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This article examines the environmental, social, and governance (ESG) performance of firms, with a focus on the environmental pillar of the ESG concept. It is believed that the price of equities as well as sector-specific characteristics may be affected by ESG data. It also contributes to the argument that environmental performance and governance quality are related. The purpose of this paper is to statistically validate the separated environmental data from the ESG concept and investigate its impact on the equity price in the EU and the United States. Using simple linear regressions and a fixed effect panel data model, the association between environmental score and governance score, as well as equity price and environmental score, was estimated. This study examines the 500 largest US corporations comprising the S&P 500 index (S&P) and the 600 largest EU companies comprising the STOXX Europe 600 index (STOXX) (SXXP). This article analyzes ESG statistics for the period 2015–2020. The results indicate that a higher government score has a favorable effect on environmental pledges and that changes in stock price depend in part on environmental data. The novel contribution of this paper is that the results suggest a sector-specific contribution to the model, and it would be fascinating to analyze sector disparities and their ESG-related policies in greater detail. Doi: 10.28991/ESJ-2023-07-02-08 Full Text: PDF

Purpose: The study tests conventional and behavioral pricing multifactor impact on price fragility from the equity market of Pakistan.Methodology: The positivist approach is used to deduct study rationale via probability sampling. At the same time, systematic sampling for data collection of PSX is tested in parallel to mean-variance random walk theory.Findings: The impact of conventional factors is significant on price fragility in the short run and vice versa in the long run. Specifically, herd behavior and disposition effects are found to be insignificant. But size, value, illiquidity, and price earning had a significant impact on price fragility in the short run.Limitations: The current research has not covered the desired scope of the topic due to time limitations, lack of harmony in corporate data on databases, and literature on price fragility being very scarce.Implication: In PSX, there is a need to develop a corporate culture to promote the standard modern financial practice to enhance financial productivity and sustainability. For corporate culture to be established, corporate governance boards should be established, and family governance systems should be replaced by an independent democratic board. Mispricing and arbitragers need serious control.Originality: The value of the research is that little research currently exists on about pricing multifactor impact on price fragility.

This study tests whether retail behaviour affects the stock price and pricing efficiency of stocks on the Nigerian Stock Exchange (NSE) using data on equity from retail investors' market transactions. The Delong, et al. (1990) model is used to measure retail mispricing and stock price efficiency, whereas the Least Squares (LS) and Generalised Least Square (GLS) techniques are used to estimate the static and probability distributed lag (PDL) models. The study finds that in the short run, temporary retail mispricing impacts stock prices and positively affects stock price efficiency. Hence, retail investors' pricing behaviour benefits the equity market in the short-run, but not in the long run. Thus, for sustaining the efficiency of prices in the NSE, retail investors should participate in the equity market and investor literacy programs to enhance their trading skills, which would reduce their losses and enhance their survival in the market over the long term. [ABSTRACT FROM AUTHOR]

Using local projection and event studies, this paper investigates the nonlinear effects of U.S. monetary policy shocks on financial‐asset prices in 10 advanced economies from 1990 to 2014. The international asset prices show evidence of the asymmetric or state‐dependent propagation of U.S. monetary shocks. Moreover, the results indicate that the nature of the nonlinearity in the propagation of the shocks differs across two asset classes, bond yields, and equity prices. Contractionary U.S. monetary policy shocks are quite influential in sovereign bond markets, while their impacts are largely insignificant in stock markets; the opposite is true for expansionary monetary policy shocks. These results are typical across open economies and suggest that U.S. monetary announcements and the subsequent reactions of international risk premiums may play a critical role in international shock propagation. [ABSTRACT FROM AUTHOR]

