Beijing attempted to host both the 2000 and 2008 Olympic Games, being unsuccessful in 2000 and successful in 2008. This paper analyzes the influences the Olympic host announcements on Chinese stock market indices. Olympic host announcements may impact the bidding countries’ investors’ sentiments (mood effect) and their rational economic expectations (economic effect); thus, the bidding countrie...

The paper focuses on the task of predicting future values of stock market index. Two indices namely CNX Nifty and S&P Bombay Stock Exchange (BSE) Sensex from Indian stock markets are selected for experimental evaluation. Experiments are based on 10 years of historical data of these two indices. The predictions are made for 1–10, 15 and 30 days in advance. The paper proposes two stage fusion app...

Following our previous investigation of the USA Standard and Poor index anti-bubble that started in August 2000, we analyze thirty eight world stock market indices and identify 21 anti-bubble. An “anti-bubble” is defined as a self-fulfilling decreasing price created by positive price-to-price feedbacks feeding overall pessimism and negative market sentiment further strengthened by inter-persona...

The purpose of this study is to investigate the shortand longrun relationships between the US and the German stock markets during overlapping trading hours. We employ the framework of a bivariate common factor model for our empirical analysis to establish a permanent-stationary decomposition of the two major indices (the Deutsche Aktienindex (DAX) for Germany and the Dow Jones Industrial Averag...

This paper presents a better prediction model by the integration of neural network technique and grey theory for the stock index. In this paper, the grey theory applied include grey forecast model and grey relationship analysis. A GM(l, l) grey forecast model was applied to predict the next day’s stock index. Grey relationship analysis was used to filter the most important quantitative technica...

This article applied GARCH model instead AR or ARMA model to compare with the standard BP and SVM in forecasting of the four international including two Asian stock markets indices.These models were evaluated on five performance metrics or criteria. Our experimental results showed the superiority of SVM and GARCH models, compared to the standard BP in forecasting of the four international stock...

We examined whether press reports on the collective mood of investors can predict changes in stock prices. We collected data on the use of emotion words in newspaper reports on traders' affect, coded these emotion words according to their location on an affective circumplex in terms of pleasantness and activation level, and created indices of collective mood for each trading day. Then, by using...

Identifying the mutual interaction is a crucial problem that facilitates the understanding of emerging structures in Chinese stock markets. In this paper, we employ transfer entropy and detrended cross-correlation analysis (DCCA) measurement to investigate the mutual interactions of Chinese stock markets. Transfer entropy is a model-free approach in principle and allows us to detect statistical...