This study forecasts trading signals of the Australian All Ordinary Index (AORD), one day ahead. These forecasts were based on the current day’s relative return of the Close price of the US S&P 500 Index, the UK FTSE 100 Index, French CAC 40 Index and German DAX Index as well as the AORD. The forecasting techniques examined were feedforward and probabilistic neural networks. Performance of the ...

This paper proposes a new GARCH-jump in mean model to test the presence of time varying risk premia associated with normal and extreme news events. The model allows for a dynamic jump component with autoregressive jump intensity, long-range dependence in volatility dynamics, and a volatility in mean structure separately for the normal and extreme news events. The results show significant jump r...

In this paper we put forward a generalization of the Dynamic Conditional Correlation (DCC) Model of Engle (2002). Our model allows for asset-specific correlation sensitivities, which is useful in particular if one aims to summarize a large number of asset returns. The resultant GDCC model is considered for daily data on 18 German stock returns, which are all included in the DAX, and for 25 UK s...

We examine the effect of the appointment of directors on the share price of FTSE companies. We find that the share price reaction to the appointment of Directors suggests that gender is not an issue in the appointment of Non-Executive Directors, but it does have an effect on the market reaction to the appointment of Executive Directors. Corresponding Author: Brian M Lucey, School of Business an...

The objective of this article is to analyze the co-movements in G7 stock markets, such as DJ index, S&P500 (representing USA market), FTSE 100 (United Kingdom), S&P/TSX (Canada), DAX 30 (Germany), CAC 40 (France), Nikkei 225 (Japan), Italy Ds market (Italy) and cryptocurrencies Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) Crypto 10, during period February 2018 November 2021. results sh...