• Media type: E-Book
  • Title: Stock Price Dynamics : Nonlinear Trend, Volume, Volatility, Resistance and Money Supply
  • Contributor: Caginalp, Gunduz [Author]; DeSantis, Mark [Other]
  • Published: [S.l.]: SSRN, [2011]
  • Extent: 1 Online-Ressource (23 p)
  • Language: English
  • Origination:
  • Footnote: In: Quantitative Finance, Vol. 11, No. 6, pp. 849-861, 2009
    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 16, 2009 erstellt
  • Description: We study a data set of 119,260 daily closed-end fund prices using mixed-effects regressions with the objective of understanding price dynamics. There is strong statistical support that relative price change depends significantly on (i) the recent trend in a nonlinear manner, (ii) recent changes in valuation, (iii) recent changes in money supply (M2), (iv) longer term trend, (v) recent volume changes and (vi) proximity to recent high price. The dependence on the volatility is more subtle, as short term volatility has a positive influence, while the longer term is negative. The cubic nonlinearity in the weighted price trend shows that a percentage daily gain of up to 2.78% tends to yield higher prices, but larger gains lead to lower prices. Thus, the nonlinearity of price trend establishes an empirical and quantitative basis for both underreaction and overreaction within one large data set, facilitating an understanding of these competing motivations in markets. Increasing money supply is found to have a significant positive effect on stock price, while proximity to recent high prices has a negative effect. The data set consists of daily prices during the period October 26, 1998 to January 30, 2008
  • Access State: Open Access