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stock market.</title> <meta name="description" content="Search results for: Taiwan’s stock market."> <meta name="keywords" content="Taiwan’s stock market."> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button class="d-block 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action="https://publications.waset.org/search"> <div id="custom-search-input"> <div class="input-group"> <i class="fas fa-search"></i> <input type="text" class="search-query" name="q" placeholder="Author, Title, Abstract, Keywords" value="Taiwan’s stock market."> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 1262</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: Taiwan’s stock market.</h1> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1262</span> The Impact of Subsequent Stock Market Liberalization on the Integration of Stock Markets in ASEAN-4 + South Korea</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Noor%20Azryani%20Auzairy">Noor Azryani Auzairy</a>, <a href="https://publications.waset.org/search?q=Rubi%20Ahmad"> Rubi Ahmad</a> </p> <p class="card-text"><strong>Abstract:</strong></p> To strengthen the capital market, there is a need to integrate the capital markets within the region by removing legal or informal restriction, specifically, stock market liberalization. Thus the paper is to investigate the effects of the subsequent stock market liberalization on stock market integration in 4 ASEAN countries (Malaysia, Indonesia, Thailand, Singapore) and Korea from 1997 to 2007. The correlation between stock market liberalization and stock market integration are to be examined by analyzing the stock prices and returns within the region and in comparison with the world MSCI index. Event study method is to be used with windows of ±12 months and T-7 + T. The results show that the subsequent stock market liberalization generally, gives minor positive effects to stock returns, except for one or two countries. The subsequent liberalization also integrates the markets short-run and long-run. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=ASEAN" title="ASEAN">ASEAN</a>, <a href="https://publications.waset.org/search?q=event%20method" title=" event method"> event method</a>, <a href="https://publications.waset.org/search?q=stock%20market%20integration" title=" stock market integration"> stock market integration</a>, <a href="https://publications.waset.org/search?q=stock%20market%20liberalization." title=" stock market liberalization."> stock market liberalization.</a> </p> <a href="https://publications.waset.org/3602/the-impact-of-subsequent-stock-market-liberalization-on-the-integration-of-stock-markets-in-asean-4-south-korea" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/3602/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/3602/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/3602/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/3602/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/3602/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/3602/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/3602/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/3602/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/3602/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/3602/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/3602.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1883</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1261</span> The Study on the Relationship between Momentum Profits and Psychological Factors: Evidence from Taiwan</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Chih-Hsiang%20Chang">Chih-Hsiang Chang</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This study provides insight into the effects of investor sentiment, excess optimism, overconfidence, the disposition effect, and herding formation on momentum profits. This study contributes to the field by providing a further examination of the relationship between psychological factors and momentum profits. The empirical results show that there is no evidence of significant momentum profits in Taiwan’s stock market. Additionally, investor sentiment in Taiwan’s stock market significantly influences its momentum profits. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Momentum%20profits" title="Momentum profits">Momentum profits</a>, <a href="https://publications.waset.org/search?q=psychological%20factors" title=" psychological factors"> psychological factors</a>, <a href="https://publications.waset.org/search?q=herding%20formation" title=" herding formation"> herding formation</a>, <a href="https://publications.waset.org/search?q=investor%20sentiment." title=" investor sentiment."> investor sentiment.</a> </p> <a href="https://publications.waset.org/10005549/the-study-on-the-relationship-between-momentum-profits-and-psychological-factors-evidence-from-taiwan" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10005549/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10005549/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10005549/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10005549/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10005549/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10005549/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10005549/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10005549/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10005549/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10005549/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10005549.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1174</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1260</span> Dynamic Interaction Network to Model the Interactive Patterns of International Stock Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Laura%20Lukmanto">Laura Lukmanto</a>, <a href="https://publications.waset.org/search?q=Harya%20Widiputra"> Harya Widiputra</a>, <a href="https://publications.waset.org/search?q=Lukas"> Lukas</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>Studies in economics domain tried to reveal the correlation between stock markets. Since the globalization era, interdependence between stock markets becomes more obvious. The Dynamic Interaction Network (DIN) algorithm, which was inspired by a Gene Regulatory Network (GRN) extraction method in the bioinformatics field, is applied to reveal important and complex dynamic relationship between stock markets. We use the data of the stock market indices from eight countries around the world in this study. Our results conclude that DIN is able to reveal and model patterns of dynamic interaction from the observed variables (i.e. stock market indices). Furthermore, it is also found that the extracted network models can be utilized to predict movement of the stock market indices with a considerably good accuracy.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=complex%20dynamic%20relationship" title="complex dynamic relationship">complex dynamic relationship</a>, <a href="https://publications.waset.org/search?q=dynamic%20interaction%20network" title=" dynamic interaction network"> dynamic interaction network</a>, <a href="https://publications.waset.org/search?q=interactive%20stock%20markets" title=" interactive stock markets"> interactive stock markets</a>, <a href="https://publications.waset.org/search?q=stock%20market%20interdependence." title=" stock market interdependence."> stock market interdependence.</a> </p> <a href="https://publications.waset.org/15682/dynamic-interaction-network-to-model-the-interactive-patterns-of-international-stock-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/15682/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/15682/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/15682/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/15682/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/15682/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/15682/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/15682/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/15682/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/15682/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/15682/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/15682.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1398</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1259</span> Stock Market Integration Measurement: Investigation of Malaysia and Singapore Stock Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=B.%20K.%20Yeoh">B. K. Yeoh</a>, <a href="https://publications.waset.org/search?q=Z.%20Arsad"> Z. Arsad</a>, <a href="https://publications.waset.org/search?q=C.%20W.%20Hooy"> C. W. Hooy</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>This paper tests the level of market integration between Malaysia and Singapore stock markets with the world market. Kalman Filter (KF) methodology is used on the International Capital Asset Pricing Model (ICAPM) and the pricing errors estimated within the framework of ICAPM are used as a measure of market integration or segmentation. The advantage of the KF technique is that it allows for time-varying coefficients in estimating ICAPM and hence able to capture the varying degree of market integration. Empirical results show clear evidence of varying degree of market integration for both case of Malaysia and Singapore. Furthermore, the results show that the changes in the level of market integration are found to coincide with certain economic events that have taken placed. The findings certainly provide evidence on the practicability of the KF technique to estimate stock markets integration. In the comparison between Malaysia and Singapore stock market, the result shows that the trends of the market integration indices for Malaysia and Singapore look similar through time but the magnitude is notably different with the Malaysia stock market showing greater degree of market integration. Finally, significant evidence of varying degree of market integration shows the inappropriate use of OLS in estimating the level of market integration.