Determinants of stock price volatility
Published 2010. Determinants of Stock Price Volatility in Karachi Stock Exchange : The Mediating Role of Corporate Dividend Policy. significant effect in explaining the determinants of stock market volatility than oil price volatility. For example, a study of Hayo and Kutan (2004) analysed the The study accomplishes that share price volatility of NSE depends on GDP, inflation macro-economic factors as factors affecting stock price such as industrial production Determinants of Equity Share Prices: Evidence from American Firms. the determinants of stock price volatility, and various studies have identified several firm- level as well as macroeconomic factors that determine equity price risk
@inproceedings{Nazir2010DeterminantsOS, title={Determinants of Stock Price Volatility in Karachi Stock Exchange: The Mediating Role of Corporate Dividend Policy}, author={Mian Sajid Nazir}, year={2010} } Mian Sajid Nazir Corporate dividend policy has been remained a heavily investigated issue in
Keywords: stock price volatility, dividend policy, dividend payout ratio, panel data. 1. studied the determinants of cross-sectional differences in insider. 25 Oct 2019 The relationship between stock market returns volatility and Macroeconomic determinants can be a standard for the investors to forecast the The findings from the random effects regression results showed dividend per share is the major determinants of share price volatility in NSE (β = 0.6870, ρ< 0.05) examine the determinants of housing price volatility for 8 capital cities in Australia . unemployment rate, mortgage rate, equity prices and the housing stock are of equity prices was too great to be explained by the volatility of future dividends. group the determinants of asset price volatility into five main categories:. Volatility in stock prices has also been the focus of investors as a determinant of their investment returns. Exchange rates determine the profit of the international
2.2 Risk-premia and stock market volatility We assume that asset prices are related to the vector of factors y(t)inEq. (1),andthatsome of them affect the development of macroeconomic conditions, through Eq. (2). Thus, we are assuming that asset prices respond passively to movements in the factors affecting macroeconomic conditions.
Published 2010. Determinants of Stock Price Volatility in Karachi Stock Exchange : The Mediating Role of Corporate Dividend Policy. significant effect in explaining the determinants of stock market volatility than oil price volatility. For example, a study of Hayo and Kutan (2004) analysed the The study accomplishes that share price volatility of NSE depends on GDP, inflation macro-economic factors as factors affecting stock price such as industrial production Determinants of Equity Share Prices: Evidence from American Firms. the determinants of stock price volatility, and various studies have identified several firm- level as well as macroeconomic factors that determine equity price risk In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price
Determinants of Stock Price Volatility: A quantitative study on the Swedish stock market between 2004-2016 Sewelén, Jacob LU NEKH01 20172 Department of Economics. Mark; Abstract (Swedish) Syftet med denna uppsats är att undersöka om utdelningars utbetalningsgrad, vinstvolatilitet, storlek och hävstång har någon inverkan på aktiebolagets
the macroeconomic determinants of stock market volatility in three dimensions. First, by using a new monthly real-time macroeconomic data set for Germany that Published 2010. Determinants of Stock Price Volatility in Karachi Stock Exchange : The Mediating Role of Corporate Dividend Policy.
1. Science. 1987 Jan 2;235(4784):33-7. The volatility of stock market prices. Shiller RJ.
However, the relationship between dividend policy and stock price volatility is still However, there are other determinants of dividend policy and theories that The Capital Asset Pricing Model (CAPM) breaks down total expected stock return or equity cost of capital into components relating to systematic market risk (beta) stock exchange (ISE). The author further discovers inflation is one of the underlying determinants of conditional market volatility in Turkey which has higher relationship between stock price volatility and dividend policy instruments. Dividend yield and significant determinants of dividend policy. The life cycle of a
Stock Price volatility is the dependent variable in this study and dividend payout ratio is the main independent variable. For this purpose, some other independent variables are also included such as Earnings Volatility, Size of the firm, Leverage and Assets Growth. The early period of the life-cycle of the industry was characterized by high product innovation, high market share instability, volatile stock prices, and the later period by fewer firms, process innovation, more stable market shares and less stock price volatility. A lot of research has been done on determinants of stock price volatility. However a large part of that research focuses on how volatility levels in previous periods affect the volatility in later periods by using various ARCH, GARCH and EGARCH models. This thesis will differ in the Stock Price volatility is the dependent variable in this study and dividend payout ratio is the main independent variable. For this purpose, some other independent variables are also included such as Earnings Volatility, Size of the firm, Leverage and Assets Growth. Determinants of stock price volatility . in karachi stock exchange: Th e mediating role of corporat e dividend policy. International Research . Journal of Finance and Economics, 55 (55), 100-107. be the determinants of stock price volatility was done by using panel data regression analysis. The results of panel data regression analysis showed that the company’s stock price volatility in the research samples can be explained by 4.84% by ROE, CR, DER, DPR, company size and sales growth while the remaining 95.16% explained by other We suggest market volatility and risk premia are primarily determined by the structure of agents’ expectations called "market state of belief." Diversity and dynamics of beliefs are then the root cause of price volatility and the key factor explaining risk premia. Agents may be "bulls" or "bears."