return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...

Maximizing the profit and minimizing the loss notwithstanding the trend of the market is always desirable in any investment strategy. The present research develops an investment strategy, which has been verified effective in the real world, by employing self-organizing map neural network for mutual funds tracking the trends of stock market indices according to macroeconomics indicators and weig...

Available online 10 June 2014 This paper analyzes the volatility linkage across the U.S., European, German, Japanese, and Swiss equity markets from 1999 to 2009. Both the unconditional and conditional correlations exhibit large fluctuations during the sample period. The results from the VAR analysis show an asymmetric two-way relation between the VIX and other market volatility indices, in whic...

Theoretical foundations in banks' response to capital settlement suggest that the systems proposed by Basel are not sound. It is conceivable regulators will consider alternative approaches enhance safety and soundness of banking system. The regulation includes several decrees ratios; areas interest encompassing subject principal component analysis (PCA).The paper aims present a regulatory frame...

Available online 26 May 2011

This study contributes to the discussion on student perceptions of questionable academic behavior. Students evaluate behavioral scenarios to see whether they judge the behavior as ethical and to examine potential predictors of that judgment. The scenarios used isolate academic integrity decisions that involve the use of IT. The respondents were given items to examine the influence of moral equi...