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=ICAPM" title="ICAPM">ICAPM</a>, <a href="https://publications.waset.org/search?q=Kalman%20filter" title=" Kalman filter"> Kalman filter</a>, <a href="https://publications.waset.org/search?q=stock%20market%20integration." title=" stock market integration."> stock market integration.</a> </p> <a href="https://publications.waset.org/6368/stock-market-integration-measurement-investigation-of-malaysia-and-singapore-stock-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/6368/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/6368/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/6368/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/6368/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/6368/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/6368/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/6368/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/6368/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/6368/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/6368/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/6368.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2173</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1258</span> Integration of Asian Stock Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Noor%20A.%20Auzairy">Noor A. Auzairy</a>, <a href="https://publications.waset.org/search?q=Rubi%20Ahmad"> Rubi Ahmad</a>, <a href="https://publications.waset.org/search?q=Catherine%20S.F.%20Ho"> Catherine S.F. Ho</a>, <a href="https://publications.waset.org/search?q=Ros%20Z.%20Z.%20Sapian"> Ros Z. Z. Sapian</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper is to explore the relationship and the level of stock market integration of the Asian countries, primarily concentrating on Malaysia, Thailand, Indonesia, and South Korea, with the world from January 1997 to December 2009. The degree of short-run and long-run stock market integration of those Asian countries are analyzed in order to determine the significance of series of regional and world financial crises, liberalization policies and other financial reforms in influencing the level of stock market integration. To test for cointegration, this paper applies coefficient correlation, univariate regression analyses, cointegration tests, and vector autoregressive models (VAR) by using the four Asian stock markets main indices and the MSCI World index. The empirical findings from this work reveal that there is no long-run stock market integration for the four countries and the world market. However, there is short run integration. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Asia" title="Asia">Asia</a>, <a href="https://publications.waset.org/search?q=integration" title=" integration"> integration</a>, <a href="https://publications.waset.org/search?q=relationship" title=" relationship"> relationship</a>, <a href="https://publications.waset.org/search?q=stock%20market." title=" stock market."> stock market.</a> </p> <a href="https://publications.waset.org/4613/integration-of-asian-stock-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/4613/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/4613/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/4613/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/4613/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/4613/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/4613/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/4613/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/4613/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/4613/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/4613/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/4613.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2478</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1257</span> Forecasting Stock Indexes Using Bayesian Additive Regression Tree</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Darren%20Zou">Darren Zou</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>Forecasting the stock market is a very challenging task. Various economic indicators such as GDP, exchange rates, interest rates, and unemployment have a substantial impact on the stock market. Time series models are the traditional methods used to predict stock market changes. In this paper, a machine learning method, Bayesian Additive Regression Tree (BART) is used in predicting stock market indexes based on multiple economic indicators. BART can be used to model heterogeneous treatment effects, and thereby works well when models are misspecified. It also has the capability to handle non-linear main effects and multi-way interactions without much input from financial analysts. In this research, BART is proposed to provide a reliable prediction on day-to-day stock market activities. By comparing the analysis results from BART and with time series method, BART can perform well and has better prediction capability than the traditional methods.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Bayesian" title="Bayesian">Bayesian</a>, <a href="https://publications.waset.org/search?q=Forecast" title=" Forecast"> Forecast</a>, <a href="https://publications.waset.org/search?q=Stock" title=" Stock"> Stock</a>, <a href="https://publications.waset.org/search?q=BART." title=" BART."> BART.</a> </p> <a href="https://publications.waset.org/10011220/forecasting-stock-indexes-using-bayesian-additive-regression-tree" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10011220/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10011220/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10011220/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10011220/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10011220/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10011220/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10011220/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10011220/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10011220/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10011220/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10011220.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">734</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1256</span> Combined Effect of Heat Stimulation and Delay Addition of Superplasticizer with Slag on Fresh and Hardened Property of Mortar</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Antoni%20Wibowo">Antoni Wibowo</a>, <a href="https://publications.waset.org/search?q=Harry%20Pujianto"> Harry Pujianto</a>, <a href="https://publications.waset.org/search?q=Dewi%20Retno%20Sari%20Saputro"> Dewi Retno Sari Saputro</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>The stock market can provide huge profits in a relatively short time in financial sector; however, it also has a high risk for investors and traders if they are not careful to look the factors that affect the stock market. Therefore, they should give attention to the dynamic fluctuations and movements of the stock market to optimize profits from their investment. In this paper, we present a nonlinear autoregressive exogenous model (<em>NARX)</em> to predict the movements of stock market; especially, the movements of the closing price index. As case study, we consider to predict the movement of the closing price in Indonesia composite index (IHSG) and choose the best structures of NARX for IHSG’s prediction.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=NARX" title="NARX">NARX</a>, <a href="https://publications.waset.org/search?q=prediction" title=" prediction"> prediction</a>, <a href="https://publications.waset.org/search?q=stock%20market" title=" stock market"> stock market</a>, <a href="https://publications.waset.org/search?q=time%20series." title=" time series. "> time series. </a> </p> <a href="https://publications.waset.org/10008202/combined-effect-of-heat-stimulation-and-delay-addition-of-superplasticizer-with-slag-on-fresh-and-hardened-property-of-mortar" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10008202/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10008202/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10008202/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10008202/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10008202/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10008202/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10008202/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10008202/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10008202/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10008202/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10008202.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">817</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1255</span> An Automated Stock Investment System Using Machine Learning Techniques: An Application in Australia</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Carol%20Anne%20Hargreaves">Carol Anne Hargreaves</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>A key issue in stock investment is how to select representative features for stock selection. The objective of this paper is to firstly determine whether an automated stock investment system, using machine learning techniques, may be used to identify a portfolio of growth stocks that are highly likely to provide returns better than the stock market index. The second objective is to identify the technical features that best characterize whether a stock’s price is likely to go up and to identify the most important factors and their contribution to predicting the likelihood of the stock price going up. Unsupervised machine learning techniques, such as cluster analysis, were applied to the stock data to identify a cluster of stocks that was likely to go up in price – portfolio 1. Next, the principal component analysis technique was used to select stocks that were rated high on component one and component two – portfolio 2. Thirdly, a supervised machine learning technique, the logistic regression method, was used to select stocks with a high probability of their price going up – portfolio 3. The predictive models were validated with metrics such as, sensitivity (recall), specificity and overall accuracy for all models. All accuracy measures were above 70%. All portfolios outperformed the market by more than eight times. The top three stocks were selected for each of the three stock portfolios and traded in the market for one month. After one month the return for each stock portfolio was computed and compared with the stock market index returns. The returns for all three stock portfolios was 23.87% for the principal component analysis stock portfolio, 11.65% for the logistic regression portfolio and 8.88% for the K-means cluster portfolio while the stock market performance was 0.38%. This study confirms that an automated stock investment system using machine learning techniques can identify top performing stock portfolios that outperform the stock market.