Bibliografías temáticas / Stock markets

Literatura académica sobre el tema "Stock markets"

Autor: Grafiati
Publicado: 4 de junio de 2021
Última modificación: 6 de septiembre de 2023

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Artículos de revistas sobre el tema "Stock markets"

1

Kirkulak Uludag, Berna y Muzammil Khurshid. "Volatility spillover from the Chinese stock market to E7 and G7 stock markets". Journal of Economic Studies 46, n.º 1 (7 de enero de 2019): 90–105. http://dx.doi.org/10.1108/jes-01-2017-0014.

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PurposeThe purpose of this paper is to examine volatility spillover from the Chinese stock market to E7 and G7 stock markets. Using the estimated results, the authors also analyze the optimal weights and optimal hedge ratios for the portfolios including stocks from E7 and G7 countries.Design/methodology/approachThe authors employed generalized vector autoregressive-generalized autoregressive conditional heteroskedasticity approach, developed by Ling and McAleer (2003), in order to analyze daily data on the national stock indices. Considering the late establishment of some E7 stock markets, the sampling covers the period from 1995 through 2015.FindingsThe findings indicate significant volatility spillover from the Chinese stock market to E7 and G7 stock markets. In particular, the Chinese stocks highly co-move with the stocks of countries within a same geographical region. While the highest volatility spillover occurs between China and India among E7 countries, the highest volatility spillover occurs between China and Japan among G7 countries. Furthermore, the examination of optimal weights and hedge ratios suggest that investors should hold more stocks from G7 countries than E7 countries for their portfolios.Originality/valueTo the best of the authors’ knowledge, this is the first study which investigates the volatility spillover in the stock markets of G7 and E7 countries. Moreover, the current study contributes particularly to the existing limited literature on the Chinese stock market. Since the Chinese stock market is not fully integrated to other markets and it is subject to intense government interventions, there is a widely accepted belief that the contagion effects from the Chinese stock market to other stock markets are not influential. This view discourages and limits the prospect studies. However, the findings of this paper refute this view and indicate significant interaction among the Chinese stock market and E7 and G7 stock markets.
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Robiyanto, Robiyanto. "Indonesian Stock Market’s Dynamic Integration with Asian Stock Markets and World Stock Markets". Jurnal Pengurusan 52 (2018): 181–92. http://dx.doi.org/10.17576/pengurusan-2018-52-15.

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Shkolnyk, Inna, Serhiy Frolov, Volodymyr Orlov, Viktoriia Dziuba y Yevgen Balatskyi. "Influence of world stock markets on the development of the stock market in Ukraine". Investment Management and Financial Innovations 18, n.º 4 (24 de noviembre de 2021): 223–40. http://dx.doi.org/10.21511/imfi.18(4).2021.20.

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Viewing the development of the stock market in Ukraine, the economy, which world financial organizations characterize as small and open, is largely determined by the trends formed by the global stock markets and leading stock exchanges. Therefore, the study aims to analyze Ukraine’s stock market, the world stock market, stock markets in the regions, and to assess their mutual influence. The study uses the data of the World Federation of Exchanges and National Securities and Stock Market Commission (Ukraine) from 2015 to 2020. Stock market performance forecasts are built using triple exponential smoothing. Based on pairwise correlation coefficients, the existence of a significant dependence in the development of the world stock market on the development of the American stock market was determined. Regarding the Ukrainian stock exchanges, only SE “PFTS” demonstrated its dependence on the US stock market. The results of the regression model based on an exponentially smoothed series of trading volumes in all markets showed that variations in the volume of trading on the world stock market are due to the situation on the US stock markets. Trading volume dynamics on Ukrainian stock exchanges such as SE “PFTS” and SE “Perspektiva” is almost 50% determined by the development of stock markets in the American region. Although Ukraine is geographically located in Europe, the results show a lack of significant links and the impacts of stock markets in this region on the major Ukrainian stock exchanges and the stock market as a whole.
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4

Yousaf, Imran, Shoaib Ali y Wing-Keung Wong. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management". Journal of Risk and Financial Management 13, n.º 10 (25 de septiembre de 2020): 226. http://dx.doi.org/10.3390/jrfm13100226.

