By means of computer simulation technique, this paper builds an artificial stock market model consisting of decision making agents. Through the fundamental and technical analysis in the aspects of investors, trading cost, transaction volume, risk-free interest, tick size and price-limit system, the model is used to indicate the volatility and liquidity. The results show that the stock index tim...

importance of risk and uncertainty in financial markets became more apparent after financial crisis in 2007. volatility is the most important measure of risk in financial markets. thus, modeling volatility of financial markets is one of the important issues in finance and economics. in this paper first we tried to specify key features of volatility of daily returns of tehran stock exchange pric...

This paper analyzes the impact of firms’ adoption of online retailing on their stock price volatility. Given the nascency of the Web, firms moving online are faced with an increased uncertainty in their product markets in addition to fixed setup costs. A simple model illustrates how increased uncertainty in the product markets increases the volatility of the firm’s profits and its stock price. ...

oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. this paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of opec countries, using a multivariate garch models (full-vech) over the period may 201...

Article history: Received 23 August 2011 Received in revised form 16 April 2012 Accepted 19 April 2012 Available online 5 May 2012 This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this mode...

This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market ...

  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 used in analysis....

this paper examines regime shifts in tedpix return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using markov switching egarch model with student’s t-distribution. we detect two episodes of series behavior, one relative to low mean/high variance regime namely bear state and the other to high mean/low variance...

This paper discusses the model construction and the association between the Singapore’s and the Hong Kong’s stock markets. Simultaneously, this paper uses the high and the low oil price periods’ volatility as a threshold for the Singapore’s and the Hong Kong’s stock market returns. The study data period is from January, 2000 to September, 2004 and June, 2005 to October, 2008. This paper also ut...

Robust Estimation in Nonlinear Modeling of Volatility Transmission in Stock Market S.B. Ebrahimi * Department of Industrial Engineering, K.N.Toosi University of Technology, Tehran, Iran * Email: [email protected] (Received: 12 September 2015; Revised: 8 May 2016; Accepted: 24 June 2016) Volatility transmission means the connection between different markets in a way that volatility can be tr...