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  1. The Differences Between Stock Splits and Stock Dividends

    DEFF Research Database (Denmark)

    Bechmann, Ken L.; Raaballe, Johannes

    It is often asserted that stock splits and stock dividends are purely cosmetic events. However, many studies have documented several stock market effects associated with stock splits and stock dividends. This paper examines the effects of these two types of events for the Danish stock market...... different. Second, the positive stock market reaction is closely related to associated changes in a firm's payout policy, but the relationship varies for the two types of events. Finally, there is only very weak evidence for a change in the liquidity of the stock. On the whole, after controlling...... for the firm's payout policy, the results suggest that a stock split is a cosmetic event and that a stock dividend on its own is considered negative news....

  2. Price Earnings Ratio and Stock Return Analysis (Evidence from Liquidity 45 Stocks Listed in Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Liem Pei Fun

    2012-01-01

    Full Text Available Price to Earnings Ratio (PE Ratio has been broadly used by analysts and investors for stock selection. Stocks with low PE ratio are perceived as having cheaper current price hence expected to generate higher return in subsequent period. This paper aims to examine predictability of stock return using PE Ratio based on historical relationship between PE Ratio and subsequent stock return. Particularly, it seeks to find whether stocks with high PE Ratio followed by low stocks return and on the contrary, stocks with low PE Ratio followed by high stocks return. Using stocks which are included as member of Liquidity 45 and observation period 2005-2010 as samples, results show that there is significance difference between low PE and high PE portfolio stock return in short term (holding period of 6 months but there is no significance difference between both portfolio stock return if they are hold for one, two, three, and four years. This research also finds that there is no significant relationship between stock return and (trailing PE Ratio which suggests that (trailing PE Ratio is not useful in estimating both short term and long term stock returns

  3. Modeling carbon stocks in a secondary tropical dry forest in the Yucatan Peninsula, Mexico

    Science.gov (United States)

    Zhaohua Dai; Richard A. Birdsey; Kristofer D. Johnson; Juan Manuel Dupuy; Jose Luis Hernandez-Stefanoni; Karen. Richardson

    2014-01-01

    The carbon balance of secondary dry tropical forests of Mexico’s Yucatan Peninsula is sensitive to human and natural disturbances and climate change. The spatially explicit process model Forest-DeNitrification-DeComposition (DNDC) was used to estimate forest carbon dynamics in this region, including the effects of disturbance on carbon stocks. Model evaluation using...

  4. Mark Stock | NREL

    Science.gov (United States)

    Stock Mark Stock Scientific Visualization Specialist Mark.Stock@nrel.gov | 303-275-4174 Dr. Stock , virtual reality, parallel computing, and manipulation of large spatial data sets. As an artist, he creates . Stock built the SUNLIGHT artwork that is installed on the Webb Building in downtown Denver. In addition

  5. Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility

    OpenAIRE

    Irshad Hira

    2017-01-01

    This study investigated the relationship of political instability with the stock prices. Results of the study indicated the negative relationship of stock prices with political instability. Moreover, results of suggested that instable political system ultimately leads decline in stock prices. Inflation has shown negative relationship with stock prices whereas, industrial production and Exports have positive relationship with stock prices.

  6. Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility

    Directory of Open Access Journals (Sweden)

    Irshad Hira

    2017-08-01

    Full Text Available This study investigated the relationship of political instability with the stock prices. Results of the study indicated the negative relationship of stock prices with political instability. Moreover, results of suggested that instable political system ultimately leads decline in stock prices. Inflation has shown negative relationship with stock prices whereas, industrial production and Exports have positive relationship with stock prices.

  7. Perbandingan Stock Market Crash 1987 : Dan Stock Market Crash 1997

    OpenAIRE

    Indridewi Atmadjaja, Yovita Vivianty

    1999-01-01

    Stock market crash refers to the condition, which is marked with the large dropping of stock Market price index. Historically, stock market crash has happened three times, namely in 1929, 1987 and 1997. This paper will discuss the causes of 1987's and 1997's stock market Crash and the similarities and the differences between 1987's and 1997's stock market crash. The structure of the paper is as follows. The paper starts with the introduction. The second Section briefly explains the causes of ...

  8. Comparable stocks, boundedly rational stock markets and IPO entry rates.

    Directory of Open Access Journals (Sweden)

    Jay Chok

    Full Text Available In this study, we examine how initial public offerings (IPO entry rates are affected when stock markets are boundedly rational and IPO firms infer information from their counterparts in the market. We hypothesize a curvilinear relationship between the number of comparable stocks and initial public offerings (IPO entry rates into the NASDAQ Stock Exchange. Furthermore, we argue that trading volume and changes in stock returns partially mediates the relationship between the number of comparable stocks and IPO entry rates. The statistical evidence provides strong support for the hypotheses.

  9. Jakarta Islamic Index-L 45: Rate Financial Performance, Beta Stocks and Stock Price in Indonesian Stock Exchange

    Directory of Open Access Journals (Sweden)

    Tajus Subqi

    2016-08-01

    Full Text Available This research had analyzed the effect of financial performance and stock beta (systematic risk towards stock price of eight listed companies in Jakarta Islamic Index (JII – LQ 45 for the time period of 2012-2014. The data was gathered by employing literature study and documentation of financial statements. Multiple regressions are used to measure the effect of independent variable towards dependent variable along with ttest and F test. The results based on overall test suggested that only ROE and NPM had opposite direction correlation with the stock price, meanwhile other variables had positive direction correlation. From partial test with 5% level of significance, only EPS and PER had significant effect on stock price while other variables had no effect.   Keywords: financial performance analysis, stock price, stock beta (systematic risk, Jakarta Islamic Index

  10. Analysis on the Influence of Stock Index Futures on Chinese Stock Market

    Institute of Scientific and Technical Information of China (English)

    王钊

    2014-01-01

    As the first product of financial futures in China, CSI 300 Stock Index Futures is a symbol of the continual improvement and development of Chinese capital market system. So it would be bound to generate immeasurable influence on Chinese capital market and financial system. Starting from introducing the relevant summaries of stock index futures, this paper analyzes the influence of the stock index futures on the fluctuation in the international stock market;then, it analyzes influence of the stock index futures on the fluctuation in Chinese stock market, in order to propose some suggestions to the policies for developing Chinese stock index futures.

  11. The stock selection problem: Is the stock selection approach more important than the optimization method? Evidence from the Danish stock market

    OpenAIRE

    Grobys, Klaus

    2011-01-01

    Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios' out-of-sample performance. The empirical study here takes into account the Danish stock market from 2000-2010 and gives evidence that stock portfolios including small companies' stocks being estimated via coin...

  12. Determinants of Stock Price Movements: Evidence from Chittagong Stock Exchange, Bangladesh

    Directory of Open Access Journals (Sweden)

    Mohammed Syedul Islam

    2015-01-01

    Full Text Available Stock market plays a vital role in the economic development of an economy. It bridges up between savers and real manufacturers by raising funds from investors to companies. This process was broken down due to the 2010-2011 stock market crash in Bangladesh. Though the determinants of stock price have been settled empirically, the current paper aims to reexamine the relationship between stock price, dividend and retained earnings of 29 listed banks of Chittagong Stock Exchange, in the post-crash period. Cross-sectional data were collected from secondary sources. Using linear regression method, the study found that both, dividend and retained earnings of sample banks have strong influence over the stock price, though there was moderate explanatory power of those variables. After reviewing the causes of crisis 2010-2011, this study suggests the following: to control price manipulation, to publish proper financial statement, regulate the dividend policy, to ensure sufficient knowledge among investors, recruit technical expert and ensure proper settlement for transactions, prevent crises of stock market against speculation etc.

  13. Analysis of Right Issue Announcement Effect toward Stock Price Movement and Stock Trading Volume within Issuer in Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Wilson Yaputra Yakup

    2016-05-01

    Full Text Available The purpose of this study were to identify and analyze the rights issue effect to the stock price, the effect of the rights issue on stock trading volume, the correlation between stock prices before and after the right issue, as well as the correlation between volume of trading activity before the right issue and after that event. The objects of the study are the companies listed on Indonesia Stock Exchange (JSX. The hypothesis stated that right issues have a significant effect on stock price on companies listed on the JSX, rights issues have a significant effect on the stock trading volume on companies listed on the JSX, there is a significant correlation between stock price before and after the rights issue on companies listed in JSX, there is a significant correlation between volume of the stock trading before the rights issue and after that event. Data analysis used were descriptive statistics, simple linear regression analysis and paired t-test. Hypothesis testing was performed by using the Pearson correlation test with significance level of 5%. The results show that the right issue has a positive effect but not significant toward stock prices of companies listed in JSX, right issue has a negative effect and not significant toward the trading volume activity (TVA on companies listed in JSX.

  14. Market Structure and Stock Splits

    OpenAIRE

    David Michayluk; Paul Kofman

    2001-01-01

    Enhanced liquidity is one possible motivation for stock splits but empirical research frequently documents declines in liquidity following stock splits. Despite almost thirty years of inquiry, little is known about all the changes in a stock's trading activity following a stock split. We examine how liquidity measures change around more than 2,500 stock splits and find a pervasive decline in most measures. Large stock splits exhibit a more severe liquidity decline than small stock splits, esp...

  15. Stock or stroke? Stock market movement and stroke incidence in Taiwan.

    Science.gov (United States)

    Chen, Chun-Chih; Chen, Chin-Shyan; Liu, Tsai-Ching; Lin, Ying-Tzu

    2012-12-01

    This paper investigates the impact of stock market movement on incidences of stroke utilizing population-based aggregate data in Taiwan. Using the daily data from the Taiwan Stock Exchange Capitalization Weighted Stock Index and from the National Health Insurance Research Database during 2001/1/1-2007/12/31, which consist of 2556 observations, we examine the effects of stock market on stroke incidence - the level effect and the daily change effects. In general, we find that both a low stock index level and a daily fall in the stock index are associated with greater incidences of stroke. We further partition the data on sex and age. The level effect is found to be significant for either gender, in the 45-64 and 65 ≥ age groups. In addition, two daily change effects are found to be significant for males and the elderly. Although stockholdings can increase wealth, they can also increase stroke incidence, thereby representing a cost to health. Copyright © 2012 Elsevier Ltd. All rights reserved.

  16. Stock Status

    Data.gov (United States)

    National Oceanic and Atmospheric Administration, Department of Commerce — These data inform the public of the most recent stock status for all stocks (FSSI and non-FSSI) in the fishery management unit contained in a fishery managment plan....

  17. Trading network predicts stock price.

    Science.gov (United States)

    Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi

    2014-01-16

    Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading network. We then classify the nodes of trading network into three roles according to their connectivity pattern. Strong Granger causality is found between stock price and trading relationship indices, i.e., the fraction of trading relationship among nodes with different roles. We further predict stock price by incorporating these trading relationship indices into a neural network based on time series of stock price. Experimental results on 51 stocks in two Chinese Stock Exchanges demonstrate the accuracy of stock price prediction is significantly improved by the inclusion of trading relationship indices.

  18. The synchronicity between the stock and the stock index via information in market

    Science.gov (United States)

    Gao, Hai-Ling; Li, Jiang-Cheng; Guo, Wei; Mei, Dong-Cheng

    2018-02-01

    The synchronicity between the stock and the stock-index in a market system is investigated. The results show that: (i) the synchronicity between the stock and the stock-index increases with the rising degree of market information capitalized into stock prices in certain range; (ii) the synchronicity decreases for large firm-specific information; (iii) the stock return synchronicity is small compared to the big noise trading, however the variance noise facilitates the synchronization within the tailored realms. These findings may be helpful in understanding the effect of market information on synchronicity, especially for the response of firm-specific information and noise trading to synchronicity.

  19. Compression stockings

    Science.gov (United States)

    Call your health insurance or prescription plan: Find out if they pay for compression stockings. Ask if your durable medical equipment benefit pays for compression stockings. Get a prescription from your doctor. Find a medical equipment store where they can ...

  20. THE EFFECT OF MACROECONOMIC VARIABLES ON STOCK RETURNS ON DHAKA STOCK EXCHANGE

    Directory of Open Access Journals (Sweden)

    Muhammed Monjurul Quadir

    2012-01-01

    Full Text Available This article investigates the effects of macroeconomic variables of treasury bill interest rate and industrial production on stock returns on Dhaka Stock Exchange for the period between January 2000 and February 2007 on the basis of monthly time series data using Autoregressive Integrated Moving Average (ARIMA model. The paper has taken the overall market stock returns as an independent variable. It does not consider the stock returns of different companies separately. Though the ARIMA model finds a positive relationship between Treasury bill interest rate and industrial production with market stock returns but the coefficients have turned out to be statistically insignificant.

  1. Stock Market Project.

    Science.gov (United States)

    Distel, Brenda D.

    This project is designed to teach students the process of buying stocks and to tracking their investments over the course of a semester. The goals of the course are to teach students about the relationships between conditions in the economy and the stock market; to predict the effect of an economic event on a specific stock or industry; to relate…

  2. Seagrass blue carbon dynamics in the Gulf of Mexico: Stocks, losses from anthropogenic disturbance, and gains through seagrass restoration.

    Science.gov (United States)

    Thorhaug, Anitra; Poulos, Helen M; López-Portillo, Jorge; Ku, Timothy C W; Berlyn, Graeme P

    2017-12-15

    Seagrasses comprise a substantive North American and Caribbean Sea blue carbon sink. Yet fine-scale estimates of seagrass carbon stocks, fluxes from anthropogenic disturbances, and potential gains in sedimentary carbon from seagrass restoration are lacking for most of the Western Hemisphere. To begin to fill this knowledge gap in the subtropics and tropics, we quantified organic carbon (C org ) stocks, losses, and gains from restorations at 8 previously-disturbed seagrass sites around the Gulf of Mexico (GoM) (n=128 cores). Mean natural seagrass C org stocks were 25.7±6.7MgC org ha -1 around the GoM, while mean C org stocks at adjacent barren sites that had previously hosted seagrass were 17.8MgC org ha -1 . Restored seagrass beds contained a mean of 38.7±13.1MgC org ha -1 . Mean C org losses differed by anthropogenic impact type, but averaged 20.98±7.14MgC org ha -1 . C org gains from seagrass restoration averaged 20.96±8.59Mgha -1 . These results, when combined with the similarity between natural and restored C org content, highlight the potential of seagrass restoration for mitigating seagrass C org losses from prior impact events. Our GoM basin-wide estimates of natural C org totaled ~36.4Tg for the 947,327ha for the USA-GoM. Including Mexico, the total basin contained an estimated 37.2-37.5Tg C org . Regional US-GoM losses totaled 21.69Tg C org . C org losses differed significantly among anthropogenic impacts. Yet, seagrass restoration appears to be an important climate change mitigation strategy that could be implemented elsewhere throughout the tropics and subtropics. Copyright © 2017 Elsevier B.V. All rights reserved.

  3. Report of the second joint meeting of the Working Party on Assessment of Fish Resources and the Working Party on Stock Assessment of Shrimp and Lobster Resources, Mexico City, Mexico, 26-29 November 1979

    National Research Council Canada - National Science Library

    1981-01-01

    The final formal report of the WECAFC Working Parties on Assessment of Fish Resources and on Stock Assessment of Shrimp and Lobster Resources, held in Mexico City, Mexico, 26-29 November 1979 is presented...

  4. Stock-market efficiency in thin-trading markets : the case of the Vietnamese stock market

    NARCIS (Netherlands)

    Truong Dong Loc, [No Value; Lanjouw, Ger; Lensink, Robert

    2010-01-01

    This article reviews developments in the Stock Trading Centre (STC) in Ho Chi Minh City, Vietnam, the main stock market in the country, since its start in 2000. It presents information about developments in the number of stocks traded, trading activity and stock-price developments. This article

  5. Stock Market Efficiency in Thin Trading Markets: The Case of the Vietnamese Stock Market

    NARCIS (Netherlands)

    Dong Loc, T.; Lanjouw, G.; Lensink, B.W.

    2010-01-01

    This article reviews developments in the Stock Trading Centre (STC) in Ho Chi Minh City, Vietnam, the main stock market in the country, since its start in 2000. It presents information about developments in the number of stocks traded, trading activity and stock-price developments. This article

  6. Proving the Relation between Stock and Interbank Markets: The Bahrain Stock Exchange

    OpenAIRE

    Matveev, Aleksandr

    2014-01-01

    The present paper deals with further analysis of the relationship between the interbank loan rateon the one hand and the volume of investment and the amount of stocks tradable on the stock exchange on the other hand, as corroborated by calculations performed on Bahrain Stock Exchange data.

  7. Stock Indices as Generalizing Indicators of the Stock Markets Condition in the European Union Countries

    Directory of Open Access Journals (Sweden)

    Shuba M. V.

    2015-03-01

    Full Text Available The aim of the article is to determine the degree of interdependence of stock markets in separate countries of the European Union, namely: France, Germany, Great Britain, Poland, the Czech Republic and Hungary on the basis of studying the changes in stock indexes, as well as determining the existence of tendencies of approximating the dynamics of the national stock index «PFTS Index» to the corresponding dynamics of stock indexes in surveyed countries. The article analyzes the dynamics of changes in stock indices in the UK (FTSE, Germany (DAX 30, France (CAC 40 and pan-European ones (EURO STOXX 50, as well as changes in stock indices in Poland (WIG 20, Czech Republic (PX, Hungary (BUX. Calculations of the coefficients of pair correlation between changes in stock indices in the studied countries have been performed. The calculation results show a substantial connection between the indicators of changes in stock indices and allow to make a conclusion that in the dynamics of stock indices of national stock markets of the studied EU countries some common trends are observed, moreover, in the behavior of the considered indices common local trends are noticed as well. The author calculated the coefficient of pair correlation between the indicators of changes in the national stock index «PFTS Index» and the stock indices of the «old» and «new» EU countries. The calculations showed that the PFTS Index does not demonstrate a high level of correlation with stock indices of the «old» EU countries and has a tendency of approaching the corresponding dynamics of stock indices of the «new» EU countries.

  8. Stocks as Money: Convenience Yield and the Tech-Stock Bubble

    OpenAIRE

    John H. Cochrane

    2002-01-01

    What caused the rise and fall of tech stocks? I argue that a mechanism much like the transactions demand for money drove many stock prices above the 'fundamental value' they would have had in a frictionless market. I start with the Palm/3Com microcosm and then look at tech stocks in general. High prices are associated with high volume, high volatility, low supply of shares, wide dispersion of opinion, and restrictions on long-term short selling. I review competing theories, and only the conve...

  9. Multifractal in Volatility of Family Business Stocks Listed on Casablanca STOCK Exchange

    Science.gov (United States)

    Lahmiri, Salim

    In this paper, we check for existence of multifractal in volatility of Moroccan family business stock returns and in volatility of Casablanca market index returns based on multifractal detrended fluctuation analysis (MF-DFA) technique. Empirical results show strong evidence of multifractal characteristics in volatility series of both family business stocks and market index. In addition, it is found that small variations in volatility of family business stocks are persistent, whilst small variations in volatility of market index are anti-persistent. However, large variations in family business volatility and market index volatility are both anti-persistent. Furthermore, multifractal spectral analysis based results show strong evidence that volatility in Moroccan family business companies exhibits more multifractality than volatility in the main stock market. These results may provide insightful information for risk managers concerned with family business stocks.

  10. Distribution characteristics of stock market liquidity

    Science.gov (United States)

    Luo, Jiawen; Chen, Langnan; Liu, Hao

    2013-12-01

    We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the distributions of stock market liquidity well with the diagnosis test. We also find that the stock market index exhibits a significant impact on the distributions of stock market liquidity. The stock market liquidity usually exhibits a positive skewness, but a normal distribution at a low level of stock market index and a high-peak and fat-tail shape at a high level of stock market index.

  11. Portfolio volatility of Islamic and conventional stock: The case of Indonesia stock market

    Directory of Open Access Journals (Sweden)

    Aldrin Herwany

    2013-12-01

    Full Text Available Conventional finance suggests that the higher the risk of an investment, the higher the return it should give. Nevertheless, whether Islamic stocks that offer alternative investment in the stock market suggest different risk-return relationship still needs to be investigated. This empirical study is aimed at assessing risk-return behavior of Islamic stocks. This study employs cross sectional data of portfolio developed using beta-rank and market capitalization, in which daily data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stocks using Value-at-Risk (VaR. To check whether Islamic stocks are immune from any impact of financial crisis, this study utilizes three periods of observation, i.e., before, during and after the 2008 crisis. This study assesses risk and return using Multi-index model, in which variables tested are the respective fundamental factors. Results of this study will provide more accurate approach in Islamic stocks analysis.

  12. STOCK AND STOCK EXCHANGE AS A PART OF FINANCIAL INSTITUTIONS IN DEVELOPED COUNTRIES

    Directory of Open Access Journals (Sweden)

    Vesna Petrović

    2018-01-01

    Full Text Available The authors have tried to present the term, meaning and importance of stocks and stock exchange as a part of the financial system of developed countries. By observing the financial system growth, especially in financial institutions, it can be noticed that there are changes in relative positions of various types of financial agents in developed market industries. What determines financial markets, and by that the stocks and stock exchange is the permanent movement of financial instruments and neglecting the national market boundaries.

  13. CSR and Company's Stock Price. A Comparative Evidence from Bucharest Stock Exchange

    Directory of Open Access Journals (Sweden)

    Adina Dornean

    2017-05-01

    Full Text Available This paper aims at analysing the relationship between Corporate Social Responsibility (CSR and stock price for the companies listed on Bucharest Stock Exchange (BSE in 2015, comparing with the results obtained for 2014. This study investigates the differences in the market stock price (and other market variables, such as dividends and stock return of companies that show CSR compared with those that do not. For this purpose we will use three statistical techniques: discriminant analysis, probit analysis model and logistic regression. There is no significant difference between the prediction ability of the models, in the context in which probit model and logistic regression have and average correct classification of 70.29%, while discriminant analysis records 71.62%. Our analysis highlighted that stock return has a significant impact on CSR activities of a company. Moreover, all discriminants have a positive impact on CSR.

  14. The Stock Market Game: A Simulation of Stock Market Trading. Grades 5-8.

    Science.gov (United States)

    Draze, Dianne

    This guide to a unit on a simulation game about the stock market contains an instructional text and two separate simulations. Through directed lessons and reproducible worksheets, the unit teaches students about business ownership, stock exchanges, benchmarks, commissions, why prices change, the logistics of buying and selling stocks, and how to…

  15. Stock Market Expectations of Dutch Households.

    Science.gov (United States)

    Hurd, Michael; van Rooij, Maarten; Winter, Joachim

    2011-04-01

    Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate this puzzle, recent research has started to elicit private households' expectations of stock market returns. This paper reports findings from a study that collected data over a two-year period both on households' stock market expectations (subjective probabilities of gains or losses) and on whether they own stocks. We document substantial heterogeneity in financial market expectations. Expectations are correlated with stock ownership. Over the two years of our data, stock market prices increased, and expectations of future stock market price changes also increased, lending support to the view that expectations are influenced by recent stock gains or losses.

  16. Optimization Stock Portfolio With Mean-Variance and Linear Programming: Case In Indonesia Stock Market

    Directory of Open Access Journals (Sweden)

    Yen Sun

    2010-05-01

    Full Text Available It is observed that the number of Indonesia’s domestic investor who involved in the stock exchange is very less compare to its total number of population (only about 0.1%. As a result, Indonesia Stock Exchange (IDX is highly affected by foreign investor that can threat the economy. Domestic investor tends to invest in risk-free asset such as deposit in the bank since they are not familiar yet with the stock market and anxious about the risk (risk-averse type of investor. Therefore, it is important to educate domestic investor to involve in the stock exchange. Investing in portfolio of stock is one of the best choices for risk-averse investor (such as Indonesia domestic investor since it offers lower risk for a given level of return. This paper studies the optimization of Indonesian stock portfolio. The data is the historical return of 10 stocks of LQ 45 for 5 time series (January 2004 – December 2008. It will be focus on selecting stocks into a portfolio, setting 10 of stock portfolios using mean variance method combining with the linear programming (solver. Furthermore, based on Efficient Frontier concept and Sharpe measurement, there will be one stock portfolio picked as an optimum Portfolio (Namely Portfolio G. Then, Performance of portfolio G will be evaluated by using Sharpe, Treynor and Jensen Measurement to show whether the return of Portfolio G exceeds the market return. This paper also illustrates how the stock composition of the Optimum Portfolio (G succeeds to predict the portfolio return in the future (5th January – 3rd April 2009. The result of the study observed that optimization portfolio using Mean-Variance (consistent with Markowitz theory combine with linear programming can be applied into Indonesia stock’s portfolio. All the measurements (Sharpe, Jensen, and Treynor show that the portfolio G is a superior portfolio. It is also been found that the composition (weights stocks of optimum portfolio (G can be used to

  17. Persistent collective trend in stock markets

    Science.gov (United States)

    Balogh, Emeric; Simonsen, Ingve; Nagy, Bálint Zs.; Néda, Zoltán

    2010-12-01

    Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between 1991 and 2008. Pearson-type correlations are computed between the stocks and averaged over stock pairs and time. The results indicate a general trend: whenever the stock index is falling the stock prices are changing in a more correlated manner than in case the stock index is ascending. A thorough statistical analysis of the data shows that the observed difference is significant, suggesting a constant fear factor among stockholders.

  18. Predictability of Stock Returns

    Directory of Open Access Journals (Sweden)

    Ahmet Sekreter

    2017-06-01

    Full Text Available Predictability of stock returns has been shown by empirical studies over time. This article collects the most important theories on forecasting stock returns and investigates the factors that affecting behavior of the stocks’ prices and the market as a whole. Estimation of the factors and the way of estimation are the key issues of predictability of stock returns.

  19. RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND EXCHANGERATES IN EMERGING STOCK MARKETS

    Directory of Open Access Journals (Sweden)

    M.N. Arshad

    2017-04-01

    Full Text Available Abstract-This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; before (2003-2007 and second, after (2008-2012 the financial crisis of 2008. Johansen-Juselius (JJ. Granger causality tests show that unidirectional causality exists between the stock market returns and exchange rates for Thailand before the financial crisis, whilst, for Indonesia and Singapore, the unidirectional causality between the two variables is detected in the period after the financial crisis. Error Correction Model (ECM indicates the existence of long run causality between the two variables for Philippines. This study also finds that most of the emerging stock markets are informationally inefficient.

  20. Converting partially-stocked aspen stands to fully-stocked stands in the Lake States: an economic analysis.

    Science.gov (United States)

    Jeffrey T. Olson; Allen L. Lundgren

    1978-01-01

    The 1968 Wisconsin Forest Survey showed large areas of aspen type that are not considered fully stocked. The economic feasibility of converting partially-stocked stands to full stocking is examined, and a rule presented for determining when a partially-stocked stand should be harvested to maximize its present value.

  1. Stock prices and business investment

    OpenAIRE

    Yaron Leitner

    2007-01-01

    Is there a link between the stock market and business investment? Empirical evidence indicates that there is. A firm tends to invest more when its stock price increases, and it tends to invest less when the price falls. In “Stock Prices and Business Investment,” Yaron Leitner discusses existing research that explains this relationship. One question under consideration is whether the stock market actually improves investment decisions.

  2. Which stocks are profitable? A network method to investigate the effects of network structure on stock returns

    Science.gov (United States)

    Chen, Kun; Luo, Peng; Sun, Bianxia; Wang, Huaiqing

    2015-10-01

    According to asset pricing theory, a stock's expected returns are determined by its exposure to systematic risk. In this paper, we propose a new method for analyzing the interaction effects among industries and stocks on stock returns. We construct a complex network based on correlations of abnormal stock returns and use centrality and modularity, two popular measures in social science, to determine the effect of interconnections on industry and stock returns. Supported by previous studies, our findings indicate that a relationship exists between inter-industry closeness and industry returns and between stock centrality and stock returns. The theoretical and practical contributions of these findings are discussed.

  3. The role of managerial stock option programs in governance: evidence from REIT stock repurchases

    NARCIS (Netherlands)

    Ghosh, C.; Giambona, E.; Harding, J.P.; Sezer, O.; Sirmans, C.F.

    2010-01-01

    This article examines the role of stock option programs and executive holdings of stock options in real estate investment trust (REIT) governance. We study the issue by analyzing how the market reaction to a stock repurchase announcement varies as a function of the individual REIT's governance

  4. THE EFFECT OF MACROECONOMIC VARIABLES ON BANKING STOCK PRICE INDEX IN INDONESIA STOCK EXCHANGE

    Directory of Open Access Journals (Sweden)

    Laduna R.

    2018-01-01

    Full Text Available Stock price index can be regarded as a barometer in the measuremet of a nation’s economic condition, besides it can also be used in conducting statistical analysis on the current market. Stock is the proof of one’s share in a company in the form of securities issued by the listed go-public companies. This study was conducted to measure the effect of macroeconomic variables such as inflation, interest rate, and exchange rate on banking stock price index in Indonesia stock exchange or Bursa Efek Indonesia (BEI. The results of study show that inflation and exchange rate posively influence the stock price index. The positive effect of the exchange rate shows that issuers who were positively affected by Rupiah (IDR depreciation appear to be the most dominant group. Meanwhile, the interest rate or Suku Bunga (SBI has a negative effect. Lower interest rate stimulates higher investments and better economic activities which increase the stock price.

  5. Commodities and Stock Investment

    Directory of Open Access Journals (Sweden)

    Syed Jawad Hussain Shahzad

    2014-09-01

    Full Text Available This study is a multivariate analysis of commodities and stock investment in a newly established market scenario. Return distribution asymmetry is examined with higher order movements. Skewness in commodity future’s return is largely insignificant, whereas kurtosis is highly significant for both stock and commodity future contracts. Correlation analysis is done with Pearson’s and Kendall’s tau measures. Commodities provide significant diversification benefits when added in a portfolio of stocks. Compared with stocks, commodity future’s returns show stronger correlation with unexpected inflation. The volatility is measured through Glosten-Jagannathan-Runkle - Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH model and reflects that commodities have inverted asymmetric behavior, that is, more impact from the upward shocks compared with downward. Stocks have asymmetric volatility, that is, more impact from negative shocks compared with positive. Gold has highest inverted asymmetric volatility. Tail dependence, measured through Student’s t copula, shows no combined downside movement. In conclusion, commodity investments provide diversification and inflation protection.

