K-means clustering algorithm has been used to classify major world stock market indices as well as most important assets in the Warsaw stock exchange (GPW). In addition, to obtain information about mutual connections between indices and stocks, the Granger-causality test has been applied and the Pearson R correlation coefficients have been calculated. It has been found that the three procedures...

This study aims to evaluate the background of occurrence sleeping stocks in terms number outstanding shares, stock prices, market capitalization, and return on equity. The population this is financial sector companies listed Indonesia Stock Exchange 2016-2020 period. sampling technique used a purposive method with total sample 45. Data analysis methods were time series, cross-section, combined....

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence tha...

in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...

Because prices are a function of expected future liquidity levels, a component of unexpected returns is due to new information about future costs to trade. The first two chapters of this dissertation explore this relationship. Chapter 1 extends the Campbell (1991) return decomposition to include liquidity news, which captures the component of unexpected returns due to revisions in future expect...

This research is an event study that evaluates the performance of large market capitalization shares using a model adjusted to risks due COVID-19 outbreak. The measured stocks which represented each tick size on Indonesian Stock Exchange during pandemic Sharpe Index, Treynor Ratio, and Jensen’s Alpha. sample selection used purposive sampling technique 24 were selected as samples in study. We da...

This study investigates the applicability of the CAPM in explaining the cross section of stock return on the Karachi Stock Exchange for the period September 1992 to April 2006. Unlike earlier studies on emerging markets this study is carried out with a broader scope. Firstly, the tests are conducted on individual stocks as well as size sorted portfolios and industry portfolios. Secondly, the te...

I ran Insurance Company intends to raise its financial credit and render enhanced services to the insured and the public. The need to meet financial obligations arising from the claims requires determination of the optimum deposited claims reserve with banks. Therefore, the present research study aimed at finding the loss ratio (incurred losses to premiu...