Relationship Between Fundamental Values In The Financial Market
نویسندگان
چکیده
There is a large amount of data and fundamental variables in the stock market. In this work, only seven of these variables are selected and considered. Fundamental variable pairs are constructed from these variables and their visualization figures are built. Then a statistical method is used to find the sub-areas with high frequency. With the help of these high frequency sub-areas, we observe all the visualization figures for every variable pair. From the observations, we can find sub-areas in which the return of stocks is better than the average return of all stocks. Based on these sub-areas, a set of rules is derived using the training data sets from 1993 to 1998 and are tested on the data set from 1999 to 2003. The average of returns of most of these rules is better than the average of returns of all stocks in S&P 500.
منابع مشابه
The Effect of Personality Characteristics of Capital Market Analysts on Investment Trends, Risk and Return of their Performance
The relationship between finance and other social sciences as known behavioural finance, evaluate investors to the decision-making process and their reaction to different conditions of financial markets deals. In this study assumed that analysts are specialist in fundamental and technical analysis and then influence their personality characteristics is evaluated on their performance. Statistica...
متن کاملVolatility Spillover among Industries in the Capital Market in Iran
Measuring the dynamic relationship between banking and industries with systemic importance has attracted much attention after the recent financial crisis. This paper examines the dynamic conditional correlations and volatility spillover using three popular multivariate GARCH models in the twelve-year period (from the beginning of 2005 to the beginning of 2016) among the fourteen systemically im...
متن کاملVolatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market
Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...
متن کاملThe Threshold Effect of Investors Sentiment On Stock Market Return
The behavioral financial perspective shows some changes in the price of securities have no fundamental reason and depend on the irrational behaviors of investors as measured by the investor sentiment. Investor sentiment plays an important role in the volatility of securities prices and returns. At first, by finding the thresholds and testing these points statistically, we showed that the invest...
متن کاملFDI and Local Financial Market Development in Oil Exporting and Importing Emerging Economies: VAR Panel Approach
The literature on Foreign Direct Investment (FDI) has advanced several explanations of the links between financial market developments and FDI inflows across developing as well as developed countries. Empirical literature show that financial market development reduces informational frictions and improves resource allocation more efficiently. Also, financial systems are important for both produc...
متن کاملEvaluate the relationship between the structure of the economy and capital market financing
The importance of developing the financial sector, followed by the development of its financing comes from the Efficient financial sector, a key role in mobilizing resources for investment, encouraging foreign capital to enter and equipment and optimize resource allocation mechanism plays And a developed financial system in a country, with financing for the real sector of the economy, creates o...
متن کامل