  6. Comparison between global financial crisis and local stock disaster on top of Chinese stock network

    Science.gov (United States)

    Xia, Lisi; You, Daming; Jiang, Xin; Guo, Quantong

    2018-01-01

    The science of complex network theory can be usefully applied in many important fields, one of which is the finance. In these practical cases, a massive dataset can be represented as a very large network with certain attributes associated with its nodes and edges. As one of the most important components of financial market, stock market has been attracting more and more attention. In this paper, we propose a threshold model to build Chinese stock market networks and study the topological properties of these networks. To be specific, we compare the effects of different crises, namely the 2008 global crisis and the stock market disaster in 2015, on the threshold networks. Prices of the stocks belonging to the Shanghai and Shenzhen 300 index are considered for three periods: the global crisis, common period and the stock market disaster. We find the probability distribution of the cross-correlations of the stocks during the stock market disaster is fatter than that of others. Besides, the thresholds of cross-correlations are assigned to obtain the threshold networks and the power-law of degree distribution in these networks are observed in a certain range of threshold values. The networks during the stock market disaster also appear to have larger mean degree and modularity, which reveals the strong correlations among these stock prices. Our findings to some extent crosscheck the liquidity shortage reason which is believed to result in the outbreak of the stock market disaster. Moreover, we hope that this paper could give us a deeper understanding of the market's behavior and also lead to interesting future research about the problems of modern finance theory.

  7. Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange

    OpenAIRE

    Febrian, Erie; Herwany, Aldrin

    2007-01-01

    For both risk management and portfolio selection purposes, modeling the linkage across financial markets is crucial, especially among neighboring stock markets. In investigating the dependence or co-movement of three or more stock markets in different countries, researchers frequently use co-integration and causality analysis. Nevertheless, they conducted the causality in mean tests but not the causality in variance tests. This paper examines the co-integration and causal relations among ...

  8. 17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.

    Science.gov (United States)

    2010-04-01

    ... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...

  9. Growth and contribution of stocked channel catfish, Ictalurus punctatus (Rafinesque, 1818): the importance of measuring post-stocking performance

    Science.gov (United States)

    Stewart, David R.; Long, James M.

    2015-01-01

    In this study it was sought to quantify post-stocking growth, survival, and contribution of advanced size (178 mm total length [TL]) channel catfish Ictalurus punctatus fingerlings, something rarely done. Channel catfish populations were evaluated before (May 2010) and after (May to August 2011 and 2012) stocking. Relative abundance, stocking contribution, and growth were different (P stocked in Lake Lone Chimney, stocking contribution was lower (3–35%), and average length and weight of stocked fish by age-2 reached 230 mm TL and 85 g, whereas the stocking contribution (84–98%) and growth in length (340 mm TL) and weight (280 g) were higher by age-2 in Lake Greenleaf. Given these unambiguous differences of post-stocking performance, benchmark metrics that represent population-level information such as relative abundance and average length and weight of the sample masked these significant differences, highlighting the importance of marking hatchery-fish and then following them through time to determine the effectiveness of stocking. These results suggest that stock enhancement programmes would benefit from studies that quantify post-stocking performance of hatchery fish.

  10. Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash

    Directory of Open Access Journals (Sweden)

    Meric Ilhan

    2015-08-01

    Full Text Available Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the comovements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.

  11. The Difference Between Stock Splits and Stock Dividends - Evidence from Denmark

    DEFF Research Database (Denmark)

    Raaballe, Johannes; Bechmann, Ken L.

    2007-01-01

    splits is closely related to changes in a firm's payout policy, but that the relationship differs for the two types of events. A stock dividend implies an increase in nominal share capital and hence a decrease in retained earnings. Firms announcing stock dividends finance growth entirely by debt...

  12. Can investor sentiment be used to predict the stock price? Dynamic analysis based on China stock market

    Science.gov (United States)

    Guo, Kun; Sun, Yi; Qian, Xin

    2017-03-01

    With the development of the social network, the interaction between investors in stock market became more fast and convenient. Thus, investor sentiment which can influence their investment decisions may be quickly spread and magnified through the network, and to a certain extent the stock market can be affected. This paper collected the user comments data from a popular professional social networking site of China stock market called Xueqiu, then the investor sentiment data can be obtained through semantic analysis. The dynamic analysis on relationship between investor sentiment and stock market is proposed based on Thermal Optimal Path (TOP) method. The results show that the sentiment data was not always leading over stock market price, and it can be used to predict the stock price only when the stock has high investor attention.

  13. Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis

    Directory of Open Access Journals (Sweden)

    Wang Kuan-Min

    2013-01-01

    Full Text Available This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the correlation contagion test and Dungey et al.’s (2005 contagion test, we find contagion effects between the Vietnamese and four other stock markets, namely Japan, Singapore, China, and the US. Second, we show that the Japanese stock market causes stronger contagion risk in the Vietnamese stock market compared to the stock markets of China, Singapore, and the US. Finally, we show that the Chinese and US stock markets cause weaker contagion effects in the Vietnamese stock market because of stronger interdependence effects between the former two markets.

  14. Do stock prices drive people crazy?

    Science.gov (United States)

    Lin, Chung-Liang; Chen, Chin-Shyan; Liu, Tsai-Ching

    2015-03-01

    This is the first research to examine a potential relation between stock market volatility and mental disorders. Using data on daily incidences of mental disorders in Taiwan over 4000 days from 1998 through 2009 to assess the time-series relation between stock price movements and mental disorders, we observe that stock price fluctuation clearly affects the hospitalization of mental disorders. We find that during a 12-year follow-up period, a low stock price index, a daily fall in the stock price index and consecutive daily falls in the stock price index are all associated with greater of mental disorders hospitalizations. A 1000-point fall in the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) increases the number of daily mental disorders hospitalizations by 4.71%. A 1% fall in the TAIEX in one single day increases daily hospitalizations for mental disorders by 0.36%. When the stock price index falls one consecutive day, it causes a daily increase of approximately 0.32% hospitalizations due to mental disorders on that day. Stock price index is found to be significant for both gender and all age groups. In addition, daily change is significant for both gender and middle-age groups, whereas accumulated change is significant for males and people aged 45-64. Stockholdings can help people accumulate wealth, but they can also increase mental disorders hospitalizations. In other words, stock price fluctuations do drive people crazy. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine © The Author 2014; all rights reserved.

  15. Analysis of Economic Factors Affecting Stock Market

    OpenAIRE

    Xie, Linyin

    2010-01-01

    This dissertation concentrates on analysis of economic factors affecting Chinese stock market through examining relationship between stock market index and economic factors. Six economic variables are examined: industrial production, money supply 1, money supply 2, exchange rate, long-term government bond yield and real estate total value. Stock market comprises fixed interest stocks and equities shares. In this dissertation, stock market is restricted to equity market. The stock price in thi...

  16. Estimating uncertainty of data limited stock assessments

    DEFF Research Database (Denmark)

    Kokkalis, Alexandros; Eikeset, Anne Maria; Thygesen, Uffe Høgsbro

    2017-01-01

    -limited. Particular emphasis is put on providing uncertainty estimates of the data-limited assessment. We assess four cod stocks in the North-East Atlantic and compare our estimates of stock status (F/Fmsy) with the official assessments. The estimated stock status of all four cod stocks followed the established stock...

  17. 41 CFR 109-27.5003 - Stock control.

    Science.gov (United States)

    2010-07-01

    ... 41 Public Contracts and Property Management 3 2010-07-01 2010-07-01 false Stock control. 109-27... control. (a) Stock control shall be maintained on the basis of stock record accounts of inventories on... property under stock control for greater than 90 days shall be maintained in stock record accounts. ...

  18. Valuation of common and preferred stocks

    Directory of Open Access Journals (Sweden)

    Nikolić Ljubica

    2014-01-01

    Full Text Available Buying stocks is a modern way of investing. The investors may place the available capital on the domestic and foreign stock market, they may buy more stocks of a single issuer or distribute money to purchase stocks of various public (stock-exchange companies, and they may form a portfolio of various securities. The investors' decisions on these options are based on their estimate on returns and risks underlying individual security instruments (securities. The two basic approaches to valuation of common stocks are: the Present Value Approach (method of valuating the capitalization of income and the P/E Ratio Approach (the method of valuating the multiple of per-share earnings. Instead of viewing these methods as competing alternatives, they should better be viewed as mutually complementary methods. Both methods are equally useful and their concurrent use may provide better grounds for the analysts' valuation of stocks.

  19. 12 CFR 221.119 - Applicability of plan-lender provisions to financing of stock options and stock purchase rights...

    Science.gov (United States)

    2010-01-01

    ... experience that in some nonqualified plans, particularly stock purchase plans, the credit arrangement is... financing of stock options and stock purchase rights qualified or restricted under Internal Revenue Code... PURCHASING OR CARRYING MARGIN STOCK (REGULATION U) Interpretations § 221.119 Applicability of plan-lender...

  20. 78 FR 17066 - Indirect Stock Transfers and Coordination Rule Exceptions; Transfers of Stock or Securities in...

    Science.gov (United States)

    2013-03-19

    ... Indirect Stock Transfers and Coordination Rule Exceptions; Transfers of Stock or Securities in Outbound... issue of the Federal Register, the IRS and the Treasury Department are issuing temporary regulations... stock transfers for certain outbound asset reorganizations. The temporary regulations also modify the...

  1. Stock Market Integration in Africa: The Case of the Johannesburg Stock Exchange and Selected African Countries

    OpenAIRE

    Gail Ncube; Kapingura Forget Mingiri

    2015-01-01

    African stock markets are deemed to be small, segmented and illiquid. Given this back ground, the study utilises monthly data for the period 2000-2008, employing the Johansen and Julius cointegration method to determine the long-run relationship between the five selected African stock markets. Granger causality tests were also conducted to establish if there are any causal links between the stock markets in Africa. The analysis in the study indicates that African stock markets are improving i...

  2. Carbon stocks of tropical coastal wetlands within the karstic landscape of the Mexican Caribbean.

    Directory of Open Access Journals (Sweden)

    Maria Fernanda Adame

    Full Text Available Coastal wetlands can have exceptionally large carbon (C stocks and their protection and restoration would constitute an effective mitigation strategy to climate change. Inclusion of coastal ecosystems in mitigation strategies requires quantification of carbon stocks in order to calculate emissions or sequestration through time. In this study, we quantified the ecosystem C stocks of coastal wetlands of the Sian Ka'an Biosphere Reserve (SKBR in the Yucatan Peninsula, Mexico. We stratified the SKBR into different vegetation types (tall, medium and dwarf mangroves, and marshes, and examined relationships of environmental variables with C stocks. At nine sites within SKBR, we quantified ecosystem C stocks through measurement of above and belowground biomass, downed wood, and soil C. Additionally, we measured nitrogen (N and phosphorus (P from the soil and interstitial salinity. Tall mangroves had the highest C stocks (987±338 Mg ha(-1 followed by medium mangroves (623±41 Mg ha(-1, dwarf mangroves (381±52 Mg ha(-1 and marshes (177±73 Mg ha(-1. At all sites, soil C comprised the majority of the ecosystem C stocks (78-99%. Highest C stocks were measured in soils that were relatively low in salinity, high in P and low in N∶P, suggesting that P limits C sequestration and accumulation potential. In this karstic area, coastal wetlands, especially mangroves, are important C stocks. At the landscape scale, the coastal wetlands of Sian Ka'an covering ≈172,176 ha may store 43.2 to 58.0 million Mg of C.

  3. Parallel Prediction of Stock Volatility

    Directory of Open Access Journals (Sweden)

    Priscilla Jenq

    2017-10-01

    Full Text Available Volatility is a measurement of the risk of financial products. A stock will hit new highs and lows over time and if these highs and lows fluctuate wildly, then it is considered a high volatile stock. Such a stock is considered riskier than a stock whose volatility is low. Although highly volatile stocks are riskier, the returns that they generate for investors can be quite high. Of course, with a riskier stock also comes the chance of losing money and yielding negative returns. In this project, we will use historic stock data to help us forecast volatility. Since the financial industry usually uses S&P 500 as the indicator of the market, we will use S&P 500 as a benchmark to compute the risk. We will also use artificial neural networks as a tool to predict volatilities for a specific time frame that will be set when we configure this neural network. There have been reports that neural networks with different numbers of layers and different numbers of hidden nodes may generate varying results. In fact, we may be able to find the best configuration of a neural network to compute volatilities. We will implement this system using the parallel approach. The system can be used as a tool for investors to allocating and hedging assets.

  4. Volatility Transmission Between Dow Jones Stock Index And Emerging Islamic Stock Index: Case Of Subprime Financial Crises

    Directory of Open Access Journals (Sweden)

    Amir Saadaoui

    2015-02-01

    Full Text Available In the course of the recent global crisis, the stock shocks are distributed and transmitted from their homes in the developed stock market to emerging stock markets. By supporting the development of emerging stock markets, this study aims to see the transmission of volatility between the Dow Jones stock index and the Dow Jones emerging Islamic stock indiex. In this study we have divided the period into three, periods, before, during and after this crisis to demonstrate the resilience of the Islamic market index in response to the global financial crisis. Another aim of this study is to provide a new guide line for investors in emerging stock market before making investment decisions. The data are daily, going from 02/01/2005 until 31/12/2012. To measure the transmission we used bivariate BEKK-GARCH and DCC-GARCH model. The result shows that there is a transmission mainly during the crisis period which means that the crisis affects all the financial assets whether Islamic or not. The same result also shows the preference to invest in both Islamic and classical stock indexes since they are less risky.

  5. Does the Shanghai-Hong Kong Stock Connect significantly affect the A-H premium of the stocks?

    Science.gov (United States)

    Hui, Eddie C. M.; Chan, Ka Kwan Kevin

    2018-02-01

    Since the Shanghai-Hong Kong Stock Connect ("the Connect") was launched in late 2014, more and more Mainland investors have invested in Hong Kong listed shares, and vice versa, increasing the transaction volume of the stock market on both sides. However, only a few studies investigated how the Shanghai-Hong Kong Stock Connect affected the pricing dynamics of stocks listed in both Shanghai and Hong Kong. Applying linear regression, this study investigates how the Connect affects the H-share discounts of 12 stocks cross-listed in Shanghai and Hong Kong. A new feature of our model is that we add a dummy variable so as to be the first study to examine the effect of the China financial crisis on the A-H premium of the stocks. We find that the A-H premium of all stocks widens significantly after the Connect is launched, implying immatureness or even inefficiency of China's financial market. Furthermore, the result shows that trading activities in the mainland market affects the A-H premium more significantly than trading activities in the Hong Kong market do. This implies that China's financial market plays a dominant role in the Connect.

  6. Material Stock Demographics: Cars in Great Britain.

    Science.gov (United States)

    Cabrera Serrenho, André; Allwood, Julian M

    2016-03-15

    Recent literature on material flow analysis has been focused on quantitative characterization of past material flows. Fewer analyses exist on past and prospective quantification of stocks of materials in-use. Some of these analyses explore the composition of products' stocks, but a focus on the characterization of material stocks and its relation with service delivery is often neglected. We propose the use of the methods of human demography to characterize material stocks, defined herein as stock demographics, exploring the insights that this approach could provide for the sustainable management of materials. We exemplify an application of stock demographics by characterizing the composition and service delivery of iron, steel, and aluminum stocks of cars in Great Britain, 2002-2012. The results show that in this period the stock has become heavier, it is traveling less, and it is idle for more time. The visualization of material stocks' dynamics demonstrates the pace of product replacement as a function of its usefulness and enables the formulation of policy interventions and the exploration of future trends.

  7. Stock-based Compensation Plans and Employee Incentives

    OpenAIRE

    Jan Zabojnik

    2014-01-01

    Standard principal-agent theory predicts that large firms should not use employee stock options and other stock-based compensation to provide incentives to non-executive employees. Yet, business practitioners appear to believe that stock-based compensation improves incentives, and mounting empirical evidence points to the same conclusion. This paper provides an explanation for why stock-based incentives can be effective. In the model of this paper, employee stock options complement individual...

  8. The Australian stock market development: Prospects and challenges

    OpenAIRE

    Sheilla Nyasha; Nicholas M. Odhiambo

    2013-01-01

    This paper highlights the origin and development of the Australian stock market. The country has three major stock exchanges, namely: the Australian Securities Exchange Group, the National Stock Exchange of Australia, and the Asia-Pacific Stock Exchange. These stock exchanges were born out of a string of stock exchanges that merged over time. Stock-market reforms have been implemented since the period of deregulation, during the 1980s; and the Exchanges responded largely positively to these r...

  9. SKEWNESS IN STOCK RETURNS: EVIDENCE FROM THE BUCHAREST STOCK EXCHANGE DURING 2000 – 2011

    Directory of Open Access Journals (Sweden)

    IULIAN PANAIT

    2012-05-01

    Full Text Available Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual stocks, but only a few present values significantly different from the characteristics of a normal distribution. We compare our results with skewness estimates for 21 major and emerging stock market indices around the world and find that such results are similar to other low capitalization and trading volume markets. For all the Romanian and international assets studied, the Studentized-Range (St-R and Jarque-Bera (J-B tests reject the hypothesis of normal distribution of daily returns.

  10. Financial liberalization and stock market cross-correlation: MF-DCCA analysis based on Shanghai-Hong Kong Stock Connect

    Science.gov (United States)

    Ruan, Qingsong; Zhang, Shuhua; Lv, Dayong; Lu, Xinsheng

    2018-02-01

    Based on the implementation of Shanghai-Hong Kong Stock Connect in China, this paper examines the effects of financial liberalization on stock market comovement using both multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) methods. Results based on MF-DFA confirm the multifractality of Shanghai and Hong Kong stock markets, and the market efficiency of Shanghai stock market increased after the implementation of this connect program. Besides, analysis based on MF-DCCA has verified the existence of persistent cross-correlation between Shanghai and Hong Kong stock markets, and the cross-correlation gets stronger after the launch of this liberalization program. Finally, we find that fat-tail distribution is the main source of multifractality in the cross-correlations before the stock connect program, while long-range correlation contributes to the multifractality after this program.

  11. Ranking Tehran’s Stock Exchange Top Fifty Stocks Using Fundamental Indexes and Fuzzy TOPSIS

    Directory of Open Access Journals (Sweden)

    E. S. Saleh

    2017-08-01

    Full Text Available Investment through the purchase of securities, constitute an important part of countries economic exchange. Therefore, making decisions about investing in a particular stock has become one of the most controversial areas of economic and financial research and various institutions have began to rank companies stock and determine priorities of stock purchase to investment. The current research, with the determination of important required indexes for companies ranking based on their shares value on the Tehran stock exchange, can greatly help to the accurate ranking of fifty premier listed companies. Initial ranking indicators are extracted and then a decision-making group (exchange experts with the use of the Delphi method and also non-parametric statistic methods, determines the final indexes. Then, by using Fuzzy ANP, weight criteria are obtained with taking into account their interaction with each other. Finally, using fuzzy TOPSIS and information extraction about the premier fifty listed companies of Tehran stock exchange in 2014 are ranked with the software "Rahavard Novin”. Sensitivity analysis to criteria weight and relevant analysis presentation was conducted at the end of the study procedures.

  12. Fundamental volatility and stock returns : does fundamental volatility explain stock returns?

    OpenAIRE

    Selboe, Guner K.; Virdee, Jaspal Singh

    2017-01-01

    In this thesis, we investigate whether the fundamental uncertainty can explain the crosssection of stock returns. To measure the fundamental uncertainty, we estimate rolling standard deviations and accounting betas of four different fundamentals: revenues, gross profit, earnings and cash flows. The standard deviation and the beta of revenues significantly explain returns in the Fama-Macbeth procedure, but only appears significant among smaller stocks in the portfolio formation ...

  13. GENERAL METHOD OF STOCKS AUDIT

    Directory of Open Access Journals (Sweden)

    Iryna Galushchak

    2017-03-01

    Full Text Available The article deals with the organization and methodology of accounting and auditing inventory enterprises. Suggestions for improvement of accounting permit to raise processing and presenting economic information to a higher level for making the economic and management decisions. Theory and practice problems of stocks audit were investigated. The basic directions of improvement of  stock audit were defined. The auditor can form an opinion about the state of business transactions of accounting of goods, define shortcomings in its organization and possible directions of elimination of violations and abuses. Program of audit of operations accounting with stocks should include the investigation of the preservation of property, valuation and posting costs, correct evaluation of purchased tangible assets, using of stocks in production. It is worth  to use techniques and methods of verification such as inventory, comparative control,  comparison of documentary evidence, counter check, check arithmetic for  audit of goods. Keywords: audit, stocks, activities of the company.

  14. Stock selection using a hybrid MCDM approach

    Directory of Open Access Journals (Sweden)

    Tea Poklepović

    2014-12-01

    Full Text Available The problem of selecting the right stocks to invest in is of immense interest for investors on both emerging and developed capital markets. Moreover, an investor should take into account all available data regarding stocks on the particular market. This includes fundamental and stock market indicators. The decision making process includes several stocks to invest in and more than one criterion. Therefore, the task of selecting the stocks to invest in can be viewed as a multiple criteria decision making (MCDM problem. Using several MCDM methods often leads to divergent rankings. The goal of this paper is to resolve these possible divergent results obtained from different MCDM methods using a hybrid MCDM approach based on Spearman’s rank correlation coefficient. Five MCDM methods are selected: COPRAS, linear assignment, PROMETHEE, SAW and TOPSIS. The weights for all criteria are obtained by using the AHP method. Data for this study includes information on stock returns and traded volumes from March 2012 to March 2014 for 19 stocks on the Croatian capital market. It also includes the most important fundamental and stock market indicators for selected stocks. Rankings using five selected MCDM methods in the stock selection problem yield divergent results. However, after applying the proposed approach the final hybrid rankings are obtained. The results show that the worse stocks to invest in happen to be the same when the industry is taken into consideration or when not. However, when the industry is taken into account, the best stocks to invest in are slightly different, because some industries are more profitable than the others.

  15. A study on the effect of P/E and PEG ratios on stock returns: Evidence from Tehran Stock Exchange

    Directory of Open Access Journals (Sweden)

    Seyyed Ali Lajevardi

    2014-07-01

    Full Text Available This paper studies the effect of the ratios of P/E and PEG on stock returns of the firms accepted on Tehran Stock Exchange. The study uses regression and Pearson Correlation Coefficient based on the performance of 138 firms over the period 2004- 2009 according to the Iranian calendar to investigate the effects of P/E and PEG on stock returns. The study also uses the models originally proposed by Chahin and Choudhry (2010 [Chahin, S., & Choudhry, T. (2010. Price to earnings, growth radio and value growth based strategies. Social Science Research Network, 19(4.] to discuss the strategies of investing on stocks. The results show that the ratio of P/E had more effect on stock returns than the ratio of PEG and stocks returns had a direct relationship with P/E and an inverse relationship with PEG. In addition, the returns of growth stock were more than value stock.

  16. The Australian stock market development: Prospects and challenges

    Directory of Open Access Journals (Sweden)

    Sheilla Nyasha

    2013-06-01

    Full Text Available This paper highlights the origin and development of the Australian stock market. The country has three major stock exchanges, namely: the Australian Securities Exchange Group, the National Stock Exchange of Australia, and the Asia-Pacific Stock Exchange. These stock exchanges were born out of a string of stock exchanges that merged over time. Stock-market reforms have been implemented since the period of deregulation, during the 1980s; and the Exchanges responded largely positively to these reforms. As a result of the reforms, the Australian stock market has developed in terms of the number of listed companies, the market capitalisation, the total value of stocks traded, and the turnover ratio. Although the stock market in Australia has developed remarkably over the years, and was spared by the global financial crisis of the late 2000s, it still faces some challenges. These include the increased economic uncertainty overseas, the downtrend in global financial markets, and the restrained consumer confidence in Australia.

  17. The past and future of food stocks

    International Nuclear Information System (INIS)

    Laio, Francesco; Ridolfi, Luca; D’Odorico, Paolo

    2016-01-01

    Human societies rely on food reserves and the importation of agricultural goods as means to cope with crop failures and associated food shortage. While food trade has been the subject of intensive investigations in recent years, food reserves remain poorly quantified. It is unclear how food stocks are changing and whether they are declining. In this study we use food stock records for 92 products to reconstruct 50 years of aggregated food reserves, expressed in caloric equivalent (kcal), at the regional and global scales. A detailed statistical analysis demonstrates that the overall regional and global per-capita food stocks are stationary, challenging a widespread impression that food reserves are shrinking. We develop a statistically-sound stochastic representation of stock dynamics and take the stock-halving probability as a measure of the natural variability of the process. We find that there is a 20% probability that the global per-capita stocks will be halved by 2050. There are, however, some strong regional differences: Western Europe and the region encompassing North Africa and the Middle East have smaller halving probabilities and smaller per-capita stocks, while North America and Oceania have greater halving probabilities and greater per-capita stocks than the global average. Africa exhibits low per-capita stocks and relatively high probability of stock halving by 2050, which reflects a state of higher food insecurity in this continent. (letter)

  18. Cascading effect of contagion in Indian stock market: Evidence from reachable stocks

    Directory of Open Access Journals (Sweden)

    Rajan Sruthi

    2017-12-01

    Full Text Available The financial turbulence in a country percolates to another along the trajectories of reachable stocks owned by foreign investors. To indemnify the losses originating from the crisis country, foreign investors dispose of shares in other markets triggering a contagion in an unrelated market. This paper provides empirical evidence for the stock market crisis that spreads globally through investors owning international portfolios, with special reference to the global financial crisis of 2008–09. Using two-step Limited Information Maximum Likelihood estimation and Murphy-Topel variance estimate, the results show that reachability plays a crucial role in the transposal of distress from one country to another, explaining investor-induced contagion in the Indian stock market.

  19. Students Invest in the Stock Market

    Science.gov (United States)

    Parker, George O.

    1977-01-01

    How one teacher motivated students to learn about the stock market by allowing them to actually invest money. Class discussion covered inexpensive ways to buy stock, choosing securities, and buying and selling stock. Suggestions are offered for adapting this project for use at the secondary level. (TA)

  20. Distinguishing manipulated stocks via trading network analysis

    Science.gov (United States)

    Sun, Xiao-Qian; Cheng, Xue-Qi; Shen, Hua-Wei; Wang, Zhao-Yang

    2011-10-01

    Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of over a hundred stocks in a one-year period is conducted. For each stock, a trading network is constructed to characterize the relations among its investors. In trading networks, nodes represent investors and a directed link connects a stock seller to a buyer with the total trade size as the weight of the link, and the node strength is the sum of all edge weights of a node. For all these trading networks, we find that the node degree and node strength both have tails following a power-law distribution. Compared with non-manipulated stocks, manipulated stocks have a high lower bound of the power-law tail, a high average degree of the trading network and a low correlation between the price return and the seller-buyer ratio. These findings may help us to detect manipulated stocks.

  1. PERFORMANCE EVALUATION AND RISK AVERSION RATE FOR SEVERAL STOCK INDICES IN INDONESIA STOCK EXCHANGE

    OpenAIRE

    Robiyanto Robiyanto

    2017-01-01

    There are numerous stock indices in Indonesia Stock Exchange. Several of them are LQ-45, MBX, DBX, JII, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. Unfortunately there are limi­ted researches which have been done to measure those indices performance specifically. The same condition also occurs on risk aversion level usage in Indonesia Stock Exchange, only few numbers of researches use this me­a­surement in the portfolio valuation. Based on that, this research measured the perfor...

  2. Is Stock Market Crash Predictable? The Case Study of Stock Markets in Malaysia, Indonesia, Korea and Singapore

    OpenAIRE

    Ng, Ho Keng

    2008-01-01

    What is the stock market? A stock market is a market place that enables trading of company stocks, other forms of securities (such as bonds, debentures, and equity securities) and derivatives (for example, futures, forwards, options, and swaps). Stock market is an important source for companies or fund raisers to raise money and for investors or traders to make or loose money. It is also a market place for speculators to make arbitraged investment for financial gain. Due to its complexity and...

  3. Stock price prediction using geometric Brownian motion

    Science.gov (United States)

    Farida Agustini, W.; Restu Affianti, Ika; Putri, Endah RM

    2018-03-01

    Geometric Brownian motion is a mathematical model for predicting the future price of stock. The phase that done before stock price prediction is determine stock expected price formulation and determine the confidence level of 95%. On stock price prediction using geometric Brownian Motion model, the algorithm starts from calculating the value of return, followed by estimating value of volatility and drift, obtain the stock price forecast, calculating the forecast MAPE, calculating the stock expected price and calculating the confidence level of 95%. Based on the research, the output analysis shows that geometric Brownian motion model is the prediction technique with high rate of accuracy. It is proven with forecast MAPE value ≤ 20%.

  4. Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Muhammad Iqbal

    2017-06-01

    Full Text Available Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum, confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973, the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

  5. Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Muhammad Iqbal

    2017-03-01

    Full Text Available Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum, confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973, the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

  6. Crude oil price shocks and stock returns. Evidence from Turkish stock market under global liquidity conditions

    Energy Technology Data Exchange (ETDEWEB)

    Berk, Istemi [Koeln Univ. (Germany). Energiewirtschaftliches Inst.; Aydogan, Berna [Izmir Univ. of Economics (Turkey). Dept. of International Trade and Finance

    2012-09-15

    The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (V AR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE- 1 00) returns for the period between January 2, 1990 and November 1, 2011. We have also tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a liquidity proxy variable, Chicago Board of Exchange's (CBOE) S and P 500 market volatility index (VIX), into the model. Variance decomposition test results suggest little empirical evidence that crude oil price shocks have been rationally evaluated in the Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of variation in stock market returns.

  7. Based on BP Neural Network Stock Prediction

    Science.gov (United States)

    Liu, Xiangwei; Ma, Xin

    2012-01-01

    The stock market has a high profit and high risk features, on the stock market analysis and prediction research has been paid attention to by people. Stock price trend is a complex nonlinear function, so the price has certain predictability. This article mainly with improved BP neural network (BPNN) to set up the stock market prediction model, and…

  8. The Effects of Asset Management and Profitability on Stock Returns: A Comparative Study between Conventional and Islamic Stock Markets in Indonesia

    Directory of Open Access Journals (Sweden)

    Shelly Midesia

    2016-09-01

    Full Text Available This study aims at empirically examining whether there are differences in stock returns between conventional and Islamic stock returns In Indonesia for the period 2010-2013. This study also attempts to explore the effect of asset management and profitability both stock returns in Indonesia. Annual pooled data gathered from the annual financial reports of 100 conventional and Islamic stock returns, which were published by the Indonesian Stock Exchange from 2010 to 2013 were used and analyzed by using the independent t-test and panel multivariate regression analysis. The result shows that there was no difference in stock returns between the conventional and Islamic stock markets. Additionally, the study documents that only profitability, which is measured by market ratio, was found to have an influence on the conventional stock markets. Meanwhile, as for Islamic stock market, only management of assets was found to have a significant effect on the stock return. These findings imply that investors who are investing in both Islamic and conventional markets would gain similar returns. However, in predicting and stabilizing the stock markets, both investors and policy makers should focus on the profitability for the conventional and management of assets for the Islamic stock market.

  9. 75 FR 46912 - Draft 2010 Marine Mammal Stock Assessment Reports

    Science.gov (United States)

    2010-08-04

    ..., Niihau stock, Kure-Midway stock, and the Pearl and Hermes stock. The SAR for the Hawaii stock of... new bottlenose dolphin stocks are the Kauai-Niihau stock, Oahu stock, Four Islands stock, and the...

