This paper studies the dynamic behavior of risks and returns in Chinese stock markets. We characterize the time-series properties of stock-market return and volatility and test the market e–ciency hypothesis. We estimate an empirical model that captures the efiect of local and global information variables on the conditional mean of stock-market returns and characterize the second order conditio...

This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause infl...

In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970-2001. We find weak evidence of long memory in volatility once structural change is accounted for and a twofold linkage between stock market and macroeconomic volatility: macroeconomic volatility explains the persitent dynamics in stock market volatility, while stock ma...

Stock market represents an essential part of the economy in the Middle East, it is significant for shareholders and investors to estimate the stock price and select the best trading opportunity accurately in advance. This paper utilizes artificial neural network in the modeling of stock market exchange prices. The network was trained using supervised learning. Simulation was conducted for seven...

according to stock price excessive volatility in tehran stock exchange, the price limit mechanism is utilized in order to making the price fluctuation narrow and based on the specific periods, the price limit has encountered some variations which price limit has been determined by try and error within these periods and in a short stage of time many modifications existed through the applications...

T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...