This paper uses the smooth transition regression (STR) model to study the nonlinear relation between the consumer price index (CPI) and the composite index of Shanghai Stock Market in China from 1999 to 2011. The results show that there exists one way Granger causality relation from CPI to stock market in China; the internal relation between the CPI and stock market’s composite index appears as...

In the absence of market frictions, the cost of carry model of stock index futures pricing predicts that returns on the underlying stock index and the associated stock index futures contract will be perfectly contemporaneously correlated. Evidence suggests, however, that this prediction is violated with clear evidence that the stock index futures market leads the stock market. We argue that tra...

in this paper using catastrophe theory, we investigate non-smooth changes in tehran stock exchange. stock market crashes bring not only panic among investors, but also in deeper market lead to recession and decrease in consumer's confidence. as catastrophe theory is strong tool in explaining nonlinear phenomena, by applying stochastic cusp catastrophe model we examine sudden change in tehr...

Financial markets all over the world have witnessed growing integration within as well as across boundaries, spurred by deregulation, globalization and advances in information technology. However, none of the researches have investigated the trading profitability of models that employed the financial market integration information as input variables especially in the case of day trading. Moreov...

We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks are influenced by the index of the market.

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...

The purpose of this study is to identify and analyze the impact global index, are Dow Jones Index (DJIA), Nikkei 225(N225), Shanghai Composite Indеx (SSEC) Singapore Straits Times (STI) Against Jakarta (JKSE) on Indonesia Stock Exchange (IDX). This type research explanatory with quantitative research. takes all time series data listed Index, 225 Іndеx, for period January 2015 December 2019. sam...

Greenhouse gas emission of carbon dioxide (CO2) is one of the major factors causing global climate change. Urban green space plays a key role in regulating the global carbon cycle and reducing atmospheric CO2. Quantifying the carbon stock, distribution and change of urban green space is vital to understanding the role of urban green space in the urban environment. Remote sensing is a valuable a...