  10. 12 CFR 725.5 - Capital stock.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Capital stock. 725.5 Section 725.5 Banks and Banking NATIONAL CREDIT UNION ADMINISTRATION REGULATIONS AFFECTING CREDIT UNIONS NATIONAL CREDIT UNION ADMINISTRATION CENTRAL LIQUIDITY FACILITY § 725.5 Capital stock. (a) The capital stock of the Facility is divided...

  11. The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks

    OpenAIRE

    John H. Boyd; Ravi Jagannathan; Jian Hu

    2001-01-01

    We find that on average an announcement of rising unemployment is 'good news' for stocks during economic expansions and 'bad news' during economic contractions. Thus stock prices usually increase on news of rising unemployment, since the economy is usually in an expansion phase. We provide an explanation for this phenomenon. Unemployment news bundles two primitive types of information relevant for valuing stocks: information about future interest rates and future corporate earnings and divide...

  12. Stocks and energy shocks : the impact of energy accidents on stock market value

    NARCIS (Netherlands)

    Scholtens, B.; Boersen, A.

    We investigate how financial market participants value energy accidents. We employ an event study to look into the response of stock markets to 209 accidents. These accidents were derived from Sovacool's (2008) database on major energy accidents from 1907 to 2007. It appears that the stock market in

  13. Company Stock in Pension Funds

    OpenAIRE

    Even, William E.; Macpherson, David

    2004-01-01

    This study examines several issues surrounding the tendency for some pension funds to invest in their own company’s stock. After reviewing the existing literature describing the benefits and costs of investing in company stock, the legislative environment surrounding company stock holdings is reviewed. Using data from Internal Revenue Service Form 5500 filings on the pension fund holdings of over 300,000 defined–contribution pension plans in the 1990s, we show that about one out of ten define...

  14. Capital Structure and Stock Returns

    OpenAIRE

    Ivo Welch

    2002-01-01

    U.S. corporations do not issue and repurchase debt and equity to counteract the mechanistic effects of stock returns on their debt-equity ratios. Thus over one- to five-year horizons, stock returns can explain about 40 percent of debt ratio dynamics. Although corporate net issuing activity is lively and although it can explain 60 percent of debt ratio dynamics (long-term debt issuing activity being most capital structurerelevant), corporate issuing motives remain largely a mystery. When stock...

  15. Risk management of stock index futures

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock ...

  16. The Role of Exchange Traded Funds in the Price Discovery Process of Stocks Listed on the Botswana Stock Exchange

    Directory of Open Access Journals (Sweden)

    Edson Kambeu

    2017-04-01

    Full Text Available In this paper we analyse the role of Exchange Traded Funds (ETFs in the price discovery process of stocks listed at the Botswana Stock Exchange.Using daily returns data covering the period 3 January 2013 to 31 December 2015   for Beta Betta ETF and Domestic Company Indices, we utilize a VECM model to find out whether the Betta Beta ETF is playing a significant role in the price discovery process of stocks listed on the Botswana Stock Exchange. We found the error correction term to be statistically significant thereby confirming that the Beta Betta ETF is playing a significant role in the price discovery of stocks listed on the Botswana Stock Exchange.

  17. The roles of the trading time risks on stock investment return and risks in stock price crashes

    Science.gov (United States)

    Li, Jiang-Cheng; Dong, Zhi-Wei; Yang, Guo-Hui; Long, Chao

    2017-03-01

    The roles of the trading time risks (TTRs) on stock investment return and risks are investigated in the condition of stock price crashes with Hushen300 data (CSI300) and Dow Jones Industrial Average (ˆDJI), respectively. In order to describe the TTR, we employ the escape time that the stock price drops from the maximum to minimum value in a data window length (DWL). After theoretical and empirical research on probability density function of return, the results in both ˆDJI and CSI300 indicate that: (i) As increasing DWL, the expectation of returns and its stability are weakened. (ii) An optimal TTR is related to a maximum return and minimum risk of stock investment in stock price crashes.

  18. Optimization Stock Portfolio With Mean-Variance and Linear Programming: Case In Indonesia Stock Market

    OpenAIRE

    Yen Sun

    2010-01-01

    It is observed that the number of Indonesia’s domestic investor who involved in the stock exchange is very less compare to its total number of population (only about 0.1%). As a result, Indonesia Stock Exchange (IDX) is highly affected by foreign investor that can threat the economy. Domestic investor tends to invest in risk-free asset such as deposit in the bank since they are not familiar yet with the stock market and anxious about the risk (risk-averse type of investor). Therefore, it is i...

  19. Analysing News for Stock Market Prediction

    Science.gov (United States)

    Ramalingam, V. V.; Pandian, A.; Dwivedi, shivam; Bhatt, Jigar P.

    2018-04-01

    Stock market means the aggregation of all sellers and buyers of stocks representing their ownership claims on the business. To be completely absolute about the investment on these stocks, proper knowledge about them as well as their pricing, for both present and future is very essential. Large amount of data is collected and parsed to obtain this essential information regarding the fluctuations in the stock market. This data can be any news or public opinions in general. Recently, many methods have been used, especially big unstructured data methods to predict the stock market values. We introduce another method of focusing on deriving the best statistical learning model for predicting the future values. The data set used is very large unstructured data collected from an online social platform, commonly known as Quindl. The data from this platform is then linked to a csv fie and cleaned to obtain the essential information for stock market prediction. The method consists of carrying out the NLP (Natural Language Processing) of the data and then making it easier for the system to understand, finds and identifies the correlation in between this data and the stock market fluctuations. The model is implemented using Python Programming Language throughout the entire project to obtain flexibility and convenience of the system.

  20. Stock Assessment Supplementary Information (SASINF)

    Data.gov (United States)

    National Oceanic and Atmospheric Administration, Department of Commerce — In the interest of efficiency, clarity and standardization of stock assessment materials, the stock assessment reports for the 2015 Groundfish update have been...

  1. Market Confidence Predicts Stock Price: Beyond Supply and Demand.

    Directory of Open Access Journals (Sweden)

    Xiao-Qian Sun

    Full Text Available Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.

  2. Market Confidence Predicts Stock Price: Beyond Supply and Demand.

    Science.gov (United States)

    Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Zhang, Yuqing

    2016-01-01

    Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.

  3. Stocking chart for upland central hardwoods

    Science.gov (United States)

    Martin E. Dale; Donald E. Hilt

    1989-01-01

    The upland hardwoods stocking chart, introduced by Gingrich in 1967, has become one of the forest manager's most useful tools. The chart allows you to determine the condition of the present stand in relation to a stocking standard. The stocking of a stand is extremely helpful in prescribing various silvicultural treatments such as intermediate thinnings,...

  4. Validating Virtual Safety Stock Effectiveness through Simulation

    Directory of Open Access Journals (Sweden)

    Maria Elena Nenni

    2013-08-01

    safety stock effectiveness through simulation in an inventory system using a base stock policy with periodic reviews and backorders. This approach can be useful for researchers as well as practitioners who want to model the behaviour of an inventory system under uncertain conditions and verify the opportunity for setting up a virtual safety stock on top of, or instead of, the traditional physical safety stock.

  5. Does the Order Between Dividend Payment and New Stock Issuance Matter to Stock Price? — Evidence from Taiwan

    OpenAIRE

    Mia Twu

    2010-01-01

    I argue that paying dividends before issuing new stock can increase the stock price in the case when firms announce dividend payments and new stock issuance contemporaneously. It enables issuing firms to disentangle the agency problem of paying dividends by newly-raised funds from dividend information for new stock issuances. I employ the seasoned offerings of Taiwan listed firms as the sample, because of their practice of paying dividends once a year. The conditional event study strongly sup...

  6. Do More Economists Hold Stocks?

    DEFF Research Database (Denmark)

    Christiansen, Charlotte; Joensen, Juanna Schröter; Rangvid, Jesper

    A unique data set enables us to test the hypothesis that more economists than otherwise identical investors hold stocks due to informational advantages. We confirm that economists have a significantly higher probability of participating in the stock market than investors with any other education......, even when controlling for several background characteristics. We make use of a large register-based panel data set containing detailed information on the educational attainments and various financial and socioeconomic variables. We model the stock market participation decision by the probit model...

  7. Stock Issues in Aristotle's Rhetoric

    Science.gov (United States)

    Harpine, Bill

    1977-01-01

    Defines "stock issue" by the manner in which they function in Aristotle's theory, reviews examples of modern theories of stock issues, examines previous investigations of the "Rhetoric," and analyzes Aristotle's approach to this aspect of argumentation. (MH)

  8. An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe

    Directory of Open Access Journals (Sweden)

    Okičić Jasmina

    2015-04-01

    Full Text Available The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE, focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.

  9. Analysis of Naval Ammunition Stock Positioning

    Science.gov (United States)

    2015-12-01

    not manipulated to be in favor of any system based on the assumption that stock positioned closer to demand would result in more favorable delivery...NAVAL POSTGRADUATE SCHOOL MONTEREY, CALIFORNIA MBA PROFESSIONAL REPORT ANALYSIS OF NAVAL AMMUNITION STOCK POSITIONING...professional report 4. TITLE AND SUBTITLE ANALYSIS OF NAVAL AMMUNITION STOCK POSITIONING 5. FUNDING NUMBERS 6. AUTHOR(S) David Sharp and Eric

  10. Random Walks in Stock Exchange Prices and the Vienna Stock Exchange

    OpenAIRE

    Huber, Peter

    1995-01-01

    This paper uses the multiple variance ratio test procedure developed by Chow and Denning (1993) to test for a random walk of stock returns on the Austrian Stock Exchange. I find that with daily data the test rejects the random walk hypothesis at all conventional significance levels for each and every title and for both indeces tested. Individual shares, however, do seem to follow a random walk when weekly returns are considered, while the hypothesis is rejected for both indices. Dieser Art...

  11. PERFORMANCE EVALUATION AND RISK AVERSION RATE FOR SEVERAL STOCK INDICES IN INDONESIA STOCK EXCHANGE

    Directory of Open Access Journals (Sweden)

    Robiyanto Robiyanto

    2017-03-01

    Full Text Available There are numerous stock indices in Indonesia Stock Exchange. Several of them are LQ-45, MBX, DBX, JII, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. Unfortunately there are limi­ted researches which have been done to measure those indices performance specifically. The same condition also occurs on risk aversion level usage in Indonesia Stock Exchange, only few numbers of researches use this me­a­surement in the portfolio valuation. Based on that, this research measured the performance and risk aversion rate of those indices in Indonesia Stock Exchange. The results of this study were SRI-KEHATI becomes the best performer with the highest risk aversion rate, while Jakarta Islamic Index (JII produces the lowest positive per­formance with the lowest risk aversion rate. This finding shows that sharia stocks’ characters (i.e. usury free could give relieveness and convenience regardless its per­formance.

  12. Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange

    OpenAIRE

    Pasaribu, Rowland Bismark Fernando

    2009-01-01

    This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR) and accounting performance (ROE, and EPS) also their market capitalization in Indonesia Stock Exchange period 2003-2006. Some clarification need to achieved, such as: real difference among variabel refer to their market capitalization and influence of predictor to stock return. Hereinafter, the performance of selected portfolio were evaluated. The evaluation result conclude ...

  13. The Speculative Nature of Stock Market

    Directory of Open Access Journals (Sweden)

    Bogdan-Gabriel FILIPESCU

    2011-12-01

    Full Text Available This paper focuses on the speculative nature of the stock market in Romania, emphasizing the basic rules and risks associated with stock transactions. On the one hand, the speculative nature may be considered as a mandatory feature of the stock market, for the purposes of supporting a fair and efficient functioning stock system. On the other hand, the term "speculative" can be also interpreted in a negative direction, i.e. in combination with market manipulation or market abuse. Related to this latter interpretation, the study refers to European legislation on market abuse, accepted market practices and those that constitute market manipulation.

  14. VOLATILITY AND KURTOSIS OF DAILY STOCK RETURNS AT MSE

    Directory of Open Access Journals (Sweden)

    Zoran Ivanovski

    2015-12-01

    Full Text Available Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian distribution. However, many authors argue that in the practice stock returns are often characterized by skewness and kurtosis, so we test the existence of the Gaussian distribution of stock returns and calculate the kurtosis of several stocks at the Macedonian Stock Exchange (MSE. Obtaining information about the shape of distribution is an important step for models of pricing risky assets. The daily stock returns at Macedonian Stock Exchange (MSE are characterized by high volatility and non-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility clustering and high kurtosis. The fact that daily stock returns at MSE are not normally distributed put into doubt results that rely heavily on this assumption and have significant implications for portfolio management. We consider this stock market as good representatives of emerging markets. Therefore, we argue that our results are valid for other similar emerging stock markets.

  15. What Is the Expected Return on a Stock?

    DEFF Research Database (Denmark)

    Martin, Ian; Wagner, Christian

    We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to the average stock. These components can be computed from index and stock option prices; the formula has no free parameters....... We test the theory in-sample by running panel regressions of stock returns onto risk-neutral variances. The formula performs well at 6-month and 1-year forecasting horizons, and our predictors drive out beta, size, book-to-market, and momentum. Out-of-sample, we find that the formula outperforms...... a range of competitors in forecasting individual stock returns. Our results suggest that there is considerably more variation in expected returns, both over time and across stocks, than has previously been acknowledged....

  16. Maintenance Appointments in Railway Rolling Stock Rescheduling

    NARCIS (Netherlands)

    J.C. Wagenaar (Joris); L.G. Kroon (Leo); M.E. Schmidt (Marie)

    2016-01-01

    textabstractThis paper addresses the Rolling Stock Rescheduling Problem (RSRP), while taking maintenance appointments into account. After a disruption, the rolling stock of the disrupted passenger trains has to be rescheduled in order to restore a feasible rolling stock circulation. Usually, a

  17. On the Design of Artificial Stock Markets

    NARCIS (Netherlands)

    K. Boer-Sorban (Katalin); A. de Bruin (Arie); U. Kaymak (Uzay)

    2005-01-01

    textabstractArtificial stock markets are designed with the aim to study and understand market dynamics by representing (part of) real stock markets. Since there is a large variety of real stock markets with several partially observable elements and hidden processes, artificial markets differ

  18. Heuristics and stock buying decision: Evidence from Malaysian and Pakistani stock markets

    Directory of Open Access Journals (Sweden)

    Habib Hussain Khan

    2017-06-01

    Full Text Available Applying both qualitative and quantitative approaches, we examine whether or not investors fall prey to three heuristics; namely, anchoring and adjustment, representativeness, and availability, while investing in stocks. We also compare investors' vulnerability to these heuristics based on their economic association, their type and demographic factors such as income, education and experience. For the data collection, a self-constructed questionnaire was administered to investors in the Malaysian and Pakistani stock exchanges. Data has been analyzed through description, correlation and regression analysis. The results indicate that all three heuristics are likely to affect the investors' stock buying decisions. The effect of heuristics is similar across the sample countries, the type of investors, and the income groups. However, the investors with a higher level of education and more experience are less likely to be affected by the heuristics.

  19. Hidden Markov Model for Stock Selection

    Directory of Open Access Journals (Sweden)

    Nguyet Nguyen

    2015-10-01

    Full Text Available The hidden Markov model (HMM is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for stock selection. We first use HMM to make monthly regime predictions for the four macroeconomic variables: inflation (consumer price index (CPI, industrial production index (INDPRO, stock market index (S&P 500 and market volatility (VIX. At the end of each month, we calibrate HMM’s parameters for each of these economic variables and predict its regimes for the next month. We then look back into historical data to find the time periods for which the four variables had similar regimes with the forecasted regimes. Within those similar periods, we analyze all of the S&P 500 stocks to identify which stock characteristics have been well rewarded during the time periods and assign scores and corresponding weights for each of the stock characteristics. A composite score of each stock is calculated based on the scores and weights of its features. Based on this algorithm, we choose the 50 top ranking stocks to buy. We compare the performances of the portfolio with the benchmark index, S&P 500. With an initial investment of $100 in December 1999, over 15 years, in December 2014, our portfolio had an average gain per annum of 14.9% versus 2.3% for the S&P 500.

  20. Residential building stocks and flows as dynamic systems: Chilean dwelling stock and energy modeling, including earthquakes.

    OpenAIRE

    Gallardo, Carla

    2012-01-01

    The building sector comprises a very important part of each country s economy, playing an important role in the consumption of resources and energy. In practice there is little knowledge on how the building stock develops. It is useful then to understand the dynamics and the metabolism of the built environment. Research on building stocks, predominantly on the residential sector, has been performed mainly for developed countries. There is little or none research on building stock for developi...

  1. Sector Identification in a Set of Stock Return Time Series Traded at the London Stock Exchange

    Science.gov (United States)

    Coronnello, C.; Tumminello, M.; Lillo, F.; Micciche, S.; Mantegna, R. N.

    2005-09-01

    We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methods present a different degree of sensitivity with respect to different sectors. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a stock portfolio.

  2. Global stock market in 1990-s

    Directory of Open Access Journals (Sweden)

    Moshenskyi S.Z.

    2017-08-01

    Full Text Available The 1990s became a period of long-term recovery, the main driving force of which was the high-tech companies of the so-called «new economy», mainly associated with information technology and Internet at the global stock market. Such innovations have led to unrealistic expectations of the profitability of new companies from the sale of goods and services on the Internet. This became a prerequisite for a speculative boom in equity markets in developed financial systems. The boom intensified the mass privatization of state-owned enterprises in UK, Germany, France and some other countries. The capitalization of the global stock market increased more than ten times although the world GDP grew only 2.5 times during two decades, from 1980 to 2000. Though the stock market is the source of capital only in the countries with the Anglo-American model of financial markets (for countries of continental Europe and Japan such sources are bank loans, stock markets increased in all countries with developed financial systems. The systematic analysis of such key indicators as market capitalization and liquidity is required for an objective assessment of such rise in stock markets. But statistical information at stock markets is often not systematized and fragmentary. Therefore, the author (based on the official statistics of such international financial organizations as the Organization for Economic Co-operation and Development and the World Federation of Exchanges has calculated and systematically analyzed capitalization and liquidity as the main indicators of the stock market for the largest countries with developed financial systems (USA, Great Britain, Germany, France, Japan. The paper displays the differences in the mechanisms of attraction of capital determined by the different models of financial markets (decentralized Anglo-American and centralized European as well as the features of the composition of the main investors in the world stock markets.

  3. Manufacturing Capital Lingers in the Stock Market

    Institute of Scientific and Technical Information of China (English)

    吴程涛; 段铸; 张景宇; 张曙光

    2008-01-01

    Pressured by a slowdown in exports, cost increases and dwindling returns to manufacturing investments, China’s manufacturing capital has begun to shift to the real-estate and stock markets. As a matter of fact, the stock market had already felt a shock a couple of years ago when top domestic manufacturers like Midea, Gree, TCL and LMZ started to invest their idle capital in the real-estate and stock markets. Investments of manufacturing capital in both the real estate and stock markets have increased fluid capital and pushed up the value of both markets. Booms in both markets have in turn guaranteed investment returns of manufacturing capital, which further increased the stock market valuations of manufacturing capital. Such a cycle has created interest chains between listed manufacturers, the stock market and the real-estate market. Along with the ups and downs of the stock and real-estate markets, manufacturing capital now faces a dilemma: to escape or to persist? Where should it escape? When can the markets be profitable again? Just like the classic Shakespearean question: to be or not to be, that is the question.

  4. 12 CFR 221.114 - Bank loans to purchase stock of American Telephone and Telegraph Company under Employees' Stock...

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 3 2010-01-01 2010-01-01 false Bank loans to purchase stock of American...) Interpretations § 221.114 Bank loans to purchase stock of American Telephone and Telegraph Company under Employees' Stock Plan. (a) The Board of Governors interpreted this part in connection with proposed loans by a bank...

  5. Dynamic Stock Market Participation of Households

    DEFF Research Database (Denmark)

    Khorunzhina, Natalia

    This paper develops and estimates a dynamic model of stock market participation, where consumers’ decisions regarding stock market participation are influenced by participation costs. The practical significance of the participation costs is considered as being a channel through which financial...... education programs can affect consumers’ investment decisions. Using household data from the Panel Study of Income Dynamics, I estimate the magnitude of the participation cost, allowing for individual heterogeneity in it. The results show the average stock market articipation cost is about 5% of labor...... income; however, it varies substantially over consumers’ life. The model successfully predicts the level of the observed articipation rate and the increasing pattern of stock market participation over the consumers’ life cycle....

  6. The volatility of stock market prices.

    Science.gov (United States)

    Shiller, R J

    1987-01-02

    If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.

  7. Are Stock and Corporate Bond Markets Integrated?

    NARCIS (Netherlands)

    van Zundert, J.; Driessen, Joost

    2017-01-01

    This study explores the cross-sectional integration of stock and corporate bond markets by comparing a firm’s expected stock return, as implied by corporate bond spreads, to its realized stock return. We compute expected corporate bond returns by correcting credit spreads for expected losses due to

  8. Surveying effects of forward-backward P/E‎‎ ratios on stock's return and ‎fluctuation in Tehran's stock exchange

    Directory of Open Access Journals (Sweden)

    Younos VakilAlroaia

    2012-08-01

    Full Text Available The aim of this study is to study the relationship between forward-backward effects on stock return, which normally depends on Price-Earnings ratio (P/E‎ and stock fluctuation in stock exchange. Monthly time series pattern of Tehran stock exchange are used monthly from 2006 to 2010. The data contains all available companies in exchange where the shares were traded at the least 120 days during for the recent 12 months. The results of this research show that the independent variables investigated in this research have meaningful effects on the research's dependent variable. This means that the effects of company’s systematic risk and markets risk on companies’ stock return are positive.

  9. Stock Market Optimism and Cointegration among Stocks: The Case of the Prague Stock Exchange

    Czech Academy of Sciences Publication Activity Database

    Baxa, Jaromír

    2007-01-01

    Roč. 15, č. 4 (2007), s. 5-16 ISSN 0572-3043 R&D Projects: GA ČR GD402/03/H057 Institutional research plan: CEZ:AV0Z10750506 Keywords : stock market * optimism * cointegration Subject RIV: AH - Economics

  10. RUSSIAN STOCK MARKET INSTITUTIONAL PARTICIPANTS: HABITUS AND PRACTICES

    Directory of Open Access Journals (Sweden)

    Boris Borisovich Podgorny

    2017-11-01

    Full Text Available The global investment experience shows that economic growth is impossible without the creation of an effective national stock market. Also, along with the solution of the funds inflow into the economy, developed stock market contributes the creation of a mass economy owners community. Economic characteristics – economy demand for credit resources (especially in sanction terms, the availability of the savings among the Russian population, rates reduction on bank deposits, – saying that “investment boom” should take place in Russia today, in which a significant part of the population must be taken mass participation in the stock market, including the way through collective investment. However, the current situation does not allow us to talk about the successful development this direction of the Russian stock market. In this article, prepared in the framework of the author’s special sociological theory «The Russian Stock Market as a Social Space» [27], presented the results of Russian stock market institutional investors study including: the statistical indicators characterizing institutional investors on the stock market were analyzed; the practices caused by the existing habitus of Russian stock market institutional investors were classified and studied. It was found that the habitus of most institutional investors participating in the Russian stock market is marked a speculative nature.

  11. HOW PERFORMANCE OF JAKARTA ISLAMIC INDEX (JII STOCKS RELATIVE TO OTHER STOCKS?

    Directory of Open Access Journals (Sweden)

    Erna Listyaningsih

    2015-09-01

    Full Text Available This study was conducted to assess the performance of Jakarta Islamic Index (JII stocks and also investigate whether there was an ethical effect (JII selection restriction and compare it with non-Sharia stocks. The main model used in this study was the Capital Asset Pricing Model (CAPM single index model extended to the Fama and French three factors. This study employs elaborate matching data. The data used in this study was split into two periods: the 2005-2007 periods which consists of two groups: JII and non-JII and the 2008-2012 periods which consists of three groups: JII, Sharia and non-Sharia based on industry sector. This study found that basically there was no difference on performance between JII and non-JII stocks. Therefore, this result supports the previous studies in which there were no significant differences between Sharia and conventional investment.

  12. Stock portfolio selection using Dempster–Shafer evidence theory

    Directory of Open Access Journals (Sweden)

    Gour Sundar Mitra Thakur

    2018-04-01

    Full Text Available Markowitz’s return–risk model for stock portfolio selection is based on the historical return data of assets. In addition to the effect of historical return, there are many other critical factors which directly or indirectly influence the stock market. We use the fuzzy Delphi method to identify the critical factors initially. Factors having lower correlation coefficients are finally considered for further consideration. The critical factors and historical data are used to apply Dempster–Shafer evidence theory to rank the stocks. Then, a portfolio selection model that prefers stocks with higher rank is proposed. Illustration is done using stocks under Bombay Stock Exchange (BSE. Simulation is done by Ant Colony Optimization. The performance of the outcome is found satisfactory when compared with recent performance of the assets. Keywords: Stock portfolio selection, Ranking, Dempster–Shafer evidence theory, Ant Colony Optimization, Fuzzy Delphi method

  13. Combining Stocks and Flows of Knowledge

    DEFF Research Database (Denmark)

    Ambos, Tina C.; Nell, Phillip Christopher; Pedersen, Torben

    2013-01-01

    While previous research has mostly focused on either knowledge stocks or knowledge flows, our study is among the first to integrate these perspectives in order to shed light on the complementarity effects of different types of knowledge stocks and flows in the multinational corporation (MNC...... of complementarity create benefits for these units, but that the effects from intra-functional combinations of knowledge stocks and flows are significantly stronger than from cross-functional combinations....

  14. Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization

    International Nuclear Information System (INIS)

    Arreola Hernandez, Jose

    2014-01-01

    This article models the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios from the Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas and, linear and nonlinear portfolio optimization methods with respect to five risk measures. The paper's objectives are to find out if the oil and gas stocks are riskier than the coal and uranium stocks, to identify the optimization method and risk measure that produce the best risk-return trade-off, to recognize the stocks in which the optimal weight allocations converge on average, and to acknowledge the vine copula model that best accounts for the overall dependence of the energy portfolios. The research findings indicate that the oil stocks have higher dependence risk than the coal, uranium and gas stocks in financial crisis periods. The higher risk of the oil stocks is confirmed by the larger concentration of symmetric and asymmetric dependence they have in the negative tail. The canonical vine (c-vine) copula model is observed to better capture the overall dependence of the energy portfolios. The combination of a pair c-vine copula and nonlinear portfolio optimization produces the highest return relative to risk. The optimal weight allocations converge on average in some stocks. - Highlights: • Vine copula dependence modeling of coal, uranium, oil and gas stocks • Oil stocks are riskier than coal, uranium and gas stocks in financial crisis periods. • The c-vine model better captures the overall dependence of the energy portfolios. • Vine copulas and nonlinear optimization combined produce the best results. • The optimal weight allocations converge on average in some stocks

  15. Statistical analysis of bankrupting and non-bankrupting stocks

    Science.gov (United States)

    Li, Qian; Wang, Fengzhong; Wei, Jianrong; Liang, Yuan; Huang, Jiping; Stanley, H. Eugene

    2012-04-01

    The recent financial crisis has caused extensive world-wide economic damage, affecting in particular those who invested in companies that eventually filed for bankruptcy. A better understanding of stocks that become bankrupt would be helpful in reducing risk in future investments. Economists have conducted extensive research on this topic, and here we ask whether statistical physics concepts and approaches may offer insights into pre-bankruptcy stock behavior. To this end, we study all 20092 stocks listed in US stock markets for the 20-year period 1989-2008, including 4223 (21 percent) that became bankrupt during that period. We find that, surprisingly, the distributions of the daily returns of those stocks that become bankrupt differ significantly from those that do not. Moreover, these differences are consistent for the entire period studied. We further study the relation between the distribution of returns and the length of time until bankruptcy, and observe that larger differences of the distribution of returns correlate with shorter time periods preceding bankruptcy. This behavior suggests that sharper fluctuations in the stock price occur when the stock is closer to bankruptcy. We also analyze the cross-correlations between the return and the trading volume, and find that stocks approaching bankruptcy tend to have larger return-volume cross-correlations than stocks that are not. Furthermore, the difference increases as bankruptcy approaches. We conclude that before a firm becomes bankrupt its stock exhibits unusual behavior that is statistically quantifiable.

  16. 26 CFR 1.1032-3 - Disposition of stock or stock options in certain transactions not qualifying under any other...

    Science.gov (United States)

    2010-04-01

    ... acquiring entity disposes of the stock of the issuing corporation, the acquiring entity purchased the issuing corporation's stock from the issuing corporation for fair market value with cash contributed to... stock of the issuing corporation. If the issuing corporation receives money or other property in payment...

  17. 7 CFR 1216.9 - Farmers stock peanuts.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 10 2010-01-01 2010-01-01 false Farmers stock peanuts. 1216.9 Section 1216.9... INFORMATION ORDER Peanut Promotion, Research, and Information Order Definitions § 1216.9 Farmers stock peanuts. Farmers stock peanuts means picked or threshed peanuts produced in the United States which have not been...

  18. Emerging interdependence between stock values during financial crashes.

    Directory of Open Access Journals (Sweden)

    Jacopo Rocchi

    Full Text Available To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs in the proximity of global financial crises, where stock values exhibit strong and substantial interdependence for a prolonged period. This behavior is consistent with what one would generally expect from a complex system near criticality in physical systems, showing the long lasting effects of crashes on stock markets.

  19. Emerging interdependence between stock values during financial crashes.

    Science.gov (United States)

    Rocchi, Jacopo; Tsui, Enoch Yan Lok; Saad, David

    2017-01-01

    To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs in the proximity of global financial crises, where stock values exhibit strong and substantial interdependence for a prolonged period. This behavior is consistent with what one would generally expect from a complex system near criticality in physical systems, showing the long lasting effects of crashes on stock markets.

  20. Realized Bond-Stock Correlation: Macroeconomic Announcement Effects

    DEFF Research Database (Denmark)

    Christiansen, Charlotte; Ranaldo, Angelo

    2005-01-01

    We investigate the effects of macroeconomic announcements on the realized correlation between bond and stock returns. Our results deliver insights into the dominating drivers of bond-stock comovements. We find that it is not so much the surprise component of the announcement, but the mere fact...... that an announcement occurs that influences the realized bond-stock correlation. The impact of macroeconomic announcements varies across the business cycle. Announcement effects are highly dependent on the sign of the realized bond-stock correlation which has recently gone from positive to negative. Macroeconomic...

  1. ADVISABILITY OF MERGING THE BUCHAREST STOCK EXCHANGE AND THE SIBIU MONETARYFINANCIAL AND STOCK EXCHANGE

    Directory of Open Access Journals (Sweden)

    Aura Dudas

    2011-01-01

    Full Text Available Analysis of performances of local stock exchanges in the latest years points out thenecessity of increasing the visibility of the local capital market in the regional andEuropean landscape. A single stock market may have the effect of increased credibility,giving thus an impulse to the number of new listings and of new investors.