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This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese Stock market crash. We also calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover was observed from the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the volatility was transmitted from the USA to the majority of the Asian stock markets during the Chinese stock market crash. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The weights of American stocks in the Asia-US portfolios were found to be higher during the Chinese stock market crash than in the US financial crisis. For the majority of the Asia-China portfolios, the optimal weights of the Chinese stocks were almost equal during the Chinese stock market crash and the US financial crisis. Regarding hedge ratios, fewer US stocks were required to minimize the risk for Asian stock investors during the US financial crisis. In contrast, fewer Chinese stocks were needed to minimize the risk for Asian stock investors during the Chinese stock market crash. This study provides useful information to institutional investors, portfolio managers, and policymakers regarding optimal asset allocation and risk management.
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Setiawan, Budi y Muhammad Hidayat. "PENGARUH PASAR MODAL NEGARA G-3 TERHADAP PASAR MODAL ASEAN-5". Jurnal Ilmiah Ekonomi Global Masa Kini 8, n.º 3 (8 de enero de 2018): 11–15. http://dx.doi.org/10.36982/jiegmk.v8i3.348.

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The stock market has captured the attention of many practitioners and scholars in the past decade. It has become one of the most vital aspects of a modern market economy. The stock market provides companies with access to capital and gives opportunity for investors to have a slice of company ownership. The present paper investigates the impact of G-3 stock markets (US, Japan and Europe) to ASEAN-5 stock markets (Indonesia, Malaysia, Philippines, Thailand and Singapore). The data coverage is composed of daily closing stock index at G-3 stock markets and ASEAN-5 stock markets over the period from January 4, 2000 to December 31, 2014. The historical stock market data were analyzed by using Structured Equation Model (SEM). The empirical results suggest that the G-3 stock markets have a positive and significant impact on ASEAN-5 stock markets. For further, the researcher could add other Asia stock markets such as Nikkei225 Index (Japan), Hang Seng Index (Hong Kong), Kospi Index (South Korea), and BSE Index (India).Keywords: G-3 Stock Markets, ASEAN-5 Stock Markets, Structured Equation Model, Stock Market Diversification; Contagious Effect.Â
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Chang, Ruiqian. "Financial Technology: China’s Stock Markets vs U.S. Stock Markets". E3S Web of Conferences 275 (2021): 01006. http://dx.doi.org/10.1051/e3sconf/202127501006.

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This paper provides a detailed analysis of the difference between the Chinese stock market and the U.S. stock market under the development of financial technology. In conclusion, we find that the Chinese stock market is more dominated by retail investors, but the United States owns more stocks, mostly held by institutional investors, and has a better financial mindset. The behavior of investors in the Chinese stock market is mainly the excessive speculation of investors in the Chinese market. This is one of the reasons for the many fluctuations in the Chinese stock market. Due to the speculative nature of China’s stock market, the floating ratio reflects the management mechanism of China’s stock market and helps to observe the correlation with the U.S. stock market. And technology and digitalization affect the trading of the stock market. This research is correlational, and there is no causality implied.
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Chi, Wei, Robert Brooks, Emawtee Bissoondoyal-Bheenick y Xueli Tang. "Classifying Chinese bull and bear markets: indices and individual stocks". Studies in Economics and Finance 33, n.º 4 (3 de octubre de 2016): 509–31. http://dx.doi.org/10.1108/sef-01-2015-0036.

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Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach By comparing the intervals of bull and bear markets between stocks and indices based on a Markov switching model, this paper examines whether different industries or A- and B-share markets could lead to different stock market cyclical behaviour and whether firm size can determine the relationship between the firm stock cycles on the market cycles. Findings This paper finds a high degree of overlapping of bear cycles between stocks and indices and a high level of overlapping between the bear market and a fraction of stock with increasing stock prices. This leads to the conclusion that the stock performance and trading behaviour are widely diversified. Furthermore, the paper finds that the same industry may have different overlapping intervals of bull or bear cycles in the Shanghai and Shenzhen stock markets. Firms with different sizes could have different overlapping intervals with bull or bear cycles. Originality/value This paper fills the literature gap by establishing the cyclical behaviour of stock markets.
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Imhanzenobe, Japhet Osazefua. "Historical Development of Frontier Stock Markets in Sub-Saharan Africa". International Journal of Professional Business Review 8, n.º 7 (10 de julio de 2023): e02659. http://dx.doi.org/10.26668/businessreview/2023.v8i7.2659.

