Although stock option markets have grown dramatically over the past several decades, the relation between an option and its underlying asset, especially bidirectional conduction, is not particularly clear. So far, there have been many debates about this topic. We try to investigate this problem from a novel angle: an artificial stock market including a stock option is constructed in this paper....

We utilized asymmetric multifractal detrended fluctuation analysis in this study to examine the asymmetric multifractal scaling behavior of Chinese stock markets with uptrends or downtrends. Results show that the multifractality degree of Chinese stock markets with uptrends is stronger than that of Chinese stock markets with downtrends. Correlation asymmetries are more evident in large fluctuat...

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 paper investigates international stock market dynamics and their linkages. It uses factor models to extract stock market indicators from common cyclical stock components of industrialized countries, emerging markets, the BRICT, and global stock markets. We find that the stock market indicators for these groups are correlated with each other and with the global market factor. The BRICT disp...

The purpose of this study is to concentrate on the investigation of days-of-week effect on Tehran Stock Exchange and its comparison with other emerging markets. Using Classical Linear Regression (CLR) as well as Autoregressive Conditional Heteroskedasticity (ARCH) models it in indicated has indicated that there is significantly positive total return on Saturdays and significantly negative total...

The goal of agent-based modeling of stock markets is to enrich our understanding of fundamental processes that appear in a market. 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. There are va...

The interrelationships, interdependencies, integration, and dynamic linkages in between countries, regions including BRIC, country-region, and developing-developed stock markets had been thoroughly researched in the literature. This study aims at investigating above relationships both in short and long-run with special reference to India. It undertakes daily closing values of the BRIC indices f...

Financial and capital markets (especially stock markets) are considered high return investment fields, which in the same time are dominated by uncertainty and volatility. Stock market prediction tries to reduce this uncertainty and consequently the risk. As stock markets are influenced by many economical, political and even psychological factors, it is very difficult to forecast the movement of...

Stock market forecasting is important and interesting, because the successful prediction of stock prices may promise attractive benefits. The economy of Taiwan relies on international trade deeply, and the fluctuations of international stock markets will impact Taiwan stock market. For this reason, it is a practical way to use the fluctuations of other stock markets as forecasting factors for f...