  2. The dependence of Islamic and conventional stocks: A copula approach

    Science.gov (United States)

    Razak, Ruzanna Ab; Ismail, Noriszura

    2015-09-01

    Recent studies have found that Islamic stocks are dependent on conventional stocks and they appear to be more risky. In Asia, particularly in Islamic countries, research on dependence involving Islamic and non-Islamic stock markets is limited. The objective of this study is to investigate the dependence between financial times stock exchange Hijrah Shariah index and conventional stocks (EMAS and KLCI indices). Using the copula approach and a time series model for each marginal distribution function, the copula parameters were estimated. The Elliptical copula was selected to present the dependence structure of each pairing of the Islamic stock and conventional stock. Specifically, the Islamic versus conventional stocks (Shariah-EMAS and Shariah-KLCI) had lower dependence compared to conventional versus conventional stocks (EMAS-KLCI). These findings suggest that the occurrence of shocks in a conventional stock will not have strong impact on the Islamic stock.

  3. Asymmetric conditional volatility in international stock markets

    Science.gov (United States)

    Ferreira, Nuno B.; Menezes, Rui; Mendes, Diana A.

    2007-08-01

    Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.

  4. Quantum Brownian motion model for the stock market

    Science.gov (United States)

    Meng, Xiangyi; Zhang, Jian-Wei; Guo, Hong

    2016-06-01

    It is believed by the majority today that the efficient market hypothesis is imperfect because of market irrationality. Using the physical concepts and mathematical structures of quantum mechanics, we construct an econophysical framework for the stock market, based on which we analogously map massive numbers of single stocks into a reservoir consisting of many quantum harmonic oscillators and their stock index into a typical quantum open system-a quantum Brownian particle. In particular, the irrationality of stock transactions is quantitatively considered as the Planck constant within Heisenberg's uncertainty relationship of quantum mechanics in an analogous manner. We analyze real stock data of Shanghai Stock Exchange of China and investigate fat-tail phenomena and non-Markovian behaviors of the stock index with the assistance of the quantum Brownian motion model, thereby interpreting and studying the limitations of the classical Brownian motion model for the efficient market hypothesis from a new perspective of quantum open system dynamics.

  5. A new Loan-Stock Financial Instrument

    OpenAIRE

    Morozovsky, Alexander; Narasimhan, Rajan; Kholodenko, Yuri

    2000-01-01

    A new financial instrument (a new kind of a loan) is introduced. The loan-stock instrument (LSI) combines fixed rate instruments (loans, etc.) with other financial instruments that have higher volatilities and returns (stocks, mutual funds, currencies, derivatives, options, etc.). This new loan depends on the value of underlying security (for example, stock) in such a way that when underlying security increases, the value of loan decreases and backwards. The procedure to create a risk free po...

  6. Network structure detection and analysis of Shanghai stock market

    Directory of Open Access Journals (Sweden)

    Sen Wu

    2015-04-01

    Full Text Available Purpose: In order to investigate community structure of the component stocks of SSE (Shanghai Stock Exchange 180-index, a stock correlation network is built to find the intra-community and inter-community relationship. Design/methodology/approach: The stock correlation network is built taking the vertices as stocks and edges as correlation coefficients of logarithm returns of stock price. It is built as undirected weighted at first. GN algorithm is selected to detect community structure after transferring the network into un-weighted with different thresholds. Findings: The result of the network community structure analysis shows that the stock market has obvious industrial characteristics. Most of the stocks in the same industry or in the same supply chain are assigned to the same community. The correlation of the internal stock prices’ fluctuation is closer than in different communities. The result of community structure detection also reflects correlations among different industries. Originality/value: Based on the analysis of the community structure in Shanghai stock market, the result reflects some industrial characteristics, which has reference value to relationship among industries or sub-sectors of listed companies.

  7. Genetic diversity of Prochilodus lineatus stocks using in the stocking program of Tietê River, Brazil

    Directory of Open Access Journals (Sweden)

    Ricardo Ribeiro

    2013-11-01

    Full Text Available Objective. Assess the genetic diversity in four brood stocks and one juvenile stock of curimba Prochilodus lineatus in a Hydropower plant in São Paulo - Brazil, using the Tietê River stocking program. Materials and methods. Five RAPD primers were used to amplify the extracted DNA from 150 fin-clip samples. Results. Fifty-nine fragments were polymorphic, 52 had frequencies with significant differences (p<0.05, 45 had low frequencies, 54 were excluded, and two were fixed fragments. High values for polymorphic fragments (71.19% to 91.53% and Shannon index (0.327 to 0.428 were observed. The genetic divergence values within each stock were greater than 50%. Most of the genetic variation was found within the groups through the AMOVA analysis, which was confirmed by the results of the identity and genetic distance. High ancestry levels (FST among the groups value indicated high and moderate genetic differentiation. The estimates of number of migrants by generation (Nm indicated low levels of gene flow. High and moderate genetic divergence between groups (0.58 to 0.83 was observed. Conclusions. The results indicate high variability within the stocks, and genetic differentiation among them. The fish stocks analyzed represent a large genetic base that will allow the fish technicians to release juveniles without genetic risks to wild populations present in the river. These genetic procedures may be used as models for other migratory species, including those threatened by extinction.

  8. Recurrence quantification analysis of global stock markets

    Science.gov (United States)

    Bastos, João A.; Caiado, Jorge

    2011-04-01

    This study investigates the presence of deterministic dependencies in international stock markets using recurrence plots and recurrence quantification analysis (RQA). The results are based on a large set of free float-adjusted market capitalization stock indices, covering a period of 15 years. The statistical tests suggest that the dynamics of stock prices in emerging markets is characterized by higher values of RQA measures when compared to their developed counterparts. The behavior of stock markets during critical financial events, such as the burst of the technology bubble, the Asian currency crisis, and the recent subprime mortgage crisis, is analyzed by performing RQA in sliding windows. It is shown that during these events stock markets exhibit a distinctive behavior that is characterized by temporary decreases in the fraction of recurrence points contained in diagonal and vertical structures.

  9. Statistical properties of trading activity in Chinese stock market

    Science.gov (United States)

    Sun, Xiaoqian; Cheng, Xueqi; Shen, Huawei; Wang, Zhaoyang

    2010-08-01

    We investigate the statistical properties of traders' trading behavior using cumulative distribution function(CDF). We analyze exchange data of 52 stocks for one-year period which contains non-manipulated stocks and manipulated stocks published by China Securities Regulatory Commission(CSRC). By analyzing the total number of transactions and the trading volume of each trader over a year, we find the cumulative distributions have power-law tails and the distributions between non-manipulated stocks and manipulated stocks are different. These findings can help us to detect the manipulated stocks.

  10. INTERDEPENDENCE BETWEEN JAKARTA STOCK EXCHANGE AND OTHER PACIFIC-BASIN STOCK MARKETS

    Directory of Open Access Journals (Sweden)

    Noer Azam Achsani

    2011-08-01

    Full Text Available Normal 0 false false false MicrosoftInternetExplorer4 International capital markets linkages have been studied since early 90-es.  Most of these studies have mainly focused on the US and other developed markets. There were only a few researches on this topic in the emerging markets.  This paper examines the dynamic linkages among Indonesian and other Pacific-Basin stock markets using correlation analysis, Granger-causality and vector autoregressive (VAR approach. All the methods give generally similar results. Our empirical results indicate a high degree of international co-movement among the stock price indices.  The degree of integration among these markets after Asian Crisis increased substantially in compare to those before Asian Crisis. The results also show that there are close relationships among the geographically and economically closed markets such as ASEAN markets, New Zealand-Australian and also Hong Kong - South Korea.  The pattern of impulse-response functions illustrates a rapid transmission of stock market events. Shocks in the developed markets are immediately transmitted to other markets. Shocks in the emerging markets are also transmitted to other markets, but without such a big effect comparing to those in the developed markets. The Jakarta stock exchange is strongly correlated with other Pacific-Basin markets, especially with ASEAN markets, Hong Kong and Australia.   The strongest foreign effects for the JSX come from Singapore, Hong Kong and Thailand. They can explain about 5 – 8% of error variance of the Jakarta Index. In contrast, the JSX index can explain 3 - 5 % of their error variances. 

  11. MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA

    Directory of Open Access Journals (Sweden)

    OSAZEE GODWIN OMOROKUNWA

    2014-10-01

    Full Text Available The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market.

  12. What is the Expected Return on a Stock?

    DEFF Research Database (Denmark)

    Martin, Ian; Wagner, Christian

    We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk-neutral variance relative to the average stock. These components can be computed from index and stock option prices; the formula has no free parameters....... We test the theory in-sample by running panel regressions of stock returns onto risk-neutral variances. The formula performs well at 6-month and 1-year forecasting horizons, and our predictors drive out beta, size, book-to-market, and momentum. Out-of-sample, we find that the formula outperforms...... a range of competitors in forecasting individual stock returns. Our results suggest that there is considerably more variation in expected returns, both over time and across stocks, than has previously been acknowledged....

  13. Long memory in the Croatian and Hungarian stock market returns

    Directory of Open Access Journals (Sweden)

    Silvo Dajčman

    2012-06-01

    Full Text Available The objective of this paper is to analyze and compare the fractal structure of the Croatian and Hungarian stock market returns. The presence of long memory components in asset returns provides evidence against the weak-form of stock market efficiency. The starting working hypothesis that there is no long memory in the Croatian and Hungarian stock market returns is tested by applying the Kwiatkowski-Phillips-Schmidt-Shin (KPSS (1992 test, Lo’s (1991 modified rescaled range (R/S test, and the wavelet ordinary least squares (WOLS estimator of Jensen (1999. The research showed that the WOLS estimator may lead to different conclusions regarding long memory presence in the stock returns from the KPSS and unit root tests or Lo’s R/S test. Furthermore, it proved that the fractal structure of individual stock returns may be masked in aggregated stock market returns (i.e. in returns of stock index. The main finding of the paper is that both the Croatian stock index Crobex and individual stocks in this index exhibit long memory. Long memory is identified for some stocks in the Hungarian stock market as well, but not for the stock market index BUX. Based on the results of the long memory tests, it can be concluded that while the Hungarian stock market is weakform efficient, the Croatian stock market is not.

  14. Looking Back on the Stock Market

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    @@ Looking back at the ups and downs of China's stock market in 2007,it is clear that it has developed far beyond people's expectation. While the stock index constantly reaches new highs and the size of the market becomes larger and larger, the Chinese financial market has also reintegrated. A multi-level revolution occurred in 2007, involving changes in stock structure, the variety of core composition, chip cost of the capital market, investor makeup, as well as trade rules and operational methods.

  15. Stock market dynamics created by interacting agents

    Directory of Open Access Journals (Sweden)

    Mohamed Riad Remita

    2006-01-01

    Full Text Available We study a stock market model, consisting in a large number of agents, going eventually to infinity, and evaluate the stock price under the influence of opinions of different agents. Next we study the behavior of prices when the market is very nervous; there appear discontinuities (phase transitions which can be interpreted as stock market crashes.

  16. 7 CFR 1610.9 - Class B stock.

    Science.gov (United States)

    2010-01-01

    ... POLICIES § 1610.9 Class B stock. Borrowers receiving loans from the Bank shall be required to invest in class B stock at 5 percent of the total amount of loan funds advanced. Borrowers may purchase class B... 7 Agriculture 11 2010-01-01 2010-01-01 false Class B stock. 1610.9 Section 1610.9 Agriculture...

  17. How accurately can soil organic carbon stocks and stock changes be quantified by soil inventories?

    Directory of Open Access Journals (Sweden)

    M. Schrumpf

    2011-05-01

    Full Text Available Precise determination of changes in organic carbon (OC stocks is prerequisite to understand the role of soils in the global cycling of carbon and to verify changes in stocks due to management. A large dataset was collected to form base to repeated soil inventories at 12 CarboEurope sites under different climate and land-use, and with different soil types. Concentration of OC, bulk density (BD, and fine earth fraction were determined to 60 cm depth at 100 sampling points per site. We investigated (1 time needed to detect changes in soil OC, assuming future re-sampling of 100 cores; (2 the contribution of different sources of uncertainties to OC stocks; (3 the effect of OC stock calculation on mass rather than volume base for change detection; and (4 the potential use of pedotransfer functions (PTF for estimating BD in repeated inventories.

    The period of time needed for soil OC stocks to change strongly enough to be detectable depends on the spatial variability of soil properties, the depth increment considered, and the rate of change. Cropland sites, having small spatial variability, had lower minimum detectable differences (MDD with 100 sampling points (105 ± 28 gC m−2 for the upper 10 cm of the soil than grassland and forest sites (206 ± 64 and 246 ± 64 gC m−2 for 0–10 cm, respectively. Expected general trends in soil OC indicate that changes could be detectable after 2–15 yr with 100 samples if changes occurred in the upper 10 cm of stone-poor soils. Error propagation analyses showed that in undisturbed soils with low stone contents, OC concentrations contributed most to OC stock variability while BD and fine earth fraction were more important in upper soil layers of croplands and in stone rich soils. Though the calculation of OC stocks based on equivalent soil masses slightly decreases the chance to detect changes with time at most sites except for the croplands, it is still recommended to

  18. Minimizing waste (off-cuts using cutting stock model: The case of one dimensional cutting stock problem in wood working industry

    Directory of Open Access Journals (Sweden)

    Gbemileke A. Ogunranti

    2016-09-01

    Full Text Available Purpose: The main objective of this study is to develop a model for solving the one dimensional cutting stock problem in the wood working industry, and develop a program for its implementation. Design/methodology/approach: This study adopts the pattern oriented approach in the formulation of the cutting stock model. A pattern generation algorithm was developed and coded using Visual basic.NET language. The cutting stock model developed is a Linear Programming (LP Model constrained by numerous feasible patterns. A LP solver was integrated with the pattern generation algorithm program to develop a one - dimensional cutting stock model application named GB Cutting Stock Program. Findings and Originality/value: Applying the model to a real life optimization problem significantly reduces material waste (off-cuts and minimizes the total stock used. The result yielded about 30.7% cost savings for company-I when the total stock materials used is compared with the former cutting plan. Also, to evaluate the efficiency of the application, Case I problem was solved using two top commercial 1D-cutting stock software.  The results show that the GB program performs better when related results were compared. Research limitations/implications: This study round up the linear programming solution for the number of pattern to cut. Practical implications: From Managerial perspective, implementing optimized cutting plans increases productivity by eliminating calculating errors and drastically reducing operator mistakes. Also, financial benefits that can annually amount to millions in cost savings can be achieved through significant material waste reduction. Originality/value: This paper developed a linear programming one dimensional cutting stock model based on a pattern generation algorithm to minimize waste in the wood working industry. To implement the model, the algorithm was coded using VisualBasic.net and linear programming solver called lpsolvedll (dynamic

  19. Rapid diagnostic test supply chain and consumption study in Cabo Delgado, Mozambique: estimating stock shortages and identifying drivers of stock-outs.

    Science.gov (United States)

    Hasselback, Leah; Crawford, Jessica; Chaluco, Timoteo; Rajagopal, Sharanya; Prosser, Wendy; Watson, Noel

    2014-08-02

    Malaria rapid diagnostic tests (RDTs) are particularly useful in low-resource settings where follow-through on traditional laboratory diagnosis is challenging or lacking. The availability of these tests depends on supply chain processes within the distribution system. In Mozambique, stock-outs of malaria RDTs are fairly common at health facilities. A longitudinal cross-sectional study was conducted to evaluate drivers of stock shortages in the Cabo Delgado province. Data were collected from purposively sampled health facilities, using monthly cross-sectional surveys between October 2011 and May 2012. Estimates of lost consumption (consumption not met due to stock-outs) served as the primary quantitative indicator of stock shortages. This is a better measure of the magnitude of stock-outs than binary indicators that only measure frequency of stock-outs at a given facility. Using a case study based methodology, distribution system characteristics were qualitatively analysed to examine causes of stock-outs at the provincial, district and health centre levels. 15 health facilities were surveyed over 120 time points. Stock-out patterns varied by data source; average monthly proportions of 59%, 17% and 17% of health centres reported a stock-out on stock cards, laboratory and pharmacy forms, respectively. Estimates of lost consumption percentage were significantly high; ranging from 0% to 149%; with a weighted average of 78%. Each ten-unit increase in monthly-observed consumption was associated with a nine-unit increase in lost consumption percentage indicating that higher rates of stock-outs occurred at higher levels of observed consumption. Causes of stock-outs included inaccurate tracking of lost consumption, insufficient sophistication in inventory management and replenishment, and poor process compliance by facility workers, all arguably stemming from inadequate attention to the design and implementation of the distribution system. Substantially high levels of RDT

  20. Weibo sentiments and stock return: A time-frequency view.

    Science.gov (United States)

    Xu, Yingying; Liu, Zhixin; Zhao, Jichang; Su, Chiwei

    2017-01-01

    This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive), detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market.

  1. Weibo sentiments and stock return: A time-frequency view.

    Directory of Open Access Journals (Sweden)

    Yingying Xu

    Full Text Available This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive, detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market.

  2. Weibo sentiments and stock return: A time-frequency view

    Science.gov (United States)

    Liu, Zhixin; Zhao, Jichang; Su, Chiwei

    2017-01-01

    This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter’s variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive), detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market. PMID:28672026

  3. Twitter as driver of stock price

    OpenAIRE

    Jubbega, Annika

    2012-01-01

    The goal of this research is to examine the dynamic relationship of Twitter and stock price, by examining the effects for the ten most valuable brands according Interbrand (2010): Coca-Cola, IBM, Microsoft, Google, McDonald’s, Intel, Nokia, Disney, Toyota and Cisco. A VAR modelling approach captures the short and long term effects of Twitter to stock price and stock price to Twitter. Effects were found for 5 of the 10 brand. For Coca-Cola and Toyota, the number of brand sentiment tweets dri...

  4. STOCK PRICES, 1900-1995: THE REAL AND NOMINAL STORY

    Directory of Open Access Journals (Sweden)

    Kenneth Weiher

    2000-01-01

    Full Text Available Prompted by the inflation-adjusted Dow Jones Industrials Average setting its first record high in almost thirty years in 1995, this paper studies the impact of inflation on nominal and real stock prices from a theoretical, historical, and empirical perspective. While stocks are an excellent longterm hedge against inflation, nominal stock prices stagnate and real stock prices fall during a period of rapid inflation. Both nominal and real stockprices then go through a catch-up phase during the subsequent disinflation period. The history for this century is consistent with this pattern. Regression analysis between real and nominal stock prices as the dependent variables and inflation as the independent variable shows statistically significant evidence that (a nominal stock returns are positively related to inflation while real stock returns are not; and (b both nominal and real stock returns are negatively related to accelerations of inflation and positively related to decelerations.

  5. Stochastic GARCH dynamics describing correlations between stocks

    Science.gov (United States)

    Prat-Ortega, G.; Savel'ev, S. E.

    2014-09-01

    The ARCH and GARCH processes have been successfully used for modelling price dynamics such as stock returns or foreign exchange rates. Analysing the long range correlations between stocks, we propose a model, based on the GARCH process, which is able to describe the main characteristics of the stock price correlations, including the mean, variance, probability density distribution and the noise spectrum.

  6. Emerging interdependence between stock values during financial crashes

    OpenAIRE

    Rocchi, Jacopo; Tsui, Enoch Yan Lok; Saad, David

    2016-01-01

    To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs...

  7. SENSITIVITY OF THE INVESTOR'S TOWARDS STOCK MARKET INVESTMENT

    OpenAIRE

    M. Jaya

    2017-01-01

    Investment in stock market has become a common phenomenon for all the individuals. The growth of stock market contributes to national economic growth only when this growth translates into increased mobilization of resources, return from investment, and minimizing the risk attached to stock market investment. This survey has been conducted to find out the stock market investment pattern and risk diversification of retail equity investors. A well structured questionnaire which is pilot teste...

  8. Fundmental Analysis for Stock Price Valuation by Using Price Earnings Ratio Method (Study at Mining Companies Listed on Indonesian Stock Exchange Year 2011-2013)

    OpenAIRE

    Wahyuningtyas, Rovi; Suhadak,; Hidayat, Raden Rustam

    2015-01-01

    The research was conducted based on the misprice on the investment of stock. The misprice of investment on stock can be reduced with evaluate the reasonable of stock price by using fundamental analysis. The fundamental analysis that used in this research is Price Earnings Ratio (PER) method. The PER method aim to know the reasonableness of stock price with compare the intrinsic value of stock and the stock market price. The research is descriptive quantitative method. The research takes the s...

  9. Alternatives in international diversification for investment portfolios focused in stocks of Lima Stock Exchange

    OpenAIRE

    Juan Carlos Ames Santillán

    2012-01-01

    This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk.

  10. Fractal patterns in Stock Intertrading Times

    Science.gov (United States)

    White, Ainslie; Lee, Youngki; Ivanov, Plamen Ch.

    2003-03-01

    We study intertrades times (ITT) of stock trades of a range of companies included in the New York Stock Exchange's Trades and Quotes (TAQ) database. The time between transactions is an indicator of the dynamics of the market, and in the field of econometrics, intertrade durations play a key role in the understanding of the market activity and microstructure. Previous work has mainly focused on the properties of price changes of individual company stocks as well as global financial indices (e.g. SP500, DJ etc.). We hypothesize that there is a relation between the dynamics of price change and the trading activity. To investigate this relation we first study the statistical features of ITT data. The TAQ database covers all transactions on the NSE, AMEX, NASDAQ and the US regional exchanges. We have performed a preliminary analysis of 100 company stocks from a range of industries of the US economy selecting predominantly those companies which have large market capitalisations (MC). We focus on companies with large MC, since the dynamics of the price change and trading activity of stocks of such companies has a considerable impact on the market behaviour.

  11. Combining Stocks and Flows of Knowledge

    DEFF Research Database (Denmark)

    Ambos, Tina C.; Nell, Phillip Christopher; Pedersen, Torben

    In the area of knowledge management and knowledge governance, previous research has mostly focused on either knowledge stocks or knowledge flows of firms or organizational units. Contrary to this work, our study is among the first to integrate these two perspectives in order to shed light...... on the complementarity effects of different types of knowledge stocks and flows in the multinational corporation (MNC). We investigate intra-functional as well as cross-functional complementarity effects from the perspective of the knowledge recipient. We test the impact of stocks on flows on the benefit that is created...... for MNC units. Based on a comprehensive sample of 324 relationships between MNC units we find that both types of complementarity create benefits for these units, but that the effects from intra-functional combinations of knowledge stocks and flows are significantly stronger than from cross...

  12. Evaluation of the Company Size Effect on Latin American Stock Markets

    Directory of Open Access Journals (Sweden)

    Juan Benjamín Duarte Duarte

    2013-11-01

    Full Text Available This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.

  13. Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis

    OpenAIRE

    Wang Kuan-Min; Lai Hung-Cheng

    2013-01-01

    This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the...

  14. U.S. monetary shocks and global stock prices

    NARCIS (Netherlands)

    Laeven, L.; Tong, H.

    2012-01-01

    This paper studies how US monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in US interest rates, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for sectors that

  15. In-use product stocks link manufactured capital to natural capital.

    Science.gov (United States)

    Chen, Wei-Qiang; Graedel, T E

    2015-05-19

    In-use stock of a product is the amount of the product in active use. In-use product stocks provide various functions or services on which we rely in our daily work and lives, and the concept of in-use product stock for industrial ecologists is similar to the concept of net manufactured capital stock for economists. This study estimates historical physical in-use stocks of 91 products and 9 product groups and uses monetary data on net capital stocks of 56 products to either approximate or compare with in-use stocks of the corresponding products in the United States. Findings include the following: (i) The development of new products and the buildup of their in-use stocks result in the increase in variety of in-use product stocks and of manufactured capital; (ii) substitution among products providing similar or identical functions reflects the improvement in quality of in-use product stocks and of manufactured capital; and (iii) the historical evolution of stocks of the 156 products or product groups in absolute, per capita, or per-household terms shows that stocks of most products have reached or are approaching an upper limit. Because the buildup, renewal, renovation, maintenance, and operation of in-use product stocks drive the anthropogenic cycles of materials that are used to produce products and that originate from natural capital, the determination of in-use product stocks together with modeling of anthropogenic material cycles provides an analytic perspective on the material linkage between manufactured capital and natural capital.

  16. Value Investing in the Stock Market of Thailand

    Directory of Open Access Journals (Sweden)

    Gerardo “Gerry” Alfonso Perez

    2017-11-01

    Full Text Available Value investment and growth investment have attracted a large amount of research in recent decades, but most of this research focuses on the U.S. and Europe. This article covers the Thai stock market which has very different characteristics compared to western markets and even South East Asian countries such as Indonesia or Malaysia. Among South East Asian countries, Thailand has one of the most dynamic capital markets. In order to see if some well-known trends in other markets exist in Thailand the performance of value and growth stocks in the Thai market were analyzed for a period of 17 years using existing style indexes (MSCI as well as creating portfolios using individual stocks. For this entire period, when using the indexes, returns are statistically significant superior for value stocks compared to growth stocks. However, when analyzing the performance of the market in any given calendar year from 1999 to 2016, the results are much more mixed with in fact growth stocks outperforming in several of those years. Interestingly, when building portfolios using criteria such as low P/E or low P/B the results are not statistically different. Suggesting perhaps that the classification into value or growth stocks is more complex than it would appear. One of the common assumptions of value investing is that those stocks outperform over long periods of time. It might well be that in the Thai case one year is not a long enough period for value stocks to outperform. While there have been some clear efforts over recent years to modernize the stock market of Thailand, it remains relatively underdeveloped, particularly when compared to markets such as the U.S. Hence, its behavior regarding value versus growth investment might be rather different.

  17. Efficient Circulation of Railway Rolling Stock

    NARCIS (Netherlands)

    Alfieri, A.; Groot, R.; Kroon, L.G.; Schrijver, A.

    2006-01-01

    Railway rolling stock (locomotives, carriages, and train units) is one of the most significant cost sources for operatorsof passenger trains, both public and private. Rolling stock costsare due to material acquisition, power supply, and material maintenance. The efficient circulation of rolling

  18. Efficient Circulation of Railway Rolling Stock

    NARCIS (Netherlands)

    A. Alfieri (Arianna); R. Groot (Rutger); L.G. Kroon (Leo); A. Schrijver (Lex)

    2002-01-01

    textabstractRailway rolling stock (locomotives, carriages, and train units) is one of the most significant cost sources for operatorsof passenger trains, both public and private. Rolling stock costsare due to material acquisition, power supply, and material maintenance. The efficient circulation of

  19. Stock Market Manipulation on the Hong Kong Stock Exchange

    Directory of Open Access Journals (Sweden)

    Dionigi Gerace

    2014-10-01

    Full Text Available This study is the first to empirically examine stock market manipulation on the Hong Kong Stock Exchange. The dataset contains 40 cases of market manipulation from 1996 to 2009 that were successfully prosecuted by the Hong Kong Securities & Futures Commission. Manipulation is found to negatively impact market efficiency measures such as the bid-ask spread and volatility. Markets appear incapable of efficiently responding to the presence of manipulators and are characterised by information asymmetry. Manipulators were successfully able to raise prices and exit the market. This finding contradicts views that trade-based manipulation is entirely unprofitable and self-deterring. The victimisation of information-seeking investors and the market as a whole provides a strong rationale for all jurisdictions, including Australia, to have effective laws that prohibit manipulation and for robust enforcement of those laws to further deter market manipulation.

  20. The risks and returns of stock investment in a financial market

    Science.gov (United States)

    Li, Jiang-Cheng; Mei, Dong-Cheng

    2013-03-01

    The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.

  1. 12 CFR 931.3 - Minimum investment in capital stock.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 7 2010-01-01 2010-01-01 false Minimum investment in capital stock. 931.3... CAPITAL STANDARDS FEDERAL HOME LOAN BANK CAPITAL STOCK § 931.3 Minimum investment in capital stock. (a) A Bank shall require each member to maintain a minimum investment in the capital stock of the Bank, both...

  2. Alternatives in international diversification for investment portfolios focused in stocks of Lima Stock Exchange

    Directory of Open Access Journals (Sweden)

    Juan Carlos Ames Santillán

    2012-06-01

    Full Text Available This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk.

  3. Alternatives in international diversification for investment portfolios focused in stocks of Lima Stock Exchange

    OpenAIRE

    Ames Santillán, Juan Carlos

    2012-01-01

    This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk. El presente trabajo estima la fronte...

  4. Do Earthquakes Shake Stock Markets?

    Science.gov (United States)

    Ferreira, Susana; Karali, Berna

    2015-01-01

    This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years. Results show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets. Results also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan.

  5. On the Feed-back Mechanism of Chinese Stock Markets

    Science.gov (United States)

    Lu, Shu Quan; Ito, Takao; Zhang, Jianbo

    Feed-back models in the stock markets research imply an adjustment process toward investors' expectation for current information and past experiences. Error-correction and cointegration are often used to evaluate the long-run relation. The Efficient Capital Market Hypothesis, which had ignored the effect of the accumulation of information, cannot explain some anomalies such as bubbles and partial predictability in the stock markets. In order to investigate the feed-back mechanism and to determine an effective model, we use daily data of the stock index of two Chinese stock markets with the expectational model, which is one kind of geometric lag models. Tests and estimations of error-correction show that long-run equilibrium seems to be seldom achieved in Chinese stock markets. Our result clearly shows the common coefficient of expectations and fourth-order autoregressive disturbance exist in the two Chinese stock markets. Furthermore, we find the same coefficient of expectations has an autoregressive effect on disturbances in the two Chinese stock markets. Therefore the presence of such feed-back is also supported in Chinese stock markets.

  6. THE TURN OF THE MONTH EFFECT CONTINUED: A COMPARISON OF SMALL CAP STOCKS AND LARGE CAP STOCKS

    OpenAIRE

    Ramsundhar, Shamman

    2010-01-01

    The purpose of this paper is to investigate whether the turn of the month effect occurs in small cap and large cap stocks and if it occurs in both categories, to determine whether there is a difference in the magnitude. My research, for the period of 1963-2008, based on the CRSP value weighted index, shows that there is a significant turn of the month effect in small and large cap stocks, however the effect is larger in small cap stocks. Furthermore, this effect is not limited to a short time...

  7. Politics and the Stock Market ; Evidence from Germany

    OpenAIRE

    Jörg Döpke; Christian Pierdzioch

    2004-01-01

    We analyze the interaction of stock market movements and politics in Germany. In contrast to the empirical evidence available for the U.S., we do not find that German stock market returns tend to be higher during liberal than during conservative governments. Also in contrast to results for the U.S., we find no evidence for an election cycle in German stock market returns. However, estimated popularity functions and VARs suggest that stock market returns have had an impact on the popularity of...