Emerging countries' economies are dependent on foreign capital inflows. For policy makers and researchers of particular interest is to understand the nature of these flows and their impact on the domestic capital market. The first significant foreign inflows entered the Macedonian Stock Market at the end of 2004, and stock prices were increased. It was general belief among the investors that foreigners are driving the prices on the Macedonian Stock Market. This study examines the influence of foreign investors' trades on stock returns in Macedonia using base broadening and price pressure hypotheses. Strong evidence consistent with the base-broadening hypothesis shows that 1% of monthly net inflows as a percentage of last month market capitalization is connected with 7% rise in monthly returns on the Macedonian stock market. The findings do not support the price pressure hypothesis, so the rise in the prices is permanent. [ABSTRACT FROM AUTHOR]

We explore the possible existence and behavior of hot money in six categories of disaggregated bilateral capital flows (equity inflows, equity outflows, bond inflows, bond outflows, banking credit inflows, and banking credit outflows) for 12 emerging markets vis-à-vis the US from 1995 to 2012 and provides several new findings. First, we identify the existence of hot money in all six categories above and conclude that both gross inflows and gross outflows can be the sources of hot money. Second, hot money in equity inflows (outflows) engages in positive (negative) feedback trading regarding local stock market returns. Third, some categories of hot money have a temporary influence on local stock market returns while the others have a permanent influence, supporting the explanations of both price pressures and information advantage. Finally, local stock market returns in half of our sample countries, which have tightened capital controls during the late 2000s global financial crisis (GFC), are more affected by hot money than in the other half. Our findings confirm several popular conjectures of hot money, and endorse the use of capital controls to limit financial vulnerability in the run-up to and during the GFC. [ABSTRACT FROM AUTHOR]

This paper states that market sentiments are central to any financial data analysis. A vivid distinction is made between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of market sentiments. The former is an existing approach that is extensively used and the latter is a proposed tactic. Methods of devising constructs for defining relative and absolute market sentiments are also discussed. Patterns of market sentiments in terms of the model parameters are discussed and a few new measures that capture the hypothesized market sentiments are proposed. As an application of the proposed line of approach, this study analyses weekly market sentiments that govern Domestic Company Indices of Botswana Stock Exchange.

In this paper we examine how sales affect earnings and in turn the stock price using a model in which sales contribute to earnings by a fixed sales margin rate and the stock price responds more sensitively to sales-induced earnings than to non-sales-induced earnings. We report that the regression coefficient of the sales margin (2.54) is about three times the earnings response coefficient (0.85) for the full sample and can be as high as 19 times the earnings response coefficient for an industry (i.e., 11.95 vs. 0.62 for restaurants). We contribute to the literature by identifying and documenting factors that make separating out the sources of earnings more important in equity pricing. [ABSTRACT FROM AUTHOR]

Forecasting is a focal subject in the area of finance and economics which has urged the interest of researchers and financial analysts to develop better predictive models. The Autoregressive Integrated Moving Average (ARIMA) models have been explored in the literature and are extensively used in prediction of variables with temporal force. This paper has endeavored equity price prediction using ARIMA procedure expending 246 daily closing prices. To this end, daily equity prices for Shirpur Gold Refinery Ltd., India from April 2017 to March 2018 has been considered to build an appropriate ARIMA model employing R software. The best obtained model, ARIMA (0, 1, 1) of its several variants has been used for securing equity price prediction intervals for the next few days. Additional effort was made to judge predictive performance of the fitted model taking out-of-sample closing equity prices. The results divulged that ARIMA model has a strong potential for short-term prediction and can contest favorably with other forecasting techniques used in stock price prediction. [ABSTRACT FROM AUTHOR]

This paper states that market sentiments are central to any financial data analysis. A vivid distinction is made between studying financial data in terms of the concept of volatility and in rapport to analysing financial data in terms of market sentiments. The former is an existing approach that is extensively used and the latter is a proposed tactic. Methods of devising constructs for defining relative and absolute market sentiments are also discussed. Patterns of market sentiments in terms of the model parameters are discussed and a few new measures that capture the hypothesized market sentiments are proposed. As an application of the proposed line of approach, this study analyses weekly market sentiments that govern Domestic Company Indices of Botswana Stock Exchange. [ABSTRACT FROM AUTHOR]