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This study researches the causal relationship between exchange rates and stock prices during pre and post financial crisis in Viet Nam, based on the collected daily data from 2005 to 2015. The paper investigates the long-run relationship between above-mentioned two variables using Johansen and Juselius (1990) co-integration test and short run dynamic causal relationships by using Toda and Yamam...

This research aims at analyzing the impact that variables of sustainable value generation (ESG) have on efficiency firms listed Mexican Stock Exchange Sustainable Index during period 2014-2017. The non-parametric method Data Envelopment Analysis (DEA) was used to determine their efficiency. Results indicate that, given level profitability, variable most affects is corporate governance (G), foll...

because of its extensive applications in financial analysis, stock market volatility modeling is a significantly important issue for stock market practitioners and academicians. using garch models to formulate the conditional variance heteroskedasticity and the taking advantages of panel data technique such as higher degrees of freedom, more flexibility in the control of the omitted or unobserv...

This paper discusses the application of support vector machine (SVM) in stock price change trend forecasting. By reviewing prior research, thirteen technical indicators are defined as the input attributes of SVM. By training this model, we can forecast if the stock price would rise the next day. In order to make best use of market information, analyst recommendations about upgrading stocks are ...

Stock trading system to assist decision-making is an emerging research area and has great commercial potentials. Successful trading operations should occur near the reversal points of price trends. Traditional technical analysis, which usually appears as various trading rules, does aim to look for peaks and bottoms of trends and is widely used in stock market. Unfortunately, it is not convenien...

passing two decades of tehran stock exchange reopening, the transaction volume and number of accepted companies in it, have been enormously increased and engaged so many real and incorporated stock holders. therefore, gradually it will find its significant role in the country economy and this will double the responsibility of researchers in the economic field for utilizing more new and effectiv...

in this study, 3 models of time-varying parameters (tvp), dynamic model selection (dms) and dynamic model averaging (dma) and a comparison with the ordinary least squares (ols) method in matlab in the time period 2003-2013 (with data on a monthly basis) are discussed. in the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...