  8. Global Concept of Financial Institutional Transformation of Stock Exchange

    Directory of Open Access Journals (Sweden)

    Burmaka Mykola

    2017-12-01

    Full Text Available The article is about the research of processes of global transformation of stock exchanges through the mechanisms of internationalization, corporate and network consolidation, and technology. Objective processes of internationalization in stock markets affected by financial globalization and arising global information resources create new challenges for stock exchanges that can be overcome by adequate development strategies. The growing competition between stock exchanges and new capital institutes requires stock exchanges to use modern exchange technologies, primarily innovative, in order to maintain liquidity and increase investment attractiveness. Have been analysed the newest tendencies and determinants of modern global financial institutional architecture construction, the leading role in which are starting to play new stock exchanges and stalk exchange platforms, formed in growing financial centres of the world. Have been identified he main components of international stock market restructurization in the process of financial globalization, one of the attributes of which turned out to be a certain fragmentation of markets and their universalization. Through the example of US and EU financial market modernization processes of the last decade have been analysed financial and legal mechanisms of the national and regional levels, which are designed to ensure sustainable development of the global economy at the postcrisis stage. Have been diagnosed international activity of stock exchanges through the quantity indexed of foreign companies in listing, volume of trade with foreign financial instruments, and participation of foreign investors in exchange trade. Have been offered and calculated indices of internationalization of the world’s leading stock market. Have been analysed consolidation processes of the leading stock exchanges and new electronic trading systems at the regional, meso-global and global levels, which resulted in formation of

  9. Modeling Chaotic Behavior of Chittagong Stock Indices

    Directory of Open Access Journals (Sweden)

    Shipra Banik

    2012-01-01

    Full Text Available Stock market prediction is an important area of financial forecasting, which attracts great interest to stock buyers and sellers, stock investors, policy makers, applied researchers, and many others who are involved in the capital market. In this paper, a comparative study has been conducted to predict stock index values using soft computing models and time series model. Paying attention to the applied econometric noises because our considered series are time series, we predict Chittagong stock indices for the period from January 1, 2005 to May 5, 2011. We have used well-known models such as, the genetic algorithm (GA model and the adaptive network fuzzy integrated system (ANFIS model as soft computing forecasting models. Very widely used forecasting models in applied time series econometrics, namely, the generalized autoregressive conditional heteroscedastic (GARCH model is considered as time series model. Our findings have revealed that the use of soft computing models is more successful than the considered time series model.

  10. INDONESIA SHARI'AH COMPLIANCE STOCK RETURN BEHAVIOUR

    Directory of Open Access Journals (Sweden)

    Helma Malini

    2017-04-01

    Full Text Available This study aims to measures the behaviour of Indonesia Shari'ah compliance stock return. The measurement of return behaviour toward volatility will proved the capability of Indonesia Shari'ah compliance toward volatility that happened in Indonesia during the period of observation. Investing in Shari'ah compliance is quite different than investing in conventional stock which followed the capital market set of rules and law, Shari'ah compliance follows not only the capital market set of laws and but also the Islamic principles of principles. Most of the previous studies examine issues related to the conventional stocks and market. The present study take one step further by investigating issue related to Shari'ah compliance instrument. In the case of Shari'ah stock price in Indonesia, the dynamics volatility of the stock price can be minimized by taking an integrated screening process to the listed company, as precautions steps toward volatility

  11. Microsatellite assessment of walrus (Odobenus rosmarus rosmarus stocks in Canada

    Directory of Open Access Journals (Sweden)

    Aaron BA Shafer

    2014-12-01

    Full Text Available Walruses in Canada are currently subdivided into seven stocks based on summering areas; Western Jones Sound (WJS, Baffin Bay (BB, Penny Strait-Lancaster Sound (PS-LS, North Foxe Basin (N-FB, Central Foxe Basin (C-FB, Hudson Bay Davis Strait (HB-DS and Southern and Eastern Hudson Bay (SE-HB. In this study, walrus were sampled from six of the seven stocks (SE-HB samples were not available and genotyped at 10 microsatellite loci. All stocks were genetically diverse (average heterozygosity of 0.58 with no evidence of inbreeding (average FIS of 0.03. We detected significant genetic differentiation among the stocks and a pattern of genetic spatial autocorrelation that suggests a moderate effect of geographic distance on gene flow among stocks. Bayesian clustering suggested the six recognized stocks were elements of two larger genetic clusters - a northern Arctic population (containing BB, WJS, and PS-LS stocks and a central Arctic population (containing C-FB, N-FB, and HB-DS stocks. These populations are moderately differentiated (FST = 0.07, but based on evidence of contemporary movement from assignment tests, are not completely isolated. There was support for maintaining the WJS stock and a combined BB+PS-LS stock, although the latter conclusion is based on a small sample size. Similarly, there was some evidence suggesting separation of the Foxe Basin stocks from the HB-DS but not the N-FB from the C-FB stock. However, given that there are morphological and chemical differences between N-FB and C-FB stocks, there is currently insufficient evidence to support a revision of the current stock designations.

  12. Multifractal analysis of Moroccan family business stock returns

    Science.gov (United States)

    Lahmiri, Salim

    2017-11-01

    In this paper, long-range temporal correlations at different scales in Moroccan family business stock returns are investigated. For comparison purpose, presence of multifractality is also investigated in Casablanca Stock Exchange (CSE) major indices: MASI which is the all shares index and MADEX which is the index of most liquid shares. It is found that return series of both family business companies and major stock market indices show strong evidence of multifractality. In particular, empirical results reveal that short (long) fluctuations in family business stock returns are less (more) persistent (anti-persistent) than short fluctuations in market indices. In addition, both serial correlation and distribution characteristics significantly influence the strength of the multifractal spectrums of CSE and family business stocks returns. Furthermore, results from multifractal spectrum analysis suggest that family business stocks are less risky. Thus, such differences in price dynamics could be exploited by investors and forecasters in active portfolio management.

  13. The Effect of Cash Dividend, Retained Earnings, and Stock Price of Manufacturing Company Listed In Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Farah Margaretha

    2015-03-01

    Full Text Available This study aims to determine the effect of cash dividends per share, retained earnings per share, earnings per share, and leverage on the stock price of manufacture industry in Indonesia from 2008-2012. Research used secondary data in which the source was obtained indirectly through an intermediary medium or data processed from literatures and reports associated with this research. Independent variables in this study (x are cash dividends per share, retained earnings per share, earnings per share, and leverage, while the dependent variable (y is stock price. The samples used were 23 companies with purposive sampling method. The empirical results of this study indicate that cash dividends per share, retained earnings per share, earnings per share, and leverage has significant effect on the stock price. It is therefore the higher stock price will attract investors to invest their money. Hence, companies and investors need to attend cash dividends per share, retained earnings per share, earnings per share, and leverage as factors that affect the increase or decrease of the stock price. 

  14. Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market.

    Science.gov (United States)

    Chao, Youcong; Liu, Xiaoqun; Guo, Shijun

    2017-01-01

    Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-MacBeth regression results show that not only have the realized jump components and the continuous volatility been compensated with risk premium, but also that the negative jump risk, the positive jump risk and the sign jump risk, to some extent, could explain the return of the stock portfolios. Therefore, we should pay high attention to the downside tail risk and the upside tail risk.

  15. Dynamic structure of stock communities: a comparative study between stock returns and turnover rates

    Science.gov (United States)

    Su, Li-Ling; Jiang, Xiong-Fei; Li, Sai-Ping; Zhong, Li-Xin; Ren, Fei

    2017-07-01

    The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the aspects of both price returns and turnover rates, by using a combination of the PMFG and infomap methods based on a distance matrix. An empirical study using the overall data set shows that for both returns and turnover rates the largest communities are composed of specific industrial or conceptional sectors and the correlation inside a sector is generally larger than the correlation between different sectors. However, the community structure for turnover rates is more complex than that for returns, which indicates that the interactions between stocks revealed by turnover rates may contain more information. This conclusion is further confirmed by the analysis of the changes in the dynamics of community structures over five sub-periods. Sectors like banks, real estate, health care and New Shanghai take turns to comprise a few of the largest communities in different sub-periods, and more interestingly several specific sectors appear in the communities with different rank orders for returns and turnover rates even in the same sub-period. To better understand their differences, a comparison between the evolution of the returns and turnover rates of the stocks from these sectors is conducted. We find that stock prices only had large changes around important events while turnover rates surged after each of these events relevant to specific sectors, which shows strong evidence that the turnover rates are more susceptible to exogenous shocks than returns and its measurement for community detection may contain more useful information about market structure.

  16. Boosting Learning Algorithm for Stock Price Forecasting

    Science.gov (United States)

    Wang, Chengzhang; Bai, Xiaoming

    2018-03-01

    To tackle complexity and uncertainty of stock market behavior, more studies have introduced machine learning algorithms to forecast stock price. ANN (artificial neural network) is one of the most successful and promising applications. We propose a boosting-ANN model in this paper to predict the stock close price. On the basis of boosting theory, multiple weak predicting machines, i.e. ANNs, are assembled to build a stronger predictor, i.e. boosting-ANN model. New error criteria of the weak studying machine and rules of weights updating are adopted in this study. We select technical factors from financial markets as forecasting input variables. Final results demonstrate the boosting-ANN model works better than other ones for stock price forecasting.

  17. 26 CFR 1.552-3 - Stock ownership requirement.

    Science.gov (United States)

    2010-04-01

    ... (CONTINUED) INCOME TAXES (CONTINUED) Foreign Personal Holding Companies § 1.552-3 Stock ownership requirement... more than 50 percent in value of the outstanding stock of the foreign corporation be owned, directly or... section 544 (relating to rules for determining stock ownership in the case of personal holding companies...

  18. Connecting single-stock assessment models through correlated survival

    DEFF Research Database (Denmark)

    Albertsen, Christoffer Moesgaard; Nielsen, Anders; Thygesen, Uffe Høgsbro

    2017-01-01

    times. We propose a simple alternative. In three case studies each with two stocks, we improve the single-stock models, as measured by Akaike information criterion, by adding correlation in the cohort survival. To limit the number of parameters, the correlations are parameterized through...... the corresponding partial correlations. We consider six models where the partial correlation matrix between stocks follows a band structure ranging from independent assessments to complex correlation structures. Further, a simulation study illustrates the importance of handling correlated data sufficiently...... by investigating the coverage of confidence intervals for estimated fishing mortality. The results presented will allow managers to evaluate stock statuses based on a more accurate evaluation of model output uncertainty. The methods are directly implementable for stocks with an analytical assessment and do...

  19. 26 CFR 1.165-4 - Decline in value of stock.

    Science.gov (United States)

    2010-04-01

    ... fluctuation in the market price of the stock or to other similar cause. A mere shrinkage in the value of stock... insofar as the loss is recognized under § 1.1002-1 upon the sale or exchange of the stock and except as... price of the stock or if no reasonable attempt to determine the worthlessness of the stock has been made...

  20. Operating revenue changes in a demutualized stock exchange

    Directory of Open Access Journals (Sweden)

    Mohamed Hesham Abdel-Hafez

    2015-03-01

    Full Text Available Stock exchanges were traditionally run as cooperative venues. The globalization, the development of technology, and the increase of competition among stock exchanges forced these venues to change their structure and adopt a new one-demutualization- that can be a lifeline in facing these environmental changes in regards to stock exchanges. This new trend enables the exchange to expand their activities and supply the market with new products and services, therefore enhancing the value of the exchange itself. The main sources of revenue for traditional exchanges have been listing fees, transaction fees, membership fees and the sale of information services such as market data, quotations, and trade data. Due to the environmental changes the stock exchanges' services are now executed electronically, and in turn, this has led to an increase in the competition among exchanges. Furthermore, this increased competition has led to the re-adjustment of the regulation structure which gradually erodes the sources of revenues provided by the conventional stock exchanges. The paper divided the research plan into two sections: the first section is to highlight the concept of demutualization process; the phases of demutualization, the factors that push the stock exchanges to demutualize and the benefits of demutualization. The second section was based on statistical comparative analysis of the stock exchanges' revenues prior and after demutualization. The researcher used the regression analysis tool on seven demutualized stock exchanges during the period from 1997-2012. The paper aims to prove that demutualization has a positive effect on the revenues of the stock exchange, thus it enhances the value of the exchange.

  1. Simulation testing the robustness of stock assessment models to error: some results from the ICES strategic initiative on stock assessment methods

    DEFF Research Database (Denmark)

    Deroba, J. J.; Butterworth, D. S.; Methot, R. D.

    2015-01-01

    The World Conference on Stock Assessment Methods (July 2013) included a workshop on testing assessment methods through simulations. The exercise was made up of two steps applied to datasets from 14 representative fish stocks from around the world. Step 1 involved applying stock assessments to dat...

  2. Fundamental uncertainty and stock market volatility

    NARCIS (Netherlands)

    Arnold, I.J.M.; Vrugt, E.B.

    2008-01-01

    We provide empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from participants in the Survey of Professional Forecasters over the period 1969 to 1996.

  3. UNDERGROUND ECONOMY, GDP AND STOCK MARKET

    Directory of Open Access Journals (Sweden)

    Caus Vasile Aurel

    2012-07-01

    Full Text Available Economic growth is affected by the size and dynamics of underground economy. Determining this size is a subject of research for many authors. In this paper we present the relationship between underground economy dynamics and the dynamics of stock markets. The observations are based on regression used by Tanzi (1983 and the relationship between GDP and stock market presented in Tudor (2008. The conclusion of this paper is that the dynamics of underground economy is influenced by dynamic of financial markets. Thus, using specific stock market mathematical tools analysis, one can analyze the dynamic of underground economy

  4. Impact Of Volatility And Performance Of Major Stock Markets On Sarajevo Stock Exchange In 2008 – 2012 Period

    OpenAIRE

    Dzanic, Enis; Omerbegovic, Sead

    2014-01-01

    Previous research indicates that performance and volatility of small and regional stock markets can be influenced by the performance of major world exchanges such as New York, Frankfurt or Tokyo stock exchange. This research analyses weekly composite index data for SASE (Sarajevo Stock Exchange), NYSE, NIKKEI, and DAX indices, for the period from 2008 until the end of 2012. This time period contains significant events in the US and the rest of the world, including the housing bubble, and a gr...

  5. Stock management optimization. Example of the management of a reprocessed plutonium stock

    International Nuclear Information System (INIS)

    Herault, L.; Privault, C.

    1997-01-01

    This paper describes a method developed by the CEA for the management of a stock of nuclear materials of Electricite de France and which combines meta-heuristics with mathematical programing results for a better efficiency. The industrial problem to solve concerns the reprocessing of spent fuels and the reuse of their plutonium content for the manufacturing of mixed oxide (MOX) fuels. In this problem, the plutonium stock is shared into subsets which must supply fuel fabrication plants at a given date and with precise energetic, chemical and quality criteria in order to minimize the reprocessing costs. (J.S.)

  6. Improving capacity of stock assessment for sea turtles: using ocean circulation modeling to inform genetic mixed stock analysis

    Data.gov (United States)

    National Oceanic and Atmospheric Administration, Department of Commerce — Genetic approaches have been useful for assigning stock ID to sea turtles caught as bycatch in fisheries, or determining stock composition at foraging grounds. In...

  7. Long Memory in the Greek Stock Market

    OpenAIRE

    John T. Barkoulas; Christopher F. Baum; Nickolaos Travlos

    1996-01-01

    We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over long...

  8. Macroeconomic Forces and Stock Returns in Vietnam

    OpenAIRE

    Phan, Van Hang

    2008-01-01

    Capital market development, especially the appearance of Vietnamese equity market recently has a strategic importance in the economic growth and structural reform process of Vietnam (Chun et al, 2003). This dissertation focuses on the impacts of macroeconomic forces on stock market returns in Vietnamese stock market which has not been investigated in detail before, and thereby to contribute further literature on this new emerging stock market. Specifically, the research will intensively inves...

  9. Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model

    Directory of Open Access Journals (Sweden)

    Javed Bin Kamal

    2012-09-01

    Full Text Available The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble scenario and stock price bubble and bubble burst is second scenario. Here we considered beginning of year 2010 as rise of stock price bubble in Dhaka Stock Exchange. Hence period from 2005 -2009 is considered as ex ante stock price bubble period. Using DSI (All share price index in Dhaka Stock Exchange as market index and considering daily indices for the March 2005 to December 2009 period, the proposed method formulates a unique cut off point (cut off rate of return and selects stocks having excess of their expected return over risk-free rate of return surpassing this cut-off point. Here, risk free rate considered to be 8.5% per annum (Treasury bill rate in 2009. Percentage of an investment in each of the selected stocks is then decided on the basis of respective weights assigned to each stock depending on respective ‘β’ value, stock movement variance representing unsystematic risk, return on stock and risk free return vis-à-vis the cut off rate of return. Interestingly, most of the stocks selected turned out to be bank stocks. Again we went for single index model applied to same stocks those made to the optimum portfolio in ex ante stock price bubble scenario considering data for the period of January 2010 to June 2012. We found that all stocks failed to make the pass Single Index Model criteria i.e. excess return over beta must be higher than the risk free rate. Here for the period of 2010 to 2012, the risk free rate considered to be 11.5 % per annum (Treasury bill rate during 2012.

  10. Hybrid Clustering-GWO-NARX neural network technique in predicting stock price

    Science.gov (United States)

    Das, Debashish; Safa Sadiq, Ali; Mirjalili, Seyedali; Noraziah, A.

    2017-09-01

    Prediction of stock price is one of the most challenging tasks due to nonlinear nature of the stock data. Though numerous attempts have been made to predict the stock price by applying various techniques, yet the predicted price is not always accurate and even the error rate is high to some extent. Consequently, this paper endeavours to determine an efficient stock prediction strategy by implementing a combinatorial method of Grey Wolf Optimizer (GWO), Clustering and Non Linear Autoregressive Exogenous (NARX) Technique. The study uses stock data from prominent stock market i.e. New York Stock Exchange (NYSE), NASDAQ and emerging stock market i.e. Malaysian Stock Market (Bursa Malaysia), Dhaka Stock Exchange (DSE). It applies K-means clustering algorithm to determine the most promising cluster, then MGWO is used to determine the classification rate and finally the stock price is predicted by applying NARX neural network algorithm. The prediction performance gained through experimentation is compared and assessed to guide the investors in making investment decision. The result through this technique is indeed promising as it has shown almost precise prediction and improved error rate. We have applied the hybrid Clustering-GWO-NARX neural network technique in predicting stock price. We intend to work with the effect of various factors in stock price movement and selection of parameters. We will further investigate the influence of company news either positive or negative in stock price movement. We would be also interested to predict the Stock indices.

  11. Dispersal, growth and diet of stocked and wild northern pike fry in a shallow natural lake, with implications for management of stocking programs

    DEFF Research Database (Denmark)

    Skov, Christian; Koed, Anders; Baastrup-Spohr, Lars

    2011-01-01

    season. Stomach analyses revealed that the stocked pike ingested less diverse prey items and had higher fractions of empty stomachs throughout the study period. Overall, the fraction of stocked pike in samples rapidly declined over the season, which may have been caused by differential survival...... low fitness of stocked individuals in competition with wild conspecifics: (1) genetic-based local maladaptation among the stocked fish and (2) carryover effects from the hatchery. The latter may be less likely because the fry stocked were the offspring of wild fish and only spent a few weeks...

  12. Stock market volatility and macroeconomic uncertainty

    NARCIS (Netherlands)

    Arnold, I.J.M.; Vrugt, E.B.

    2006-01-01

    This paper provides empirical evidence on the link between stock market volatility and macroeconomic uncertainty. We show that US stock market volatility is significantly related to the dispersion in economic forecasts from SPF survey participants over the period from 1969 to 1996. This link is much

  13. Investigating the relationship between auditor’s opinion and stock return in the companies listed at Tehran stock exchange market

    Directory of Open Access Journals (Sweden)

    Ali Akbar Farzinfar

    2013-01-01

    Full Text Available This research investigates the relationship between auditor’s opinion and stock return in the companies listed at Tehran stock exchange market. In this study, all required data are collected from aware shareholders and provide a sampling of 130 questionnaires, the data collected over the period 2010-2011 using test methods such as computer software, data analysis and statistical methods to answer research questions. According to research result through questionnaires and tests, there is a significant relationship between stock returns and the auditor's opinion, in fact, for aware shareholders of the company the auditor’s opinion has a special message. This message is based on the results of study hypothesis in comparison with previous research with regard to changes in the questionnaire and provides assumptions that are more detailed. The first finding is that unqualified audit report has a positive impact on stock returns of companies with a medium to low degree. Adverse audit report has a negative impact on stock returns of companies with medium to high degree. Disclaimer of audit report has a negative impact on stock returns of companies with medium to high degree. Finally, qualifying paragraphs, which modified the items of income statement items have more impact in comparison with qualifying paragraphs which modified the Balance Sheet items.

  14. Factors of Selection of the Stock Allocation Method

    Directory of Open Access Journals (Sweden)

    Rohov Heorhii K.

    2014-03-01

    Full Text Available The article describes results of the author’s study of factors of making strategic decisions on selection of methods of stock allocation by public joint stock companies in Ukraine. The author used the Random forest mathematical apparatus of classification trees building and also informal methods. The article analyses the reasons that restrain public allocation of stock. It shows significant influence upon selection of a method of stock allocation of such factors as capital concentration, balance rate of corporate rights, sector of economy and significant participation of the institutes of common investment or the state in the authorised capital. The built hierarchical model of classification of factors of the issuing policy of joint stock companies finds logical justification in specific features of the institutional environment, however, it does not fit into the framework of the classical concept of the market economy. The model could be used both for formation of goals of corporate financial strategies and in the process of improvement of state regulation of activity of securities issuers. The prospect of further studies in this direction is identification of transformation of factors of selection of the stock allocation method under conditions of revival of the stock market.

  15. The price momentum of stock in distribution

    Science.gov (United States)

    Liu, Haijun; Wang, Longfei

    2018-02-01

    In this paper, a new momentum of stock in distribution is proposed and applied in real investment. Firstly, assuming that a stock behaves as a multi-particle system, its share-exchange distribution and cost distribution are introduced. Secondly, an estimation of the share-exchange distribution is given with daily transaction data by 3 σ rule from the normal distribution. Meanwhile, an iterative method is given to estimate the cost distribution. Based on the cost distribution, a new momentum is proposed for stock system. Thirdly, an empirical test is given to compare the new momentum with others by contrarian strategy. The result shows that the new one outperforms others in many places. Furthermore, entropy of stock is introduced according to its cost distribution.

  16. Multifractal structures for the Russian stock market

    Science.gov (United States)

    Ikeda, Taro

    2018-02-01

    In this paper, we apply the multifractal detrended fluctuation analysis (MFDFA) to the Russian stock price returns. To the best of our knowledge, this paper is the first to reveal the multifractal structures for the Russian stock market by financial crises. The contributions of the paper are twofold. (i) Finding the multifractal structures for the Russian stock market. The generalized Hurst exponents estimated become highly-nonlinear to the order of the fluctuation functions. (ii) Computing the multifractality degree according to Zunino et al. (2008). We find that the multifractality degree of the Russian stock market can be categorized within emerging markets, however, the Russian 1998 crisis and the global financial crisis dampen the degree when we consider the order of the polynomial trends in the MFDFA.

  17. Stock Market and Sustainable Economic Growth in Nigeria

    Directory of Open Access Journals (Sweden)

    Erasmus L Owusu

    2016-11-01

    Full Text Available This paper examines the relationship between stock market evolution and sustainable economic growth in Nigeria. The study employs Auto-Regressive Distributed Lag (ARDL-bounds testing approach and a combined stock market indicators index to examine the relationship. The paper finds that, in the long run, stock markets have no positive and at best mixed effect on economic growth in Nigeria. This finding supports the numerous past studies, which have reported negative/mixed or inconclusive results on the effects of stock markets on economic growth. The paper, therefore, concludes that, there is the need for increasing financial deepening and the removal of bottlenecks in the financial sectors of the economy by providing further public and institutional education on the value of stock markets for economic development.

  18. Stock prices forecasting based on wavelet neural networks with PSO

    OpenAIRE

    Wang Kai-Cheng; Yang Chi-I; Chang Kuei-Fang

    2017-01-01

    This research examines the forecasting performance of wavelet neural network (WNN) model using published stock data obtained from Financial Times Stock Exchange (FTSE) Taiwan Stock Exchange (TWSE) 50 index, also known as Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), hereinafter referred to as Taiwan 50. Our WNN model uses particle swarm optimization (PSO) to choose the appropriate initial network values for different companies. The findings come with two advantages. First...

  19. Stock returns and foreign investment in Brazil

    OpenAIRE

    Reis, Luciana; Meurer, Roberto; Da Silva, Sergio

    2008-01-01

    We examine the relationship between stock returns and foreign investment in Brazil, and find that the inflows of foreign investment boosted the returns from 1995 to 2005. There was a strong contemporaneous correlation, although not Granger-causality. Foreign investment along with the exchange rate, the influence of the world stock markets, and country risk can explain 73 percent of the changes that occurred in the stock returns over the period. We also find that positive feedback trading play...

  20. Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices

    Science.gov (United States)

    Awalludin, S. A.; Ulfah, S.; Soro, S.

    2018-01-01

    In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.

  1. Linkage between company scores and stock returns

    Directory of Open Access Journals (Sweden)

    Saban Celik

    2017-12-01

    Full Text Available Previous studies on company scores conducted at firm-level, generally concluded that there exists a positive relation between company scores and stock returns. Motivated by these studies, this study examines the relationship between company scores (Corporate Governance Score, Economic Score, Environmental Score, and Social Score and stock returns, both at portfolio-level analysis and firm-level cross-sectional regressions. In portfolio-level analysis, stocks are sorted based on each company scores and quintile portfolio are formed with different levels of company scores. Then, existence and significance of raw returns and risk-adjusted returns difference between portfolios with the extreme company scores (portfolio 10 and portfolio 1 is tested. In addition, firm-level cross-sectional regression is performed to examine the significance of company scores effects with control variables. While portfolio-level analysis results indicate that there is no significant relation between company scores and stock returns; firm-level analysis indicates that economic, environmental, and social scores have effect on stock returns, however, significance and direction of these effects change, depending on the included control variables in the cross-sectional regression.

  2. 78 FR 14983 - Fisheries of the Gulf of Mexico; Gulf of Mexico Fishery Management Council; Public Meeting

    Science.gov (United States)

    2013-03-08

    ... the Gulf of Mexico; Gulf of Mexico Fishery Management Council; Public Meeting AGENCY: National Marine... of Gulf of Mexico Fishery Management Council Spanish Mackerel and Cobia Stock Assessment Review Workshop. SUMMARY: Independent peer review of Gulf of Mexico Spanish Mackerel and Cobia stocks will be...

  3. The reaction of stock market returns to anticipated unemployment

    OpenAIRE

    Taamouti, Abderrahim; Gonzalo Muñoz, Jesús

    2012-01-01

    We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market's reaction to unemployment rate and study the effect at each individual point (quantile) of stock return distribution. Using nonparametric Granger causality and quantile regression based tests, we find that, contrary to the general findings in the literature, only anticipated unemployment rate has a strong impact on stock...

  4. Stocking equations for regeneration in mixed oak stands

    Science.gov (United States)

    Songlin Fei; Kim C. Steiner; James C. Finley

    2007-01-01

    Regeneration stocking equations for mixed-oak stands were developed based on data collected from nearly 14,000 plots in the central Appalachians. Maximum stand density was identified by plotting aggregate height against number of seedlings per plot, and was used as the reference level of the average maximum stand density (100 percent stocking or A-level stocking)....

  5. 12 CFR 931.6 - Transfer of capital stock.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 7 2010-01-01 2010-01-01 false Transfer of capital stock. 931.6 Section 931.6 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND CAPITAL STANDARDS FEDERAL HOME LOAN BANK CAPITAL STOCK § 931.6 Transfer of capital stock. A Bank in its capital plan...

  6. Fish stocking density impacts tank hydrodynamics

    DEFF Research Database (Denmark)

    Rasmussen, Michael R.; Lunger, Angela; Laursen, Jesper

    2006-01-01

    The effect of stocking density upon the hydrodynamics of a circular tank, configured in a recirculation system, was investigated. Red drums Sciaenops ocellatus of approximately 140 g wet weight, were stocked at five rates varying from 0 to 12 kg m-3. The impact of the presence of fish upon tank...... hydrodynamics was established using in-tank-based Rhodamine WT fluorometry at a flow rate of 0.23 l s-1 (tank exchange rate of 1.9 h-1). With increasing numbers of animals, curvilinear relationships were observed for dispersion coefficients and tank mixing times. Stocking densities of 3, 6, 9 and 12 kg m-3...

  7. Forecast Correlation Coefficient Matrix of Stock Returns in Portfolio Analysis

    OpenAIRE

    Zhao, Feng

    2013-01-01

    In Modern Portfolio Theory, the correlation coefficients decide the risk of a set of stocks in the portfolio. So, to understand the correlation coefficients between returns of stocks, is a challenge but is very important for the portfolio management. Usually, the stocks with small correlation coefficients or even negative correlation coefficients are preferred. One can calculate the correlation coefficients of stock returns based on the historical stock data. However, in order to control the ...

  8. 27 CFR 24.217 - Vinegar stock.

    Science.gov (United States)

    2010-04-01

    ... 27 Alcohol, Tobacco Products and Firearms 1 2010-04-01 2010-04-01 false Vinegar stock. 24.217 Section 24.217 Alcohol, Tobacco Products and Firearms ALCOHOL AND TOBACCO TAX AND TRADE BUREAU, DEPARTMENT OF THE TREASURY LIQUORS WINE Production of Other Than Standard Wine § 24.217 Vinegar stock. Vinegar...

  9. THE INFLUENCE OF DIFFERENT STOCKING DENSITIES AND ...

    African Journals Online (AJOL)

    Helet Lambrechts

    stocking densities will have a possible inhibitory effect on the establishment of ... Keywords: Ostriches, stocking density, male:female ratio, reproductive performance .... Eggs were stored upright with the air cell in the uppermost position.

  10. Scoring on the stock exchange? The effect of football matches on stock market returns : an event study

    NARCIS (Netherlands)

    Scholtens, B.; Peenstra, W.