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Machine%20learning" title="Machine learning">Machine learning</a>, <a href="https://publications.waset.org/search?q=stock%20market%20trading" title=" stock market trading"> stock market trading</a>, <a href="https://publications.waset.org/search?q=logistic%20principal%20component%20analysis" title=" logistic principal component analysis"> logistic principal component analysis</a>, <a href="https://publications.waset.org/search?q=automated%20stock%20investment%20system." title=" automated stock investment system. "> automated stock investment system. </a> </p> <a href="https://publications.waset.org/10010842/an-automated-stock-investment-system-using-machine-learning-techniques-an-application-in-australia" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10010842/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10010842/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10010842/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10010842/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10010842/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10010842/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10010842/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10010842/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10010842/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10010842/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10010842.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1099</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1254</span> A Hybrid Machine Learning System for Stock Market Forecasting</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Rohit%20Choudhry">Rohit Choudhry</a>, <a href="https://publications.waset.org/search?q=Kumkum%20Garg"> Kumkum Garg</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, we propose a hybrid machine learning system based on Genetic Algorithm (GA) and Support Vector Machines (SVM) for stock market prediction. A variety of indicators from the technical analysis field of study are used as input features. We also make use of the correlation between stock prices of different companies to forecast the price of a stock, making use of technical indicators of highly correlated stocks, not only the stock to be predicted. The genetic algorithm is used to select the set of most informative input features from among all the technical indicators. The results show that the hybrid GA-SVM system outperforms the stand alone SVM system. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Genetic%20Algorithms" title="Genetic Algorithms">Genetic Algorithms</a>, <a href="https://publications.waset.org/search?q=Support%20Vector%20Machines" title=" Support Vector Machines"> Support Vector Machines</a>, <a href="https://publications.waset.org/search?q=Stock%20Market%20Forecasting." title=" Stock Market Forecasting."> Stock Market Forecasting.</a> </p> <a href="https://publications.waset.org/8952/a-hybrid-machine-learning-system-for-stock-market-forecasting" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/8952/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/8952/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/8952/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/8952/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/8952/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/8952/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/8952/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/8952/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/8952/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/8952/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/8952.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">9318</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1253</span> The Influence of EU Regulation of Margin Requirements on Market Stock Volatility</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Nadira%20Kaimova">Nadira Kaimova</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>In this paper it was examined the influence of margin regulation on stock market volatility in EU 1993 – 2014. Regulating margin requirements or haircuts for securities financing transactions has for a long time been considered as a potential tool to limit the build-up of leverage and dampen volatility in financial markets. The margin requirement dictates how much investors can borrow against these securities. Margin can be an important part of investment. Using daily and monthly stock returns and there is no convincing evidence that EU Regulation margin requirements have served to dampen stock market volatility. In this paper was detected the expected negative relation between margin requirements and the amount of margin credit outstanding. Also, it confirmed that changes in margin requirements by the EU regulation have tended to follow than lead changes in market volatility. For the analysis have been used the modified Levene statistics to test whether the standard deviation of stock returns in the 25, 50 and 100 days preceding margin changes is the same as that in the succeeding 25, 50 and 100 days. The analysis started in May 1993 when it was first empowered to set the initial margin requirement and the last sample was in May 2014. To test whether margin requirements influence stock market volatility over the long term, the sample of stock returns was divided into 14 periods, according to the 14 changes in margin requirements.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Levene%20statistic" title="Levene statistic">Levene statistic</a>, <a href="https://publications.waset.org/search?q=Margin%20Regulation" title=" Margin Regulation"> Margin Regulation</a>, <a href="https://publications.waset.org/search?q=Stock%20Market" title=" Stock Market"> Stock Market</a>, <a href="https://publications.waset.org/search?q=Volatility." title=" Volatility."> Volatility.</a> </p> <a href="https://publications.waset.org/9999971/the-influence-of-eu-regulation-of-margin-requirements-on-market-stock-volatility" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/9999971/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/9999971/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/9999971/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/9999971/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/9999971/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/9999971/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/9999971/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/9999971/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/9999971/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/9999971/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/9999971.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2154</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1252</span> Information Transmission between Large and Small Stocks in the Korean Stock Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Sang%20Hoon%20Kang">Sang Hoon Kang</a>, <a href="https://publications.waset.org/search?q=Seong-Min%20Yoon"> Seong-Min Yoon</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Little attention has been paid to information transmission between the portfolios of large stocks and small stocks in the Korean stock market. This study investigates the return and volatility transmission mechanisms between large and small stocks in the Korea Exchange (KRX). This study also explores whether bad news in the large stock market leads to a volatility of the small stock market that is larger than the good news volatility of the large stock market. By employing the Granger causality test, we found unidirectional return transmissions from the large stocks to medium and small stocks. This evidence indicates that pat information about the large stocks has a better ability to predict the returns of the medium and small stocks in the Korean stock market. Moreover, by using the asymmetric GARCH-BEKK model, we observed the unidirectional relationship of asymmetric volatility transmission from large stocks to the medium and small stocks. This finding suggests that volatility in the medium and small stocks following a negative shock in the large stocks is larger than that following a positive shock in the large stocks. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Asymmetric%20GARCH-BEKK%20model" title="Asymmetric GARCH-BEKK model">Asymmetric GARCH-BEKK model</a>, <a href="https://publications.waset.org/search?q=Asymmetric%20volatility%20transmission" title=" Asymmetric volatility transmission"> Asymmetric volatility transmission</a>, <a href="https://publications.waset.org/search?q=Causality" title=" Causality"> Causality</a>, <a href="https://publications.waset.org/search?q=Korean%20stock%20market" title=" Korean stock market"> Korean stock market</a>, <a href="https://publications.waset.org/search?q=Spillover%20effect" title=" Spillover effect"> Spillover effect</a> </p> <a href="https://publications.waset.org/7392/information-transmission-between-large-and-small-stocks-in-the-korean-stock-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/7392/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/7392/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/7392/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/7392/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/7392/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/7392/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/7392/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/7392/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/7392/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/7392/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/7392.