a r t i c l e i n f o Keywords: Fractional cointegration Long memory Range Volatility Daily high and low prices This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employ...

Globalization, internationalization, integration, deregulation, as well as technological advances have provided the impetus for mergers of stock exchanges to facilitate cross-border listings and trading. Cross-border mergers trigger a series of different issues to be analyzed. The focus of our analysis will be on regulatory and competition law issues arising from cross-border stock exchange mer...

This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following work on market integration, to include a more general definition of the global factor, based on princi...

The aim of this paper is to investigate the relationship between Equity Market Value (EMV) and measures of creation value of the performance evaluation (Shareholder Value Added (SVA) and Created Shareholder Value (CSV)) in Tehran Stock Exchange. Thus this paper examined the creation value in Iranian Companies by Alfred Rappaport model and to assess the relationship, liner regression tests w...

Business news carries varied information of different companies. But in this rapidly moving world the number of news sources present is uncountable, and it’s humanly impossible to read and find all relevant information in the form of news to draw a conclusion timely to make an investment plan that returns maximum profit. In this paper, we have proposed a predictive model to predict sentiment ar...

I study the effect of integration and information technology (IT) investment on the value derived from 118 mergers in the U.S. banking industry. I quantify integration scale on a per-merger basis and examine its effect on long-term changes to acquiring firms’ performance. I also examine the effect of ex ante integration risk on stock market reactions to merger announcements. While, in theory, m...

This paper pulls together existing theory and evidence to assess whether international financial liberalization, by improving the functioning of domestic financial markets and banks, accelerates economic growth. The analysis suggests that the answer is “yes.” First, liberalizing restrictions on international portfolio flows tends to enhance stock market liquidity. In turn, enhanced stock market...

In this paper, the effects of oil and gold prices on stock market index are investigated. We use a cointegrated vector autoregressive Markov-switching model to examine the nonlinear properties of these three variables during the period of January 2003 - December 2014. The Markov-switching vector-equilibrium-correction model with three regimes representing "deep recession", "mild recession" and ...