A financial econometric analysis of E-Commerce stock price predictability / Kok-Boon Oh and Sardar M. N. Islam

Kok-Boon, Oh and M N Islam, Sardar (2012) A financial econometric analysis of E-Commerce stock price predictability / Kok-Boon Oh and Sardar M. N. Islam. Social and Management Research Journal, 9 (2). pp. 59-85. ISSN 1675-7017

Abstract

The predictability of stock price changes has been a contentious issue in finance for a long period of time. Using the Australian e-commerce financial data for determining the equity value of e-commerce firms, this paper provides an empirical analysis of the issue of predictability of stock prices. The factors contributing to the predictability of equity prices in the e-commerce markets are identified, analyzed and the issues and implications are discussed and explained. This paper presents new approaches to econometric specification, estimation and testing in relation to e-commerce stock predictability including stationarity tests, co-integration modeling and analyses. The policy implications of the empirical findings are stated. The empirical findings of the Australian study are extrapolated and inferences are made for other countries.

Metadata

Item Type: Article
Creators:
CreatorsID Num. / Email
Kok-Boon, OhUNSPECIFIED
M N Islam, Sardarsardar.islam@vu.edu.au
Subjects: H Social Sciences > HF Commerce > Accounting. Bookkeeping > Periodicals. Societies. Serials
H Social Sciences > HG Finance > Financial management. Business finance. Corporation finance
H Social Sciences > HG Finance > Investment, capital formation, speculation
Divisions: Universiti Teknologi MARA, Shah Alam > Research Management Centre (RMC)
Journal or Publication Title: Social and Management Research Journal
Journal: UiTM Journal > Social and Management Research Journal
ISSN: 1675-7017
Volume: 9
Number: 2
Page Range: pp. 59-85
Item ID: 10345
Uncontrolled Keywords: Asset pricing; Risk; Equity market; Stock price predictability; Financial markets; Econometric modelling; Knowledge economy
URI: http://ir.uitm.edu.my/id/eprint/10345

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