نتایج جستجو برای: stock indices

تعداد نتایج: 171934  

Journal: :management studies and economic systems 2015
muhammad amir alvi sajjad hussain chughtai ayaz ul haq

the focal objective of this study is to analyze and explore the co-movement of pakistan stock market (kse-100) with the stock market of developed countries (us, uk, canada, australia, germany, japan, france and neither land) which have portfolio investment in pakistan by applying co-integration approach using johansen and juselius multivariate and bi variate co-integration. secondary data of st...

2011
JIGUANG SHAO JUN WANG

In this paper, we consider the statistical properties of chain reaction of stock indices. The theory of interacting systems and statistical physics are applied to describe and study the fluctuations of two stock indices in a stock market, and the properties of the interacting reaction of the two indices are investigated in the present paper. In this work, stochastic analysis and the two random ...

Journal: :تحقیقات اقتصادی 0
غلامرضا کشاورز حداد دانشگاه صنعتی شریف، دانشکده ی مدیریت و علوم اقتصادی سپهر مقاره عابد دانشگاه ایلینوی شمالی امریکا

us 2008 financial crisis, spreaded out across the international stock markets in the second half of the year 2008. the crisis decreased the returns and increased the volatilities of almost all of the stock indices, however, its effects on iran’s stock markets were unexplored. financial limitations create an exclusive situation in iran’s stock market. using weekly data on the stock indices from ...

1996
John T. Barkoulas Christopher F. Baum

We test for long term dependence in U.S. stock returns, analyzing composite and sectoral stock indices and firms' returns series to evaluate aggregation effects. Fractal dynamics are not detected in stock indices, but are present in some firms’ returns series.

2014
Xiao-Qian Sun Hua-Wei Shen Xue-Qi Cheng

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading ...

1998
Peter Fortune

T he measurement of the " average " price of common stocks is a matter of widespread interest. Investors want to know how " the market " is doing, and to be able to compare their returns with a meaningful benchmark. Money managers often have their compensation tied to performance, typically measured by comparing their results to a benchmark portfolio, so they and their clients are interested in...

Journal: :JCIT 2008
Meng-Long Shih Shu-Hua Hsiao Fang-Sheng Chen

With trend of globalization in the international financial market, a more intimate relationship of capital flows is being formed day by day in capital market. Thus, it is important to understand the relationship of individual country with others in the international stock markets. The main purpose of this study is to explore the relationship of Stock Indices among China, US, and Japan. The stud...

2001
Kausik Chaudhuri Yangru Wu

Abstract This paper investigates whether stock-price indices of seventeen emerging markets can be characterized as random walk (unit root) or mean reversion processes. We implement a test that can account for possible structural breaks in the underlying series and is considerably more powerful than standard tests for a random walk. We find that for fourteen countries, stock prices exhibit signi...

2008
Okyu Kwon

Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pacific region the biggest is receives the most information. According to the minimum spanning tree, the GSPC is located at the focal point of the information source for world stock markets. Introduct...

2004
Pedro N. Rodriguez Arnulfo Rodriguez

This paper examines the extent to which the daily movements of three large emerging markets stock indices are predictable. Lagged technical indicators are used as explanatory variables. In the analysis we employed seven classification techniques and assessed the discriminatory power of the classifiers through the area under the receiver operating characteristic (ROC) curve. The results show tha...

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