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1674</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1251</span> A Case-Based Reasoning-Decision Tree Hybrid System for Stock Selection</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Yaojun%20Wang">Yaojun Wang</a>, <a href="https://publications.waset.org/search?q=Yaoqing%20Wang"> Yaoqing Wang</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Stock selection is an important decision-making problem. Many machine learning and data mining technologies are employed to build automatic stock-selection system. A profitable stock-selection system should consider the stock’s investment value and the market timing. In this paper, we present a hybrid system including both engage for stock selection. This system uses a case-based reasoning (CBR) model to execute the stock classification, uses a decision-tree model to help with market timing and stock selection. The experiments show that the performance of this hybrid system is better than that of other techniques regarding to the classification accuracy, the average return and the Sharpe ratio. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Case-based%20reasoning" title="Case-based reasoning">Case-based reasoning</a>, <a href="https://publications.waset.org/search?q=decision%20tree" title=" decision tree"> decision tree</a>, <a href="https://publications.waset.org/search?q=stock%20selection" title=" stock selection"> stock selection</a>, <a href="https://publications.waset.org/search?q=machine%20learning." title=" machine learning."> machine learning.</a> </p> <a href="https://publications.waset.org/10005355/a-case-based-reasoning-decision-tree-hybrid-system-for-stock-selection" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10005355/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10005355/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10005355/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10005355/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10005355/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10005355/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10005355/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10005355/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10005355/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10005355/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10005355.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1705</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1250</span> IPO Price Performance and Signaling</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Chih-Hsiang%20Chang">Chih-Hsiang Chang</a>, <a href="https://publications.waset.org/search?q=I-Fan%20Ho"> I-Fan Ho</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>This study examines the credibility of the signaling as explanation for IPO initial underpricing. Findings reveal the initial underpricing and the long-term underperformance of IPOs in Taiwan. However, we only find weak support for signaling as explanation of IPO underpricing.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Signaling" title="Signaling">Signaling</a>, <a href="https://publications.waset.org/search?q=IPO%20initial%20underpricing" title=" IPO initial underpricing"> IPO initial underpricing</a>, <a href="https://publications.waset.org/search?q=IPO%20long-term%0D%0Aunderperformance" title=" IPO long-term underperformance"> IPO long-term underperformance</a>, <a href="https://publications.waset.org/search?q=Taiwan%E2%80%99s%20stock%20market." title=" Taiwan’s stock market."> Taiwan’s stock market.</a> </p> <a href="https://publications.waset.org/10000290/ipo-price-performance-and-signaling" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10000290/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10000290/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10000290/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10000290/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10000290/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10000290/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10000290/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10000290/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10000290/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10000290/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10000290.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2474</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1249</span> Comparative Analysis of Commercial Property and Stock-Market Investments in Nigeria</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Bello%20Nurudeen%20Akinsola">Bello Nurudeen Akinsola</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>The study analyzed the risk and returns of commercial-property in Southwestern Nigeria and selected stocksmarket investment between 2000 and 2009; compared the inflation hedging characteristics and diversification potentials of investing in commercial-property and selected stock- market investment. Primary data were collected on characteristics, rental and capital values of commercial- properties from their property managers through the use of questionnaire. Secondary data on stock prices and dividends on banking, insurance and conglomerates sectors were sourced from the Nigerian Stock Exchange (2000-2009). The result showed that average return on all the selected stock- investments was higher than that of commercial-property. As regards risk, commercial-property indicated lower risk, compared to stocks. Also the stock-investment had better inflation hedging capacity than commercial-properties; combination of both had diversification potentials. The study concluded that stock-market investment offered attractive higher return than commercial-property although with higher risk and there could be diversification benefits in combining commercial-property with stock- investment.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Commercial-Property" title="Commercial-Property">Commercial-Property</a>, <a href="https://publications.waset.org/search?q=Return" title=" Return"> Return</a>, <a href="https://publications.waset.org/search?q=Risk" title=" Risk"> Risk</a>, <a href="https://publications.waset.org/search?q=Stock%20Market" title=" Stock Market"> Stock Market</a> </p> <a href="https://publications.waset.org/3776/comparative-analysis-of-commercial-property-and-stock-market-investments-in-nigeria" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/3776/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/3776/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/3776/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/3776/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/3776/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/3776/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/3776/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/3776/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/3776/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/3776/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/3776.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">5193</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1248</span> Effects of the Stock Market Dynamic Linkages on the Central and Eastern European Capital Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Ioan%20Popa">Ioan Popa</a>, <a href="https://publications.waset.org/search?q=Cristiana%20Tudor"> Cristiana Tudor</a>, <a href="https://publications.waset.org/search?q=Radu%20Lupu"> Radu Lupu</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The interdependences among stock market indices were studied for a long while by academics in the entire world. The current financial crisis opened the door to a wide range of opinions concerning the understanding and measurement of the connections considered to provide the controversial phenomenon of market integration. Using data on the log-returns of 17 stock market indices that include most of the CEE markets, from 2005 until 2009, our paper studies the problem of these dependences using a new methodological tool that takes into account both the volatility clustering effect and the stochastic properties of these linkages through a Dynamic Conditional System of Simultaneous Equations. We find that the crisis is well captured by our model as it provides evidence for the high volatility – high dependence effect. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Stock%20market%20interdependences" title="Stock market interdependences">Stock market interdependences</a>, <a href="https://publications.waset.org/search?q=Dynamic%20System%20ofSimultaneous%20Equations" title=" Dynamic System ofSimultaneous Equations"> Dynamic System ofSimultaneous Equations</a>, <a href="https://publications.waset.org/search?q=financial%20crisis" title=" financial crisis"> financial crisis</a> </p> <a href="https://publications.waset.org/1171/effects-of-the-stock-market-dynamic-linkages-on-the-central-and-eastern-european-capital-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/1171/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/1171/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/1171/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/1171/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/1171/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/1171/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/1171/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/1171/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/1171/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/1171/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/1171.