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 ...

Most procedures for modeling and forecasting financial asset return volatilities rely on restrictive and complicated parametric GARCH or stochastic volatility models. The method of realized volatility constructed from high-frequency intraday returns is an alternative choice for volatility measurement. In this paper we make an empirical analysis on Chinese stock index data by using the method of...

the main purpose of this study, is surveying the factors that affect price impact of block trades in the stock market. for this reason, the sample consisted of 525 block trades have been selected randomly of accepted companies in tehran stock exchange, that have block trade during the period 1390 to 1392. in this paper, total, temporary and permanent price impact is used as dependent variables,...

In this paper I hypothesize that the well documented positive mean excess stock return earned by parent firms when they announce they are carving out stock in a subsidiary is due to noise traders who optimistically misinterpret a carve-out’s true value-irrelevance, rather than to the impounding of new value-enhancing information by sophisticated investors. I offer three pieces of evidence that ...

Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...

The survival of organizations is in the current business and occupational atmosphere depends on the introducing of new products, innovation and proposing value-inducing processes based on modern knowledge. For this, managers have to evaluate intellectual capitals as an important criterion to improve the performance of organizations. The main propose of this research is to study the relation...