Using a new hand-collected data set, this study examines the stock price manipulation in the Taiwan Stock Exchange (TSE). We examine the characteristics of the manipulated stocks, and their impacts on market quality. The results show that manipulated stocks tend to be small. The stock prices rise throughout the manipulation period, followed by a price reversal. The average cumulative abnormal r...

return and volatility spillovers are important for portfolio selection, asset valuation and market efficiency investigation. using a var-bekk framework model, this paper investigates return and volatility spillover effects between three size-sorted equity indices in tehran stock exchange (tse). although daily return of large stocks leads small stocks (lead-lag effect), there wasn’t any spillove...

this research aims to use var as a risk measure to find the optimum portfolio in tehran stock exchange. in this research var which is calculated with parametric method by using the 15 daily returns of 100 companies from march 21, 2001 to november 22, 2007 was added to the markowitz model of portfolio optimization as additional constraint. by changing the accepted var and accepted confidence lev...

Released information in stock markets plays an important role in making decisions by agents like brokers, investors and other market activists. Rational decision-making in these markets will be possible if relevant and significant information is being released on-time. Otherwise, transparency and equality in the market is compromised. This study aims to respond to the question of whether offici...

We model and test for the role of heterogeneously informed, strategic multi-asset speculation for cross-price impact—the impact of trades in one asset on the prices of other (even unrelated) assets—in the U.S. stock market. Our investigation of the trading activity in New York Stock Exchange (NYSE) and National Association of Securities Dealers Automated Quotation System (NASDAQ) stocks between...

This paper documents that political factors can be linked to the part of stock prices that cannot be explained by the standard present value models. The non-fundamental component of stock market index appears to be significantly influenced by the political orientation of the president and his approval rating, election cycle and military conflicts. The findings presented here indicate that there...

Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated. JEL classification: C15; C53; G14.

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries. JEL classification: G10, G12, G14, G35.