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41 results for “stock exchange”
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Research ArticleOpen accessPhrase in the titleA Comparative Study on the Information Effect of Stock Lending and Borrowing and Short Selling between the Korea Stock Exchange and the New Stock ExchangeYeongsuk Cho, Youngsik KwakThe purpose of this study is to compare the information effect of Stock Lending and Borrowing (SLB) and short selling between the Korea Stock Exchange (KRX) and the New York Stock Exchange (NYSE). While most previous studies analyzed the information effect with a focus on short selling, this study links short selling to SLB and examines how SLB and short … …American Journal of Economics and Business Administration, Vol. 10, Issue 1 · 4 Oct 2018 · 8,174 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleForecasting the Stock Exchange of Thailand uses Day of the Week Effect and Markov Regime Switching GARCHP. Sattayatham, N. Sopipan, B. PremanodeProblem statement: We forecast return and volatility of the Stock Exchange of Thailand (SET) Index. Approach: In this study, we modeled the SET Index returns using mean equation with day of the week effect and autoregressive moving-average. Next we forecast the volatility of the SET Index by using the GARCH-type model and the Markov Regime Switching GARCH (MRS-GARCH) model. Results: … …American Journal of Economics and Business Administration, Vol. 4, Issue 1 · 15 Mar 2012 · 7,865 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleEvaluation of Artificial Immune System with Artificial Neural Network for Predicting Bombay Stock Exchange TrendsM. Gunasekaran, K. S. RamaswamiProblem statement: The purpose of this study is to develop an artificial immune system for recognizing stock market trends and predict upward and downward directions of stock market. This study compared two prediction models, an Artificial Immune System (AIS) and Artificial Neural Network (ANN) for predicting the future index value, trend of Indian stock market and discovers the best prediction … …Journal of Computer Science, Vol. 7, Issue 7 · 28 Jun 2011 · 7,075 accessesView PDFCite
Research ArticleOpen accessPhrase 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 accessPhrase in the titleComparing the Empirical and the Theoretical Probability Density of Return in which Variance Obeying Ornstein-Uhlenbeck Process at Indonesian Stock Exchange IDXDwi Satya Palupi, Eduardus Tandelilin, Arief Hermanto, Muhammad Farchani RosyidThe distribution of the probability density of a return index with stochastic volatility has been calculated. Here the stock index is assumed to follow geometric Brownian motion, while the variance is assumed to obey Ornstein-Uhlenbeck process as in Heston model. The distribution of the probability density of the return which is obtained by solving the Fokker-Planck equation of two dimensional … …American Journal of Applied Sciences, Vol. 14, Issue 9 · 17 May 2017 · 7,625 accessesView PDFCite
Research ArticleOpen accessPhrase 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 accessPhrase in the titleDetermination and Evaluation of Privatization Effects on Financial Performance of Firms in Tehran Stock Exchange (TSE)Hossein Panahian, Hamid AkbarzadehProblem statement: Does privatization process, as form of transferring the control of public (state-owned) companies via Tehran Stock Exchange, effect positively on their financial performance? In this study privatized and public firms were compared during 3 years before and after privatization process from 1994 -2007. Approach: To achieve the purpose of the study, the pre-test and post-test design was used. … …American Journal of Applied Sciences, Vol. 7, Issue 4 · 30 Apr 2010 · 6,928 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleThe Random Walk Hypothesis for the Zimbabwe Stock Exchange: January 1998-November 2006Tafirenyika Sunde, James ZivanomoyoThe main intention of this study was to investigate, using monthly data, whether prices in the Zimbabwe Stock Exchange (ZSE) follow a random-walk process as required for there to be market efficiency. The study applied the unit root tests to establish if the ZSE followed a random walk or not. If the ZSE follows a random walk it is said … …Journal of Social Sciences, Vol. 4, Issue 3 · 30 Sep 2008 · 8,085 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 · 7,851 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleA Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural BreakChin Wen CheongWe investigated the weak-form market efficiency of nine daily sectoral indices of Malaysian stock market between 1996 and 2006. The structural break unit root tests evidenced most of the price indices characterized by mean-reverting process that violated the random walk process. These empirical results were in sharp contrast with the traditional unit-root test which ignored the economic crisis and currency … …American Journal of Applied Sciences, Vol. 5, Issue 10 · 31 Oct 2008 · 7,286 accessesView PDFCite