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Article: An Investigation of Stock Price Dynamics in Emerging Markets

TitleAn Investigation of Stock Price Dynamics in Emerging Markets
Authors
KeywordsStock price dynamics
Stochastic differential equations
Earning potential
Non-random walk
Issue Date1998
PublisherJohn Wiley & Sons Ltd.
Citation
Applied Stochastic Models and Data Analysis, 1998, v. 14 n. 2, p. 137-151 How to Cite?
AbstractThe emergence of stock markets in former centrally planned economies poses a significant problem to financial economists and policy makers in that price movements in these markets are not well explained by conventional capital theory. The opening of stock markets brings about a new equilibrium value P̂ for the firm. Shares are floated on an estimate of P̂, and buyers of these shares and individuals trading in the secondary market are also obliged to do so on the basis of their estimates of this magnitude. At any time, the market price of the firm's shares then reflects the market's best guess of what its value would be in the new equilibrium, and information on which to calculate estimates become more readily available as the stock market matures. This paper presents a stochastic price model which takes all of these factors into consideration. The model also provides a theoretical foundation underlying the pronounced trends of prices in emerging stock markets, and explains why they appear to be so volatile. © 1998 John Wiley & Sons, Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/210257
ISSN
1999 Impact Factor: 0.045

 

DC FieldValueLanguage
dc.contributor.authorYeung, DWK-
dc.contributor.authorPoon, J-
dc.date.accessioned2015-06-02T02:44:36Z-
dc.date.available2015-06-02T02:44:36Z-
dc.date.issued1998-
dc.identifier.citationApplied Stochastic Models and Data Analysis, 1998, v. 14 n. 2, p. 137-151-
dc.identifier.issn8755-0024-
dc.identifier.urihttp://hdl.handle.net/10722/210257-
dc.description.abstractThe emergence of stock markets in former centrally planned economies poses a significant problem to financial economists and policy makers in that price movements in these markets are not well explained by conventional capital theory. The opening of stock markets brings about a new equilibrium value P̂ for the firm. Shares are floated on an estimate of P̂, and buyers of these shares and individuals trading in the secondary market are also obliged to do so on the basis of their estimates of this magnitude. At any time, the market price of the firm's shares then reflects the market's best guess of what its value would be in the new equilibrium, and information on which to calculate estimates become more readily available as the stock market matures. This paper presents a stochastic price model which takes all of these factors into consideration. The model also provides a theoretical foundation underlying the pronounced trends of prices in emerging stock markets, and explains why they appear to be so volatile. © 1998 John Wiley & Sons, Ltd.-
dc.languageeng-
dc.publisherJohn Wiley & Sons Ltd.-
dc.relation.ispartofApplied Stochastic Models and Data Analysis-
dc.rightsApplied Stochastic Models and Data Analysis. Copyright © John Wiley & Sons Ltd.-
dc.rightsSpecial Statement for Preprint only Before publication: 'This is a preprint of an article accepted for publication in [The Journal of Pathology] Copyright © ([year]) ([Pathological Society of Great Britain and Ireland])'. After publication: the preprint notice should be amended to follows: 'This is a preprint of an article published in [include the complete citation information for the final version of the Contribution as published in the print edition of the Journal]' For Cochrane Library/ Cochrane Database of Systematic Reviews, add statement & acknowledgement : ‘This review is published as a Cochrane Review in the Cochrane Database of Systematic Reviews 20XX, Issue X. Cochrane Reviews are regularly updated as new evidence emerges and in response to comments and criticisms, and the Cochrane Database of Systematic Reviews should be consulted for the most recent version of the Review.’ Please include reference to the Review and hyperlink to the original version using the following format e.g. Authors. Title of Review. Cochrane Database of Systematic Reviews 20XX, Issue #. Art. No.: CD00XXXX. DOI: 10.1002/14651858.CD00XXXX (insert persistent link to the article by using the URL: http://dx.doi.org/10.1002/14651858.CD00XXXX) (This statement should refer to the most recent issue of the Cochrane Database of Systematic Reviews in which the Review published.)-
dc.subjectStock price dynamics-
dc.subjectStochastic differential equations-
dc.subjectEarning potential-
dc.subjectNon-random walk-
dc.titleAn Investigation of Stock Price Dynamics in Emerging Markets-
dc.typeArticle-
dc.identifier.emailYeung, DWK: dwkyeung@econ.hku.hk-
dc.identifier.doi10.1002/(SICI)1099-0747(199806)14:2<137::AID-ASM342>3.0.CO;2-2-
dc.identifier.hkuros44568-
dc.identifier.volume14-
dc.identifier.issue2-
dc.identifier.spage137-
dc.identifier.epage151-
dc.publisher.placeUnited Kingdom-

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