This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock market news. By employing a double-threshold regression GARCH model to investigate four major index return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports...

this world; though all the discussions are focused on the causal relationships in allthe scientific arguments. one of the methods to study the designed causal relationshipsobjectively is granger causality test. this paper aims to investigate the longtermcausal relationship between the stock price and dividends. the statisticalpopulation includes 180 active companies in stock exchange of tehran ...

modeling and analysis of future prices has been hot topic for economic analysts in recent years. traditionally, the complex movements in the prices are usually taken as random or stochastic process. however, they may be produced by a deterministic nonlinear process. accuracy and efficiency of economic models in the short period forecasting is strategic and crucial for business world. nonlinear ...

Stock market analysis is one of the most important and hard problems in finance analysis field. Recently, the usage of intelligent systems for stock market prediction has been widely established. In this paper, a PSO based selective neural network ensemble (PSOSEN) algorithm is proposed, which is used for the Nasdaq-100 index of Nasdaq Stock Market and the S&P CNX NIFTY stock index analysis. In...