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1778</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1247</span> An Investigation into the Role of Market Beta in Asset Pricing: Evidence from the Romanian Stock Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Ioan%20Popa">Ioan Popa</a>, <a href="https://publications.waset.org/search?q=Radu%20Lupu"> Radu Lupu</a>, <a href="https://publications.waset.org/search?q=Cristiana%20Tudor"> Cristiana Tudor</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, we apply the FM methodology to the cross-section of Romanian-listed common stocks and investigate the explanatory power of market beta on the cross-section of commons stock returns from Bucharest Stock Exchange. Various assumptions are empirically tested, such us linearity, market efficiency, the “no systematic effect of non-beta risk" hypothesis or the positive expected risk-return trade-off hypothesis. We find that the Romanian stock market shows the same properties as the other emerging markets in terms of efficiency and significance of the linear riskreturn models. Our analysis included weekly returns from January 2002 until May 2010 and the portfolio formation, estimation and testing was performed in a rolling manner using 51 observations (one year) for each stage of the analysis. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Bucharest%20Stock%20Exchange" title="Bucharest Stock Exchange">Bucharest Stock Exchange</a>, <a href="https://publications.waset.org/search?q=Fama-Macbeth%0Amethodology" title=" Fama-Macbeth methodology"> Fama-Macbeth methodology</a>, <a href="https://publications.waset.org/search?q=systematic%20risk" title=" systematic risk"> systematic risk</a>, <a href="https://publications.waset.org/search?q=non-linear%20risk-return%20dependence." title=" non-linear risk-return dependence."> non-linear risk-return dependence.</a> </p> <a href="https://publications.waset.org/4521/an-investigation-into-the-role-of-market-beta-in-asset-pricing-evidence-from-the-romanian-stock-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/4521/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/4521/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/4521/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/4521/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/4521/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/4521/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/4521/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/4521/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/4521/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/4521/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/4521.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1905</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1246</span> Stochastic Impact Analysis of COVID-19 on Karachi Stock Exchange</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Syeda%20Maria%20Ali%20Shah">Syeda Maria Ali Shah</a>, <a href="https://publications.waset.org/search?q=Asif%20Mansoor"> Asif Mansoor</a>, <a href="https://publications.waset.org/search?q=Talat%20Sharafat%20Rehmani"> Talat Sharafat Rehmani</a>, <a href="https://publications.waset.org/search?q=Safia%20Mirza"> Safia Mirza</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>The stock market of any country acts as a predictor of the economy. The spread of the COVID-19 pandemic has severely impacted the global financial markets. Besides, it has also critically affected the economy of Pakistan. In this study, we consider the role of the Karachi Stock Exchange (KSE) with regard to the Pakistan Stock Exchange and quantify the impact on macroeconomic variables in presence of COVID-19. The suitable macroeconomic variables are used to quantify the impact of COVID-19 by developing the stochastic model. The sufficiency of the computed model is attained by means of available techniques in the literature. The estimated equations are used to forecast the impact of pandemic on macroeconomic variables. The constructed model can help the policymakers take counteractive measures for restricting the influence of viruses on the Karachi Stock Market.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=COVID-19" title="COVID-19">COVID-19</a>, <a href="https://publications.waset.org/search?q=Karachi%20Stock%20Market" title=" Karachi Stock Market"> Karachi Stock Market</a>, <a href="https://publications.waset.org/search?q=macroeconomic%20variables" title=" macroeconomic variables"> macroeconomic variables</a>, <a href="https://publications.waset.org/search?q=stochastic%20model" title=" stochastic model"> stochastic model</a>, <a href="https://publications.waset.org/search?q=forecasting." title=" forecasting. "> forecasting. </a> </p> <a href="https://publications.waset.org/10011864/stochastic-impact-analysis-of-covid-19-on-karachi-stock-exchange" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10011864/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10011864/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10011864/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10011864/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10011864/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10011864/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10011864/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10011864/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10011864/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10011864/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10011864.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">737</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1245</span> Financial Ethics: A Review of 2010 Flash Crash</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Omer%20Farooq">Omer Farooq</a>, <a href="https://publications.waset.org/search?q=Salman%20Ahmed%20Khan"> Salman Ahmed Khan</a>, <a href="https://publications.waset.org/search?q=Sadaf%20Khalid"> Sadaf Khalid</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>Modern day stock markets have almost entirely became automated. Even though it means increased profits for the investors by algorithms acting upon the slightest price change in order of microseconds, it also has given birth to many ethical dilemmas in the sense that slightest mistake can cause people to lose all of their livelihoods. This paper reviews one such event that happened on May 06, 2010 in which $1 trillion dollars disappeared from the Dow Jones Industrial Average. We are going to discuss its various aspects and the ethical dilemmas that have arisen due to it.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Flash%20Crash" title="Flash Crash">Flash Crash</a>, <a href="https://publications.waset.org/search?q=Market%20Crash" title=" Market Crash"> Market Crash</a>, <a href="https://publications.waset.org/search?q=Stock%20Market" title=" Stock Market"> Stock Market</a>, <a href="https://publications.waset.org/search?q=Stock%20Market%20Crash." title=" Stock Market Crash. "> Stock Market Crash. </a> </p> <a href="https://publications.waset.org/9998384/financial-ethics-a-review-of-2010-flash-crash" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/9998384/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/9998384/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/9998384/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/9998384/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/9998384/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/9998384/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/9998384/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/9998384/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/9998384/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/9998384/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/9998384.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1857</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1244</span> Are Asia-Pacific Stock Markets Predictable? Evidence from Wavelet-based Fractional Integration Estimator</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Pei.%20P.%20Tan">Pei. P. Tan</a>, <a href="https://publications.waset.org/search?q=Don.%20U.A.%20Galagedera"> Don. U.A. Galagedera</a>, <a href="https://publications.waset.org/search?q=Elizabeth%20A.Maharaj"> Elizabeth A.Maharaj</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper examines predictability in stock return in developed and emergingmarkets by testing long memory in stock returns using wavelet approach. Wavelet-based maximum likelihood estimator of the fractional integration estimator is superior to the conventional Hurst exponent and Geweke and Porter-Hudak estimator in terms of asymptotic properties and mean squared error. We use 4-year moving windows to estimate the fractional integration parameter. Evidence suggests that stock return may not be predictable indeveloped countries of the Asia-Pacificregion. However, predictability of stock return insome developing countries in this region such as Indonesia, Malaysia and Philippines may not be ruled out. Stock return in the Thailand stock market appears to be not predictable after the political crisis in 2008. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Asia-Pacific%20stock%20market" title="Asia-Pacific stock market">Asia-Pacific stock market</a>, <a href="https://publications.waset.org/search?q=long-memory" title="long-memory">long-memory</a>, <a href="https://publications.waset.org/search?q=return%20predictability" title=" return predictability"> return predictability</a>, <a href="https://publications.waset.org/search?q=wavelet" title=" wavelet"> wavelet</a> </p> <a href="https://publications.waset.org/9775/are-asia-pacific-stock-markets-predictable-evidence-from-wavelet-based-fractional-integration-estimator" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/9775/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/9775/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/9775/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/9775/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/9775/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/9775/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/9775/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/9775/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/9775/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/9775/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/9775.