in this paper using catastrophe theory, we investigate non-smooth changes in tehran stock exchange. stock market crashes bring not only panic among investors, but also in deeper market lead to recession and decrease in consumer's confidence. as catastrophe theory is strong tool in explaining nonlinear phenomena, by applying stochastic cusp catastrophe model we examine sudden change in tehr...

This paper examines episodes of banking sector distress for a large sample of developed and developing countries, highlighting the experience of Japan. By a host of criteria, Japan appeared to be in a stronger position than most countries at the onset of banking problems— low inflation, appreciating currency, balanced government budget, and large external surpluses. However, Japan followed a cl...

We calculate abnormal stock returns for Japanese non-financial companies around major events associated with the banking crisis (1995–2000), and find that not all companies were equally sensitive to the malaise of the banking sector: the most affected were small, leveraged, low-tech companies with low credit ratings and low market to book ratios. This is consistent with ‘‘credit crunch’’ theori...

Financial markets all over the world have witnessed growing integration within as well as across boundaries, spurred by deregulation, globalization and advances in information technology. However, none of the researches have investigated the trading profitability of models that employed the financial market integration information as input variables especially in the case of day trading. Moreov...

This paper examines the relationship between the legal system and banking development and traces this connection through to long-run rates of per capita GDP growth, capital stock growth, and productivity growth. The data indicate that countries where the legal system (1) emphasizes creditor rights and (2) rigorously enforces contracts have better developed banks than countries where laws do not...

www.SwissFinanceInstitute.ch The Swiss Finance Institute (SFI) is a private foundation created in 2006 by Switzerland’s banking and finance community in cooperation with leading Swiss universities. The Institute supports and advances research, doctoral training, knowledge transfer and education in banking and finance. SFI also fosters interaction between researchers and practitioners with the g...

We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...

The purpose of this study is to identify and analyze the impact global index, are Dow Jones Index (DJIA), Nikkei 225(N225), Shanghai Composite Indеx (SSEC) Singapore Straits Times (STI) Against Jakarta (JKSE) on Indonesia Stock Exchange (IDX). This type research explanatory with quantitative research. takes all time series data listed Index, 225 Іndеx, for period January 2015 December 2019. sam...

The capital market in Indonesia is currently experiencing very rapid development from year to year, as evidenced by the increasing number of public companies every year. Banking one sub-sectors included LQ45 index with its average share having highest capitalization among other sub-sectors. Indonesia, including banking sub-sector inseparable supporting factors are internal seen company's financ...