    2009-01-01

    We analyse the effect of results of football matches on the stock market performance of football teams. We analyse 1274 matches of eight teams in the national and European competition during 2000-2004. We find that the stock market response is significant and positive for victories and negative for

  11. Investor’s Sentiments and Stock Market Volatility: an empirical evidence from emerging stock market

    Directory of Open Access Journals (Sweden)

    Mobeen Ur Rehman

    2013-05-01

    Full Text Available The concept of efficient market hypothesis has prevailed the financial markets for a long time which says that the prices of the securities reflect all available information. This approach was mainly followed by the rational investors but with the passage of time, the concept of behavioral finance emerged due to some of the major global financial crashes. This concept states that there are investors trading in the market making decisions on the basis of sentiments not on any fundamental information. Such class of traders is called the noise traders and they are mainly responsible for any disruption in the returns of the securities. In this paper we will try to find whether these sentiments of the investors affect the returns of the securities listed on the Karachi stock exchange. We will use the investor sentiment index that uses the six proxies the data on which has been collected mainly from the Karachi stock exchange. Volatility of the stock market returns will be calculated and regressed with the sentimental equation discussed above as the independent variable. This study will help us to find out the extent to which these sentiments influence the stock market returns in weak form efficient market and also it will help us to identify the presence of such irrational noise traders in our financial market.

  12. Financing R & D with Knowledge Stock Rentals

    OpenAIRE

    John M. Hartwick

    1993-01-01

    We set out an endogenous growth model along the lines of Romer(1990) and investigate the implications of financing new knowledge production (R&D) with rental income accruing to the knowledge stock used in goods production. The knowledge stock is a non-public input in goods production. The balance growth rate under optimal growth can be greater or less than that under the invest knowledge stock rentals regime depends on the parameters of the production function and not on the parameters of pre...

  13. Mean reversion in the US stock market

    International Nuclear Information System (INIS)

    Serletis, Apostolos; Rosenberg, Aryeh Adam

    2009-01-01

    This paper revisits the evidence for the weaker form of the efficient market hypothesis, building on recent work by Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons and Fractals 2003;17:449-54], Elder and Serletis [Elder J, Serletis A. On fractional integrating dynamics in the US stock market. Chaos, Solitons and Fractals 2007;34;777-81], Koustas et al. [Koustas Z, Lamarche J.-F, Serletis A. Threshold random walks in the US stock market. Chaos, Solitons and Fractals, forthcoming], Hinich and Serletis [Hinich M, Serletis A. Randomly modulated periodicity in the US stock market. Chaos, Solitons and Fractals, forthcoming], and Serletis et al. [Serletis A, Uritskaya OY, Uritsky VM. Detrended Fluctuation analysis of the US stock market. Int J Bifurc Chaos, forthcoming]. In doing so, we use daily data, over the period from 5 February 1971 to 1 December 2006 (a total of 9045 observations) on four US stock market indexes - the Dow Jones Industrial Average, the Standard and Poor's 500 Index, the NASDAQ Composite Index, and the NYSE Composite Index - and a new statistical physics approach - namely the 'detrending moving average (DMA)' technique, recently introduced by Alessio et al. [Alessio E, Carbone A, Castelli G, Frappietro V. Second-order moving average and scaling of stochastic time series. Euro Phys J B 2002;27;197-200.] and further developed by Carbone et al. [Carbone A, Castelli G, Stanley HE. Time dependent hurst exponent in financial time series. Physica A 2004;344;267-71, Carbone A, Castelli G, Stanley HE. Analysis of clusters formed by the moving average of a long-range correlated time series. Phys Rev E 2004;69;026105.]. The robustness of the results to the use of alternative testing methodologies is also investigated, by using Lo's [Lo AW. Long-term memory in stock market prices. Econometrica 1991;59:1279-313.] modified rescaled range analysis. We conclude that US stock

  14. Mean reversion in the US stock market

    Energy Technology Data Exchange (ETDEWEB)

    Serletis, Apostolos [Department of Economics, University of Calgary, Calgary, Alberta, T2N 1N4 (Canada)], E-mail: Serletis@ucalgary.ca; Rosenberg, Aryeh Adam [Department of Economics, University of Calgary, Calgary, Alberta, T2N 1N4 (Canada)

    2009-05-30

    This paper revisits the evidence for the weaker form of the efficient market hypothesis, building on recent work by Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons and Fractals 2003;17:449-54], Elder and Serletis [Elder J, Serletis A. On fractional integrating dynamics in the US stock market. Chaos, Solitons and Fractals 2007;34;777-81], Koustas et al. [Koustas Z, Lamarche J.-F, Serletis A. Threshold random walks in the US stock market. Chaos, Solitons and Fractals, forthcoming], Hinich and Serletis [Hinich M, Serletis A. Randomly modulated periodicity in the US stock market. Chaos, Solitons and Fractals, forthcoming], and Serletis et al. [Serletis A, Uritskaya OY, Uritsky VM. Detrended Fluctuation analysis of the US stock market. Int J Bifurc Chaos, forthcoming]. In doing so, we use daily data, over the period from 5 February 1971 to 1 December 2006 (a total of 9045 observations) on four US stock market indexes - the Dow Jones Industrial Average, the Standard and Poor's 500 Index, the NASDAQ Composite Index, and the NYSE Composite Index - and a new statistical physics approach - namely the 'detrending moving average (DMA)' technique, recently introduced by Alessio et al. [Alessio E, Carbone A, Castelli G, Frappietro V. Second-order moving average and scaling of stochastic time series. Euro Phys J B 2002;27;197-200.] and further developed by Carbone et al. [Carbone A, Castelli G, Stanley HE. Time dependent hurst exponent in financial time series. Physica A 2004;344;267-71, Carbone A, Castelli G, Stanley HE. Analysis of clusters formed by the moving average of a long-range correlated time series. Phys Rev E 2004;69;026105.]. The robustness of the results to the use of alternative testing methodologies is also investigated, by using Lo's [Lo AW. Long-term memory in stock market prices. Econometrica 1991;59:1279-313.] modified rescaled range analysis. We

  15. The Effect of Stock Return Sequences on Trading Volumes

    Directory of Open Access Journals (Sweden)

    Andrey Kudryavtsev

    2017-10-01

    Full Text Available The present study explores the effect of the gambler’s fallacy on stock trading volumes. I hypothesize that if a stock’s price rises (falls during a number of consecutive trading days, then the gambler’s fallacy may cause at least some of the investors to expect that the stock’s price “has” to subsequently fall (rise, and thus, to increase their willingness to sell (buy the stock, resulting in a stronger degree of disagreement between the investors and a higher-than-usual stock trading volume on the first day when the stock’s price indeed falls (rises. Employing a large sample of daily price and trading volume data, I document that following relatively long sequences of the same-sign stock returns, on the days when the sign is reversed, the trading activity in the respective stocks is abnormally high. Moreover, average abnormal trading volumes gradually and significantly increase with the length of the preceding return sequence. The effect is slightly more pronounced following the sequences of negative stock returns, and remains significant after controlling for other potentially influential factors, including contemporaneous and lagged actual and absolute stock returns, historical stock returns and volatilities, and company-specific events, such as earnings announcements and dividend payments.

  16. Stock market in Ukraine: state and prospects of development

    Directory of Open Access Journals (Sweden)

    Krasnova Iryna V.

    2014-01-01

    Full Text Available The article is devoted to analysis of the topical problem of detection of specific features of functioning and problem of development of the stock market of Ukraine and also justification of directions of increase of its liquidity and efficiency. It analyses main tendencies and regularities of development of the stock market in the context of institutional, instrumental and infrastructural components. It considers issues of changes of volumes of trade and other parameters of activity of stock exchanges during recent years. It focuses on existing problems on the way of development of the stock market of Ukraine, which interfere with its efficient functioning, in particular, a limited number of liquid and investment attractive financial instruments, high fragmentariness of the exchange and depositary infrastructure, and insufficient legislative regulation of the exchange activity. For solution of problem issues and stimulation of further development of the domestic stock market the article marks expediency of consolidation of stock exchanges, necessity to increase capitalisation, liquidity and transparency of the stock market; further formation and consolidation of the market infrastructure and ensuring its reliable and efficient functioning, and improvement of mechanisms of state regulation, supervision and protection of the rights of investors in the Ukrainian stock market.

  17. 78 FR 66681 - Draft 2013 Marine Mammal Stock Assessment Reports

    Science.gov (United States)

    2013-11-06

    ... may be publicly accessible. Do not submit Confidential Business Information or otherwise sensitive or... completed in 1995. The MMPA requires NMFS and FWS to review the SARs at least annually for strategic stocks... non-strategic stocks. The term ``strategic stock'' means a marine mammal stock: (A) For which the...

  18. New research resources at the Bloomington Drosophila Stock Center.

    Science.gov (United States)

    Cook, Kevin R; Parks, Annette L; Jacobus, Luke M; Kaufman, Thomas C; Matthews, Kathleen A

    2010-01-01

    The Bloomington Drosophila Stock Center (BDSC) is a primary source of Drosophila stocks for researchers all over the world. It houses over 27,000 unique fly lines and distributed over 160,000 samples of these stocks this past year. This report provides a brief overview of significant recent events at the BDSC with a focus on new stock sets acquired in the past year, including stocks for phiC31 transformation, RNAi knockdown of gene expression, and SNP and quantitative trait loci discovery. We also describe additions to sets of insertions and molecularly defined chromosomal deficiencies, the creation of a new Deficiency Kit, and planned additions of X chromosome duplication sets.

  19. Exploring Market State and Stock Interactions on the Minute Timescale.

    Directory of Open Access Journals (Sweden)

    Lei Tan

    Full Text Available A stock market is a non-stationary complex system. The stock interactions are important for understanding the state of the market. However, our knowledge on the stock interactions on the minute timescale is limited. Here we apply the random matrix theory and methods in complex networks to study the stock interactions and sector interactions. Further, we construct a new kind of cross-correlation matrix to investigate the correlation between the stock interactions at different minutes within one trading day. Based on 50 million minute-to-minute price data in the Shanghai stock market, we discover that the market states in the morning and afternoon are significantly different. The differences mainly exist in three aspects, i.e. the co-movement of stock prices, interactions of sectors and correlation between the stock interactions at different minutes. In the afternoon, the component stocks of sectors are more robust and the structure of sectors is firmer. Therefore, the market state in the afternoon is more stable. Furthermore, we reveal that the information of the sector interactions can indicate the financial crisis in the market, and the indicator based on the empirical data in the afternoon is more effective.

  20. Exploring Market State and Stock Interactions on the Minute Timescale.

    Science.gov (United States)

    Tan, Lei; Chen, Jun-Jie; Zheng, Bo; Ouyang, Fang-Yan

    2016-01-01

    A stock market is a non-stationary complex system. The stock interactions are important for understanding the state of the market. However, our knowledge on the stock interactions on the minute timescale is limited. Here we apply the random matrix theory and methods in complex networks to study the stock interactions and sector interactions. Further, we construct a new kind of cross-correlation matrix to investigate the correlation between the stock interactions at different minutes within one trading day. Based on 50 million minute-to-minute price data in the Shanghai stock market, we discover that the market states in the morning and afternoon are significantly different. The differences mainly exist in three aspects, i.e. the co-movement of stock prices, interactions of sectors and correlation between the stock interactions at different minutes. In the afternoon, the component stocks of sectors are more robust and the structure of sectors is firmer. Therefore, the market state in the afternoon is more stable. Furthermore, we reveal that the information of the sector interactions can indicate the financial crisis in the market, and the indicator based on the empirical data in the afternoon is more effective.

  1. Modelling the impact of oil prices on Vietnam's stock prices

    International Nuclear Information System (INIS)

    Narayan, Paresh Kumar; Narayan, Seema

    2010-01-01

    The goal of this paper is to model the impact of oil prices on Vietnam's stock prices. We use daily data for the period 2000-2008 and include the nominal exchange rate as an additional determinant of stock prices. We find that stock prices, oil prices and nominal exchange rates are cointegrated, and oil prices have a positive and statistically significant impact on stock prices. This result is inconsistent with theoretical expectations. The growth of the Vietnamese stock market was accompanied by rising oil prices. However, the boom of the stock market was marked by increasing foreign portfolio investment inflows which are estimated to have doubled from US$0.9 billion in 2005 to US$1.9 billion in 2006. There was also a change in preferences from holding foreign currencies and domestic bank deposits to stocks local market participants, and there was a rise in leveraged investment in stock as well as investments on behalf of relatives living abroad. It seems that the impact of these internal and domestic factors were more dominant than the oil price rise on the Vietnamese stock market. (author)

  2. A Tale of Two Stock Markets

    Science.gov (United States)

    Armstrong, Michelle Hine; Piercey, Victor I.; Greene-Hunley, Stephanie

    2015-01-01

    This article describes two different projects using the stock market as a context for learning. For both projects, students "bought" shares in individual companies, tracked stock prices for a period of time, and then "sold" their shares at a gain or loss. The projects are adaptable for students in late elementary school through…

  3. Policy Impact on the Chinese Stock Market: From the 1994 Bailout Policies to the 2015 Shanghai-Hong Kong Stock Connect

    Directory of Open Access Journals (Sweden)

    Yang-Chao Wang

    2017-01-01

    Full Text Available From the 1994 bailout policies to the 2015 Shanghai-Hong Kong Stock Connect, the policy impact on the Chinese stock market has changed over time. By May 2015, global investors can directly invest in a more legalized and normalized Chinese stock market, whereas they are still concerned about the policy-oriented market and its attendant risks. In this study, we employ the family of GARCH models to investigate the structural changes in risks with the implementation of a series of policies. Our results show that although many policies improve or stabilize the stock market, certain policies lead to substantial volatility. Among them, macro-control policies and transaction cost adjustments are a double-edged sword, which should be used with caution. Furthermore, with opening-up policies being launched recently, the Chinese stock market has entered a new stage in which it affects international capital markets. However, the increased risks, which may result in a sharp turnaround, cause worry.

  4. EVALUATION OF THE MODERN TENDENCIES IN THE UKRAINIAN STOCK MARKET DEVELOPMENT

    Directory of Open Access Journals (Sweden)

    Oleksandr Trofimchuk

    2015-11-01

    Full Text Available The purpose of the article is to research and critically evaluate the features of functioning and development the stock market in Ukraine. The main point is to substantiate modern tendencies and to find ways of more efficient development of the Ukrainian stock market. Methodology. The research is based on the analysis of the important aspects which characterize stock market development. They are the volume of trading activity that was done on stock exchanges, level of market capitalization, economic concentration, price policy on market services, and control over the insider information use and manipulation identification. Results. On the basis of volume of trading activity that was done on stock exchanges, features of stock market structure are determined. Comparative analysis between the stock market capitalization level of Ukraine and average world index of stock market capitalization is done. The level and dynamic of economic concentration is defined. Features of competition between Ukrainian stock exchanges are analyzed. Great attention in research is paid to problems of control over the insider information use and principles of manipulation identification by stock exchanges. Value/originality. The research showed that main amount of trading operations was done in “shadow” stock market, capitalization level decreased and stock market in Ukraine does not meet international standards of transparency. Further research should be focused on problems of ensuring the effective implementation of the basic principles of competition between market participants. Main point is to provide law mechanisms to increase transparency level of the national stock market and to increase share of organized stock market in Ukraine.

  5. PENGARUH STOCK SPLIT TERHADAP LIKUIDITAS DAN RETURN SAHAM DI BURSA EFEK JAKARTA

    Directory of Open Access Journals (Sweden)

    Wang Sutrisno

    2000-01-01

    Full Text Available Research on stock splits has frequently been undertaken. The results vary, but fundamentally can be classified into two groups. First, the stock split is purely "cosmetic". Second, the stock split has a real effect on stocks. The difference between these opinions raises controversy. The purpose of this study is to examine whether stock splits influence stock liquidity and return of an individual stock as well as in a group of stocks as a portfolio. Overall, the results of this study show that stock splits did influence stock price, trading volume and bid-ask spread but did not influence stock risk and abnormal return from the point of view of an individual stock as well as in a group of stocks as a portfolio. The test of a relationship between bid-ask spread and stock price, trading volume and stock risk for each stock shows that all three variable did not significantly affect the bid-ask spread. On the other hand, the test of a relationship in a portfolio reveals that only stock prices significantly affect the bid-ask spread. Abstract in Bahasa Indonesia : Penelitian mengenai stock split sudah sering dilakukan. Hasil dari penelitian- penelitian tersebut bermacam - macam, tetapi pada dasarnya dapat dibedakan menjadi dua kelompok. Pertama, stock split dinyatakan murni hanya sebagai "kosmetik". Kedua, stock split dinyatakan mempunyai efek yang nyata terhadap saham. Perbedaan pendapat ini sering menimbulkan kontroversi. Tujuan dari penelitian ini adalah untuk menguji kembali apakah betul stock split dapat mempengaruhi likuiditas dan return saham baik ditinjau secara individual untuk masing - masing saham maupun seluruh saham sebagai sebuah portofolio. Secara keseluruhan, hasil dari penelitian ini menunjukkan bahwa stock split hanya mempengaruhi harga, volume perdagangan dan persentase spread, tetapi tidak mempengaruhi varians dan abnormal return baik ditinjau secara individual maupun sebagai sebuah portofolio. Sedangkan pengujian hubungan antara

  6. DLA Forward Stocking

    National Research Council Canada - National Science Library

    Flory, John

    2007-01-01

    .... This study evaluates the feasibility of forward stocking in terms of DoD savings. The performance of DLA's criteria is evaluated and a new criteria using a cost and demand threshold is proposed...

  7. Stock Performance of Socially Responsible Companies

    Directory of Open Access Journals (Sweden)

    Huang Tzu-Man

    2016-12-01

    Full Text Available Every year Corporate Responsibility Magazine selects and ranks 100 companies on the basis of their corporate social responsibility. This study investigates the stock performance of socially responsible companies in the U.S. The monthly stock returns for these companies are analyzed and compared with the market performance, with the S&P 500 index designated as a proxy for the market. The empirical evidence suggests that these 100 companies outperform the market in their monthly stock returns. We also narrow down the number of companies selected to the top 75, 50, 25, and 10 firms. As we narrow down the companies selected, the difference between their returns and the market returns also narrows. In other words, a portfolio that includes all top 100 companies provides the best stock performance. We extend the analysis to long-term annual stock performance. We find that these socially responsible companies′ annual returns are higher than the market returns for up to seven years after they are listed. We also conduct the same analysis on the top 75, 50, 25, and 10 firms, respectively. Similarly, the larger the number of these top 100 companies, the greater the tendency to generate higher annual returns. We suspect that because the difference between the socially responsible companies′ average returns and the market returns is not dramatic, with a bigger population and thus a larger sample size, the difference becomes more significant. However, in practice, transaction costs must be considered. This study is limited in that it does not consider transaction costs. Nevertheless, we hope to shed some light on the issue of socially responsible companies′ stock performance to encourage companies to start thinking about the importance of corporate social responsibility.

  8. Maintenance in Railway Rolling Stock Rescheduling for Passenger Railways

    NARCIS (Netherlands)

    J.C. Wagenaar (Joris); L.G. Kroon (Leo)

    2015-01-01

    textabstractThis paper addresses the Rolling Stock Rescheduling Problem (RSRP), while taking maintenance appointments into account. After a disruption, the rolling stock of passenger trains has to be rescheduled in order to maintain a feasible rolling stock circulation. A limited number of rolling

  9. Facebook drives behavior of passive households in stock markets

    OpenAIRE

    Siikanen, Milla; Baltakys, Kęstutis; Kanniainen, Juho; Vatrapu, Ravi; Mukkamala, Raghava; Hussain, Abid

    2017-01-01

    Recent studies using data on social media and stock markets have mainly focused on predicting stock returns. Instead of predicting stock price movements, we examine the relation between Facebook data and investors' decision making in stock markets with a unique data on investors' transactions on Nokia. We find that the decisions to buy versus sell are associated with Facebook data especially for passive households and also for nonprofit organizations. At the same time, it seems that more soph...

  10. Company Stock in Pension Plans: How Costly Is It?

    OpenAIRE

    Meulbroek, Lisa

    2005-01-01

    Employees often hold substantial levels of company stock in their defined contribution pension plans, a practice widely recognized as risky. But holding company stock is not only risky, it is costly: employees who own company stock are not fully diversified, so expected returns on their portfolios are lower than equally risky, but fully diversified, portfolios. This paper investigates the costs of holding company stock and finds that the loss in diversification reduces the value of employees'...

  11. STOCK MARKET PREDICTION USING CLUSTERING WITH META-HEURISTIC APPROACHES

    OpenAIRE

    Prasanna, S.; Ezhilmaran, D.

    2015-01-01

    Various examinations are performed to predict the stock values, yet not many points at assessing the predictability of the direction of stock index movement. Stock market prediction with data mining method is a standout amongst the most paramount issues to be researched and it is one of the interesting issues of stock market research over several decades. The approach of advanced data mining tools and refined database innovations has empowered specialists to handle the immense measure of data...

  12. STOCK MARKET PREDICTION USING CLUSTERING WITH META-HEURISTIC APPROACHES

    OpenAIRE

    Prasanna, S.; Ezhilmaran, D.

    2014-01-01

    Various examinations are performed to predict the stock values, yet not many points at assessing the predictability of the direction of stock index movement. Stock market prediction with data mining method is a standout amongst the most paramount issues to be researched and it is one of the interesting issues of stock market research over several decades. The approach of advanced data mining tools and refined database innovations has empowered specialists to handle the immense measure of data...

  13. Stock Market Overreaction and Trading Volume: Evidence from Malaysia

    OpenAIRE

    Ruhani Ali; Zamri Ahmad; Shangkari V. Anusakumar

    2011-01-01

    We investigate the stock market overreaction in Bursa Malaysia from January 2000 to October 2010 using weekly data. We find that winner portfolios tend to have negative returns whereas loser portfolios have positive returns for various holding periods from 1 to 52 weeks. Loser stocks experience more persistent and stronger return reversals than winner stocks. The evidence implies that a lower level of overreaction exists for winner stocks. Overall, a loser-winner portfolio yields highly signi...

  14. Atlantic salmon brood stock management and breeding handbook

    Science.gov (United States)

    Kincaid, Harold L.; Stanley, Jon G.

    1989-01-01

    Anadromus runs of Atlantic salmon have been restored to the Connecticut, Merrimack, Pawcatuck, Penobscot, and St. Croix rivers in New England by the stocking of more than 8 million smolts since 1948. Fish-breeding methods have been developed that minimize inbreeding and domestication and enhance natural selection. Methods are available to advance the maturation of brood stock, control the sex of production lots and store gametes. Current hatchery practices emphasize the use of sea-run brood stock trapped upon return to the rivers and a limited number of captive brood stock and rejuvenated kelts. Fish are allowed to mature naturally, after which they are spawned and incubated artificially. Generally, 1-year smolts are produced, and excess fish are stocked as fry in headwater streams. Smolts are stocked during periods of rising water in spring. Self-release pools are planned that enable smolts to choose the emigration time. Culturists keep good records that permit evaluation of the performance of strains and the effects of breeding practices. As Atlantic salmon populations expand, culturists must use sound breeding methods that enhance biotic potential while maintaining genetic diversity and protecting unique gene pools.

  15. THE STEEL EUROPEAN STOCK MARKET EFFICIENCY

    Directory of Open Access Journals (Sweden)

    Viorica CHIRILA

    2015-12-01

    Full Text Available Testing the hypothesis of informational efficiency is a permanent preoccupation of researchers because the theories and the models of modern finance are based on it. This paper presents the results obtained after testing the efficiency hypothesis, in the weak form, for the European stock market of the companies that belong to the economic steel sub-sector. Following the use of both linear and non-linear tests of autocorrelation of returns we can conclude that the European stock market in the economic steel sub-sector is inefficient from an informational point of view and the investors in these stocks may obtain better results than those of the European market in general.

  16. Applying Moving Objects Patterns towards Estimating Future Stocks Direction

    Directory of Open Access Journals (Sweden)

    Galal Dahab

    2016-01-01

    Full Text Available Stock is gaining vast popularity as a strategic investment tool not just by investor bankers, but also by the average worker. Large capitals are being traded within the stock market all around the world, making its impact not only macro economically focused, but also greatly valued taking into consideration its direct social impact. As a result, almost 66% of all American citizens are striving in their respective fields every day, trying to come up with better ways to predict and find patterns in stocks that could enhance their estimation and visualization so as to have the opportunity to take better investment decisions. Given the amount of effort that has been put into enhancing stock prediction techniques, there is still a factor that is almost completely neglected when handling stocks. The factor that has been obsolete for so long is in fact the effect of a correlation existing between stocks of the same index or parent company. This paper proposes a distinct approach for studying the correlation between stocks that belong to the same index by modelling stocks as moving objects to be able to track their movements while considering their relationships. Furthermore, it studies one of the movement techniques applied to moving objects to predict stock movement. The results yielded that both the movement technique and correlation coefficient technique are consistent in directions, with minor variations in values. The variations are attributed to the fact that the movement technique takes into consideration the sibling relationship

  17. Using the Stock Market to Teach Physics

    Science.gov (United States)

    Faux, David A.; Hearn, Stephen

    2004-11-01

    Students are interested in money. Personal finance is an important issue for most students, especially as they move into university education and take a greater control of their own finances. Many are also interested in stock markets and their ability to allow someone to make, and lose, large sums of money, with their interest fueled by the boom in technology-based stocks of 2000/2001 followed by their subsequent dramatic collapse and the publicizing of so-called "rogue-traders." There is also a much greater ownership of stocks by families following public offerings, stock-based savings products, and the ability to trade stocks online. Consequently, there has been a steady growth of finance and finance-related courses available within degree programs in response to the student demand, with many students motivated by the huge salaries commanded by those with a successful career in the financial sector. We report here details of a joint project between Charterhouse School and the University of Surrey designed to exploit the excitement of finance to teach elements of the high school (age 16-18) curriculum through modeling and simulation.

  18. Stock-specific advection of larval walleye (Sander vitreus) in western Lake Erie: Implications for larval growth, mixing, and stock discrimination

    Science.gov (United States)

    Fraker, Michael E.; Anderson, Eric J.; May, Cassandra J.; Chen, Kuan-Yu; Davis, Jeremiah J.; DeVanna, Kristen M.; DuFour, Mark R.; Marschall, Elizabeth A.; Mayer, Christine M.; Miner, Jeffery G.; Pangle, Kevin L.; Pritt, Jeremy J.; Roseman, Edward F.; Tyson, Jeffrey T.; Zhao, Yingming; Ludsin, Stuart A

    2015-01-01

    Physical processes can generate spatiotemporal heterogeneity in habitat quality for fish and also influence the overlap of pre-recruit individuals (e.g., larvae) with high-quality habitat through hydrodynamic advection. In turn, individuals from different stocks that are produced in different spawning locations or at different times may experience dissimilar habitat conditions, which can underlie within- and among-stock variability in larval growth and survival. While such physically-mediated variation has been shown to be important in driving intra- and inter-annual patterns in recruitment in marine ecosystems, its role in governing larval advection, growth, survival, and recruitment has received less attention in large lake ecosystems such as the Laurentian Great Lakes. Herein, we used a hydrodynamic model linked to a larval walleye (Sander vitreus) individual-based model to explore how the timing and location of larval walleye emergence from several spawning sites in western Lake Erie (Maumee, Sandusky, and Detroit rivers; Ohio reef complex) can influence advection pathways and mixing among these local spawning populations (stocks), and how spatiotemporal variation in thermal habitat can influence stock-specific larval growth. While basin-wide advection patterns were fairly similar during 2011 and 2012, smaller scale advection patterns and the degree of stock mixing varied both within and between years. Additionally, differences in larval growth were evident among stocks and among cohorts within stocks which were attributed to spatiotemporal differences in water temperature. Using these findings, we discuss the value of linked physical–biological models for understanding the recruitment process and addressing fisheries management problems in the world's Great Lakes.

  19. Decision Support for the Rolling Stock Dispatcher

    DEFF Research Database (Denmark)

    Groth, Julie Jespersen

    Real-time recovery is receiving a fast growing interest in an increasingly competitive railway operation market. This thesis considers the area of rolling stock dispatching which is one of the typical real-time railway dispatching problems. All work of the thesis is based on the network...... and planning processes of the railway operator DSB S-tog a/s. In the thesis the problems existing in the railway planning process from the strategic to real-time level are briefly sketched. Network planning, line planning, timetabling, crew and rolling stock planning is outlined and relevant references...... are given. Specifically the thesis references the operation research studies based on the railway operation of DSB S-tog a/s. Subsequently the process of dispatching is outlined with a specific emphasis on rolling stock. The rolling stock recovery problem is the problem of assigning train units to train...

  20. Religion and stock price crash risk: Evidence

    Directory of Open Access Journals (Sweden)

    Wenfei Li

    2016-09-01

    Full Text Available This paper investigates whether religious traditions influence firm-specific crash risk in China. Using a sample of A-share listed firms from 2003 to 2013, we provide evidence that the more intense the religious environment, the lower the stock price crash risk, implying that religion plays an important role in Chinese corporate governance. Further, we find that (1 religion affects stock price crash risk by reducing earnings management and the management perk problem; (2 different religions have different effects, and Taoism, in particular, is unrelated to crash risk; and (3 the effects of religion are more pronounced with higher quality corporate governance and a stronger legal environment. Religion constrains the management agency problem, thus reducing stock price crash risk in China. Our paper enriches the literature on stock price crash risk and religion, and on new economic geography.

  1. stockées Ephestia kuehniella (Lepidoptera)

    African Journals Online (AJOL)

    PR BOKO

    de Rebat (2008). [5] - B. DOUMANDJI-MITICHI. Etude d'un ravageur des denrées stockées E. Kuehiella, Am.El Harrach. (1997). [6] - F. TAIBI. Etude comparée du développement et de la reproduction chez deux ravageurs des denrées stockées Ephestia Kuehniella et Tenebrio molitor. Aspect endocrinien en rapport avec.

  2. The impact of the introduction of index options on volatility and liquidity on the underlying stocks : Empirical evidence from the Asian stock markets

    OpenAIRE

    Hasan, Md Kamrul; Chowdhury, Shabyashachi

    2011-01-01

    The impact of the introduction of derivatives on the underlying stock is a debatable topic among the researchers. The issue is quite controversial as contradictory results have been obtained by researchers in various stock markets. The purpose of this study is to examine the volatility and the liquidity effect on the underlying stock after the introduction of index options. We have investigated volatility and liquidity effect by collecting sample data from the stock markets of India, Korea, T...

  3. Development of stock correlation networks using mutual information and financial big data.

    Science.gov (United States)

    Guo, Xue; Zhang, Hu; Tian, Tianhai

    2018-01-01

    Stock correlation networks use stock price data to explore the relationship between different stocks listed in the stock market. Currently this relationship is dominantly measured by the Pearson correlation coefficient. However, financial data suggest that nonlinear relationships may exist in the stock prices of different shares. To address this issue, this work uses mutual information to characterize the nonlinear relationship between stocks. Using 280 stocks traded at the Shanghai Stocks Exchange in China during the period of 2014-2016, we first compare the effectiveness of the correlation coefficient and mutual information for measuring stock relationships. Based on these two measures, we then develop two stock networks using the Minimum Spanning Tree method and study the topological properties of these networks, including degree, path length and the power-law distribution. The relationship network based on mutual information has a better distribution of the degree and larger value of the power-law distribution than those using the correlation coefficient. Numerical results show that mutual information is a more effective approach than the correlation coefficient to measure the stock relationship in a stock market that may undergo large fluctuations of stock prices.

