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Anh Thi Kim Nguyen, Loc Dong Truong and H. Swint Friday
This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily retur...
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Yi-Ping Lee
Pág. 33 - 37
Stock trading market fluctuated wildly, which affect a country's economic and business operation. One of the important factor in stock trading system is price change limit, in the case of Taiwan is 7 percent ups and downs per day. Nowadays stock price ch...
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José Valentim Machado Vicente,Gustavo Silva Araujo,Paula Baião Fisher de Castro,Felipe Noronha Tavares
Pág. 41 - 66
The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investo...
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Ana-Maria Fuertes and Jose Olmo
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Josep García
Pág. pp. 33 - 46
The purpose of this paper is to investigate the effects of stock recommendationsin returns and trading volumes. Unlike previous research we have investigatedthe five most usual types of recommendations: buy, outperform, hold, underperformand sell. The me...
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Otabek Sattarov, Azamjon Muminov, Cheol Won Lee, Hyun Kyu Kang, Ryumduck Oh, Junho Ahn, Hyung Jun Oh and Heung Seok Jeon
The net profit of investors can rapidly increase if they correctly decide to take one of these three actions: buying, selling, or holding the stocks. The right action is related to massive stock market measurements. Therefore, defining the right action r...
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Ivan Raj?l, Perica Ilak, Marko Delimar and Slavko Krajcar
This paper proposes a coexistence model for two independent companies both operating hydropower plants in the same river flow, based on a case study of the Cetina river basin in Croatia. Companies are participants of the day-ahead electricity market. The...
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Chun-Feng Lin and Sheng-Chih Yang
Stock tape reading involves surveilling stock prices once in a while and recording stock prices. The method of observing stock prices may be television or stock exchange. The time step for recoding stock prices is every stock user?s experience and their ...
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Chee-Ling Chin,Mohamad Jais,Sophee Sulong Balia,Ayoib Che Ahmad,Azlan Zainol Abidin
Pág. 153 - 165
Technical analysis is deemed to be a futile practice among academicians who propose efficient market hypothesis, typically the weak form market efficiency which strongly protests the application of past prices and trading volume data for prediction of fu...
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Jaideep Singh and Matloob Khushi
Efficient Market Hypothesis states that stock prices are a reflection of all the information present in the world and generating excess returns is not possible by merely analysing trade data which is already available to all public. Yet to further the re...
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N. Bhana
AbstractThe efficient market hypothesis submits that the expected returns on shares and other financial assets are identical for all the days of the week. Studies of share returns on the New York Stock Exchange have revealed that the expected returns are...
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Prakash Pinto, Shakila Bolar, Iqbal Thonse Hawaldar, Aleyamma George and Abdelrhman Meero
One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects...
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Venkataramana Veeramsetty, Modem Sai Pavan Kumar and Surender Reddy Salkuti
Short-term electric power load forecasting is a critical and essential task for utilities in the electric power industry for proper energy trading, which enables the independent system operator to operate the network without any technical and economical ...
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Radhakrishnan Angamuthu Chinnathambi, Anupam Mukherjee, Mitch Campion, Hossein Salehfar, Timothy M. Hansen, Jeremy Lin and Prakash Ranganathan
Forecasting hourly spot prices for real-time electricity markets is a key activity in economic and energy trading operations. This paper proposes a novel two-stage approach that uses a combination of Auto-Regressive Integrated Moving Average (ARIMA) with...
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Parizad Phiroze Dungore and Sarosh Hosi Patel
The generalized autoregressive conditional heteroscedastic model (GARCH) is used to estimate volatility for Nifty Index futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and open in...
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Sajjad Khan, Shahzad Aslam, Iqra Mustafa and Sheraz Aslam
Day-ahead electricity price forecasting plays a critical role in balancing energy consumption and generation, optimizing the decisions of electricity market participants, formulating energy trading strategies, and dispatching independent system operators...
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Espen Sirnes and Minh Thi Hong Dinh
It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers ?overreact? to order imbalance (OIB) by initially altering quotes s...
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Gurmeet Singh,Muneer Shaik
Pág. 16 - 23
This study investigates the expiration effects of stock index futures before and after the introduction Bank Nifty weekly options from April 2013 to June 2019. To check for the expiration effects, the volume and mean returns for expiration groups is comp...
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Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
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Carlos Elder Maciel de Aquino,José Everardo Alves Pereira,José Odalio dos Santos,Alexandre Franco de Godoi,Fernando de Almeida Santos
Pág. 29 - 42
The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (...
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