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Journal section "Theoretical issues"

Random and Regular Stock Price Change Depending on a Time Span

Galanov V.A., Galanova A.V., Shibaev S.R.

Volume 10, Issue 4, 2017

Galanov V.A., Galanova A.V., Shibaev S.R. Random and Regular Stock Price Change Depending on a Time Span. Economic and Social Changes: Facts, Trends, Forecast, 2017, vol. 10, no. 4, pp. 228-241. DOI: 10.15838/esc.2017.4.52.13

DOI: 10.15838/esc.2017.4.52.13

Abstract   |   Authors   |   References
The purpose for the research is to identify the correlation between random (accidental) stock price changes and its well-known tendency to grow depending on a time span. In contrast to the works of other scholars on the issue of the random nature of stock prices the presentation of the issue is new in the current research. The research method consisted of identifying the criterion stock price change separation into random and regular components and further comparing the proportions between random and regular stock price change on the example of 10 stocks of the largest world-known companies from representing different economic sectors traded on New York stock exchange for several time spans: one day, week, month, quarter, half-year and one year. The main research results suggest that with the increase in time span the share of the regular origin of the stock price increases, but only up to a certain significant limit. The increase in the time period of analyzing the stock price changes (fluctuations) does not prove that the random character of stock price change has an unlimited downward trend. The scope of the research results has scientific and practical nature. On the one hand, these findings are useful in teaching students and market participants on the issue of securities market. On the other hand, in practical terms, this issue is interesting as understanding the patterns of changes in proportions between random and non-random (regular) nature of share price in the market can be used by market participants when setting their trading strategies for different time spans. The prospects of further research in this sphere cover the division of factors changing the stock price into regular and random, quantification of their influence on stock price dynamics, as well as issues of correlation between the investment time span and the risk of random stock price change beyond the estimated limits of its regular change

Keywords

stock price, upward trend, random change, regular change, time span, price limit, proportion, stock exchange

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