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Purpose: The purpose of this research is to review and compare the development of the three major frontier stock markets in Sub-Saharan Africa over time. The study provides some narrative around the historical development of each market as well as a theoretical backdrop for stock market development studies. Theoretical framework: The adaptive market hypothesis was used as the theoretical backdrop for the study. The adaptive market suggests that stock markets develop in an evolutionary manner (similar to natural selection). This evolution of stock market development is influenced by changes in investors’ behavior and regulatory standards. Design/methodology/approach: Data was collected from 1993 to 2020 on the IMF market efficiency score, the value of stocks traded, aggregate market capitalization, and the number of listed companies for the sample markets. The study used descriptive statistics and trend analysis to discuss and compare the stock market development indicators across the different selected frontier markets. Findings: The study discovered an improvement in stock market performance across the sample period. The Johannesburg Stock Exchange was found to be the most developed of the three stock exchanges. The Nigerian Stock Exchange was second while the Nairobi Stock Exchange was third. Some factors that erode the performance of these stock markets were also discussed. The practical and social implications: The sample stock markets are the major frontier markets, and so are often the first stop for foreign investors that want to penetrate the Sub-Saharan African markets. The performance of these markets often determines the level of foreign direct investment (FDI) and foreign portfolio investment (FPI) that flow into Africa. Originality/ Value: Few studies have investigated the performance of stock markets in Sub-Saharan Africa. Also, the few studies that investigate the performance of these markets rarely proceed to discuss the market-wide factors that erode the performance of these markets compared to those of developed economies. Some factors like the size of the economy, low financial literacy, misplaced government policies, poor investment culture, buy-and-hold-tight attitude, and high transaction costs were identified and discussed.
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9

Bauman, W. Scott, C. Mitchell Conover y Robert E. Miller. "The Performance of Growth Stocks and Value Stocks in the Pacific Basin". Review of Pacific Basin Financial Markets and Policies 04, n.º 02 (junio de 2001): 95–108. http://dx.doi.org/10.1142/s0219091501000358.

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Many studies show that value stock strategies outperform growth stock strategies in U.S. markets and in international markets. However, the evidence is not clear as growth stocks have had higher returns in a few countries. Because the behavior of stock markets vary between different geographic regions, it is possible that the performance of these strategies may differ in the Pacific Rim region. We examine the performance of value stocks and growth stocks, defined on the basis of market price to book value per share, over the 10-year period 1986-1996, for six Pacific Rim countries. Based on over 11,900 annual stock returns, value stocks generally outperformed growth stocks over the 10-year period, and in the various Pacific Rim country stock markets. In addition, smaller cap stocks outperformed large cap stocks. Regardless of cap size, however, value stocks, on the whole, outperformed growth stocks. When growth stocks occasionally outperformed value stocks, the margin of difference tended to be small.
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Kumar, Rakesh y Raj S. Dhankar. "Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty". Vikalpa: The Journal for Decision Makers 34, n.º 4 (octubre de 2009): 25–36. http://dx.doi.org/10.1177/0256090920090403.

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Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If efficient market hypothesis (EMH) holds true, it will prevent the investors to realize extra return by utilizing the inherent information of stocks. They will realize extra returns only by incorporating the extra risky stocks in their portfolios. While empirical tests of EMH and risk-return relationship are plentiful for developed stock markets, the focus on emerging stock markets like India, Pakistan, Sri Lanka, etc., began with the liberalization of financial systems in these markets. With globalization and deregulation, the enormous opportunities of investment in South Asian stock markets have attracted the domestic and foreign institutional investors in general, and to reduce their portfolio risk by diversifying their funds across the markets in particular. The efforts are made in this study to examine the cross-correlation in stock returns of South Asian stock markets, their regional integration, and interdependence on global stock market. The study also examines the important aspects of investment strategy when investment decisions are made under risk and uncertainty. The study uses Bombay stock exchange listed index BSE 100 for India, Colombo stock exchange listed Milanka Price Index for Sri Lanka, Karachi stock exchange listed KSE 100 for Pakistan, Dhaka stock exchange listed DSE-General Index for Bangladesh, and S & P Global 1200 to represent the global market. It carries out a comprehensive analysis, tracing the autocorrelation in stock returns, cross correlations in stock returns under risk and uncertainty, interdependency among the South Asian stock markets, and that with the global stock market. The research methodology applied in the study includes application of Ljung-Box to examine the cross-correlation in stock returns, ARCH and its generalized models for the estimation of conditional and asymmetric volatilities, and Ljung-Box as a diagnostic testing of fitted models, and finally correlation to examine the interdependency of these markets in terms of stock returns and expected volatility. The results bring out the following: L-B statistics suggests the presence of autocorrelation in stock returns in all Asian stock markets; however, for the global market, autocorrelations are significant at 15 lags, and thereafter they are insignificant. The significant autocorrelations in stock returns report volatility clustering in stock returns, reject the EMH, and hold that current stock returns are significantly affected by returns being offered in the past. ARCH and its generalized models significantly explain the conditional volatility in all stock markets in question. The study rejects the relationship between stock returns and expected volatility; however, the relationship is significant with unexpected volatility. It brings out that investors adjust their risk premium for expected variations in stock prices, but they expect extra risk premium for unexpected variations. With their entry into the liberalization phase, South Asian stock markets have reported regional interdependence, and also interdependence with the global stock market.
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Tesis sobre el tema "Stock markets"

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Wongbangpo, Praphan. "Dynamic analysis on ASEAN stock markets". access full-text online access from Digital dissertation consortium, 2000. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?9982126.

