the present research aims to evaluate impacts of crude oil price return index, bloomberg petroleum index and bloomberg energy index on stock market returns of 121 companies listed in tehran stock exchange in a 10 years' period from early 2006 to april 2016. first, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. subsequently, to che...

The relationship between returns, volatility and trading volume has interested financial economists and analysts for a number of years. A widely documented result is the positive contemporaneous relationship between price returns and trading volume. This paper investigates the contemporaneous and dynamic relationships between trading volume, returns and volatility for Greek index futures (FTSE/...

The efficient markets hypothesis asserts that the price of an asset reflects all of the information that can be obtained from past prices of the asset. A direct corollary of this hypothesis is that stock prices follow a random walk, and that any profits derived from timing the market are due entirely to chance. In the absence of any ability to predict the market, the most appropriate strategy—a...

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates us...

We characterize the joint dynamics of expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, the stock volatility determines the expected return and the price-dividend ratio. By parameterizing one, or more, of exp...

Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other inves...

This paper examines price level determination from the perspective of portfolio choice. Arbitrages among money balances, bonds, and investment goods determine their relative demands. Returns to real balance holdings and after-tax returns to investment goods determine the relative values of nominal and real assets. Because expectations of government policies ultimately determine the expected ret...

The purpose of this research is to predict stock returns and the purpose of the least squares regression and neural network approach is used. The potential financial ratios based on the historical cost and financial ratios based on Adjusted Cost predict stock returns are investigated. Independent variables and the dependent variable in this study and financial ratios and stock returns is for th...

Risk management and asset pricing benefit from simple functional descriptions of the distribution of real asset returns. Recently, several authors have proposed that asset returns in real stock markets are distributed according to a hyperbolic distribution. While asset returns are generated by trades over time, the natural question is: What does economic theory imply concerning return distribut...

This paper investigates the price adjustment and lead-lag relations between returns on five sizebased portfolios in the Taiwan stock market. It finds evidence that the price adjustment of smallstock portfolios is not slower than that of large-stock portfolios. Additionally, limited evidence supports a positive leading role of large-stock portfolio returns over small-stock portfolio returns. The...