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A Financial Econometric Analysis of E-Commerce Stock Price Predictability

Oh, Kok-Boon and Islam, Sardar M. N (2012) A Financial Econometric Analysis of E-Commerce Stock Price Predictability. Social and Management Research Journal, 9 (2). pp. 327-331. ISSN 1675-7017

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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.

Item Type: Article
Uncontrolled Keywords: ResPubID26505, asset pricing, risk, equity market, stock price predictability, financial markets, econometric modelling, knowledge economy
Subjects: FOR Classification > 1402 Applied Economics
Faculty/School/Research Centre/Department > College of Business
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Depositing User: Ms Phung.T Tran
Date Deposited: 09 Apr 2014 01:43
Last Modified: 12 Aug 2014 00:21
URI: http://vuir.vu.edu.au/id/eprint/23632
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