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Wan, Hakman Alberick. "On the agent market model of stock markets". Thesis, University of Sunderland, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.288016.

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Kwan, Wai-ching Josephine. "Trend models for price movements in financial markets /". [Hong Kong] : University of Hong Kong, 1994. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13841397.

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Zhang, Qingjing. "Liquidity in stock markets". Thesis, Durham University, 2014. http://etheses.dur.ac.uk/10926/.

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This thesis uses liquidity to examine some stock market phenomena. It begins by researching the role of liquidity in explaining the “disappearing dividend puzzle” across several financial markets. Then, it examines the cash/stock dividend payouts and their determinants in China. Finally, this paper investigates the interplay among illiquidity, variance risk premium and stock market returns. The research studies the disappearing dividend puzzle with a large sample of firms representing eighteen countries over the sample period from 1989 to 2011. Our investigation finds that risk is an important determinant of firms’ dividend payout policy. For firms in the US, France, UK and other European markets, liquidity plays an additional role in explaining the changes in propensity to pay. Then we test the explanatory power of liquidity, risk and catering incentives in the “disappearing dividend puzzle”. The thesis finds support for catering theory among firms in common law countries but not those in civil law countries. The catering incentives persist even after adjusting the propensity to pay for liquidity. However, after controlling for risk, the significant explanatory power of catering incentives in the changes in propensity to pay disappears. Our results indicate that catering incentives capture the risk difference between dividend payers and non-dividend payers. Then, the research studies the payout patterns of both cash and stock dividend in China over the sample period 1999-2013. The Chinese stock market is a fast-growing market with some special characteristics, such as complicated corporate ownership structures. The specific characteristics of Chinese firms might affect the dividend payout policy in China. We first study the determinants of Chinese firms’ dividend payout policy. Our results indicate that lifecycle, risk and liquidity are important determinants of firms’ cash/stock dividend policy. We find that firms with larger board size and fewer annual board meetings are more likely to pay cash dividends and less likely to pay stock dividends. Also, the research notes that managerial stake is insignificant in explaining Chinese firms’ cash/stock dividend payouts. Then, we investigate the catering theory in China. Our findings show that catering incentives matter in explaining the unexpected percentage of dividend payers if we do not control for liquidity/risk. However, once we control for liquidity/risk, the catering incentives contribute little toward explaining the changes in propensity to pay cash/stock dividends. Our results imply that Chinese firms’ cash/stock dividend policy is influenced by the board, rather than managers or investors. Finally, this thesis investigates the interplay among illiquidity, variance risk premium and market returns. Previous studies that test whether liquidity is useful in forecasting market returns ignore the question of whether variance risk premium might also be useful for this purpose. As a result, these papers potentially overestimate the role of liquidity in predicting market returns. This thesis tests whether liquidity and variance risk premium are useful for return forecasting by comprehensively investigating the interplay among illiquidity, variance risk premium and market returns. We adopt monthly US data from January 1992 to December 2010. The results show that variance risk premium, reflecting investors’ risk aversion to volatility risk, causes variations in stock returns, and in turn causes market illiquidity, rather than vice versa. Furthermore, we find that variance risk premium has substantial forecasting power over future market returns, while liquidity measure does not. Additionally, our results indicate that variance risk premium impacts equity returns by acting on the risk factors, i.e. market risk premium, value factor and momentum factor.
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Söderberg, Jonas. "Essays on the Scandinavian stock markets /". Växjö : Växjö University Press, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-2449.

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Carmo, João Pedro Rodrigues do. "Modeling stock markets through the reconstruction of market processes". Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15048.

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Mestrado em Economia
Existem duas maneira possíveis de interpretar a aparente natureza estocástica dos mercados financeiros: a Hipótese do mercado eficiente (HME) e um conjunto de factos estilizados que conduzem o comportamento dos mercados. Apresentamos evidência para alguns dos factos estilizados como a existência de um fenómeno de memória na volatilidade dos preços a curto prazo, um comportamento em lei de potência e dependências não lineares nos retornos. Considerando isto, construímos um modelo do mercado através de cadeias de Markov. Em seguida, desenvolvemos um algoritmo que pode ser generalizado para qualquer alfabeto de N símbolos e cadeia de Markov de comprimento K. Com esta ferramenta, somos capazes de mostrar que é, pelo menos, sempre melhor que um modelo completamente aleatório como o Passeio Aleatório. O código está escrito em MATLAB e é mantido no GitHub.
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the stylized facts such as memory-like phenomena in price volatility in the short term, a power-law behavior and non-linear dependencies on the returns. Given this, we construct a model of the market using Markov chains. Then, we develop an algorithm that can be generalized for any N-symbol alphabet and K-length Markov chain. Using this tool, we are able to show that it's, at least, always better than a completely random model such as a Random Walk. The code is written in MATLAB and maintained in GitHub.
info:eu-repo/semantics/publishedVersion
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Zebedee, Allan A. "The flow of information in financial markets : a market microstructure examination /". Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2001. http://wwwlib.umi.com/cr/ucsd/fullcit?p3026388.

