financial derivatives are new instruments through which hedging, investment and arbitrage are done in a modern economy. although the word 'derivative'primarily reminds us of options and futures, the major focus of the equity derivatives industry worldwide is on index derivatives. launching index options and index futures in tehran stock exchange, not only increases financial market de...

Should the national economy lead the stock market or the other way round? Using co-integration test and Granger causality test, this paper analyzes the relationship between the stock index and the national economy in the case of China. The result of the empirical analysis indicates that there is no co-integration relationship between the stock index and the national economy in China. In additio...

This study examines the effects on the stock market unitary risk premium and volatility associated with the listing of stock and stock index derivatives in Switzerland. Based on a univariate GARCH (1,1) specification of the stock index variance and a time-varying unitary risk premium representation, we can reject the hypothesis that stock and stock index derivatives listings do not affect the t...

Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between 1991 and 2008. Pearson-type correlations are computed between the stocks and averaged over stock pairs and time. The results indicate a general trend: whenever...

In this paper we investigate the effect of oil price shocks on stock market index in Iran, by using of a structural VAR (SVAR) approach. We used four variables in the model namely Kilian index, global oil supply, real oil price and real stock market index. The data are monthly and spanning the period 1997M10-2014M12. We identify the effect of four different shocks on stock market including oil ...

OBJECTIVE The current study aimed to examine the effects of daily change of the Shenzhen Stock Exchange Index on cardiovascular mortality in Guangzhou and Taishan, China. METHODS Daily mortality and stock performance data during 2006-2010 were collected to construct the time series for the two cities. A distributed lag non-linear model was utilized to examine the effect of daily stock index c...

• This paper investigates the distribution characteristics of stock market liquidity. • This paper utilizes the GAMLSS model and high-frequency data from Chinese stock markets. • The mean and variance of stock market liquidity move in the opposite directions. • The stock market liquidity normally exhibits a positive skewness. • The stock market liquidity exhibits a normal distribution at a low ...

In the business sector, it has always been a difficult task to predict the exact daily price of the stock market index; hence, there is a great deal of research being conducted regarding the prediction of the direction of stock price index movement. Many factors such as political events, general economic conditions, and traders' expectations may have an influence on the stock market index. Ther...