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21 articles for “Stock Returns”
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Research ArticleOpen accessEvery word in the titleForecasting the Spanish Stock Market Returns with Fractional and Non-Fractional ModelsGuglielmo Maria Caporale, Juncal Cunado, Luis A. Gil-AlanaProblem statement: The content of this note was to assess the forecasting accuracy of various models of the Spanish stock market returns. Approach: We use daily data on the IBEX 35 for the time period January 4th, 2001-March 28th, 2006 and employ both fractional and non-fractional models. Results: The results on the prediction errors for the out-of-sample forecasts indicate that … …American Journal of Economics and Business Administration, Vol. 3, Issue 4 · 8 Dec 2011 · 7,316 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleFORECASTING RETURNS FOR THE STOCK EXCHANGE OF THAILAND INDEX USING MULTIPLE REGRESSION BASED ON PRINCIPAL COMPONENT ANALYSISNop Sopipan, Anchalee Sattayatham, Samruam ChongcharoenThe aim of this study was to forecast the returns for the Stock Exchange of Thailand (SET) Index by adding some explanatory variables and stationary Autoregressive Moving-Average order p and q (ARMA (p, q)) in the mean equation of returns. In addition, we used Principal Component Analysis (PCA) to remove possible complications caused by multicollinearity. Afterwards, we forecast the volatility … …Journal of Mathematics and Statistics, Vol. 9, Issue 1 · 18 Mar 2013 · 7,438 accessesView PDFCite
Research ArticleOpen accessEvery word 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 · 7,851 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleModelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using Garch ModelsFrimpong Joseph Magnus, Oteng-Abayie Eric FosuThis paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models. The unique ‘three days a week’ Databank Stock Index (DSI) was used to study the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated and their specification and forecast … …American Journal of Applied Sciences, Vol. 3, Issue 10 · 31 Oct 2006 · 7,551 accessesView PDFCite
Research ArticleOpen accessIn the keywordsAnalyzing and Estimating Portfolio Performance of Bangladesh Stock MarketMd. Zobaer Hasan, Anton Abdulbasah Kamil, Adli Mustafa, Md. Azizul BatenCapital Asset Pricing Model (CAPM) is one of the most important developments in the finance literature. Simply, CAPM is a model that describes the relationship between risk and expected return. The theoretical validity of CAPM is well tested and accepted but the practical validity of CAPM is in questioned. This study is designed to analyze and estimate the portfolio performance … …American Journal of Applied Sciences, Vol. 10, Issue 2 · 6 Feb 2013 · 8,010 accessesView PDFCite
Research ArticleOpen accessIn the abstractComparative Study of Garuda Indonesia Stock Price Prediction Using SVM, LSTM and Multiple Linear RegressionMuhammad Naufal Luthfi, Evaristus Didik MadyatmadjaStock shares are one of the investment products or tools that have been used by many people. Shares have interesting options for saving or investment and are able to provide attractive returns based on corporate or company growth. Many factors can affect the share prices, whether internal or external companies. This research was conducted on Garuda Indonesia's stock price with … …Journal of Computer Science, Vol. 21, Issue 4 · 25 Mar 2025 · 5,032 accessesView PDFCite
Research ArticleOpen accessIn the abstractStock Return, Growth and Inflation in India: Analysis of Stochastic Seasonality, Impulse Response and Multivariate GARCHPanchanan DasThis study analyses the empirical interdependence among asset returns, industrial growth and inflation after controlling for interest rate by considering stochastic seasonality and conditional volatility with monthly time series in India. The HEGY unit root test suggests that industrial growth and inflation experience only stochastic trend and no persistent stochastic behaviour at any other seasonal frequencies, while stock return follows … …American Journal of Applied Sciences, Vol. 18, Issue 1 · 3 May 2021 · 7,344 accessesView PDFCite
Review ArticleOpen accessIn the abstractDoes Intellectual Capital Affect the Volatility of Returns? An Empirical Investigation on Italian Listed CompaniesBrett W. Cantrell, Daniela Coluccia, Stefano Fontana, Silvia SolimeneIn modern information economies, economic success increasingly depends on the ability to apply knowledge and to transform it into firm value. While intellectual capital plays a critical role in firm success, it is an intangible asset that is difficult to measure and that is unrecorded by the firm. Difficulties in measuring intellectual capital, as well as the dynamic nature of … …American Journal of Applied Sciences, Vol. 14, Issue 12 · 10 Jan 2018 · 8,520 accessesView PDFCite
Research ArticleOpen accessIn the abstractInformation Contents of Short Selling Restriction and Stock Lending and Borrowing TransactionsYoungsik Kwak, Yeongsuk ChoThis study focuses on the distinctive incident in which Stock Lending and Borrowing (SLB) transaction and short selling grew continuously even during the wavering period of the Korea Composite Stock Price Index (KOSPI) in the Korea Exchange (KRX) market. The authors analyze the information contents of SLB and short selling on KOSPI financial stocks. The financial stocks were freed from … …American Journal of Economics and Business Administration, Vol. 9, Issue 2 · 26 Oct 2017 · 7,980 accessesView PDFCite
Research ArticleOpen accessIn the abstractA MATHEMATICAL ANALYSIS OF THE INCLUSION OF INSTITUTIONAL BETTING FUNDS INTO STOCK MARKET: THE CASE OF TECHNICAL AND FUNDAMENTAL PAYOFF MODELS IN HORSERACE BETTINGCraig George Leslie Hopf, Gurudeo Anand TularamHorserace win and place returns have yet to be considered seriously as portfolio inputs in financial trading markets. However there exist technical and fundamental stochastic models of parametric and nonparametric distribution that appear to optimize expected returns from win and place investing in the horserace wagering market. In this study, a complex number optimization technique is introduced and applied to … …Journal of Mathematics and Statistics, Vol. 10, Issue 3 · 23 Aug 2014 · 6,790 accessesView PDFCite