The goal of this research is to predict total stock market index of Tehran Stock Exchange, using the compound method of ARIMA and neural network in order for the active participations of finance market as well as macro decision makers to be able to predict trend of the market. First, the series of price index was decomposed by wavelet transform, then the smooth's series  predicted by using...

The stock market is forward looking; economic indicators and important future events are factored into stock prices. According to the Efficient Market Hypothesis†, markets operate efficiently and stock prices instantly and stock prices instantly reflect all information available. However, inefficiencies in the stock market exist due to the behaviors and expectations of investors. Stock prices m...

Stock price synchronicity at a country level has been the subject of many previous studies, but for most investors it is more relevant at a firm level. Working from the perspective of a foreign investor stock price synchronicity is analyzed at the firm-level in the hot Chinese stock market. The impact of foreign ownership, institutional ownership, the concentration of large shareholders, and au...

DRAFT February 12, 5 pm (Choose " print layout view " in Word) The influence of speculative stocks on value stocks is examined through a set of economics experiments. The speculative asset is designed to model a company involved in a rapidly growing market that will be saturated at some unknown point. Using a control experiment where both assets are similar value stocks, we find statistical sup...

Currently, stock price forecasting is carried out using either time series prediction methods or trend classifiers. The trend classifiers are designed to predict the behaviour of stock price’s movement. Recently, soft computing methods, like support vector machines, have shown promising results in the realization of this particular problem. In this paper, we apply several prototype generation c...

How to analyze the features of stock price accurately and master the regularity of stock price changing with time quickly and effectively is of great theoretical and realistic significance and is an important research direction in financial field. For complicated non-linear and periodic variations of stock prices, a parallel computing model is proposed in this paper based on stock prediction al...

This study tests two opposing views of institutional investors—monitoring versus expropriation--by investigating whether institutional ownership is positively or negatively related to future firm-specific stock price crash risk. We present robust evidence that institutional ownership is positively associated with future stock price crash risk. After further classifying institutional investors i...

True spreads are not directly observable and represent the continuous demand and supply schedule for stock liquidity by heterogeneously informed market participants. Observed spreads are true spreads quantized by minimum market tick size. A regression model of true spreads is developed using spread data from a pure limit order electronic exchange. True spreads are modelled as a continuous posit...

We test the hypothesis that investment constraints in delegated portfolio management may distort demand for stocks, leading to price underreaction to news and stock return predictability. We find that institutions tend not to buy more of a stock with good news that they already overweight; they are reluctant to sell a stock with bad news that they already underweight. Stocks with good news over...