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


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.


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Item Type: Article
CreatorsID Num.
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: Research Management Institute (RMI)
Journal or Publication Title: 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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