a r t i c l e i n f o Keywords: Investor sentiment Stock returns Chinese A-share stock market Firm characteristics Penalized panel quantile regression model This paper employs the panel quantile regression model to study the nonlinear effect of investor sentiment on monthly stock returns in the Chinese A-share stock market. The findings show that the influence of investor sentiment is significa...

The purpose of this study was to investigate the effect peripheral uncertainty on relationship between herd behavior investors and price negative stock shock. Because capital market is one main pillars country's economic growth development, incidence any disturbance deviation in prices causes problems with allocating equipping funds. Reducing an example disorders created market. On other hand, ...

us 2008 financial crisis, spreaded out across the international stock markets in the second half of the year 2008. the crisis decreased the returns and increased the volatilities of almost all of the stock indices, however, its effects on iran’s stock markets were unexplored. financial limitations create an exclusive situation in iran’s stock market. using weekly data on the stock indices from ...

In this paper we present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the investment attitude of other traders. Bubbles and crashes are understood and described qualitatively and quantitatively in terms of the classical...

Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using unobserved component Markov switching model (UC-MS) for the 3/27/2010 until 8/3/2015 period. In this model, stock returns are decomposed into two components; a permanent componen...

the main purpose of this paper is to apply of islamic transactions rules on iran capital market contracts by studying the economic actions of the individuals in tehran stock market. based on the theories of four major islamic laws, i.e., no damage rule, gaining from invalid activities rule, peril rule and usury rule; the basic islamic assumptions is drawn in order to testify in the capital mark...

Stock market prediction has been a challenging task due to the nature of the data which is very noisy and time varying. However, this theory has been faced by many empirical studies and a number of researchers have successfully applied machine learning approaches to predict stock market. The problem studied here is about stock prediction for the use of investors. It is true investors usually ge...

Having adequate, sufficient and timely information and data is very important for investors' decision making. Processing information and allocating the asset are two fundamental tasks in the securities market and the stock price is more likely to have the nature of disclosure, information effectiveness and asset allocation efficiency. Thus, in this research, the effects of large block transacti...