  4. Oil Volatility Risk and Expected Stock Returns

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Pan, Xuhui (Nick)

    After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross-section of expected returns. The difference in average...... return between the quintile of stocks with low exposure and high exposure to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0.60% per month. In the post-financialization period, oil volatility risk is strongly related with various measures...

  5. Stock price forecasting for companies listed on Tehran stock exchange using multivariate adaptive regression splines model and semi-parametric splines technique

    Science.gov (United States)

    Rounaghi, Mohammad Mahdi; Abbaszadeh, Mohammad Reza; Arashi, Mohammad

    2015-11-01

    One of the most important topics of interest to investors is stock price changes. Investors whose goals are long term are sensitive to stock price and its changes and react to them. In this regard, we used multivariate adaptive regression splines (MARS) model and semi-parametric splines technique for predicting stock price in this study. The MARS model as a nonparametric method is an adaptive method for regression and it fits for problems with high dimensions and several variables. semi-parametric splines technique was used in this study. Smoothing splines is a nonparametric regression method. In this study, we used 40 variables (30 accounting variables and 10 economic variables) for predicting stock price using the MARS model and using semi-parametric splines technique. After investigating the models, we select 4 accounting variables (book value per share, predicted earnings per share, P/E ratio and risk) as influencing variables on predicting stock price using the MARS model. After fitting the semi-parametric splines technique, only 4 accounting variables (dividends, net EPS, EPS Forecast and P/E Ratio) were selected as variables effective in forecasting stock prices.

  6. Risk-Adjusted Returns and Stock Market Games.

    Science.gov (United States)

    Kagan, Gary; And Others

    1995-01-01

    Maintains that stock market games are designed to provide students with a background for investing in securities, especially stocks. Reviews two games used with secondary students, analyzes statistical data from these experiences, and considers weaknesses in the games. (CFR)

  7. Testing for regime-switching CAPM on Zagreb Stock Exchange

    Directory of Open Access Journals (Sweden)

    Tihana Škrinjarić

    2014-12-01

    Full Text Available The standard Capital Asset Pricing Model assumes that a linear relationship exists between the risk (beta and the expected excess return of a stock. However, empirical findings have shown over the years that this relationship varies over time. Stock markets undergo phases of greater and smaller volatility in which beta varies accordingly (undergoes different regimes. Given that the Croatian capital market is still insufficiently investigated, the aim of this paper is to explore the possibility of a non-linear relationship between the stock risk and return. Linear and Markov-switching models (Hamilton 1989 are examined on the Zagreb Stock Exchange based on monthly data on 21 stocks, ranging from January 2005 to December 2013. In that way, investors can use the results based on the best model when making decisions about buying stocks. Since this is one of the first papers on regime-switching on the Croatian capital market, it will hopefully contribute to the existing literature on investing.

  8. The impact of leverage on stock returns: an empirical test on the Australian stock market

    OpenAIRE

    Thuy Linh, Doan

    2009-01-01

    Asset pricing model is no longer a new topic to theoretical finance but it still maintains researchers’ interest until now. The role of firm characteristics in explaining the stock returns becomes more and more significant in the empirical studies. The Fama French three factor is the most famous model of testing the firm characteristics: size effect and book to market effect on stock returns. However, this model does not include leverage, one of the most important firm characteristics. Starti...

  9. STOCK MANAGEMENT IN A MANUFACTURING AND TRADING COMPANY

    OpenAIRE

    Ewa Kempa

    2009-01-01

    The article shows stock management in the logistic context on the example of a manufacturing and trading company. Stock is one of the most important, and, at the same time, the most difficult issues related to company management as it requires efficient handling of transport and inventory. Also, the amount of stock should possibly be optimal so it does not account for too high operating costs of a company.

  10. Stock market and macroeconomic variables : evidences from Lithuania

    OpenAIRE

    Pilinkus, Donatas

    2009-01-01

    The stock market has been historically viewed as a reliable instrument to indicate economic processes. However, contemporary papers reveal the controversy of the issue. A clear understanding of stock market determinants is vital for investors, regulators, and academic researchers. Therefore, future researches are required to further explore this issue. The present paper analyzes relationships between a group of macroeconomic variables and the Lithuanian stock market index, i.e. OMX Vilnius in...

  11. RE-EXAMINING STOCK MARKET INTEGRATION AMONG BRICS COUNTRIES

    Directory of Open Access Journals (Sweden)

    Berzanna Seydou Ouattara

    2017-09-01

    Full Text Available The main goal of this paper is to contribute to the international investment decision making process among the BRICS countries and to the development or changes of policies in response to the dynamics in these countries. The background is important for international investors seeking diversification benefits abroad and for policy makers reacting to the developments in the aforementioned economies. Thus, the context of this paper is directed to the examination of the stock market interaction among the BRICS countries. The objective of this research paper is to analyze the existence of the short-term linkages and long-term cointegration among the BRICS markets. Augmented Dicker-Fuller (ADF and Philips-Perron tests (PP are used to analyze stationarity among the selected variables. The research applies the correlation test on the stock markets returns to investigate the degree of freedom existing among the markets. The long run and the short run are also investigated using Johansen cointegration test while the Pairwise Granger Causality and the Wald tests are applied to assess the direction of the causality between the stock market indices. The study also extends the investigation by employing the impulse response function and variance decomposition to evaluate the reaction of each stock to a shock from other stock indices. The quarterly data consisted of fifteen years from 2000 to 2015 and are exclusively composed of stock market index of selected countries. One of the key findings of the research is that the Chinese stock markets are mostly independent from other BRICS markets, implying diversification benefits for the international investors both in the short and the long run. Another important finding is that the BRICS stock markets are not cointegrated in the long run, thus, being a favorable destination for the long-term investments.

  12. Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany

    Directory of Open Access Journals (Sweden)

    Tomáš Plíhal

    2016-01-01

    Full Text Available The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between the stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995 approach. This study focuses on monthly data from January 1999 to September 2015, and the stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that the stock market in Germany is informational efficient.

  13. DOMESTIC AND FORIGN FACTORS FOR STOCK PRICES IN INDONESIA

    Directory of Open Access Journals (Sweden)

    Rahajeng Cahyaning Putri Cipto

    2011-09-01

    Full Text Available Indonesia has been developing various sectors of its economy, and so it needs a huge amount of capital. Therefore, it has been putting a lot of efforts to develop its capital market. This paper analyzes the impacts of domestic and foreign factors on Indonesia stock price. Some considered domestic factors are interest rates, production index, and foreign exchange rates. Various considered foreign factors are Singapore and US stock prices. The paper uses Vector Error Correction Mechanism model to analyze the data. The estimation results suggest that all variables significantly influence Indonesia stock price, with Singapore stock price as the dominant factors.Keywords: Stock price, interest rates, exchange rates, production indexJEL classification numbers: G12, G15

  14. Measurement Of Shariah Stock Performance Using Risk Adjusted Performance

    Directory of Open Access Journals (Sweden)

    Zuhairan Y Yunan

    2015-03-01

    Full Text Available The aim of this research is to analyze the shariah stock performance using risk adjusted performance method. There are three parameters to measure the stock performance i.e. Sharpe, Treynor, and Jensen. This performance’s measurements calculate the return and risk factor from shariah stocks. The data that used on this research is using the data of stocks at Jakarta Islamic Index. Sampling method that used on this paper is purposive sampling. This research is using ten companies as a sample. The result shows that from three parameters, the stock that have a best performance are AALI, ANTM, ASII, CPIN, INDF, KLBF, LSIP, and UNTR.DOI: 10.15408/aiq.v7i1.1364

  15. Research on the fractal structure in the Chinese stock market

    Science.gov (United States)

    Zhuang, Xin-tian; Huang, Xiao-yuan; Sha, Yan-li

    2004-02-01

    Applying fractal theory, this paper probes and discusses self-similarity and scale invariance of the Chinese stock market. It analyses three kinds of scale indexes, i.e., autocorrelation index, Hurst index and the scale index on the basis of detrended fluctuation analysis (DFA) algorithm and promotes DFA into a recursive algorithm. Using the three kinds of scale indexes, we conduct empirical research on the Chinese Shanghai and Shenzhen stock markets. The results indicate that the rate of returns of the two stock markets does not obey the normal distribution. A correlation exists between the stock price indexes over time scales. The stock price indexes exhibit fractal time series. It indicates that the policy guide hidden at the back influences the characteristic of the Chinese stock market.

  16. Corruption and stock market development: A quantitative approach

    Science.gov (United States)

    Bolgorian, Meysam

    2011-11-01

    Studying the relation between corruption and economic factors and examining its consequences for economic development have attracted many economists and physicists in recent years. The purpose of this paper is to focus on the role of stock market development on corruption. Analyzing a data set of corruption and stock market development measures such as market capitalization and total value of share trading for 46 countries around the world for the period 2007-2009, we examine the dependence of the Corruption Perception Index (CPI) on stock market development. Our findings suggest that there exists a power-law dependence between corruption and stock market development. We also observe a negative relation between level of corruption and financial system improvement.

  17. Legal institutions, strategic default, and stock returns

    NARCIS (Netherlands)

    Favara, G.; Schroth, E.; Valta, P.

    2008-01-01

    This paper studies the impact of legal institutions on stock returns. More specifically, we examine how differences in debt enforcement and creditor protection around the world affect stock returns of individual firms. We hypothesize that if legal institutions prevent shareholders from engaging in

  18. Confidence and self-attribution bias in an artificial stock market

    Science.gov (United States)

    Bertella, Mario A.; Pires, Felipe R.; Rego, Henio H. A.; Vodenska, Irena; Stanley, H. Eugene

    2017-01-01

    Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index—both generated by our model—are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant. PMID:28231255

  19. Recent market behavior of utility stocks

    International Nuclear Information System (INIS)

    Studness, C.M.

    1990-01-01

    This article reviews the recent market behavior of utility stocks as compared to the Standard and Poor's 500 and the long-term government bond yield. Utility stock's performance continues to be affected by unfavorable regulation,and it appears that it will continue to be a factor for some time to come. A continually shrinking excess capacity continues to be a concern

  20. Lists of semi-dwarf cereal stocks

    International Nuclear Information System (INIS)

    1984-01-01

    The lists are prepared in relation to the Co-ordinated Research Programme. At the first Research Co-ordination Meeting on evaluation of cereal semi-dwarf mutants for cross breeding, March 1981, programme participants were requested to list semi-dwarf mutants available at their institutes including also non-induced semi-dwarf stocks being used in cross-breeding programme for short stature. List-I is prepared from such lists provided by programme participants. Further it was requested to name breeders and institutes providing characteristics of the listed semi-dwarf stocks. List-II gives that information. In the List-I: Parents of semi-dwarf stocks derived from cross breeding, are shown in brackets. In column ''Culm length'', figures are in cm and those of parent cultivars are shown in brackets

  1. 26 CFR 1.1296-2 - Definition of marketable stock.

    Science.gov (United States)

    2010-04-01

    ... means— (1) Passive foreign investment company (PFIC) stock that is regularly traded, as defined in... section, a class of stock that is traded on one or more qualified exchanges or other markets, as defined... (B) The rules of the exchange effectively promote active trading of listed stocks. (2) Exchange with...

  2. 26 CFR 1.338-8 - Asset and stock consistency.

    Science.gov (United States)

    2010-04-01

    ... that are controlled foreign corporations. (6) Stock consistency. This section limits the application of... 26 Internal Revenue 4 2010-04-01 2010-04-01 false Asset and stock consistency. 1.338-8 Section 1... (CONTINUED) INCOME TAXES Effects on Corporation § 1.338-8 Asset and stock consistency. (a) Introduction—(1...

  3. State-Space Estimation of Soil Organic Carbon Stock

    Science.gov (United States)

    Ogunwole, Joshua O.; Timm, Luis C.; Obidike-Ugwu, Evelyn O.; Gabriels, Donald M.

    2014-04-01

    Understanding soil spatial variability and identifying soil parameters most determinant to soil organic carbon stock is pivotal to precision in ecological modelling, prediction, estimation and management of soil within a landscape. This study investigates and describes field soil variability and its structural pattern for agricultural management decisions. The main aim was to relate variation in soil organic carbon stock to soil properties and to estimate soil organic carbon stock from the soil properties. A transect sampling of 100 points at 3 m intervals was carried out. Soils were sampled and analyzed for soil organic carbon and other selected soil properties along with determination of dry aggregate and water-stable aggregate fractions. Principal component analysis, geostatistics, and state-space analysis were conducted on the analyzed soil properties. The first three principal components explained 53.2% of the total variation; Principal Component 1 was dominated by soil exchange complex and dry sieved macroaggregates clusters. Exponential semivariogram model described the structure of soil organic carbon stock with a strong dependence indicating that soil organic carbon values were correlated up to 10.8m.Neighbouring values of soil organic carbon stock, all waterstable aggregate fractions, and dithionite and pyrophosphate iron gave reliable estimate of soil organic carbon stock by state-space.

  4. Mitochondrial DNA variation in brood stocks of the lake trout

    International Nuclear Information System (INIS)

    Grewe, P.M.; Hebert, P.D.N.

    1986-01-01

    Efforts are in progress to restore lake trout populations in the Great Lakes from hatchery stocks. In most cases, plantings include a variety of brood stocks that originated from different portions of the Great Lakes. Members of the various stocks can be differentially fin clipped to permit comparison of their survival success, but this does not allow assessment of their reproductive capability in the wild. Assessment of reproductive success requires the existence of genetic markers between brook stocks which will ideally persist over many generations. Efforts to identify allozyme differences between brood stocks have met with little success. The present investigation has employed an alternative technique to identify genetic markers--the restriction analysis of mitochondrial DNA. Mitochondiral DNA analysis of 7 lake trout brood stocks has revealed the existence of 10 mitochondrial clones falling into 3 major groups. The results indicate that mt-DNA markers have great potential for brood stock management. Genetic variability in the nuclear genome of each stock can be maintained by utilizing a large number of male parents, while restricting female parents to members of a single mitochondrial clone. Genetically marked fry could then be produced with only minor shifts in hatchery management

  5. Formation of an Integrated Stock Price Forecast Model in Lithuania

    Directory of Open Access Journals (Sweden)

    Audrius Dzikevičius

    2016-12-01

    Full Text Available Technical and fundamental analyses are widely used to forecast stock prices due to lack of knowledge of other modern models and methods such as Residual Income Model, ANN-APGARCH, Support Vector Machine, Probabilistic Neural Network and Genetic Fuzzy Systems. Although stock price forecast models integrating both technical and fundamental analyses are currently used widely, their integration is not justified comprehensively enough. This paper discusses theoretical one-factor and multi-factor stock price forecast models already applied by investors at a global level and determines possibility to create and apply practically a stock price forecast model which integrates fundamental and technical analysis with the reference to the Lithuanian stock market. The research is aimed to determine the relationship between stock prices of the 14 Lithuanian companies listed in the Main List by the Nasdaq OMX Baltic and various fundamental variables. Based on correlation and regression analysis results and application of c-Squared Test, ANOVA method, a general stock price forecast model is generated. This paper discusses practical implications how the developed model can be used to forecast stock prices by individual investors and suggests additional check measures.

  6. Value at Risk on Composite Price Share Index Stock Data

    Science.gov (United States)

    Oktaviarina, A.

    2018-01-01

    The financial servicest authority was declared Let’s Save Campaign on n commemoration of the World Savings Day that falls on this day, October 31, 2016. The activity was greeted enthusiastically by Indonesia Stock Exchange by taking out the slogan Let’s Save The Stocks. Stock is a form of investment that is expected to benefit in the future despite has risks. Value at Risk (VaR) is a method that can measure how much the risk of a financial investment. Composite Stock Price Indeks is the stock price index used by Indonesia Stock Exchange as stock volatility benchmarks in Indonesia. This study aimed to estimate Value at Risk (VaR) on closing price Composite Price Share Index Stock data on the period 20 September 2016 until 20 September 2017. Box-Pierce test results p value=0.9528 which is greater than a, that shows homoskedasticity. Value at Risk (VaR) with Variance Covariance Method is Rp.3.054.916,07 which means with 99% confindence interval someone who invests Rp.100.000.000,00 will get Rp.3.054.916,07 as a maximum loss.

  7. Genetic stock identification of Russian honey bees.

    Science.gov (United States)

    Bourgeois, Lelania; Sheppard, Walter S; Sylvester, H Allen; Rinderer, Thomas E

    2010-06-01

    A genetic stock certification assay was developed to distinguish Russian honey bees from other European (Apis mellifera L.) stocks that are commercially produced in the United States. In total, 11 microsatellite and five single-nucleotide polymorphism loci were used. Loci were selected for relatively high levels of homogeneity within each group and for differences in allele frequencies between groups. A baseline sample consisted of the 18 lines of Russian honey bees released to the Russian Bee Breeders Association and bees from 34 queen breeders representing commercially produced European honey bee stocks. Suitability tests of the baseline sample pool showed high levels of accuracy. The probability of correct assignment was 94.2% for non-Russian bees and 93.3% for Russian bees. A neighbor-joining phenogram representing genetic distance data showed clear distinction of Russian and non-Russian honey bee stocks. Furthermore, a test of appropriate sample size showed a sample of eight bees per colony maximizes accuracy and consistency of the results. An additional 34 samples were tested as blind samples (origin unknown to those collecting data) to determine accuracy of individual assignment tests. Only one of these samples was incorrectly assigned. The 18 current breeding lines were represented among the 2009 blind sampling, demonstrating temporal stability of the genetic stock identification assay. The certification assay will be used through services provided by a service laboratory, by the Russian Bee Breeders Association to genetically certify their stock. The genetic certification will be used in conjunction with continued selection for favorable traits, such as honey production and varroa and tracheal mite resistance.

  8. The Influence of Fundamental and Macroeconomic Analysis on Stock Price

    Directory of Open Access Journals (Sweden)

    Hari Gursida

    2017-12-01

    Full Text Available The purpose of this research is to analyze the effect of fundamental and macroeconomic analysis on stock price. The research was conducted at a coal company listed on the Indonesia Stock Exchange. Fundamental analysis measured by current ratio, debt to equity ratio (DER, earning per share (EPS, return on assets (ROA, and total assets turnover (TATO, while macroeconomic analysis is measured by inflation and exchange rate.  Current ratio (CR has a positive effect on Stock Price. Strengthening this level of liquidity can provide information to investors to decide to buy shares of companies that tend to be healthy and stable. Return on assets (ROA has a positive and significant influence on stock price. Efforts to maximize the level of profitability by increasing the value of return on assets can provide information to investors that investments invested in the company will provide good profit. The impact of stock prices will rise. While debt to equity ratio (DER, earning per share (EPS and total assets turnover (TATO have no effect on Stock Price.  Macroeconomic analysis shows: (a Inflation rate has no effect on stock price of coal company. This can be because the inflation rate in Indonesia is at the level of 6% -7% per year and included in the category of mild inflation. Mild inflation resulted in very slow economic growth, not affecting stock prices. The exchange rate has a negative and significant effect on coal company stock price. If the Rupiah is depreciated then the stock price of the coal company will decrease.

  9. The Warsaw Stock Exchange: A Test of Market Efficiency

    OpenAIRE

    Barry Gordon; Libby Rittenberg

    1995-01-01

    This paper analyzes the behavior of the Warsaw Stock Exchange in light of the efficient market hypothesis (EMH) and alternative models of market inefficiency. Following a brief history of the Warsaw Stock Exchange and a discussion of EMH and the Shiller (1991) critique, the Polish stock market is examined in terms of the extent to which the assumptions of EMH are met and in terms of the actual behavior of stock prices for the period of 1 June 1993 to 27 July 1994. The analysis suggests that E...

  10. Facebook Drives Behavior of Passive Households in Stock Markets

    DEFF Research Database (Denmark)

    Siikanen, Milla; Baltakys, Kęstutis; Kanniainen, Juho

    2018-01-01

    on Nokia. We find that the decisions to buy versus sell are associated with Facebook data especially for passive households and for nonprofit organizations. At the same time, it seems that more sophisticated investors—financial and insurance institutions—are behaving independently from Facebook activities.......Recent studies using data on social media and stock markets have mainly focused on predicting stock returns. Instead of predicting stock price movements, we examine the relation between Facebook data and investors’ decision making in stock markets with a unique data on investors’ transactions...

  11. Energy prices, volatility, and the stock market. Evidence from the Eurozone

    International Nuclear Information System (INIS)

    Oberndorfer, Ulrich

    2009-01-01

    This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole. (author)

  12. Using an experimental manipulation to determine the effectiveness of a stock enhancement program

    Science.gov (United States)

    Stewart, David R.; Long, James M.

    2015-01-01

    We used an experimental manipulation to determine the impact of stocking 178 mm channel catfish Ictalurus punctatus in six impoundments. The study design consisted of equal numbers (two) of control, ceased-stock, and stocked treatments that were sampled one year before and two years after stocking. Relative abundance, growth, size structure, and average weight significantly changed over time based on samples collected with hoop nets. Catch rates decreased at both ceased-stock lakes and increased for one stocked lake, while growth rates changed for at least one ceased-stock and stocked lake. The average weight of channel catfish in the ceased-stock treatment increased by 6% and 25%, whereas weight decreased by 28% and 78% in both stocked lakes. The variability in observed responses between lakes in both ceased-stock and stocked treatments indicates that a one-size-fits-all stocking agenda is impractical, suggesting lake specific and density-dependent mechanisms affect channel catfish population dynamics.

  13. SETS, arbitrage activity and stock price dynamics

    NARCIS (Netherlands)

    Taylor, N.; van Dijk, D.; Franses, P.H.; Lucas, A.

    2000-01-01

    This paper provides an empirical description of the relationship between the trading system operated by a stock exchange and the trading behaviour of heterogeneous investors who use the exchange. The recent introduction of SETS in the London Stock Exchange provides an excellent opportunity to study

  14. 12 CFR 615.5250 - Disclosure requirements for borrower stock.

    Science.gov (United States)

    2010-01-01

    ... 12 Banks and Banking 6 2010-01-01 2010-01-01 false Disclosure requirements for borrower stock. 615... Disclosure requirements for borrower stock. (a) For sales of borrower stock, which for this subpart means... an at-risk investment and not a compensating balance; (ii) That the equity is retireable only at the...

  15. Flight to Safety from European Stock Markets

    DEFF Research Database (Denmark)

    Aslanidis, Nektarios; Christiansen, Charlotte

    -return trade-off is positive and during flight-to-safety episodes it is negative. The effects of flight-to-safety episodes on the risk-return trade-off are qualitatively similar for own country flight-to-safety episodes, for flight from own country stock market to the US bond market, and for US flight......This paper investigates flight-to-safety from stocks to bonds in seven European markets. We use quantile regressions to identify flight-to-safety episodes. The simple risk-return trade-off on the stock markets is negative which is caused by flight-to-safety episodes: During normal periods, the risk...

  16. Spatial distribution of soil organic carbon stocks in France

    Directory of Open Access Journals (Sweden)

    M. P. Martin

    2011-05-01

    Full Text Available Soil organic carbon plays a major role in the global carbon budget, and can act as a source or a sink of atmospheric carbon, thereby possibly influencing the course of climate change. Changes in soil organic carbon (SOC stocks are now taken into account in international negotiations regarding climate change. Consequently, developing sampling schemes and models for estimating the spatial distribution of SOC stocks is a priority. The French soil monitoring network has been established on a 16 km × 16 km grid and the first sampling campaign has recently been completed, providing around 2200 measurements of stocks of soil organic carbon, obtained through an in situ composite sampling, uniformly distributed over the French territory.

    We calibrated a boosted regression tree model on the observed stocks, modelling SOC stocks as a function of other variables such as climatic parameters, vegetation net primary productivity, soil properties and land use. The calibrated model was evaluated through cross-validation and eventually used for estimating SOC stocks for mainland France. Two other models were calibrated on forest and agricultural soils separately, in order to assess more precisely the influence of pedo-climatic variables on SOC for such soils.

    The boosted regression tree model showed good predictive ability, and enabled quantification of relationships between SOC stocks and pedo-climatic variables (plus their interactions over the French territory. These relationships strongly depended on the land use, and more specifically, differed between forest soils and cultivated soil. The total estimate of SOC stocks in France was 3.260 ± 0.872 PgC for the first 30 cm. It was compared to another estimate, based on the previously published European soil organic carbon and bulk density maps, of 5.303 PgC. We demonstrate that the present estimate might better represent the actual SOC stock distributions of France, and consequently that the

  17. The performance of Libyan stock market

    Directory of Open Access Journals (Sweden)

    Atiya Aljbiri

    2012-01-01

    Full Text Available The objective of this paper is to answer the following question:. To what extent Libyan stock market developed to contribute to economic growth in Libya? This can be evaluated by using many financial indicators, these include stock market size, activity and efficiency, as well as the study including the regulatory framework, and information technology (IT set in place by the market authorities. However, descriptive and comparative method was used. The results indicated that, despite the modest progress made in a very short time regarding all indicators which the paper calculated, however, it can be said that Libyan stock market remain largely underdeveloped, small and relatively inefficient. Its market capitalization to GDP is very low and investors have no access to long-term capital. In addition, the market still have very low liquidity and investors still have a limited choice of financial instruments and face liquidity problems. In the end of this paper was its conclusion a set of recommendations that can be used in developing a program that aims to speed the development of Libyan stock market and increase its efficiency.

  18. Spillovers among regional and international stock markets

    Science.gov (United States)

    Huen, Tan Bee; Arsad, Zainudin; Chun, Ooi Po

    2014-07-01

    Realizing the greater risk by the increase in the level of financial market integration, this study investigates the dynamic of international and regional stock markets co-movement among Asian countries with the world leading market, the US. The data utilized in this study comprises of weekly closing prices for four stock indices, that consists of two developing markets (Malaysia and China) and two developed markets (Japan and the US), and encompasses the period from January 1996 to December 2012. Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model with the BEKK parameterization is employed to investigate the mean and volatility spillover effects among the selected stock indices. The results show significant mean spillover not only from the larger developed markets to smaller developing markets but also from the smaller developing markets to larger developed markets. Volatility spillover between the developed markets is found to be smaller than that between the developing markets. Conditional correlations among the stock markets are found to increase over the sample period. The findings of significant mean and volatility spillovers are considered as bad news for international investors as it reduces the benefit from portfolio diversification but act as useful information for investors to be more aware in diversifying their investment or stock selection.

  19. Changing recruitment capacity in global fish stocks.

    Science.gov (United States)

    Britten, Gregory L; Dowd, Michael; Worm, Boris

    2016-01-05

    Marine fish and invertebrates are shifting their regional and global distributions in response to climate change, but it is unclear whether their productivity is being affected as well. Here we tested for time-varying trends in biological productivity parameters across 262 fish stocks of 127 species in 39 large marine ecosystems and high-seas areas (hereafter LMEs). This global meta-analysis revealed widespread changes in the relationship between spawning stock size and the production of juvenile offspring (recruitment), suggesting fundamental biological change in fish stock productivity at early life stages. Across regions, we estimate that average recruitment capacity has declined at a rate approximately equal to 3% of the historical maximum per decade. However, we observed large variability among stocks and regions; for example, highly negative trends in the North Atlantic contrast with more neutral patterns in the North Pacific. The extent of biological change in each LME was significantly related to observed changes in phytoplankton chlorophyll concentration and the intensity of historical overfishing in that ecosystem. We conclude that both environmental changes and chronic overfishing have already affected the productive capacity of many stocks at the recruitment stage of the life cycle. These results provide a baseline for ecosystem-based fisheries management and may help adjust expectations for future food production from the oceans.

  20. Binomial tree method for pricing a regime-switching volatility stock loans

    Science.gov (United States)

    Putri, Endah R. M.; Zamani, Muhammad S.; Utomo, Daryono B.

    2018-03-01

    Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.

  1. Factors Affecting the Return Stock Company in Indonesia Stock Exchange (IDX LQ45 in Years 2012-2015

    Directory of Open Access Journals (Sweden)

    Fangki A. Sorongan

    2016-03-01

    Full Text Available This research aimed to determine the effect of partially and jointly independent variable of Debt to Equity Ratio (DER, Return on Equity (ROA, Return on Equity (ROE, and Net Profit Margin (NPM against the dependent variable on the stock return. Objects of this research were companies listed on the Indonesia Stock Exchange (BEI LQ45 continuously for four years in the period 2012-2015. Companies that qualify for this research were 28 companies. Based on this research, the conclusions indicate that all four independent variables; Debt to Equity Ratio (DER, Return on Equity (ROA, Return on Equity (ROE, and Net Profit Margin (NPM, either jointly or partially give the significant effect on return stock.

  2. The lead-lag relationship between stock index and stock index futures: A thermal optimal path method

    Science.gov (United States)

    Gong, Chen-Chen; Ji, Shen-Dan; Su, Li-Ling; Li, Sai-Ping; Ren, Fei

    2016-02-01

    The study of lead-lag relationship between stock index and stock index futures is of great importance for its wide application in hedging and portfolio investments. Previous works mainly use conventional methods like Granger causality test, GARCH model and error correction model, and focus on the causality relation between the index and futures in a certain period. By using a non-parametric approach-thermal optimal path (TOP) method, we study the lead-lag relationship between China Securities Index 300 (CSI 300), Hang Seng Index (HSI), Standard and Poor 500 (S&P 500) Index and their associated futures to reveal the variance of their relationship over time. Our finding shows evidence of pronounced futures leadership for well established index futures, namely HSI and S&P 500 index futures, while index of developing market like CSI 300 has pronounced leadership. We offer an explanation based on the measure of an indicator which quantifies the differences between spot and futures prices for the surge of lead-lag function. Our results provide new perspectives for the understanding of the dynamical evolution of lead-lag relationship between stock index and stock index futures, which is valuable for the study of market efficiency and its applications.

  3. Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange

    Directory of Open Access Journals (Sweden)

    Udani Chathurika Edirisinghe

    2015-02-01

    Full Text Available This study investigates the stock market reaction for right issues and debenture issues of Colombo Stock Exchange (CSE during the period of 2005 to 2011 while providing evidence for the research question “how do stock prices react to the debt and equity issue announcements of listed companies in CSE?” In investigating the ex-ante and ex-post market reactions the study employees event study methodology, while predicting abnormal returns, based on three alternative normal/expected returns modeling methods, namely Mean Adjusted Model, Market Adjusted Model, and Capital Asset Pricing Model. When testing the alternative hypothesis, whether stock prices significantly reacts to the announcement of right & debenture issues, results of all models show positive market reaction during the 30 days prior to the announcement and react negatively from 2 days after the announcements for right issues, but for debenture issues market reacted negatively during the period prior to debenture issues and continue to do the same during the post event period. Although the magnitude and significance of abnormal return generated through three alternatives methods differ, the pattern of the CAAR of all models are similar. Thus, as far as the speed of the price adjustment is concerned it seems that the CSE is not efficient.

