of Amman stock market, about audit and its impact of stock prices. Impact of audit is indicated in terms of audit quality and its effect on financial performance of firm because stock prices are an indicator of financial performance of firms. To find out the relationship among key variables of study, audit quality and stock prices, hypotheses are proposed as well as tested using SPSS and AMOS. Descriptive analysis, factor analysis and structural equation modeling is implemented to find out the results. It is found that audit has a direct impact on stock prices of firms in Amman stock market, while improved audit quality results in improved financial performance of the firm indicated in their stock prices.

Behavioral finance theory as a refutation of the efficient market, complete the study of financial markets. Herd behavior is an important part of behavioral finance theory. This article combines with the characteristics of Chinese stock market to build a simulation of stock market to research the herd effect in stock market. Using this simulation to observe the price changes about stock market to study how the herd behaviors impact on the stock market.

Every day hundreds of companies all over the world are entering capital market for the first time by issuing stocks. By doing so, they decide to invest capital necessary for continuing activity and expanding operations accordingly. For this reason, it is important to the companies that price specified for their stock demonstrate real value of assets and their growth and development opportunities in the future. The purpose of this research is to study valuation methods of stock initial public offerings at the Tehran Stock Exchange. Population and study sample consisted of firms publicly offered their stocks for the first time at Tehran Stock Exchange during 2009-2014, and experienced no trading halt, i.e. 45 companies of which seven companies were eliminated due to lack of trading on the stock exchange and 38 firms were chosen. The research method is correlational-descriptive and the research is an applied research by purpose. The research is based on cross-sectional time regression analysis, for which simple multivariate regression estimation based on ordinary least square method was used, and models under consideration were examined by Eviews and SPSS. After analysis of results, the research findings showed that some variables such as firm size have no influence on the price of initial public offering but variables such as risk, size of initial offerings, amount of firm capital, etc. have significant effect on the price of stock initial public offering. In the end, it is recommended that companies price their stocks in the way that it paves the way for growth and development of their assets, given that there are a lot of factors and variables that affect the price of stock initial offering.

Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-MacBeth regression results show that not only have the realized jump components and the continuous volatility been compensated with risk premium, but also that the negative jump risk, the positive jump risk and the sign jump risk, to some extent, could explain the return of the stock portfolios. Therefore, we should pay high attention to the downside tail risk and the upside tail risk.

This paper examines the information content within several popular stock market factors, asking whether they contain independent explanatory power for stock returns and whether their movements relate to economic variables. Given, the explosion in the number of such factors, it is important to consider whether each factor adds to our understanding of markets and the wider economy. We undertake three related exercises, whether a set of common factors contain independent predictive ability for stock return portfolios, what economic and market variables can explain movements in the factors and whether stock market factors have predictive power for future output growth. The results support the view that several of the considered factors do not contain independent information for stock returns. Further, most of these factors do not provide any predictive power for future output growth and thus appear not to contain any economic content or information regarding economic behaviour. Evidence suggest that movement in the factors is driven by considerations of current economic and market risk. Hence, stock market factors reflect existing economic conditions but do not provide a window on future behaviour.

This study investigates the relationship between investor attention and stock price movements in Japan's startup stock exchanges, Mothers and JASDAQ. We find a positive relationship between search intensity and stock returns and between search intensity and liquidity. The positive correlation between search intensity and stock returns/liquidity tends to be larger for startup firms with a high proportion of individual shareholders. Contrary to prior studies that have reported a reversal after an immediate stock price increase, our results show the possibility that an immediate increase in stock returns of startup firms may not be neutralized in the long run.

The present study explores the effect of the gambler’s fallacy on stock trading volumes. I hypothesize that if a stock’s price rises (falls) during a number of consecutive trading days, then the gambler’s fallacy may cause at least some of the investors to expect that the stock’s price “has” to subsequently fall (rise), and thus, to increase their willingness to sell (buy) the stock, resulting in a stronger degree of disagreement between the investors and a higher-than-usual stock trading volume on the first day when the stock’s price indeed falls (rises). Employing a large sample of daily price and trading volume data, I document that following relatively long sequences of the same-sign stock returns, on the days when the sign is reversed, the trading activity in the respective stocks is abnormally high. Moreover, average abnormal trading volumes gradually and significantly increase with the length of the preceding return sequence. The effect is slightly more pronounced following the sequences of negative stock returns, and remains significant after controlling for other potentially influential factors, including contemporaneous and lagged actual and absolute stock returns, historical stock returns and volatilities, and company-specific events, such as earnings announcements and dividend payments.

The previous studies have shown that there is a relation between values of stock prices and the price changes caused by public announcements. Thus the aim of this paper is to examine if the respective relation can be observed in Lithuanian stock market and how this relation is affected by different categories and types of announcements. The research covers public announcements issued by companies listed in Vilnius Stock Exchange. Simplified version of event study methodology was used in this paper and average absolute and abnormal returns were computed. Most of the results in this paper are consistent with the previous studies and a negative correlation between the values of stock prices and the price changes caused by public announcements was estimated.