This paper investigates how financial weakness among Japanese banks in the second half of the 1990s was reflected in pricing in the financial markets. Two indicators, the Japan premium (JP) and the stock price spread (SP)}deviation between the bank stock index (BINDEX) and stock price index excluding banks (NINDEX)}were examined. The structural change occurring in the relationship between BINDE...

Stock market price index prediction is regarded as a challenging task of the financial time series prediction process. Support vector regression (SVR) has successfully solved prediction problems in many domains, including the stock market. This paper hybridizes SVR with the self-organizing feature map (SOFM) technique and a filter-based feature selection to reduce the cost of training time and ...

Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2,942 ten-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality, making the single-scale index insuffi...

the purpose of this study is to examine the dynamic effects of some macroeconomic variables: money stock, gross domestic product, consumer price index and exchange rates on determining housing price index behavior in iran using the error correction model. using seasonal data, the model is estimated by johansen-juselius cointegration approach during 1990-2007. the results reveal that all variabl...

A simple model that is commonly used to interpret movements in corporate common stock. price indexes asserts that real stock prices equal the present value of rationally expected or optimally forecasted future real dividends discounted by a constant real discount rate. This valuation model (or variations on it in which the real discount rate is not constant but fairly stable) is often used by e...

the main purpose of this study, is surveying the factors that affect price impact of block trades in the stock market. for this reason, the sample consisted of 525 block trades have been selected randomly of accepted companies in tehran stock exchange, that have block trade during the period 1390 to 1392. in this paper, total, temporary and permanent price impact is used as dependent variables,...

Abstract T his study aimed to examine the Islamic stock market integration between Indonesia and Malaysia, and the effect of foreign interest rates on both stock markets. This study used the monthly time series of Jakarta Islamic Index, Hijrah Syariah Index, and foreign interest rates within a period from August 2000 to January 2016. Result of cointegration test demonstrat...