The paper examines risk spillover among major European, American and Japanese stock exchanges using daily stock prices from 1998 to 2011 period. More specifically, we focus more on risk spillover among major north-western stock markets (i.e. France, Germany, and United Kingdom) and southern European stock markets (Greece, Italy, Portugal, and Spain). The main motivation of the study is to use t...

One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock market data to give individuals or institutions useful information about the market behavior for investment decisions. The enormous amount of valuable data generated by the stock market has attracted researchers to explore this problem domain using different methodologies. This pa...

This paper discusses modelling methodology of the energy use of a certain amount of building stock at the city/regional/national level. In the methodology, building stock is divided into several stock categories and unit energy consumption for each category is quantified by performing simulations using prototypical building models as simulation input each representing a building stock category....

PAGE INTRODUCTION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91 Stock 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92 Selection within stock 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...

Stock market volatility is the systematic risk faced by investors who hold a market portfolio (e.g., a stock market index fund). Schwert (1989b) has undertaken an extensive study of stock market volatility, using historical data back to the 19th century. Some of his major findings are illustrated in Figure 1, which plots quarterly stock market volatility for the post-World War II period.1 The f...

The authors study time-variation in the co-movements between daily stock and Treasury bond returns over 1986 to 2000. Their innovation is to examine whether variation in stock-bond return dynamics can be linked to non-return-based measures of stock market uncertainty, specifically the implied volatility (IV) from equity index options and detrended stock turnover (DTVR). The authors investigate ...

â â â  â â â â â  the main purpose of present study is to analyze the relationship between stock and exchange markets in two asian countries, iran and south korea. a monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. the data is collected from the central bank of each country and wdi. the calculated stock return and real exchange rate change are u...

China stock market has been making great contributions to China’s economy since established. In this paper, a VAR model, with stock market factors and economic growth factors involved, is established to study the relation between China stock market and economic growth. The result indicates that a one-way Granger causality exists between the development scale of stock market and the animation of...

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading ...