Related papers: Macroeconomic factors and Stock exchange return: A…
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions,…
This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be…
The purpose of this empirical study is to investigate Cash Conversion Cycle of thirty manufacturing firms listed in Dhaka Stock Exchanges under six different categories, which are, Food and allied, Pharmaceuticals and chemical, Cement,…
We report an empirical study of Tehran Price Index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis ($R/S$), modified rescaled range analysis (Lo's method), Detrended Fluctuation Analysis (DFA) and…
This study constructs an Aggregate Financial Stability Index (AFSI) for Bangladesh to evaluate the systemic health and resilience of the countrys financial system during the period from 2016 to 2024. The index incorporates 19 macrofinancial…
This study compared accounting performance of Islamic banks with their market performance and also assessed the effect of firm-specific determinants and cross-sectional effect on accounting and market performance. This study selected all…
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of the CAC40, we begin by reasserting the…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of…
This paper discusses how to crawl the data of financial forums such as stock bar, and conduct emotional analysis combined with the in-depth learning model. This paper will use the Bert model to train the financial corpus and predict the…
The efficiency of the stock market has a significant impact on the potential return on investment. An efficient market eliminates the possibility of arbitrage and unexploited profit opportunities. This study analyzes the weak form…
This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is…
This paper examines how the Shanghai-Hong Kong Stock Connect (SHHK Stock Connect) affects the A-H share price premium and whether the policy effect depends on pre-existing market efficiency. Using monthly data for 67 A-H dual-listed firms…
This study examines the monthly returns in Turkish and American stock market indices to investigate whether these markets experience abnormal returns during some months of the calendar year. The data used in this research includes 212…
Nonparametric cointegrating regression models have been extensively used in financial markets, stock prices, heavy traffic, climate data sets, and energy markets. Models with parametric regression functions can be more appealing in practice…
Firm financials are well established as return predictors, being the inspiration for a large set of anomalies in the asset pricing literature. Employing topological data analysis we revisit the question of association between seven of the…
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways,…
This study aims to identify the leading of inflation indicators of monetary policy in DRC. The results reveal that the most relevant inflation indicators usually come from the monetary origin than the real sector. Variance decomposition…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…
Maintaining low, non-negative and stable inflation levels is a necessary condition for the stability of the economy as a whole, because the monetary authorities of most industrialized countries, including the Central Bank of Costa Rica…