Co-integration and Co-movement Between Asian Stock Price Index and Jakarta Composite Index

Investigating The Co- Movement And Causality Between Iran And Germany

The dependence structure analysis among gold price, stock price index of gold mining companies and Shanghai composite index

This paper used different copula-based GARCH models (Copula-GARCH model and Copula-GJR-GARCH model) to analyze the dependence structure among gold price, stock price index of gold mining companies and Shanghai Composite Index in China. The empirical results found that the suitable margins were skew-t distribution, and the GJR-GARCH marginal distribution had better explanatory ability than the G...

Information Flow between Composite Stock Index and Individual Stocks

We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.

Predicting Direction of Movement of Stock Price and Stock Market Index

This study addresses problem of predicting direction of movement of stock price and stock market index for Indian stock markets. The study compares four prediction models, Artificial Neural Network (ANN), Support Vector Machine (SVM), Random Forest (RF) and Naive Bayes (NB) with two approaches for input to these models. The first approach for input data involves computation of ten technical par...

An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets

The capital market in each country is considered as the most important part of the economy and its fluctuations may reflect the economic situation of the country. In this paper, the hypothesis of convergence of stock market price indices in Asian countries during the period from January 2007 to February 2017 is investigated using cluster analysis method. The results show that there is no eviden...