the purpose of this article is to test whether the stock price index of the tehran stock exchange is located in the efficeent set of portfolios or not. in this paper the mehtod introduced by elton, gruber and padberg was used to determine the efficiency of the tse stock price index. the results showed that the tse index is not located in the efficient set.

This paper develops a model of trading in stock and stock index security markets in the presence of transaction costs. We show that the introduction of stock index market improves the dissemination of market-wide information and index trading is more informative about stock market price movements than stock trading. The model generates rich implications on the informativeness of the stock index...

the present research aims to evaluate impacts of crude oil price return index, bloomberg petroleum index and bloomberg energy index on stock market returns of 121 companies listed in tehran stock exchange in a 10 years' period from early 2006 to april 2016. first, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. subsequently, to che...

the paper investigates the effects of interest rates on stock market performance by using monthly time series data for the economy of bangladesh over the period of 1991 to 2012. a wide range of econometric techniques have been employed to analyze the relationship between the interest rate and stock market return. the study reveals a stable and significant long run relationship between the varia...

Abstract T his study aimed to examine the Islamic stock market integration between Indonesia and Malaysia, and the effect of foreign interest rates on both stock markets. This study used the monthly time series of Jakarta Islamic Index, Hijrah Syariah Index, and foreign interest rates within a period from August 2000 to January 2016. Result of cointegration test demonstrat...

U sing daily data, this study examined asymmetric pass-through of Iran’s oil price to banking stock index in Tehran Stock Exchange at different time horizons. Based on the results, the coefficient of long-run pass-through of oil price to banking stock index was estimated to be 0.63. Furthermore, based on the short-term ARDL-CECM models, the relationship between the positive component...

Prediction of the movement of stock market is a long-time attractive topic to researchers from different fields. The Hang Seng Index (abbreviated: HSI) is a free float-adjusted market capitalization-weighted stock market index in Hong Kong. We believe the HSI is influenced by other major financial indexes across the world and try different machine learning method to get a prediction based on th...

a r t i c l e i n f o a b s t r a c t Comovement of stock market indices increases during volatile periods, and does not come down when the turmoil settles down. This paper explains formation of persistent comovements during high volatility periods with theories from Bayesian learning. My main conclusion is that the correlation that is formed during the high volatility period is persistent beca...

Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our ...