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1732</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1243</span> Stock Characteristics and Herding Formation: Evidence from the United States Equity Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Chih-Hsiang%20Chang">Chih-Hsiang Chang</a>, <a href="https://publications.waset.org/search?q=Fang-Jyun%20Su"> Fang-Jyun Su</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>This paper explores whether stock characteristics influence the herding formation among investors in the US equity market. To extend the research scope of the existing literature, this paper further examines the role that stock risk characteristics play in the US equity market, and the way they influence investors’ decision-making. First, empirical results show that whether general stocks or high-risk stocks, there are no herding behaviors among the investors in the US equity market during the whole research period or during four great events. Moreover, stock characteristics have great influence on investors’ trading decisions. Finally, there is a bidirectional lead-lag relationship of the herding formation between high-risk stocks and low-risk stocks, but the influence of high-risk stocks on the low-risk stocks is stronger than that of low-risk stocks on the high-risk stocks.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Stock%20characteristics" title="Stock characteristics">Stock characteristics</a>, <a href="https://publications.waset.org/search?q=herding%20formation" title=" herding formation"> herding formation</a>, <a href="https://publications.waset.org/search?q=investment%20decision" title=" investment decision"> investment decision</a>, <a href="https://publications.waset.org/search?q=US%20equity%20market" title=" US equity market"> US equity market</a>, <a href="https://publications.waset.org/search?q=lead-lag%20relationship." title=" lead-lag relationship."> lead-lag relationship.</a> </p> <a href="https://publications.waset.org/10008169/stock-characteristics-and-herding-formation-evidence-from-the-united-states-equity-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10008169/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10008169/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10008169/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10008169/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10008169/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10008169/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10008169/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10008169/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10008169/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10008169/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10008169.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">999</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1242</span> Empirical and Indian Automotive Equity Portfolio Decision Support</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=P.%20Sankar">P. Sankar</a>, <a href="https://publications.waset.org/search?q=P.%20James%20Daniel%20Paul"> P. James Daniel Paul</a>, <a href="https://publications.waset.org/search?q=Siddhant%20Sahu"> Siddhant Sahu</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>A brief review of the empirical studies on the methodology of the stock market decision support would indicate that they are at a threshold of validating the accuracy of the traditional and the fuzzy, artificial neural network and the decision trees. Many researchers have been attempting to compare these models using various data sets worldwide. However, the research community is on the way to the conclusive confidence in the emerged models. This paper attempts to use the automotive sector stock prices from National Stock Exchange (NSE), India and analyze them for the intra-sectorial support for stock market decisions. The study identifies the significant variables and their lags which affect the price of the stocks using OLS analysis and decision tree classifiers.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Indian%20Automotive%20Sector" title="Indian Automotive Sector">Indian Automotive Sector</a>, <a href="https://publications.waset.org/search?q=Stock%20Market%20Decisions" title=" Stock Market Decisions"> Stock Market Decisions</a>, <a href="https://publications.waset.org/search?q=Equity%20Portfolio%20Analysis" title=" Equity Portfolio Analysis"> Equity Portfolio Analysis</a>, <a href="https://publications.waset.org/search?q=Decision%20Tree%20Classifiers" title=" Decision Tree Classifiers"> Decision Tree Classifiers</a>, <a href="https://publications.waset.org/search?q=Statistical%20Data%20Analysis." title=" Statistical Data Analysis."> Statistical Data Analysis.</a> </p> <a href="https://publications.waset.org/9998554/empirical-and-indian-automotive-equity-portfolio-decision-support" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/9998554/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/9998554/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/9998554/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/9998554/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/9998554/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/9998554/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/9998554/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/9998554/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/9998554/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/9998554/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/9998554.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2036</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1241</span> Financing Decision and Productivity Growth for the Venture Capital Industry Using High-Order Fuzzy Time Series </h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Shang-En%20Yu">Shang-En Yu</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>Human society, there are many uncertainties, such as economic growth rate forecast of the financial crisis, many scholars have, since the the Song Chissom two scholars in 1993 the concept of the so-called fuzzy time series (Fuzzy Time Series)different mode to deal with these problems, a previous study, however, usually does not consider the relevant variables selected and fuzzy process based solely on subjective opinions the fuzzy semantic discrete, so can not objectively reflect the characteristics of the data set, in addition to carrying outforecasts are often fuzzy rules as equally important, failed to consider the importance of each fuzzy rule. For these reasons, the variable selection (Factor Selection) through self-organizing map (Self-Organizing Map, SOM) and proposed high-end weighted multivariate fuzzy time series model based on fuzzy neural network (Fuzzy-BPN), and using the the sequential weighted average operator (Ordered Weighted Averaging operator, OWA) weighted prediction. Therefore, in order to verify the proposed method, the Taiwan stock exchange (Taiwan Stock Exchange Corporation) Taiwan Weighted Stock Index (Taiwan Stock Exchange Capitalization Weighted Stock Index, TAIEX) as experimental forecast target, in order to filter the appropriate variables in the experiment Finally, included in other studies in recent years mode in conjunction with this study, the results showed that the predictive ability of this study further improve.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Heterogeneity" title="Heterogeneity">Heterogeneity</a>, <a href="https://publications.waset.org/search?q=residential%20mortgage%20loans" title=" residential mortgage loans"> residential mortgage loans</a>, <a href="https://publications.waset.org/search?q=foreclosure." title=" foreclosure."> foreclosure.</a> </p> <a href="https://publications.waset.org/16680/financing-decision-and-productivity-growth-for-the-venture-capital-industry-using-high-order-fuzzy-time-series" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/16680/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/16680/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/16680/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/16680/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/16680/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/16680/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/16680/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/16680/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/16680/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/16680/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/16680.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1389</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1240</span> A New Hybrid Model with Passive Congregation for Stock Market Indices Prediction </h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Tarek%20Aboueldahab">Tarek Aboueldahab</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>In this paper, we propose a new hybrid learning model for stock market indices prediction by adding a passive congregation term to the standard hybrid model comprising Particle Swarm Optimization (PSO) with Genetic Algorithm (GA) operators in training Neural Networks (NN). This new passive congregation term is based on the cooperation between different particles in determining new positions rather than depending on the particles selfish thinking without considering other particles positions, thus it enables PSO to perform both the local and global search instead of only doing the local search. Experiment study carried out on the most famous European stock market indices in both long term and short term prediction shows significantly the influence of the passive congregation term in improving the prediction accuracy compared to standard hybrid model.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Global%20Search" title="Global Search">Global Search</a>, <a href="https://publications.waset.org/search?q=Hybrid%20Model" title=" Hybrid Model"> Hybrid Model</a>, <a href="https://publications.waset.org/search?q=Passive%20Congregation" title=" Passive Congregation"> Passive Congregation</a>, <a href="https://publications.waset.org/search?q=Stock%20Market%20Prediction." title=" Stock Market Prediction."> Stock Market Prediction.</a> </p> <a href="https://publications.waset.org/14202/a-new-hybrid-model-with-passive-congregation-for-stock-market-indices-prediction" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/14202/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/14202/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/14202/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/14202/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/14202/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/14202/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/14202/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/14202/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/14202/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/14202/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/14202.