DETERMINANT ANALYSIS IN PROPERTY STOCKS INDEX AT INDONESIA STOCK EXCHANGE

Investigating Chaos in Tehran Stock Exchange Index

Modeling and analysis of future prices has been hot topic for economic analysts in recent years. Traditionally, the complex movements in the prices are usually taken as random or stochastic process. However, they may be produced by a deterministic nonlinear process. Accuracy and efficiency of economic models in the short period forecasting is strategic and crucial for business world. Nonlinear ...

Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange

The main goal of this paper is to propose a new approach for efficiency measurement and ranking of stocks. Data envelopment analysis (DEA) is one of the popular and applicable techniques that can be used to reach this goal. However, there are always concerns about negative data and uncertainty in financial markets. Since the classical DEA models cannot deal with negative and imprecise values, i...

Statistical analysis of the price index of Tehran Stock Exchange

This paper presents a statistical analysis of Tehran Price Index (TePIx) for the period of 1992 to 2004. The results present asymmetric property of the return distribution which tends to the right hand of the mean. Also the return distribution can be fitted by a stable Lévy distribution and the tails are very fatter than the gaussian distribution. We estimate the tail index of the TePIx returns...

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.

A Comparison Between Growth And Value Stocks Of Listed Companies In Tehran Stock Exchange