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Dong, Wei y 董炜. "Two essays on stock markets". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2013. http://hub.hku.hk/bib/B50662211.

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 This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group.
published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Andersson, Maria. "Social influence in stock markets". Gothenburg : Department of Psychology, University of Gothenburg, 2009. http://gupea.ub.gu.se/dspace/handle/2077/20506.

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Singh, Vikkram. "Financial Integration: Pervasiveness, Effect of Culture and Impact on Policy Effectiveness". Thesis, Griffith University, 2017. http://hdl.handle.net/10072/373044.

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The studies in this thesis examine financial integration: its extent across regions and market cycles, how culture affects it and how the levels of market linkages impact the effectiveness of policy decisions during periods of market crisis. This investigation is undertaken in four separate but interrelated studies. The first study (Chapter 3) uses a novel approach, partial correlations within a complex network framework, to examine the degree of globalization and regionalization of stock market linkages and how these linkages vary across different economic or market cycles. The results show that geography influences network linkages differently across market cycles. During normal times, regional factors shape market linkages; however, during periods of turbulence, global rather than regional factors drive these linkages. Also, the network traffic increases during times of turmoil, but contrary to previous results, the results do not indicate a consistent or overwhelming increase in positive linkages between markets. Also, contrary to expectations, financial centers such as the US, China, Japan, and the UK command a greater regional rather than global influence. These findings have implications for portfolio management and policy decision-making. The second study (Chapter 4) examines linkages between stock markets across market cycles by combining network and cointegration analysis. The results show that long-run linkages are likely to be global rather than regional and that market turbulence increases linkages. However, no widespread common stochastic trends between markets are detected. Also, the major financial markets fail to influence long-run network linkages. The third study (Chapter 5) conducts a comprehensive study on the effect of culture on stock market linkages. A quantile regression model uses data from 25 national stock markets to estimate the determinants of market linkages. It controls for distance, economic and legal variables while using culture variables such as language, religion, and Hofstede’s culture dimensions. The study tests whether the effects of culture hold across regions, in markets with higher liquidity, and if changes occur during periods of market crisis. The main conclusion is that culture preferences shape investor choices, which affects the integration between stock markets. Equity markets with similar cultural characteristics tend to increase market linkages; however, differences are observed across regions. Furthermore, liquidity and economic uncertainty does not impact the significance of culture variables as determinants of market linkages. The fourth study (Chapter 6) tests the hypothesis that policy interventions during periods of stress are less effective when markets are globally integrated. The tests are conducted in the context of the Chinese and Russian stock markets, which depict varying levels of linkages with the US market and were subject to policy interventions during the Global Financial Crisis. Using an event study in combination with dynamic conditional correlation and Markov regime switching methodology, a negative relationship exists between the degree of market linkages and the effectiveness of market interventions. The findings indicate that the market response in the Chinese market, which was less financially integrated with the US (than with Russia), was more effective. Thus, the study lends support to the hypothesis that policy interventions in equity markets become less effective when markets are integrated. This study is the first to investigate the impact of international market linkages on the effectiveness of stock market interventions. The results from this research show that tighter market integration shapes the changing market networks due to structural changes and the forces of globalization. The dynamics of the market networks draw attention to the impact of contagion on market efficiencies, which has far-reaching negative consequences on policy decisions during periods of market crisis. Although these disruptive market crises are difficult to prevent, a deeper understanding of market networks can empower policy decision-makers in dealing with these fallouts. The financial networks can also have a far-reaching impact on arbitrage and portfolio risk management strategies. The findings of the research also highlight the role of behavioral variables such as culture, which affects not only the development of financial markets but also how the financial linkages are shaped.
Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
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Libros sobre el tema "Stock markets"

1

Drobetz, Wolfgang. Global Stock Markets. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-663-08529-4.

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Ahmed, Ayaz. Stock market interlinkages in emerging markets. Islamabad: Pakistan Institute of Development Economics, 1998.

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3

Corporation, International Finance, ed. Emerging stock markets factbook. Washington, DC: International Finance Corporation, 1995.

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4

International Finance Corporation. Capital Markets Department., ed. Emerging stock markets factbook. Washington, D. C: World Bank, 1992.

