Stock trading is an important decision-making problem that involves both stock selection and asset management. Though many promising results have been reported for predicting prices, selecting stocks, and managing assets using machine-learning techniques, considering all of them is challenging because of their complexity. In this paper, we present a new stock trading method that incorporates dy...

This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger caus...

In an economy where agents hold money, the short interest rate determines the trade-off between money holdings and consumption. Building on this idea, we develop a theoretical model that shows the transmission mechanism through which the short rate finds its way to stock-return predictability regressions. We construct a cointegration relation that links share prices and dividends to the short i...

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However, changes in the Euro to U.S. Dollar exchange rate as well as developments at the money and especially at the oil market strongly affect returns of the energy...

Recent empirical research found that the strong short-term relationship between monetary aggregates and US real output and inflation, as outlined in the classical study by M. Friedman and Schwartz, mostly disappeared since the early 1980s. In the light of the B. Friedman and Kuttner (1992) information value approach, we reevaluate the vanishing relationship between US monetary aggregates and th...

Many emerging market economies use alternative forms of capital controls. Often the use of capital controls is related to the defense of the exchange rate. This paper examines the welfare case for capital controls, and the interaction between capital controls and the exchange rate. The main question is whether capital controls may be justified, in order to gain independence in monetary policy, ...

The monetary unit assumption of financial accounting assumes a stable currency i.e., constant purchasing power over time . Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not recognized in nominal statements, such effects may have economic consequences. I find that unrecognized inflati...

This paper shows that monetary policy can have asymmetric effects in a matching model along the lines of D. Mortensen and C. Pissarides [1994. Job creation and job destruction in the theory of unemployment. Review of Economic Studies 61, 397–415]. when a balance sheet channel is at work. When a lender matches an entrepreneur, the investment project is financed and carried out. There is incomple...

Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of individual agents, a pile of money and a specific trading rule. Whatever the trading rule is, the most noteworthy fact is that money is always transferred fro...

There is no definition of globalization in a form universally accepted and perhaps not even final one. The reason is that globalization includes a multitude of complex processes, reaching different areas of society. It can be a phenomenon, an ideology, a strategy or all together. One thing is certain: globalization raises an endless polemic, progressing continuously and irreversibly generate ma...