this world; though all the discussions are focused on the causal relationships in allthe scientific arguments. one of the methods to study the designed causal relationshipsobjectively is granger causality test. this paper aims to investigate the longtermcausal relationship between the stock price and dividends. the statisticalpopulation includes 180 active companies in stock exchange of tehran ...

A b s t r a c t a r t i c l e i n f o JEL classification: C23 G15 Q43 Keywords: Asymmetric effects International stock markets Oil prices Panel data Oil price volatility Although studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effect...

This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market ...

a r t i c l e i n f o JEL classification: E52 G10 G14 Keywords: High oil price events Asymmetric impacts of monetary shocks Financing constraints This paper investigates whether a high oil price event that worsens the quality of a firm's balance sheet in turn provides an additional transmission channel to the stock market, which then affects stock returns. We examine the asymmetric impacts of m...

We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China's stock market. Then, we designed a series of simu...

This paper uses a quantile impulse response approach to investigate the impact of oil price shocks on Chinese stock returns. This process allows us to uncover asymmetric effects of oil price shocks on stock market returns by taking into account the different quantiles of oil price shocks. Our results show that the responses of Chinese stock market returns to oil price shocks differ greatly, dep...

China has been moving out from its country into other countries in the world, including Malaysia, with some positive and negative news. We are to examine the impact of China’s investment on our employment, price level and productivity as well as sectoral stock market performances: consumer products and services; construction and industrial sectors. The causality analyses on quarterly data from ...

We examine the impact of share repurchases on the information content of stock prices using several measures of price efficiency. The study is based on manually collected data on share repurchases in the United States for the period 2004-2010. We find that share repurchases make prices more efficient. In particular, share repurchases increase the accuracy of the stock price after negative infor...