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5

1953-, Keim Donald Bruce y Ziemba W. T, eds. Security market imperfections in worldwide equity markets. Cambridge ; New York: Cambridge University Press, 2000.

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Alagidede, Paul. Stock return dynamics in Africa's emerging stock markets. Hauppauge, NY: Nova Science Publishers, 2010.

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7

Singh, Ajit. The stock-market and economic development: Should developing countries encourage stock-markets? Geneva, Switzerland: United Nations Conference on Trade and Development, 1992.

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Jess, Lederman y Park Keith K. H, eds. The Global equity markets. Chicago, Ill: Probus Pub. Co., 1990.

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9

Kurakin, Roman. Stock markets in African States. ru: INFRA-M Academic Publishing LLC., 2018. http://dx.doi.org/10.12737/monography_5acf852e0ac927.73879824.

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Levine, Ross. Stock markets, growth, and policy. [Washington, DC]: Country Economics Dept., World Bank, 1990.

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Capítulos de libros sobre el tema "Stock markets"

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Poncet, Patrice y Roland Portait. "Stocks, Stock Markets, and Stock Indices". En Springer Texts in Business and Economics, 255–308. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-84600-8_8.

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Armstrong-Taylor, Paul. "Stock Markets". En Debt and Distortion, 99–116. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/978-1-137-53401-9_9.

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Orr, Bill. "Stock Markets". En The Global Economy in the 90s, 209–17. London: Palgrave Macmillan UK, 1992. http://dx.doi.org/10.1007/978-1-349-13009-2_11.

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Geisst, Charles R. "Stock Markets". En A Guide to the Financial Markets, 7–40. London: Macmillan Education UK, 1989. http://dx.doi.org/10.1007/978-1-349-20348-2_2.

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Drobetz, Wolfgang. "Introduction". En Global Stock Markets, 1–7. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-663-08529-4_1.

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Drobetz, Wolfgang. "Theory of asset pricing". En Global Stock Markets, 9–70. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-663-08529-4_2.

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Drobetz, Wolfgang. "Theory of international asset pricing". En Global Stock Markets, 71–100. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-663-08529-4_3.

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Drobetz, Wolfgang. "Time varying expected returns and the business cycle on international stock markets". En Global Stock Markets, 101–53. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-663-08529-4_4.

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Drobetz, Wolfgang. "Testing a conditional version of the consumption-based asset pricing model". En Global Stock Markets, 155–208. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-663-08529-4_5.

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Drobetz, Wolfgang. "Volatility bounds for stochastic discount factors on global financial markets". En Global Stock Markets, 209–58. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-663-08529-4_6.

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Actas de conferencias sobre el tema "Stock markets"

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Kvietkauskienė, Alina y Raimonda Martinkutė-Kaulienė. "Performance Evaluation of Stock Markets". En Contemporary Issues in Business, Management and Education. Vilnius Gediminas Technical University, 2017. http://dx.doi.org/10.3846/cbme.2017.071.

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The authors concentrate their attention on the performance evaluation of stock markets. The markets evaluation and selection is the important part of investment decision making. In order to develop a conceptual framework for investment decisions in financial markets, it is important to establish a logical model for market selection. The main purpose of the article – to propose the scheme of stock market evaluation and selection for investment portfolio formation. The authors propose the scheme, according to that, it is possible to analyse the issue of the market value and to select markets that may potentially generate a sustainable investment return for investor, taking into account that sustainable investment return is the stable investment return for a long period. According to the analysis of selected stock markets and their evaluation using three-dimension utility function, the authors identified the most stable markets to investors for investment portfolio formation.
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Tasevska, Ivona. "EMPIRICAL RESEARCH ON THE INFORMATION EFFICIENCY OF THE MACEDONIAN STOCK EXCHANGE". En Economic and Business Trends Shaping the Future. Ss Cyril and Methodius University, Faculty of Economics-Skopje, 2022. http://dx.doi.org/10.47063/ebtsf.2022.0027.

