We analyze the relations between the stock market and a stock bulletin board system (BBS) in Japan. Previous studies in the USA found that the characteristics of messages posted on stock BBSs can predict market volatility and trading volume. We develop hypotheses based on the results of those analyses and apply statistical analysis to the data about companies mentioned in a large number of mess...

Prediction of stock market trends has been an area of great interest both to researchers attempting to uncover the information hidden in the stock market data and for those who wish to profit by trading stocks. The extremely nonlinear nature of the stock market data makes it very difficult to design a system that can predict the future direction of the stock market with sufficient accuracy. Thi...

Stock market prediction is an attractive research problem to be investigated. News contents are one of the most important factors that have influence on market. Considering the news impact in analyzing the stock market behavior, leads to more precise predictions and as a result more profitable trades. So far various prototypes have been developed which consider the impact of news in stock marke...

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.

a r t i c l e i n f o JEL classification: C22 F31 F37 G12 G15 Keywords: Stock return Chinese stock market Conditional heteroskedasticity Leverage effect Regime persistence In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development , but is also viewed as one of the most volatile markets, which has been called by many observers a " casino ". This...

This paper uses an empirical connection between real stock market indices of Germany and the USA for forecasting corresponding returns. We are starting from the random walk as the traditional forecasting model in stock market applications, extending it by co-integration. Since the cointegrating relation considers information about a systematic link between the stock market indices, containing a...