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Sakir Gormus, Bulent Guloglu, Sevcan Gunes
Pág. 298 - 312
During the last several years a large number of studies have expressed increasing concerns regarding to importance of stock market correlation across the countries due to diversification problem. Most of the emprical studies try to measure correlation be...
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Yuefeng Cen, Mingxing Luo, Gang Cen, Cheng Zhao and Zhigang Cheng
It is meaningful to analyze the market correlations for stock selection in the field of financial investment. Since it is difficult for existing deep clustering methods to mine the complex and nonlinear features contained in financial time series, in ord...
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Paulo Ferreira, Marcus Fernandes da Silva and Idaraí Santos de Santana
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Hudson Chaves Costa,Sabino da Silva Porto Junior,Gabrielito Menezes
Pág. 635 - 667
This article examines empirically the behavior of the correlation between the return of shares listed on the BMF& BOVESPA over the period from 2000 to 2015. To this end, we use multivariate GARCH models introduced by Bollerslev (1990) to remove the tempo...
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Hussein A. Abdoh
Pág. 259 - 265
This study classifies firms listed on Amman Stock Exchange (ASE) into clusters based on Pairwise stock correlations. The partitioning level technique is based on the decrease in firms? concertation in their clusters when one additional cluster is created...
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Antonio Marchitelli,Sandra Kamenkovic,Zoran Grubi?ic
Pág. 313 - 323
As OPEC could not recently find an agreement to contain the dramatic oil prices drop, the US, but also worldwide, stock markets have experienced a new decline, limited not only to energy sectors.In this paper we examine the statistical correlation of oil...
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Hudson Chaves Costa,João Henrique Gonçalves Mazzeu,Newton Carneiro Affonso da Costa Jr.
Pág. 225 - 268
The present paper evaluates by approach of Campbell et al. (2001) the evolution of the three volatility components of the Brazilian stocks in the period 1996 to 2010. It is identified that the idiosyncratic component of the volatility does not have the s...
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Tamilselvan Manickam, R Madhumitha
Pág. 52 - 61
The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor?s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an ...
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A. V. Nikitenko,M. O. Kostin
Pág. 51 - 64
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Zouheir Mighri,Faysal Mansouri
Pág. 637 - 661
This research examines the time-varying conditional correlations to the daily stock index returns. We use a dynamic conditional correlation (DCC) multivariate GARCH model in order to capture potential contagion effects between US and major developed and ...
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Kasilingam LINGARAJA,Murugesan SELVAM,Vinayagamoorthi VASANTH,Ramachandran RAJESH RAMKUMAR
Pág. 324 - 333
The international portfolio diversification is a function of correlation of equity markets across countries and the amount of correlation one market has with another, decides the scope of portfolio diversification. The market having high correlation with...
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Antonio Jaramillo Dayag, Fernando Trinidad
Pág. 172 - 181
Universal banks are important economic drivers in the Philippines since they provide the financial backbone for businesses and investments. Universal banks comprise 90% of the country?s banking system resources. Eleven [11] of the twenty-one [21] univers...
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Yassine Belasri,Rachid Ellaia
Pág. 384 - 396
Volatility and correlation are important metrics of risk evaluation for financial markets worldwide. The latter have shown that these tools are varying over time, thus, they require an appropriate estimation models to adequately capture their dynamics. M...
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Ki-Hong Shin, Gyuchang Lim and Seungsik Min
Authors are encouraged to provide a concise description of the specific application or a potential application of the work. This section is not mandatory.
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Ilhan Meriç,Jie Ding,Gülser Meriç
Pág. 59 - 62
Because of their low correlation with each other and with developed stock markets, emerging stock markets are generally mentioned as attractive portfolio diversification prospects for global investors. In this paper, we use the Principal Components Analy...
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Hsien-Yi Lee
Pág. 41 - 53
The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines w...
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Jhon Pandapotan Situmorang,Sugianto Sugianto,Darusman .
Pág. 126 - 139
This study aims to determine the distribution of the vegetation indexes to estimate the carbon stocks of forest stands in the Production Forest of Lembah Seulawah sub-district. Aceh Province, Indonesia. A non-destructive method using allometric equations...
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Tamal Datta Chaudhuri,Indranil Ghosh
Pág. 229 - 251
In this paper, we propose an alternative approach to understanding the relationship between financial sector development and real sector growth in India. We use stock market sectoral indices available on National Stock Exchange (NSE) like Capital Goods I...
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Mariem Talbi,Adel Boubaker,Saber Sebai
Pág. 387 - 407
The paper aims to test the existence of financial contagion between foreign stock markets of several emerging and developed countries during the U.S subprime crisis. It empirically attests for contagion through a DCC MGARCH (1.1) and an adjuste...
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SAMOUT Ammar
Pág. 2657 - 2672
The objective of this article is to highlight the nature of the relationship between several stock markets (France, the great Britain, Germany, and United States). The behavior of those facing the subprime crisis that took place in United State markets w...
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