Market efficiency of traditional stock market indices and social responsible indices: the role of sustainability reporting
نویسندگان
چکیده
منابع مشابه
Predicting stock market indices movements
This paper examines the extent to which the daily movements of three large emerging markets stock indices are predictable. Lagged technical indicators are used as explanatory variables. In the analysis we employed seven classification techniques and assessed the discriminatory power of the classifiers through the area under the receiver operating characteristic (ROC) curve. The results show tha...
متن کاملDependency Relations among International Stock Market Indices
We develop networks of international stock market indices using information and correlation based measures. We use 83 stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and the flow of information from one stock index to another taking into account different operating hours. Additionally, we apply the formalism of partial correl...
متن کاملClusterization of Indices and Assets in the Stock Market
K-means clustering algorithm has been used to classify major world stock market indices as well as most important assets in the Warsaw stock exchange (GPW). In addition, to obtain information about mutual connections between indices and stocks, the Granger-causality test has been applied and the Pearson R correlation coefficients have been calculated. It has been found that the three procedures...
متن کاملconditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Damped oscillations in the ratios of stock market indices
A stock market index is an average of a group of stock prices with weights. Different stock market indices derived from various combinations of stocks may share similar trends in certain periods, while it is not expected that there are fixed relations among them. Here we report our investigations on the daily index data of Dow Jones Industry Average (DJIA), NASDAQ, and S&P500 from 1971/02/05 to...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Investment Management and Financial Innovations
سال: 2017
ISSN: 1810-4967,1812-9358
DOI: 10.21511/imfi.14(2).2017.09