Purpose –The implementation of the Islamic capital market in Indonesia applies principles participation that meets sharia i.e. non-bubble stock. Screening companies through methods applied by authority agencies with certain prerequisites actually cannot avoid speculative actions represent bubble price. This research intended to detect existence price Indonesian Stock Index. very useful f...

International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an ‘interrupted’ Markov switching cointegration specification. This flexible approach allow us to study to what extent documented changes in global integration are permanent, or whether market linkages are subject to changes....

generally, high oil prices slow economic growth, cause inflationary pressures and creates global imbalances. in addition, oil price volatility increase uncertainty and restrain the much-needed investment in the capital market. thus, this paper applies the augmented dickey fuller and johansen co-integration tests in which the effect of oil price volatility, crude oil price and stock price is ana...

We estimate a behavioural heterogeneous agents model with boundedly rational traders who know the fundamental stock price, but disagree about the persistence of deviations from the fundamental. Some agents (fundamentalists) believe in mean-reversion of stock prices, while others (chartists) expect a continuation of the trend. Agents gradually switch between the two rules, based upon their relat...

the difficulty of determining intrinsic value of stock prices have led many people to use technical analysis in order to forecast stock prices in the future. to predict the stock price we need to determine the generating process of stock prices. in recent years many time - series methods have been used for forecasting purposes. one of these methods is the rescaled range analysis (ris). in the a...

Stock price crash risk has a significant impact on investors, creditors, managers, and shareholders, so the prediction of this phenomenon is a very important issue in investment and risk management decisions. This research investigates the effect of business strategy and stock price synchronicity on stock price crash risk. Following Bentley et al.[2], composite strategy score has been used to ...

study of the changes in the stock price in tehran stock exchange is of great importance. this is because of its application in forecasting the stock price in the stock exchange. the aim of this article is to investigate the forces and mechanisms that cause the dramatic changes in stock price and the formation of chaotic trend. to test whether the chaotic trend in the tehran stock exchange exist...

Stock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different tools and techniques to forecast the stock market behavior. In this study, the reaction of stock price in the stock market was ...

a r t i c l e i n f o JEL classification: E31 E44 E52 Keywords: Monetary policy rule Nonlinear model Stock market Structural break Time-varying coefficient This paper introduces nonlinearity and a structural break to the US forward-looking Taylor rule with a stock price gap, thereby alleviating the robustness problem that the linear Taylor rule is sensitive to minor changes of the sample period...