in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

the stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. this paper presents a methodology based on data envelopment analysis for portfolio selection, decision making units which can be stocks or other financial assets. first, dmus efficiencies are computed based on input/output com...

This paper investigates the nature of volatility characteristics of stock returns in the Bangladesh stock markets employing daily all share price index return data of Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) from 02 January 1993 to 27 January 2013 and 01 January 2004 to 20 August 2015 respectively.  Furthermore, the study explores the adequate volatility model for the stoc...

This study researches the causal relationship between exchange rates and stock prices during pre and post financial crisis in Viet Nam, based on the collected daily data from 2005 to 2015. The paper investigates the long-run relationship between above-mentioned two variables using Johansen and Juselius (1990) co-integration test and short run dynamic causal relationships by using Toda and Yamam...

There have been several efforts in the literature to extract as much information as possible from the financial networks. Most of the research has been concerned about the hierarchical structures, clustering, topology and also the behavior of the market network; but not a notable work on the network filtration exists. This paper proposes a stock market filtering model using the correlation - ba...

in this study business operations and liquidity and credit risk on price fluctuations on the stock exchange since 2010 to 2013 has been tehran distance. the sample consisted of 76 company the systematic elimination method is selected. the company had a total of 304 years, in this study, the hypothesis of linear regression and correlation to analyse the data and test hypotheses eviews software i...