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71 articles for “Stock Market”
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Research ArticleOpen accessPhrase in the titleA Random Walk Model for Stock Market PricesS. O.N. Agwuegbo, A. P. Adewole, A. N. MaduegbunaProblem statement: The stock exchange market has been one of the most popular investments in the recent past due to its high returns. The market has become an integral part of the global economy to the extent that any fluctuation in this market influences personal and corporate financial lives and the economic health of a country. The daily behavior of … …Journal of Mathematics and Statistics, Vol. 6, Issue 3 · 30 Sep 2010 · 8,681 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleEmerging Stock Market Performance and Economic GrowthSeyyed Ali Paytakhti OskooeProblem statement: In spite of significant development in Iran stock market as a emerging stock market, there has been not specific research on the causality between the stock prices and economic growth. This study represented a systematic investigation of the relationship between stock market performance and economic growth in Iran by conducting causality tests within the Vector Error Correction Model … …American Journal of Applied Sciences, Vol. 7, Issue 2 · 28 Feb 2010 · 8,465 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleStock Market Development and Economic GrowthAthanasios Vazakidis, Antonios AdamopoulosProblem statement: This study investigated the causal relationship between stock market development and economic growth for France for the period 1965-2007 using a Vector Error Correction Model (VECM). Questions were raised whether stock market development causes economic growth or reversely taking into account the negative effect of interest rate. Stock market development is estimated by the general stock market index. … …American Journal of Applied Sciences, Vol. 6, Issue 11 · 30 Nov 2009 · 8,364 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleModeling and Forecasting Volatility of the Malaysian Stock MarketsAhmed Shamiri, Zaidi IsaProblem statement: One of the main purposes of modeling variance is forecasting, which is crucial in many areas of finance. Despite the burgeoning interest in and evaluation of volatility forecasts, a clear consensus on witch volatility model/or distribution specification to use has not yet been reached. Therefore, the out of-sample forecasting ability should be a natural model selection criterion for … …Journal of Mathematics and Statistics, Vol. 5, Issue 3 · 30 Sep 2009 · 7,906 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleRandom Forest Based Feature Selection of Macroeconomic Variables for Stock Market PredictionIsaac Kofi Nti, Adebayo Felix Adekoya, Benjamin Asubam WeyoriA firm’s equity price on the stock-market is reported to be closely related to the Macroeconomic Variable (MVs) of the country in which the firm trades. For this reason, researchers, market traders, financial analysts and forecasters to examine the association between MVs and stock-price have carried out numerous studies, using time-series statistical analysis methods like Autoregressive Integrated Moving Average (ARIMA), … …American Journal of Applied Sciences, Vol. 16, Issue 7 · 31 Jul 2019 · 10,240 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleA Study on the Behavior of Volatility in Saudi Arabia Stock Market Using Symmetric and Asymmetric GARCH ModelsAjab Al Freedi, Ahmed Shamiri, Zaidi IsaProblem statement: This study examines several stylized facts (heavy-tailedness, leverage effect and persistence) in volatility of stock price returns exploiting symmetric and asymmetric GARCH family models for Saudi Arabia. Approach: This study is carried out using closing stock market prices over 15 years covering the period 1 January 1994 to 31 March 2009. The sample period is divided into three … …Journal of Mathematics and Statistics, Vol. 8, Issue 1 · 7 Feb 2012 · 7,581 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleSuitability of Volatility Models for Forecasting Stock Market Returns: A Study on the Indian National Stock ExchangeTrilochan Tripathy, Luis A. Gil-AlanaProblem statement: Measuring volatility is an important issue for stock market traders. Also, volatility has been used as a proxy for riskiness associated with the asset. This study aims to compare the different volatility models based on how well they model the volatility of the India NSE. Approach: The study has made use of five models which are Historical/Rolling Window … …American Journal of Applied Sciences, Vol. 7, Issue 11 · 8 Nov 2010 · 7,854 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleVolatility in Malaysian Stock Market: An Empirical Study Using Fractionally Integrated ApproachChin Wen CheongThis study explores the fractionally integrated (FI) time series analysis in Malaysian stock market. Four proxies of latent volatility, namely the absolute return, squared return and range-based (Parkinson and Garman and Klass) volatilities are selected for the empirical studies. In addition, the well-known FI autoregressive conditional variance (ARCH) type model is also taken into account for comparison purposes. Our empirical … …American Journal of Applied Sciences, Vol. 5, Issue 6 · 30 Jun 2008 · 6,712 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleThe Mechanism of Stock Market Integration: Evidence for the Taiwan and U.S. Stock MarketMin-Hsien Chiang, Rung-Ho Lai, Hsiao-Ching LeeThis study investigates the sources of the comovement of the Taiwan and U.S. stock market. The empirical evidence shows that both economic fundamentals and equity risk premiums can act as transmission mechanisms of both markets. In the meantime, the financial integration is much stronger than real economic integration. Moreover, the deregulation of foreign investments in Taiwan and the Southeast Asian … …American Journal of Applied Sciences, Vol. 1, Issue 1 · 31 Mar 2004 · 7,199 accessesView PDFCite
Research ArticleOpen accessPhrase in the titlePredicting Support and Resistance Indicators for Stock Market with Fibonacci Sequence in Long Short-Term MemoryThambusamy Velmurugan, Thiruvalluvan IndhumathyPredictive data analytics is a branch of data analytics where models are designed that effectively interpret; anticipate outcomes by analyzing present data to make predictions about future. One of the major attributes for prediction is time and there have been a considerable number of time series analytical models that are used for forecasting. Long Short-Term Memory (LSTM) is a deep … …Journal of Computer Science, Vol. 16, Issue 10 · 28 Oct 2020 · 7,323 accessesView PDFCite