us 2008 financial crisis, spreaded out across the international stock markets in the second half of the year 2008. the crisis decreased the returns and increased the volatilities of almost all of the stock indices, however, its effects on iran’s stock markets were unexplored. financial limitations create an exclusive situation in iran’s stock market. using weekly data on the stock indices from ...

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...

The aim of this study is to investigate a behavioral approach by anchoring bias as a criterion to explain 52-week-high strategy and trough this we can find an explain for momentum strategy at uncertainty situation, to the companies listed on the Tehran Stock Exchange. The information uncertainty criteria include the book value to market value (BV / MV), company age (Age), the size of the entity...

In this paper we have investigated the interactions between stock prices and exchange rates in three emerging countries of South Asia named as Bangladesh, India and Pakistan. We have considered average monthly nominal exchange rates of US dollar in terms of Bangladeshi Taka, Indian Rupee and Pakistani Rupee and monthly values of Dhaka Stock Exchange General Index, Bombay Stock Exchange Index an...

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...

one of the capital market financial instruments, especially in islamic countries, is sukuk or islamic securities. sukuk is based on islamic law. different types of sukuk are available for different economic situations of countries and different investors. one type of sukuk is mozare'e which is the subject of this research. to do this, we have used financial indices of crops to compare moza...

The goal of this chapter is to examine whether the time series of returns of securities listed on Taiwan’s stock exchange exhibit significant nonlinear serial dependencies, as do those of other stock exchanges throughout the world, and, if so, to examine the pervasiveness of such dependencies across the individual stocks trading on the Taiwan Stock Exchange. First, an examination of the charact...

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...