This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market’s demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets. Marking to market of the asset book can induce a furt...

This research aims to identify and examine the relationship between liquidity, profitability, leverage with stock prices in food beverage sub-sector companies listed on Indonesia Stock Exchange for period 2016-2020. Determination of sample using purposive sampling method a total 11 as observation data. Multiple linear regression analysis was used analysis. The results show that liquidity proxie...

An option pricing formula is obtained, based on a stochastic model with statistical feedback. The fluctuations evolve according to a Tsallis distribution which fits empirical data for stock returns. A generalized form of the Black-Scholes partial differential equation is derived, parametrized by the Tsallis entropic index q. A martingale representation is found, which allows us to use concepts ...

the markowitz issue of optimization can’t be solved by precise mathematical methods such as second order schematization, when real world condition and limitations are considered. on the other hand, most managers prefer to manage a small portfolio of available assets in place of a huge portfolio. it can be analogized to cardinal constrains, that is, constrains related to minimum and maximum curr...

RECENT EVENTS and research findings increasingly suggest that the stock market is not driven solely by news about fundamentals. There seem to be good theoretical as well as empirical reasons to believe that investor sentiment, also referred to as fads and fashions, affects stock prices. By investor sentiment we mean beliefs held by some investors that cannot be rationally justified. Such invest...

Changes in stock prices fluctuations are influenced by internal factors or also called fundamental originating from within the company which shown company's financial statements, and external related to economic conditions of a country. This study aims determine effect Liquidity, Profitability, Inflation, BI7DRR on Stock Prices Plantation Sub-Sector Companies Listed Indonesia Exchange for 2016-...

modeling and analysis of future prices has been hot topic for economic analysts in recent years. traditionally, the complex movements in the prices are usually taken as random or stochastic process. however, they may be produced by a deterministic nonlinear process. accuracy and efficiency of economic models in the short period forecasting is strategic and crucial for business world. nonlinear ...

This study explores the empirical relationship between stock prices and financial ratios in Bahrain Stock Exchange specifically applied on institutions listed Bourse. The results of analysis varied as follows: earning per share, return assets equity have shown positive with share price, while price to earnings ratio Financial Leverage demonstrated negative price. Finally, firm’s size which is m...

In the period November 2003 to February 2004, there was an unambiguous upward trend in the U.S. stock market. Over the same period, the U.S. dollar kept depreciating against all major currencies. Analysts kept trying to predict when this downward trend would come to an end based on the U.S. trade deficit. Was not the exchange rate affected by the stock market instead? In this paper, I study if ...

It is a pleasure to be invited to discuss this rich paper by Jeffrey Frankel and Andrew Rose. After the events of the past few years, with a range of commodity prices exhibiting great volatility, it is not hard to motivate Frankel and Rose’s choice of topic, seen from either a longor medium-term perspective. The authors use annual data, mainly in a panel context, to examine the relationship bet...