This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "l...

Artificial stock markets are models of financial markets used to study and understand market dynamics. Agent Based Artificial Stock Markets can be seen as any market model in which prices are formed endogenously as a result of participants’ interaction and in which the representation of participants varies from simple equations of forecast functions to intricate software components endowed with...

This study examines the impact of the Indian cricket team’s performance in one day international cricket matches on returns on the Indian stock market. The main conclusion of the study is that there exists an asymmetric relationship between the performance of the Indian cricket team and stock returns on the Indian stock market. While a win by the Indian cricket team has no statistically signifi...

Under the growth of the stock market sector and the widespread of stock market applications, the stock market prediction has become one of the most important and challenging tasks in the stock market. Many data mining techniques are exploited to predict the stock prices in order to help investors in making investing decisions. One of the most common and widely used techniques is Artificial Neur...

Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to market movements. Given the anticipated growth of the Nepalese stock market and increasing interest of investors towards investment in Nepalese stock market, ...

Correspondence: [email protected] School of Computer Science, University of Birmingham, Edgbaston, B15 2TT Birmingham, United Kingdom Full list of author information is available at the end of the article Abstract Predicting investors reactions to financial and political news is important for the early detection of stock market jitters. Evidence from several recent studies suggests that o...

This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...

This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market ...

Objective: There is a large theoretical literature regarding stock market manipulation. However, empirical evidence of manipulation remains scare especially in emerging markets like Iran. So, it is vital to detect and prevent. Manipulation distorts prices, thereby reducing market efficiency and harms public confidence. Distorted prices increase market volatility and risk. This study empirically...