This article examines the impact of SGX MSCI Taiwan Index Futures on the volatility of the Taiwan stock market. The empirical work is conducted with the use of weekly stock returns from 1995 to 1998 and by applying an expanded EGARCH model. Our findings show that there is no structural change on either the conditional or the unconditional variance after the introduction of index futures contrac...

Traditional econometric models assume a constant one period forecast variance. However, many financial time series display volatility clustering, that is, autoregressive conditional heteroscedasticity (ARCH). The aim of this paper is to estimate in an effort capture the salient features stock market India and evaluate terms out-of sample accuracy. also investigates whether there any change afte...

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the Search Frequency of Baidu Index (SFBI) can predict next day’s price changes; 2) the stock prices go up...

The changes in the capital market bring transformation in the entire economy of the country. The boom and depression of the capital market is reflected in all sectors of the economy. Stock price downward movement continuously in the market forewarns the crisis period in advance. Numerous studies were conducted to trace the movement of stock market and its relationship with various economic fact...

abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...