The study o€ers the most direct evidence to date on price noises in call auctions and their correction. We examine a unique sample of two identical securities (two equalpayo€ Israeli government bonds) that were traded on separate yet almost simultaneous auctions on the Tel-Aviv Stock Exchange (TASE). The prices of the bonds were equal on average. However, on most of the sample days there were p...

The study tries to explore the dynamics of comovement of stock markets of USA ,Brazil, Mexico, China and India during the period from January, 1996 to July, 2007 using daily closing price data. It attempts to analyze the speed of adjustment coefficients using daily, weekly and monthly data. It also tries to examine the efficiency of the stock market as a result of initiatives and regulatory mea...

Campbell, Lettau, Malkiel, and Xu (2001) document a positive trend in idiosyncratic volatility during the 1962–1997 period. We show that by 2003 volatility falls back to pre-1990s levels. Furthermore, we show that the increase and subsequent reversal is concentrated among firms with low stock prices and high retail ownership. This evidence suggests that the increase in idiosyncratic volatility ...

Predicting stock prices on the Tehran Stock Exchange by a new hybridization of Fuzzy Inference System and Imperialist Competitive Algorithm

s tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. this study investigates the effect of exchange rate volatility on the stock exchange returns of d8 countries. it takes monthly data during the period (2008:1-2015:6) constituting 90 observations. at first we used panel-garch model to estimate exchange rate volatility in...

abstract in this paper, markov chain and dynamic programming were used to represent a suitable pattern for tax relief and tax evasion decrease based on tax earnings in iran from 2005 to 2009. results, by applying this model, showed that tax evasion were 6714 billion rials**. with 4% relief to tax payers and by calculating present value of the received tax, it was reduced to 3108 billion rials. ...

Bankruptcy prediction is one of the major business classification problems. The main purpose of this study is to investigate Kohonen self-organizing feature map in term of performance accuracy in the area of bankruptcy prediction.  A sample of 108 firms listed in Tehran Stock Exchange is used for the study. Our results confirm that Kohonen network is a robust model for predicting bankruptcy in ...

probability of private information based trade (pin) has introduced as information risk measure. this paper is going to estimate probability of private information based trade (pin) in tehran stock exchange using microstructure models. our results show that pin is significantly different from zero for tehran stock exchange.

We analyze the effects that real-time domestic and foreign news about fundamentals have on the co-movement between stock returns of a small, open economy, Portugal, and a large economy, the United States. Studying co-movement between the US and a small, open economy helps overcome significant potential issues in the literature: (i) we avoid endogeneity biases; (ii) we increase the statistical p...