The purpose of this paper is to investigate the relationship between RMB exchange rate and A-share stock returns in China, in particular in Shanghai stock market. We find that both stock returns and RMB nominal exchange rate are integrated of order 1. The Engle–Granger cointegration test is then performed, suggesting that there is not a long-run equilibrium relationship between stock returns an...

This study examines the impact of the Indian cricket team’s performance in one day international cricket matches on returns on the Indian stock market. The main conclusion of the study is that there exists an asymmetric relationship between the performance of the Indian cricket team and stock returns on the Indian stock market. While a win by the Indian cricket team has no statistically signifi...

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...

Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms’ risk and expected return. In a neoclassical model of a firm with costly scale adjustment options, we show that the effect of scale flexibility (i.e., contraction and expansion options) is to determine the relation between risk and operating leverage: risk increases with operating leverage f...

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...

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...

This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...

because of its extensive applications in financial analysis, stock market volatility modeling is a significantly important issue for stock market practitioners and academicians. using garch models to formulate the conditional variance heteroskedasticity and the taking advantages of panel data technique such as higher degrees of freedom, more flexibility in the control of the omitted or unobserv...

During 1999-2001 more than 35 million messages about public firms were posted on Yahoo! Finance. This paper examines whether stocks with high posting levels also have unusual subsequent returns and/or risk. They do. Stocks with the highest level of posting have unusually high realized volatility and unusually poor subsequent returns. This remains true after accounting for the effects of the mar...