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">1505</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1239</span> Corporate Governance and Share Prices: Firm Level Review in Turkey</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Raif%20Parlakkaya">Raif Parlakkaya</a>, <a href="https://publications.waset.org/search?q=Ahmet%20Diken"> Ahmet Diken</a>, <a href="https://publications.waset.org/search?q=Erkan%20Kara"> Erkan Kara</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper examines the relationship between corporate governance rating and stock prices of 26 Turkish firms listed in Turkish stock exchange (Borsa Istanbul) by using panel data analysis over five-year period. The paper also investigates the stock performance of firms with governance rating with regards to the market portfolio (i.e. BIST 100 Index) both prior and after governance scoring began. The empirical results show that there is no relation between corporate governance rating and stock prices when using panel data for annual variation in both rating score and stock prices. Further analysis indicates surprising results that while the selected firms outperform the market significantly prior to rating, the same performance does not continue afterwards. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Corporate%20governance" title="Corporate governance">Corporate governance</a>, <a href="https://publications.waset.org/search?q=stock%20price" title=" stock price"> stock price</a>, <a href="https://publications.waset.org/search?q=performance" title=" performance"> performance</a>, <a href="https://publications.waset.org/search?q=panel%20data%20analysis." title=" panel data analysis."> panel data analysis.</a> </p> <a href="https://publications.waset.org/10002109/corporate-governance-and-share-prices-firm-level-review-in-turkey" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10002109/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10002109/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10002109/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10002109/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10002109/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10002109/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10002109/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10002109/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10002109/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10002109/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10002109.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2526</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1238</span> Fast Forecasting of Stock Market Prices by using New High Speed Time Delay Neural Networks</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Hazem%20M.%20El-Bakry">Hazem M. El-Bakry</a>, <a href="https://publications.waset.org/search?q=Nikos%20Mastorakis"> Nikos Mastorakis</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Fast forecasting of stock market prices is very important for strategic planning. In this paper, a new approach for fast forecasting of stock market prices is presented. Such algorithm uses new high speed time delay neural networks (HSTDNNs). The operation of these networks relies on performing cross correlation in the frequency domain between the input data and the input weights of neural networks. It is proved mathematically and practically that the number of computation steps required for the presented HSTDNNs is less than that needed by traditional time delay neural networks (TTDNNs). Simulation results using MATLAB confirm the theoretical computations. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Fast%20Forecasting" title="Fast Forecasting">Fast Forecasting</a>, <a href="https://publications.waset.org/search?q=Stock%20Market%20Prices" title=" Stock Market Prices"> Stock Market Prices</a>, <a href="https://publications.waset.org/search?q=Time%20Delay%20NeuralNetworks" title=" Time Delay NeuralNetworks"> Time Delay NeuralNetworks</a>, <a href="https://publications.waset.org/search?q=Cross%20Correlation" title=" Cross Correlation"> Cross Correlation</a>, <a href="https://publications.waset.org/search?q=Frequency%20Domain." title=" Frequency Domain."> Frequency Domain.</a> </p> <a href="https://publications.waset.org/3683/fast-forecasting-of-stock-market-prices-by-using-new-high-speed-time-delay-neural-networks" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/3683/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/3683/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/3683/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/3683/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/3683/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/3683/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/3683/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/3683/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/3683/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/3683/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/3683.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2068</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1237</span> Deep Reinforcement Learning Approach for Trading Automation in the Stock Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Taylan%20Kabbani">Taylan Kabbani</a>, <a href="https://publications.waset.org/search?q=Ekrem%20Duman"> Ekrem Duman</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>Deep Reinforcement Learning (DRL) algorithms can scale to previously intractable problems. The automation of profit generation in the stock market is possible using DRL, by combining  the financial assets price ”prediction” step and the ”allocation” step of the portfolio in one unified process to produce fully autonomous systems capable of interacting with its environment to make optimal decisions through trial and error. This work represents a DRL model to generate profitable trades in the stock market, effectively overcoming the limitations of supervised learning approaches. We formulate the trading problem as a Partially observed Markov Decision Process (POMDP) model, considering the constraints imposed by the stock market, such as liquidity and transaction costs. We then solved the formulated POMDP problem using the Twin Delayed Deep Deterministic Policy Gradient (TD3) algorithm and achieved a 2.68 Sharpe ratio on the test dataset. From the point of view of stock market forecasting and the intelligent decision-making mechanism, this paper demonstrates the superiority of DRL in financial markets over other types of machine learning and proves its credibility and advantages of strategic decision-making.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Autonomous%20agent" title="Autonomous agent">Autonomous agent</a>, <a href="https://publications.waset.org/search?q=deep%20reinforcement%20learning" title=" deep reinforcement learning"> deep reinforcement learning</a>, <a href="https://publications.waset.org/search?q=MDP" title=" MDP"> MDP</a>, <a href="https://publications.waset.org/search?q=sentiment%20analysis" title=" sentiment analysis"> sentiment analysis</a>, <a href="https://publications.waset.org/search?q=stock%20market" title=" stock market"> stock market</a>, <a href="https://publications.waset.org/search?q=technical%20indicators" title=" technical indicators"> technical indicators</a>, <a href="https://publications.waset.org/search?q=twin%0D%0Adelayed%20deep%20deterministic%20policy%20gradient." title=" twin delayed deep deterministic policy gradient."> twin delayed deep deterministic policy gradient.</a> </p> <a href="https://publications.waset.org/10012717/deep-reinforcement-learning-approach-for-trading-automation-in-the-stock-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10012717/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10012717/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10012717/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10012717/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10012717/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10012717/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10012717/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10012717/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10012717/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10012717/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10012717.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">525</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1236</span> Dynamic Interrelationship among the Stock Markets of India, Pakistan and United States</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=A.%20Iqbal">A. Iqbal</a>, <a href="https://publications.waset.org/search?q=N.%20Khalid"> N. Khalid</a>, <a href="https://publications.waset.org/search?q=S.%20Rafiq"> S. Rafiq</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The interrelationship between international stock markets has been a key study area among the financial market researchers for international portfolio management and risk measurement. The characteristics of security returns and their dynamics play a vital role in the financial market theory. This study is an attempt to find out the dynamic linkages among the equity market of USA and emerging markets of Pakistan and India using daily data covering the period of January 2003–December 2009. The study utilizes Johansen (Journal of Economic Dynamics and Control, 12, 1988) and Johansen and Juselius (Oxford Bulletin of Economics and Statistics, 52, 1990) cointegration procedure for long run relationship and Granger-causality tests based on Toda and Yamamoto (Journal of Econometrics, 66, 1995) methodology. No cointegration was found among stock markets of USA, Pakistan and India, while Granger-causality test showed the evidence of unidirectional causality running from New York stock exchange to Bombay and Karachi stock exchanges. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Causality" title="Causality">Causality</a>, <a href="https://publications.waset.org/search?q=Cointegration" title=" Cointegration"> Cointegration</a>, <a href="https://publications.waset.org/search?q=India" title=" India"> India</a>, <a href="https://publications.waset.org/search?q=Pakistan" title=" Pakistan"> Pakistan</a>, <a href="https://publications.waset.org/search?q=Stock%0AMarkets" title=" Stock Markets"> Stock Markets</a>, <a href="https://publications.waset.org/search?q=US." title=" US."> US.</a> </p> <a href="https://publications.waset.org/1804/dynamic-interrelationship-among-the-stock-markets-of-india-pakistan-and-united-states" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/1804/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/1804/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/1804/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/1804/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/1804/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/1804/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/1804/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/1804/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/1804/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/1804/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/1804.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2154</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1235</span> Semantic Enhanced Social Media Sentiments for Stock Market Prediction</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=K.%20Nirmala%20Devi">K. Nirmala Devi</a>, <a href="https://publications.waset.org/search?q=V.%20Murali%20Bhaskaran"> V. Murali Bhaskaran</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>Traditional document representation for classification follows Bag of Words (BoW) approach to represent the term weights. The conventional method uses the Vector Space Model (VSM) to exploit the statistical information of terms in the documents and they fail to address the semantic information as well as order of the terms present in the documents. Although, the phrase based approach follows the order of the terms present in the documents rather than semantics behind the word. Therefore, a semantic concept based approach is used in this paper for enhancing the semantics by incorporating the ontology information. In this paper a novel method is proposed to forecast the intraday stock market price directional movement based on the sentiments from Twitter and money control news articles. The stock market forecasting is a very difficult and highly complicated task because it is affected by many factors such as economic conditions, political events and investor’s sentiment etc. The stock market series are generally dynamic, nonparametric, noisy and chaotic by nature. The sentiment analysis along with wisdom of crowds can automatically compute the collective intelligence of future performance in many areas like stock market, box office sales and election outcomes. The proposed method utilizes collective sentiments for stock market to predict the stock price directional movements. The collective sentiments in the above social media have powerful prediction on the stock price directional movements as up/down by using Granger Causality test.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Bag%20of%20Words" title="Bag of Words">Bag of Words</a>, <a href="https://publications.waset.org/search?q=Collective%20Sentiments" title=" Collective Sentiments"> Collective Sentiments</a>, <a href="https://publications.waset.org/search?q=Ontology" title=" Ontology"> Ontology</a>, <a href="https://publications.waset.org/search?q=Semantic%20relations" title=" Semantic relations"> Semantic relations</a>, <a href="https://publications.waset.org/search?q=Sentiments" title=" Sentiments"> Sentiments</a>, <a href="https://publications.waset.org/search?q=Social%20media" title=" Social media"> Social media</a>, <a href="https://publications.waset.org/search?q=Stock%20Prediction" title=" Stock Prediction"> Stock Prediction</a>, <a href="https://publications.waset.org/search?q=Twitter" title=" Twitter"> Twitter</a>, <a href="https://publications.waset.org/search?q=Vector%20Space%20Model%20and%20wisdom%20of%20crowds." title=" Vector Space Model and wisdom of crowds."> Vector Space Model and wisdom of crowds.</a> </p> <a href="https://publications.waset.org/10001130/semantic-enhanced-social-media-sentiments-for-stock-market-prediction" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10001130/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10001130/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10001130/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10001130/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10001130/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10001130/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10001130/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10001130/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10001130/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10001130/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10001130.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2800</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1234</span> Performance of Heterogeneous Autoregressive Models of Realized Volatility: Evidence from U.S. Stock Market</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Petr%20Se%C4%8Fa">Petr Seďa</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of heterogeneous autoregressive models of realized volatility on stock indices in the USA with a special aim to analyze an impact of the global financial crisis on applied models forecasting performance. We use three data sets, the first one from the period before the global financial crisis occurred in the years 2006-2007, the second one from the period when the global financial crisis fully hit the U.S. financial market in 2008-2009 years, and the last period was defined over 2010-2011 years. The model output indicates that estimated realized volatility in the market is very much determined by daily traders and in some cases excludes the impact of those market participants who trade on monthly basis. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Global%20financial%20crisis" title="Global financial crisis">Global financial crisis</a>, <a href="https://publications.waset.org/search?q=heterogeneous%20autoregressive%0D%0Amodel" title=" heterogeneous autoregressive model"> heterogeneous autoregressive model</a>, <a href="https://publications.waset.org/search?q=in-sample%20forecast" title=" in-sample forecast"> in-sample forecast</a>, <a href="https://publications.waset.org/search?q=realized%20volatility" title=" realized volatility"> realized volatility</a>, <a href="https://publications.waset.org/search?q=U.S.%20stock%20market." title=" U.S. stock market."> U.S. stock market.</a> </p> <a href="https://publications.waset.org/12672/performance-of-heterogeneous-autoregressive-models-of-realized-volatility-evidence-from-us-stock-market" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/12672/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/12672/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/12672/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/12672/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/12672/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/12672/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/12672/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/12672/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/12672/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/12672/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/12672.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">2477</span> </span> </div> </div> <div class="card publication-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1233</span> Multifunctional Barcode Inventory System for Retailing. Are You Ready for It?</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Ling%20Shi%20Cai">Ling Shi Cai</a>, <a href="https://publications.waset.org/search?q=Leau%20Yu%20Beng"> Leau Yu Beng</a>, <a href="https://publications.waset.org/search?q=Charlie%20Albert%20Lasuin"> Charlie Albert Lasuin</a>, <a href="https://publications.waset.org/search?q=Tan%20Soo%20Fun"> Tan Soo Fun</a>, <a href="https://publications.waset.org/search?q=Chin%20Pei%20Yee"> Chin Pei Yee</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>This paper explains the development of Multifunctional Barcode Inventory Management System (MBIMS) to manage inventory and stock ordering. Today, most of the retailing market is still manually record their stocks and its effectiveness is quite low. By providing MBIMS, it will bring effectiveness to retailing market in inventory management. MBIMS will not only save time in recording input, output and refilling the inventory stock, but also in calculating remaining stock and provide auto-ordering function. This system is developed through System Development Life Cycle (SDLC) and the flow and structure of the system is fully built based on requirements of a retailing market. Furthermore, this system has been developed from methodical research and study where each part of the system is vigilantly designed. Thus, MBIMS will offer a good solution to the retailing market in achieving effectiveness and efficiency in inventory management.</p> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Inventory" title="Inventory">Inventory</a>, <a href="https://publications.waset.org/search?q=Retailing%20Market" title=" Retailing Market"> Retailing Market</a>, <a href="https://publications.waset.org/search?q=Barcode" title=" Barcode"> Barcode</a>, <a href="https://publications.waset.org/search?q=Automated%20Alerting%20and%20Ordering" title=" Automated Alerting and Ordering"> Automated Alerting and Ordering</a> </p> <a href="https://publications.waset.org/10953/multifunctional-barcode-inventory-system-for-retailing-are-you-ready-for-it" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10953/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10953/bibtex" 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