Abstract This paper uses R/S (Rescaled Range) analysis and fractional integration techniques to examine the persistence of two sets 12 ESG (Environmental, Social Governance) conventional stock price indices from MSCI ((Morgan Stanley Capital International) database over period 2007–2020 for a large number both developed emerging markets. Both results imply that there are no significant differen...

The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the effic...

This paper investigates the statistical properties of stock returns in the West African regional stock market and the link between the West African regional stock market and economic growth. To examine the nature of the distribution of West African regional stock returns, the daily closing prices of the two stock index of West African regional stock market, and eighteen of it sub-indices were u...

We introduce a novel predictive statistical modeling technique called Hybrid Radial Basis Function Neural Networks (HRBF-NN) as a forecaster. HRBF-NN is a flexible forecasting technique that integrates regression trees, ridge regression, with radial basis function (RBF) neural networks (NN). We develop a new computational procedure using model selection based on information-theoretic principles...

The presented article is about a research using artificial neural network (ANN) methods for compound (technical and fundamental) analysis and prognosis of Lithuania’s National Stock Exchange (LNSE) indices LITIN, LITIN-A and LITIN-VVP. We employed initial pre-processing (analysis for entropy and correlation) for filtering out model input variables (LNSE indices, macroeconomic indicators, Stock ...

Purpose: The study intends to address the question, “What is impact of Covid-19 pandemic on stock market indices in Colombo Stock Exchange”. This would support potential and existing investors understand behaviour during make effective long-term decisions since there are only a few studies currently available Sri Lankan context.Design/Methodology/Approach: A log-linear multiple regression model...

Stock market prediction is important and of great interest because successful prediction of stock prices may promise attractive benefits. These tasks are highly complicated and very difficult. In this paper, we investigate the predictability of stock market return with Adaptive Network-Based Fuzzy Inference System (ANFIS). The objective of this study is to determine whether an ANFIS algorithm i...