The behavior of international stock market returns in terms of rate of return, unconditional volatility, skewness, excess kurtosis, serial dependence and long-memory is examined. A factor analysis approach is employed to identify the underlying dimensions of stock market returns. In our approach, the factors are estimated not from the observed historical returns but from their empirical propert...

We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences on the market due to the globalization. To reduce this influence, we used S&P...

Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, s...

The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output com...

Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a LPPL signature in the foreign capital inflow during the bubble on the US markets culminating in March 2000. We detect a weak synchronization and lag with the N...

This is a known fact that news and stock prices are closely related and news usually has a great influence on stock market investment. There have been many researches aimed at identifying that relationship or predicting stock market movements using news analysis. Recently, massive news tests, called unstructured big-data, have been used to predict stock price. In this paper, we introduce a meth...

The stock market is forward looking; economic indicators and important future events are factored into stock prices. According to the Efficient Market Hypothesis†, markets operate efficiently and stock prices instantly and stock prices instantly reflect all information available. However, inefficiencies in the stock market exist due to the behaviors and expectations of investors. Stock prices m...