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One of the basic hypotheses in modern finance that defines financial markets is the Efficient Market Hypothesis. The existence of information efficient markets, where all information is incorporated in the price of financial instruments is the basis of rational economic theory. There may be an upward or downward trend in the financial markets, but after the inclusion of new information in the financial instruments, they would stabilize until the next new information. In addition to the definition of efficient markets, the hypothesis of random walk has a significant application, which explains that the market cannot be beaten and that prices and returns move in a random upward or downward direction. The paper includes two methodologies to confirm the efficiency of the financial markets. The first research was conducted in order to confirm the hypothesis of a random walk implementing a coefficient of variance test. The test was conducted using a large series of data of the returns’ movement of stock exchange indices on the Macedonian, Belgrade, Zagreb, Sofia and Ljubljana Stock Exchange, as well as the American S&P500 index. The second research which is including the model of market multipliers was conducted for the most liquid stocks on the Macedonian Stock Exchange and selected stocks from the US Stock Exchange Markets, in order to show the underestimation or overestimation in relation to the market value of stocks, thus to show the sentiment that investors have when trading a certain type of stock. The results of the research show that the regional financial markets, as well as the domestic ones, do not follow the random walk, giving an opportunity to the possibility of using alternative behavioral approaches to explain the reasons for the deviation. For the second survey, where significant differences in the fundamental and market value of the stocks appear, the reason for the deviation is the expectations of investors.
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Horng, Wann-Jyi, Liu-Hsiang Hsu y Hui-Hsin Hsu. "An Influence of U.S. and U.K. Stock Market Returns for Two Stock Markets: An Evidence Case by Singapore and Japan's Stock Markets". En 2010 International Conference on Management and Service Science (MASS 2010). IEEE, 2010. http://dx.doi.org/10.1109/icmss.2010.5578218.

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Yuksel, Sadettin Aydin, Asli Yuksel y Riza Demirer. "THE U.S. TERM STRUCTURE AND STOCK MARKET VOLATILITY: EVIDENCE FROM EMERGING STOCK MARKETS". En 48th International Academic Conference, Copenhagen. International Institute of Social and Economic Sciences, 2019. http://dx.doi.org/10.20472/iac.2019.048.060.

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Devi, M. Uma, P. Akilandeswari y M. Eliazer. "Stock Market Ontology-Based Knowledge Management for Forecasting Stock Trading". En International Research Conference on IOT, Cloud and Data Science. Switzerland: Trans Tech Publications Ltd, 2023. http://dx.doi.org/10.4028/p-02laqd.

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Today’s markets are rather matured and arbitrage opportunities remain for a very short time. The main objective of the paper is to devise a stock market ontology-based novel trading strategy employing machine learning to obtain maximum stock return with the highest stock ratio. The paper aims to create a dynamic portfolio to obtain high returns. In this work, the impact of the applied machine learning techniques on the Chinese market was studied. The problem of investing a particular total amount in a large universe of stocks is considered. The Chinese stocks traded on Shanghai Stock Exchange and Shenzhen Stock Exchange are chosen to be the entire universe. The inputs that are considered are fundamental data and company-specific technical indicators unlike the macroscopic factors considered in the existing systems. In the stock market document repository, ontological constructs with Word Sense Disambiguation (WSD) algorithm improve the conceptual relationships and reduce the ambiguities in Ontological construction. The machine learning techniques Kernel Regression and Recurrent Neural Networks are used to start the analysis. The predicted values of stock prices from the Artificial Neural Network provided quite accurate results with an accuracy level of 97.55%. In this study, the number of nodes will be selected based on Variance-Bias plots by tracking the error on the in-sample data set and the validation data set.
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Silva, Natacha, Maria José Palma Lampreia Dos Santos y Nuno Baptista. "The impact of COVID-19 pandemic on South Asian Stock Markets". En 14th International Conference on Applied Human Factors and Ergonomics (AHFE 2023). AHFE International, 2023. http://dx.doi.org/10.54941/ahfe1003902.

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The main aim of this paper is to analyze the impact of the pandemic COVID-19 on the efficiency of capital markets in countries of South Asia, namely, the market efficiency of these stock markets in the pre and post-COVID-19 global wave. The methods include quantitative research and time series analysis. Information and data were collected from the stock indices of Pakistan (KSE), India (BSE), Bangladesh (DSE) and Sri Lanka (CSE) for the period from August 2018 to July 2021. The results confirm that all capital markets are efficient before the global outbreak. In a meanwhile, after the pandemic (COVID-19) all the financial markets present a low efficiency. Explain more in economic terms. This conclusion helps the regulators of markets and investors to take a step to make certain information in these economies, subsequently, returns of some stocks can be predictable and generate opportunities for abnormal earnings and arbitrage.
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Dghais, Amel Abdoullah Ahmed y Mohd Tahir Ismail. "Dynamic Relationship between the US Stock Market and the Stock Markets of MENA Economics". En 2014 5th International Conference on Intelligent Systems, Modelling and Simulation (ISMS). IEEE, 2014. http://dx.doi.org/10.1109/isms.2014.67.

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Sharma, Rahul. "Interdependence among Indian stock market and the leading global stock markets – A statistical analysis". En 1ST INTERNATIONAL CONFERENCE ON COMPUTATIONAL APPLIED SCIENCES & IT’S APPLICATIONS. AIP Publishing, 2023. http://dx.doi.org/10.1063/5.0148319.

