Crude oil is one of the most necessitated worldwide required commodities. Any slight fluctuation in crude oil prices can have both direct and indirect influence on the economy of the countries. The unpredictability of crude oil prices forced many companies away from the competition and it influence the stock market and many other macroeconomic variables (inflation, GDP, Import bill etc). Crude ...

We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock price changes on major news announcement days allows us to link aggregate stock price changes to shale development activity as well as other oil supply shocks. We exploit cross-sectional variation in industry portfolio returns on announcement days to construct a shale mimicking ...

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...

Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model--adding a slow, but significant, ...

While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...

Authors present the stock price prediction algorithm by using Bayesian network. The present algorithm uses the network twice. First, the network is determined from the daily stock price and then, it is applied for predicting the daily stock price which was already observed. The prediction error is evaluated from the daily stock price and its prediction. Second, the network is determined again f...

We investigate the international transmission of the financial crisis in 2008-2009 to Japanese firms by examining both the stock price responses to the crisis events and the changes in operating performance subsequent to the crisis. Both the stock price responses and ex-post operating performance consistently indicate that the crisis hit Japanese firms through the trade and liquidity channels. ...

the purpose of this research is investigation of application of the arbitrage pricing theory and effect of unanticipated changes in a set of macroeconomic variables such as inflation rate, money supply, exchange rate, oil price, term structure and industrial production on expected security return in tehran stock exchange. in this research, data are analyzed quarterly for the period of 1997-2008...

An automatic stock market categorization system would be invaluable to individual investors and financial experts, providing them with the opportunity to predict the stock price changes of a company with respect to other companies. In recent years, clustering all companies in the stock markets based on their similarities in the shape of the stock market has increasingly become a common scheme. ...

We develop a model of asset trading with financial leverage in an economy with a continuum of investors. The investors are assumed to have diverse and rational beliefs in the sense of being compatible with observed data. We show that a reduction in the margin requirement may cause the stock price to rise in the current period because it increases the demand of optimistic investors through a “le...