Since the 1997 reform FTSE 100 stocks trade on the London Stock Exchange in a fragmented market. These stocks can be traded either on the electronic order book, SETS, or through dealers posting voluntary quotations. The UK regulator does not enforce any quote display requirement, and best execution requirements are satisfied when prices for off-SETS trades are at least as good as the prices ava...

Most stock exchange regulators around the world reacted to the 2007-2009 crisis by imposing bans or regulatory constraints on short-selling. Short-selling restrictions were imposed and lifted at different dates in different countries, often applied to different sets of stocks and featured different degrees of stringency. We exploit this considerable variation in short-sales regimes to identify ...

Stock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different tools and techniques to forecast the stock market behavior. In this study, the reaction of stock price in the stock market was ...

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...

Classic studies of spot price fluctuations for commodities like cotton and wheat have been interpreted using a power-law probability distribution with exponent alpha inside the Lévy-stable regime (0<alpha<2). In contrast price fluctuations for stocks have been interpreted using a power-law probability distribution with alpha outside the Lévy-stable regime suggesting that stock prices are in a d...

Predicting the prices of stocks at any stock market remains a quest for many investors and researchers. Those who trade at the stock market tend to use technical, fundamental or time series analysis in their predictions. These methods usually guide on trends and not the exact likely prices. It is for this reason that Artificial Intelligence systems, such as Artificial Neural Network, that is fe...

– To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an important emerging market, the Chinese market exhibits much stronger correlations than the developed markets. In the Chinese market, the interactions betwee...

The analysis of cross-correlations is extensively applied for understanding of interconnections in stock markets. Variety of methods are used in order to search stock cross-correlations including the Random Matrix Theory (RMT), the Principal Component Analysis (PCA) and the Hierachical ‎Structures.‎ In ‎this work‎, we analyze cross-crrelations between price fluctuations of 20 ‎company ‎stocks‎...

 Libya experienced a substantial increase in oil revenue as a result of increased oil prices during the period of the late 1970s and early 1980s, and again after 2000. Recent increases in oil production and the price of oil, and their positive and negative macroeconomic impacts upon key macroeconomic variables, are of considerable contemporary importance to an oil dependent economy such as that...

Stock markets play a fundamental role in the countries’ economies, since they allow companies to raise funds for their investments in technology, expansion or infra-structure by selling stocks to the public. At the same time, stocks are, for the stockholders, important assets that can help to maintain or increase the investor’s wealth for future use, like retirement, education, etc. On the othe...