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Smerkolj, Nik y Marko Jeran. "Testing Market Efficiency in Emerging Markets’ Stock Indices with Runs Tests". En Socratic Lectures 8. University of Lubljana Press, 2023. http://dx.doi.org/10.55295/psl.2023.ii17.

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According to the efficient market hypothesis (EMH), the prices of securities reflect all the available information on the market. Efficient markets have an important consequence – it is not possible for an investor to consistently outperform the market by using infor-mation that is not already reflected in the prices of securities. No matter how much re-sources one deploys into security analysis, no excess return can be made, which means that investors seeking higher returns must bear higher risk given the risk-return trade-off. Inefficient markets, on the other hand, offer investors opportunities for higher returns at the same risk profile. In this scientific contribution, we test seven emerging markets' stock indices for a weak form of market efficiency. Numerous previous research indicates that emerging markets are not fully efficient and that prices on their stock markets do not fol-low a random walk. We performed runs tests on weekly and monthly returns of stock in-dices and found statistically significant results in three indices for weekly and three in-dices for monthly returns, which indicates that these indices violate weak form of market efficiency. We found insignificant results, which indicate efficient markets, only for weekly and monthly returns on the Indian BSE Sensex 30 Index. Thus we come to similar conclusions as other authors that emerging markets persist to violate weak form of mar-ket efficiency and remain an attractive opportunity for investors seeking to exploit ineffi-ciencies. Keywords: Market efficiency; Efficient market hypothesis; Random walk; Emerging mar-kets; Stock Exchange Index; Runs test
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Bagarello, Fabio, Piotr Kielanowski, Anatol Odzijewicz, Martin Schlichenmaier y Theodore Voronov. "Modeling stock markets through bosonic operators". En GEOMETRIC METHODS IN PHYSICS. AIP, 2008. http://dx.doi.org/10.1063/1.3043866.

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Informes sobre el tema "Stock markets"

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Goetzmann, William y Philippe Jorion. A Century of Global Stock Markets. Cambridge, MA: National Bureau of Economic Research, enero de 1997. http://dx.doi.org/10.3386/w5901.

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Jorion, Philippe y William N. Goetzmann. A Century of Global Stock Markets. Cambridge, MA: National Bureau of Economic Research, febrero de 2000. http://dx.doi.org/10.3386/w7565.

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Chousakos, Kyriakos, Gary Gorton y Guillermo Ordoñez. The Macroprudential Role of Stock Markets. Cambridge, MA: National Bureau of Economic Research, mayo de 2020. http://dx.doi.org/10.3386/w27113.

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King, Mervyn y Sushil Wadhwani. Transmission of Volatility Between Stock Markets. Cambridge, MA: National Bureau of Economic Research, marzo de 1989. http://dx.doi.org/10.3386/w2910.

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Chari, Anusha, Paige Ouimet y Linda Tesar. Acquiring Control in Emerging Markets: Evidence from the Stock Market. Cambridge, MA: National Bureau of Economic Research, noviembre de 2004. http://dx.doi.org/10.3386/w10872.

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Beck, Thorsten y Ross Levine. Stock Markets, Banks, and Growth: Panel Evidence. Cambridge, MA: National Bureau of Economic Research, julio de 2002. http://dx.doi.org/10.3386/w9082.

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King, Mervyn, Enrique Sentana y Sushil Wadhwani. Volatiltiy and Links Between National Stock Markets. Cambridge, MA: National Bureau of Economic Research, mayo de 1990. http://dx.doi.org/10.3386/w3357.

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Lo, Andrew y A. Craig MacKinlay. Maximizing Predictability in the Stock and Bond Markets. Cambridge, MA: National Bureau of Economic Research, febrero de 1995. http://dx.doi.org/10.3386/w5027.

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Beber, Alessandro y Michael Brandt. Resolving Macroeconomic Uncertainty in Stock and Bond Markets. Cambridge, MA: National Bureau of Economic Research, junio de 2006. http://dx.doi.org/10.3386/w12270.

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Danylchuk, H., V. Derbentsev, Володимир Миколайович Соловйов y A. Sharapov. Entropy analysis of dynamic properties of regional stock markets. Society for Cultural and Scientific Progress in Central and Eastern Europe, 2016. http://dx.doi.org/10.31812/0564/1154.

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This paper examines entropy analysis of regional stock markets. We propose and empirically demonstrate the effectiveness of using such entropy as sample entropy, wavelet and Tsallis entropy as a measure of uncertainty and instability of such complex systems as regional stock markets. Our results show that these entropy measures can be effectively used as crisis prediction indicators.
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