  4. Spatial optimization of carbon-stocking projects across Africa integrating stocking potential with co-benefits and feasibility

    DEFF Research Database (Denmark)

    Greve, Michelle; Reyers, Belinda; Lykke, Anne Mette

    2013-01-01

    Carbon (C) offset projects through forestation are employed within the emissions trading framework to store C. Yet, information about the potential of landscapes to stock C, essential to the design of offset projects, is often lacking. Based on data on vegetation C, climate and soil we quantified...... the potential for C storage in woody vegetation across tropical Africa. The ability for offset projects to produce co-benefits for ecosystems and local communities was also investigated. When co-benefits such as biodiversity conservation were considered, the top-ranked sites were often different to sites...... selected purely for their C stocking potential, but they still possessed 68% of the latter’s C stocking potential. This work provides the first continental-scale assessment of which areas may provide the greatest direct and indirect benefits from C storage reforestation projects at the smallest costs...

  5. Econometric Studies of Stock Market Behaviour

    DEFF Research Database (Denmark)

    Rasmussen, Anne-Sofie Reng

    This thesis consists of three sefcontained essays, all centering around the topic of stock market behaviour. The papers focus on the empirical performance of a number of asset pricing models, all attempting to quantify and price asset risk. We look at how well these models actually do in describing...... the historic behaviour of the stock market, allowing us to get further insight into what drives the markes....

  6. IFRS and Stock Returns: An Empirical Analysis in Brazil

    Directory of Open Access Journals (Sweden)

    Rodrigo F. Malaquias

    2016-09-01

    Full Text Available In recent years, the convergence of accounting standards has been an issue that motivated new studies in the accounting field. It is expected that the convergence provides users, especially external users of accounting information, with comparable reports among different economies. Considering this scenario, this article was developed in order to compare the effect of accounting numbers on the stock market before and after the accounting convergence in Brazil. The sample of the study involved Brazilian listed companies at BM&FBOVESPA that had American Depository Receipts (levels II and III at the New York Stock Exchange (NYSE. For data analysis, descriptive statistics and graphic analysis were employed in order to analyze the behavior of stock returns around the publication dates. The main results indicate that the stock market reacts to the accounting reports. Therefore, the accounting numbers contain relevant information for the decision making of investors in the stock market. Moreover, it is observed that after the accounting convergence, the stock returns of the companies seem to present lower volatility.

  7. Scaling and predictability in stock markets: a comparative study.

    Directory of Open Access Journals (Sweden)

    Huishu Zhang

    Full Text Available Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and then calculate the parameters to characterize the strength of predictability. According to the analysis of scaling of the profit landscape, we find that the Chinese individual stocks are harder to predict than US ones, and the individual stocks are harder to predict than indexes in both Chinese stock market and US stock market. Since the Chinese (US stock market is a representative of emerging (developed markets, our comparative study on the markets of these two countries is of potential value not only for conducting technical analysis, but also for understanding physical mechanisms of different kinds of markets in terms of scaling.

  8. Scaling and predictability in stock markets: a comparative study.

    Science.gov (United States)

    Zhang, Huishu; Wei, Jianrong; Huang, Jiping

    2014-01-01

    Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and then calculate the parameters to characterize the strength of predictability. According to the analysis of scaling of the profit landscape, we find that the Chinese individual stocks are harder to predict than US ones, and the individual stocks are harder to predict than indexes in both Chinese stock market and US stock market. Since the Chinese (US) stock market is a representative of emerging (developed) markets, our comparative study on the markets of these two countries is of potential value not only for conducting technical analysis, but also for understanding physical mechanisms of different kinds of markets in terms of scaling.

  9. Quantifying the effect of investors' attention on stock market.

    Directory of Open Access Journals (Sweden)

    Zhen-Hua Yang

    Full Text Available The investors' attention has been extensively used to predict the stock market. Different from existing proxies of the investors' attention, such as the Google trends, Baidu index (BI, we argue the collective attention from the stock trading platforms could reflect the investors' attention more closely. By calculated the increments of the attention volume for each stock (IAVS from the stock trading platforms, we investigate the effect of investors' attention measured by the IAVS on the movement of the stock market. The experimental results for Chinese Securities Index 100 (CSI100 show that the BI is significantly correlated with the returns of CSI100 at 1% significance level only in 2014. However, it should be emphasized that the correlation of the new proposed measure, namely IAVS, is significantly at 1% significance level in 2014 and 2015. It shows that the effect of the measure IAVS on the movement of the stock market is more stable and significant than BI. This study yields important invest implications and better understanding of collective investors' attention.

  10. Quantifying the effect of investors' attention on stock market.

    Science.gov (United States)

    Yang, Zhen-Hua; Liu, Jian-Guo; Yu, Chang-Rui; Han, Jing-Ti

    2017-01-01

    The investors' attention has been extensively used to predict the stock market. Different from existing proxies of the investors' attention, such as the Google trends, Baidu index (BI), we argue the collective attention from the stock trading platforms could reflect the investors' attention more closely. By calculated the increments of the attention volume for each stock (IAVS) from the stock trading platforms, we investigate the effect of investors' attention measured by the IAVS on the movement of the stock market. The experimental results for Chinese Securities Index 100 (CSI100) show that the BI is significantly correlated with the returns of CSI100 at 1% significance level only in 2014. However, it should be emphasized that the correlation of the new proposed measure, namely IAVS, is significantly at 1% significance level in 2014 and 2015. It shows that the effect of the measure IAVS on the movement of the stock market is more stable and significant than BI. This study yields important invest implications and better understanding of collective investors' attention.

  11. Quantifying the effect of investors’ attention on stock market

    Science.gov (United States)

    Yang, Zhen-Hua; Liu, Jian-Guo; Yu, Chang-Rui; Han, Jing-Ti

    2017-01-01

    The investors’ attention has been extensively used to predict the stock market. Different from existing proxies of the investors’ attention, such as the Google trends, Baidu index (BI), we argue the collective attention from the stock trading platforms could reflect the investors’ attention more closely. By calculated the increments of the attention volume for each stock (IAVS) from the stock trading platforms, we investigate the effect of investors’ attention measured by the IAVS on the movement of the stock market. The experimental results for Chinese Securities Index 100 (CSI100) show that the BI is significantly correlated with the returns of CSI100 at 1% significance level only in 2014. However, it should be emphasized that the correlation of the new proposed measure, namely IAVS, is significantly at 1% significance level in 2014 and 2015. It shows that the effect of the measure IAVS on the movement of the stock market is more stable and significant than BI. This study yields important invest implications and better understanding of collective investors’ attention. PMID:28542216

  12. An econometric model of the South African stock market

    Directory of Open Access Journals (Sweden)

    E Moolman

    2015-01-01

    Full Text Available A wealth of literature exists concerning the modelling of stock markets, as well as the examination of the relationshiop between share price and various economic factors, both theoretically and empirically.  However, most studies use data for developed countries in their analyses, while the literature moselling emerging stock markets in general, and the south African stock market in particular, is quite sparse.  This study develops a structural theoretically founded model of the South African stock market that is estimated using co-integration and error-correction techniques. These techniques respectively estimate the long-term equilibrium or intrinsic value of the stock market, and the short-term fluctuations around the quilibrium level. According to the results, share prices are co-integrated with the variables dictated by the expected present value model of asset price determination.  The short-term fluctuations are determined by various factors such as interest rates, a risk premium, the exchange rate, foreign stock market adn other variables.

  13. Incentive effects of performance-vested stock options

    NARCIS (Netherlands)

    Kuang, Y.

    2007-01-01

    The vesting of traditional stock options (TSOs) only depends on the passage of time and managerial compensation might merely reflect price increases in a rising market. As a reform on traditional stock option plans, performance targets have been introduced as a condition for option vesting. The use

  14. Mandatory IFRS Reporting and Stock Price Informativeness

    NARCIS (Netherlands)

    Beuselinck, C.A.C.; Joos, P.P.M.; Khurana, I.K.; van der Meulen, S.

    2010-01-01

    In this paper, we examine whether mandatory adoption of IFRS influences the flow of firm-specific information and contributes to stock price informativeness as measured by stock return synchronicity. Using a constant sample of 1,904 mandatory IFRS adopters in 14 EU countries for the period

  15. Rainy Day Stocks

    DEFF Research Database (Denmark)

    Gormsen, Niels Joachim; Greenwood, Robin

    We study the good- and bad-times performance of equity portfolios formed on characteristics. Many characteristics associated with good performance during bad times—value, profitability, small size, safety, and total volatility—also perform well during good times. Stocks with characteristics signi...

  16. The Indian Stock Market and the Great Recession

    Directory of Open Access Journals (Sweden)

    Arindam MANDAL

    2012-03-01

    Full Text Available This study analyzes the impact of the outbreak of the Great Recession of 2007 on the behavior of the Indian stock market. The SENSEX index of the Bombay Stock Exchange is analyzed for the prerecession period of January 2002 – November 2007 and the postrecession outbreak period of December 2007 – July 2010. Substantial increase in SENSEX return volatility observed during the post-recession outbreak period, whereas no substantial difference in returns between two periods is found. Also strong co-movements in returns and volatility are observed between the SENSEX and other major stock indexes during the post-recession period. Our results establish the dominance of global factors in influencing Indian stock market behavior during periods of economic turmoil.

  17. Price-volume multifractal analysis and its application in Chinese stock markets

    Science.gov (United States)

    Yuan, Ying; Zhuang, Xin-tian; Liu, Zhi-ying

    2012-06-01

    An empirical research on Chinese stock markets is conducted using statistical tools. First, the multifractality of stock price return series, ri(ri=ln(Pt+1)-ln(Pt)) and trading volume variation series, vi(vi=ln(Vt+1)-ln(Vt)) is confirmed using multifractal detrended fluctuation analysis. Furthermore, a multifractal detrended cross-correlation analysis between stock price return and trading volume variation in Chinese stock markets is also conducted. It is shown that the cross relationship between them is also found to be multifractal. Second, the cross-correlation between stock price Pi and trading volume Vi is empirically studied using cross-correlation function and detrended cross-correlation analysis. It is found that both Shanghai stock market and Shenzhen stock market show pronounced long-range cross-correlations between stock price and trading volume. Third, a composite index R based on price and trading volume is introduced. Compared with stock price return series ri and trading volume variation series vi, R variation series not only remain the characteristics of original series but also demonstrate the relative correlation between stock price and trading volume. Finally, we analyze the multifractal characteristics of R variation series before and after three financial events in China (namely, Price Limits, Reform of Non-tradable Shares and financial crisis in 2008) in the whole period of sample to study the changes of stock market fluctuation and financial risk. It is found that the empirical results verified the validity of R.

  18. The Efficiency Of Ukraine’s Stock Market

    Directory of Open Access Journals (Sweden)

    Adilya Batroshyna

    2006-03-01

    Full Text Available The article is devoted to the study of the efficiency of Ukraine’s stock market based on the efficient market hypothesis (EMH which assumes that the price of a financial instrument completely reflects all the information about a given asset. Depending on the variety of information, weak, semi-strong and strong forms of market efficiency are applied The testing of market efficiency is based on verifying the hypothesis against actual statistical data. The study uses four statistical methods. The values of the stock index are used as source data, since the index can be interpreted as a hypothetical security (share, the price of which fluctuates all the time. This article demonstrates that Ukraine’s stock market on the whole is a weak form of market efficiency. It explains the specific strategies for a market with a weak form of efficiency and offers recommendations on the continued development of Ukraine’s stock market.

  19. Investor behavior heterogeneity in the French stock market

    OpenAIRE

    Rania Guirat

    2011-01-01

    We estimate in this paper a non probabilistic Markovien model of stock prices with an evolutionary selection of heterogeneous strategies. It is a model proposed by Brock and Hommes (1997, 1998) and improved later by Boswijk and al. (2007). Indeed, the latter propose one of the few estimations considering stock markets data, characterized by an evolutionary selection procedure of heterogeneous strategies. They estimate the model to annual US stock price data from 1871 to 2003. In this paper, w...

  20. Is there any overtrading in stock markets? The moderating role of big five personality traits and gender in a unilateral trend stock market.

    Science.gov (United States)

    Zhang, Jian; Wang, Haocheng; Wang, Limin; Liu, Shuyi

    2014-01-01

    Overtrading is a common anomaly among stock investors. This study examines the relationship between overtrading and investment returns and the impact of the Big Five traits and gender on overtrading in a unilateral trend stock market using a simulated stock investment system. The data were derived from a sample of undergraduates from six universities who performed in a simulated stock investment situation and had their personality traits measured by the Big Five Personality Questionnaire. The results indicate that: (1) Overtrading was significant in rising stock markets, but not significant in falling markets. (2) The degree of female investors who overtraded was significant in rising markets. (3) The degree of overtrading investors who were high in extroversion or agreeableness was significant in rising markets. The implications of these results for more effective investment strategies are discussed.

  1. 12 CFR 575.8 - Contents of Stock Issuance Plans.

    Science.gov (United States)

    2010-01-01

    ... extent applicable, Form OC; (11) Provide that the sales price of the shares of stock to be sold in the... shall be sold at a total price equal to the estimated pro forma market value of such stock, based upon... shares of the savings association's common stock or 4.9 percent of the savings association's stockholders...

  2. CONTAGIOUS EFFECTS OF OIL PRICES ON ASIAN STOCK MARKETS’ BEHAVIOUR

    Directory of Open Access Journals (Sweden)

    Jok-Tong Wan

    2016-05-01

    Full Text Available The main objective of this study is to examine the stock markets’ shock due to the effect of the price of oil in the East Asia Region. Particularly, this study examines if there is stock market interdependence during global oil price shocks (sudden changes for a sample of five total oil importers (the Philippines, Hong Kong SAR, Taiwan, South Korea, and Japan, four net oil importers (Indonesia, Singapore, Thailand, and China, and one net oil exporter (Malaysia between 1999 and 2014. From the result, an oil price change is collectively found to have a small but significant positive impact on the stock markets, in particular where a sudden decrease in oil prices tends to cause a stock market downturn and volatility. The world economy’s spending, financial investments in oil futures and foreign investment by oil rich nations are some underlying motives for inducing this oil-stock positive relation. The same direction of time-varying conditional correlations is found across East Asian stock markets during negative oil price shocks. The integration among East Asian stock markets is inducing the oil shock contagion to be transmitted from direct oil-affected countries (South Korea, Hong Kong, and Singapore to non-direct oil affected countries’ (Japan and Taiwan stock markets. In spite of a long practiced ASEAN+3 macroeconomics surveillance process and Early Warning System (EWS which can be customized for stock markets to prevent or detect the oil risk, hedging against initial oil-affected stock markets and a stronger influence by the East Asian countries in the global world of oil and capital investment are strongly suggested.

  3. Modelling energy demand in the Norwegian building stock

    Energy Technology Data Exchange (ETDEWEB)

    Sartori, Igor

    2008-07-15

    Energy demand in the building stock in Norway represents about 40% of the final energy consumption, of which 22% goes to the residential sector and 18% to the service sector. In Norway there is a strong dependency on electricity for heating purposes, with electricity covering about 80% of the energy demand in buildings. The building sector can play an important role in the achievement of a more sustainable energy system. The work performed in the articles presented in this thesis investigates various aspects related to the energy demand in the building sector, both in singular cases and in the stock as a whole. The work performed in the first part of this thesis on development and survey of case studies provided background knowledge that was then used in the second part, on modelling the entire stock. In the first part, a literature survey of case studies showed that, in a life cycle perspective, the energy used in the operating phase of buildings is the single most important factor. Design of low-energy buildings is then beneficial and should be pursued, even though it implies a somewhat higher embodied energy. A case study was performed on a school building. First, a methodology using a Monte Carlo method in the calibration process was explored. Then, the calibrated model of the school was used to investigate measures for the achievement of high energy efficiency standard through renovation work. In the second part, a model was developed to study the energy demand in a scenario analysis. The results showed the robustness of policies that included conservation measures against the conflicting effects of the other policies. Adopting conservation measures on a large scale showed the potential to reduce both electricity and total energy demand from present day levels while the building stock keeps growing. The results also highlighted the inertia to change of the building stock, due to low activity levels compared to the stock size. It also became clear that a deeper

  4. A causality between fund performance and stock market

    Science.gov (United States)

    Kim, Ho-Yong; Kwon, Okyu; Oh, Gabjin

    2016-02-01

    We investigate whether the characteristic fund performance indicators (FPI), such as the fund return, the Net asset value (NAV) and the cash flow, are correlated with the asset price movement using information flows estimated by the Granger causality test. First, we find that the information flow of FPI is most sensitive to extreme events of the Korean stock market, which include negative events such as the sub-prime crisis and the impact of QE (quantitative easing) by the US subprime and Europe financial crisis as well as the positive events of the golden period of Korean Composite Stock Price Index (KOSPI), except for the fund cash flow. Second, both the fund return and the NAV exhibit significant correlations with the KOSPI, whereas the cash flow is not correlated with the stock market. This result suggests that the information resulting from the ability of the fund manager should influence stock market. Finally, during market crisis period, information flows between FPI and the Korean stock market are significantly positively correlated with the market volatility.

  5. STOCK Market Differences in Correlation-Based Weighted Network

    Science.gov (United States)

    Youn, Janghyuk; Lee, Junghoon; Chang, Woojin

    We examined the sector dynamics of Korean stock market in relation to the market volatility. The daily price data of 360 stocks for 5019 trading days (from January, 1990 to August, 2008) in Korean stock market are used. We performed the weighted network analysis and employed four measures: the average, the variance, the intensity, and the coherence of network weights (absolute values of stock return correlations) to investigate the network structure of Korean stock market. We performed regression analysis using the four measures in the seven major industry sectors and the market (seven sectors combined). We found that the average, the intensity, and the coherence of sector (subnetwork) weights increase as market becomes volatile. Except for the "Financials" sector, the variance of sector weights also grows as market volatility increases. Based on the four measures, we can categorize "Financials," "Information Technology" and "Industrials" sectors into one group, and "Materials" and "Consumer Discretionary" sectors into another group. We investigated the distributions of intrasector and intersector weights for each sector and found the differences in "Financials" sector are most distinct.

  6. An Ensemble of Neural Networks for Stock Trading Decision Making

    Science.gov (United States)

    Chang, Pei-Chann; Liu, Chen-Hao; Fan, Chin-Yuan; Lin, Jun-Lin; Lai, Chih-Ming

    Stock turning signals detection are very interesting subject arising in numerous financial and economic planning problems. In this paper, Ensemble Neural Network system with Intelligent Piecewise Linear Representation for stock turning points detection is presented. The Intelligent piecewise linear representation method is able to generate numerous stocks turning signals from the historic data base, then Ensemble Neural Network system will be applied to train the pattern and retrieve similar stock price patterns from historic data for training. These turning signals represent short-term and long-term trading signals for selling or buying stocks from the market which are applied to forecast the future turning points from the set of test data. Experimental results demonstrate that the hybrid system can make a significant and constant amount of profit when compared with other approaches using stock data available in the market.

  7. Jump Detection in the Danish Stock Market

    DEFF Research Database (Denmark)

    Høg, Esben

    2002-01-01

    It is well known in financial economics that stock market return data are often modelled by a diffusion process with some regular drift function. Occasionally, however, sudden changes or jumps occur in the return data. Wavelet scaling methods are used to detect jumps and cusps in stock market...

  8. Electric utility preferred stock financing - twilight or new dawn?

    International Nuclear Information System (INIS)

    Klein, R.

    1991-01-01

    The tax laws have greatly diminished the importance of utility preferred stock. But with utility construction programs expected to rise, it is an opportune time to see if preferreds can be an attractive option again. As recently as 1980, preferred stock financing by electric utilities comprised 55% of all U.S. corporate preferred stock issued. By 1989, this percentage had declined to under 12%. In dollar amounts, electric utility preferred stock financing had decreased by two-thirds over the same time period. The author analyzes just why this decline occurred and what it portends for the future

  9. Has microblogging changed stock market behavior? Evidence from China

    Science.gov (United States)

    Jin, Xi; Shen, Dehua; Zhang, Wei

    2016-06-01

    This paper examines the stock market behavior for a long-lived subset of firms in Shanghai and Shenzhen CSI 300 Index (CSI 300 Index) both before and after the establishment of firms' Microblogging in Sina Weibo. The empirical results show a significant increase in the relative trading volume as well as the decreases in the daily expected stock return and firm-level volatility in the post-Sina Weibo period. These findings suggest that Sina Weibo as an alternative information interaction channel has changed the information environment for individual stock, enhanced the speed of information diffusion and therefore changed the overall stock market behavior.

  10. AFSC/REFM: Alaska Stock Assessment Results Archive (SARA)

    Data.gov (United States)

    National Oceanic and Atmospheric Administration, Department of Commerce — Each year over 50 Alaskan groundfish stock assessments report the condition of Alaskan fisheries resources in the U.S. Exclusive Economic Zone. Stock assessment...

  11. Determining supply chain safety stock level and location

    Directory of Open Access Journals (Sweden)

    Bahareh Amirjabbari

    2014-01-01

    Full Text Available Purpose: The lean methodology and its principles have widely been applied in supply chain management in recent decades. Manufacturers are one of the most important contributors in a supply chain and inventory plays a paramount role for them to become lean. Therefore, there should be appropriate management of inventory and all of its drivers in accordance with a lean strategy. Safety stock is one of the main drivers of inventory; it protects against increasing the stretch in the breaking points of the supply chain, which in turn can result in possible reduction of inventory. In this paper an optimization model and a simulation model are developed and applied in a real case to optimize the safety stock level with the objective of logistics cost minimization.Design/methodology/approach: In order to optimize the safety stock level while minimizing logistics costs, a nonlinear cost minimization safety stock model is developed in this paper and then it is applied in a real world manufacturing case company. A safety stock simulation model based on appropriate metrics in the case company’s supply chain performance is also provided.Findings: These models result in not only the optimum levels but also locations of safety stock within the supply chain.Originality/value: In this research, two models of cost minimization and simulation have been developed and also applied in a real case company to result in not only optimized levels but also optimized locations of safety stock across the whole supply chain. In addition, the appropriate supply chain performance measurement metrics have been introduced in this paper and the simulation model is developed based on those.

  12. An investigation on the effects of conservatism on reducing risk of stock market investment: A case study of Tehran Stock Exchange

    Directory of Open Access Journals (Sweden)

    Rezvan Hejazi

    2013-07-01

    Full Text Available Accounting conservatism limits managerial incentive and ability to overstate performance and hide bad news from investors, which, in turn, reduces stock price crash risk. This study examines relationship between conservatism on financial reports and risk of stock price crash. Using a sample of 54 listed firms in Tehran Stock Exchange over the period of 2006–2010 and panel logistic regression, we examine different hypotheses. The results indicate that accounting conservatism, as measured by Khan and Watts (2009 CSCORE [Khan, M., & Watts, R. L. (2009. Estimation and empirical properties of a firm-year measure of accounting conservatism. Journal of Accounting and Economics, 48(2, 132-150.], reduces the likelihood of a firm experiencing stock price crashes. The finding holds after controlling other variables such as: negative skewness of firm-specific-weekly return, standard deviation of firm-specific-weekly return, the mean of firm-specific-weekly return, detrend share turnover, size, market to book value of equity ratio, total debt ratio and return on asset ratio, but we did not observe any relationship between these variables during stock price crash.

  13. Danish building typologies and building stock analyses

    DEFF Research Database (Denmark)

    Wittchen, Kim Bjarne; Kragh, Jesper

    energy savings in residential buildings. The intension with this analysis was to investigate the possible energy reduction in Denmark if the same approach had been taken for the entire Danish building stock. The report concludes that the ZeroHome initiative clearly results in energy savings, but far from...... enough to meet the government’s plan to make Danish buildings free from use of fossil fuels by 2035. This will probably require around 50 % energy savings in the Danish building stock as a whole. However, the project has proven that dedicated engagement of locals can speed up market penetration...... for energy savings in the existing Building stock....

  14. Application of a Shallow Neural Network to Short-Term Stock Trading

    OpenAIRE

    Madahar, Abhinav; Ma, Yuze; Patel, Kunal

    2017-01-01

    Machine learning is increasingly prevalent in stock market trading. Though neural networks have seen success in computer vision and natural language processing, they have not been as useful in stock market trading. To demonstrate the applicability of a neural network in stock trading, we made a single-layer neural network that recommends buying or selling shares of a stock by comparing the highest high of 10 consecutive days with that of the next 10 days, a process repeated for the stock's ye...

  15. Optimal capital stock and financing constraints

    OpenAIRE

    Saltari, Enrico; Giuseppe, Travaglini

    2011-01-01

    In this paper we show that financing constraints affect the optimal level of capital stock even when the financing constraint is ineffective. This happens when the firm rationally anticipates that access to external financing resources may be rationed in the future. We will show that with these expectations, the optimal investment policy is to invest less in any given period, thereby lowering the desired optimal capital stock in the long run.

  16. A Stock Trading Recommender System Based on Temporal Association Rule Mining

    Directory of Open Access Journals (Sweden)

    Binoy B. Nair

    2015-04-01

    Full Text Available Recommender systems capable of discovering patterns in stock price movements and generating stock recommendations based on the patterns thus discovered can significantly supplement the decision-making process of a stock trader. Such recommender systems are of great significance to a layperson who wishes to profit by stock trading even while not possessing the skill or expertise of a seasoned trader. A genetic algorithm optimized Symbolic Aggregate approXimation (SAX–Apriori based stock trading recommender system, which can mine temporal association rules from the stock price data set to generate stock trading recommendations, is presented in this article. The proposed system is validated on 12 different data sets. The results indicate that the proposed system significantly outperforms the passive buy-and-hold strategy, offering scope for a layperson to successfully invest in capital markets.

  17. Macroeconomic determinants of conditional stock-bond correlation ...

    African Journals Online (AJOL)

    The study focuses on the dependence of stock-bond returns correlation on inflation and interest rate, and attempts to explain conditional stock-bond correlation using the argument that these variables' effects change based on levels of their volatilities as suggested by rational present value asset pricing theory, rather than ...

  18. The zero inflation of standing dead tree carbon stocks

    Science.gov (United States)

    Christopher W. Woodall; David W. MacFarlane

    2012-01-01

    Given the importance of standing dead trees in numerous forest ecosystem attributes/processes such as carbon (C) stocks, the USDA Forest Service’s Forest Inventory and Analysis (FIA) program began consistent nationwide sampling of standing dead trees in 1999. Modeled estimates of standing dead tree C stocks are currently used as the official C stock estimates for the...

  19. Determinants Of Equity Prices In The Stock Market

    Directory of Open Access Journals (Sweden)

    Muhammad Usman Javaid

    2010-12-01

    Full Text Available This study examines the effect of market variables on the movement stock prices in Pakistan. Asset pricing is considered as efficient if the asset prices reflect all available market information. This study examined the extent to which some "information factors" or market indices affect the stock price. A simple regression model has been used to develop a relation between the variables (stock prices, earnings per share, gross domestic product, dividend, inflation and KIBOR after testing for multi-collinearity among the independent variables. All the variables have shown positive correlation with stock prices with some exceptions of GDP and inflation. This study has enriched the existing literature while it would help policy makers who are interested in deploying instruments of monetary policy and other economic indices for the growth of the capital market.

  20. The long-term benefits of director stock ownership

    Directory of Open Access Journals (Sweden)

    Brian Bolton

    2009-11-01

    Full Text Available In October 2009, the United States Treasury Department and Congress considered new regulations requiring executives and directors to receive much of their compensation in the form of long-term stock. One concern with this is that it may have negative consequences by entrenching managers and directors over the long term. This study compares the potential benefits of long-term director ownership with the potential costs of entrenchment. Using the dollar amount of stock owned by independent directors, the results suggest that the incentive effect dominates any costs related to entrenchment: firms with greater stock ownership outperform other firms, regardless of the degree of managerial entrenchment that may be present. The implication for policy-makers is that providing directors with incentives through stock ownership can be a very effective corporate governance mechanism.

  1. The Time-Varying Risk and Return Trade Off in Indian Stock Markets

    OpenAIRE

    Mohanty, Roshni; P, Srinivasan

    2014-01-01

    This paper investigates the relationship between stock market returns and volatility in the Indian stock markets using AR(1)-EGARCH(p, q)-in-Mean model. The study considers daily closing prices of two major indexes of Indian stock exchanges, viz., S&P CNX NIFTY and the BSE-SENSEX of National Stock Exchange (NSE) and Bombay Stock Exchange (BSE), respectively for the period from July 1, 1997 to December 31, 2013. The empirical results show positive but insignificant relationship between stock r...

  2. Is There Any Overtrading in Stock Markets? The Moderating Role of Big Five Personality Traits and Gender in a Unilateral Trend Stock Market

    Science.gov (United States)

    Zhang, Jian; Wang, Haocheng; Wang, Limin; Liu, Shuyi

    2014-01-01

    Overtrading is a common anomaly among stock investors. This study examines the relationship between overtrading and investment returns and the impact of the Big Five traits and gender on overtrading in a unilateral trend stock market using a simulated stock investment system. The data were derived from a sample of undergraduates from six universities who performed in a simulated stock investment situation and had their personality traits measured by the Big Five Personality Questionnaire. The results indicate that: (1) Overtrading was significant in rising stock markets, but not significant in falling markets. (2) The degree of female investors who overtraded was significant in rising markets. (3) The degree of overtrading investors who were high in extroversion or agreeableness was significant in rising markets. The implications of these results for more effective investment strategies are discussed. PMID:24475235

  3. Is there any overtrading in stock markets? The moderating role of big five personality traits and gender in a unilateral trend stock market.

    Directory of Open Access Journals (Sweden)

    Jian Zhang

    Full Text Available Overtrading is a common anomaly among stock investors. This study examines the relationship between overtrading and investment returns and the impact of the Big Five traits and gender on overtrading in a unilateral trend stock market using a simulated stock investment system. The data were derived from a sample of undergraduates from six universities who performed in a simulated stock investment situation and had their personality traits measured by the Big Five Personality Questionnaire. The results indicate that: (1 Overtrading was significant in rising stock markets, but not significant in falling markets. (2 The degree of female investors who overtraded was significant in rising markets. (3 The degree of overtrading investors who were high in extroversion or agreeableness was significant in rising markets. The implications of these results for more effective investment strategies are discussed.

  4. Simulating Stock Prices Using Geometric Brownian Motion: Evidence from Australian Companies

    Directory of Open Access Journals (Sweden)

    Krishna Reddy

    2016-09-01

    Full Text Available This study uses the geometric Brownian motion (GBM method to simulate stock price paths, and tests whether the simulated stock prices align with actual stock returns. The sample for this study was based on the large listed Australian companies listed on the S&P/ASX 50 Index. Daily stock price data was obtained from the Thomson One database over the period 1 January 2013 to 31 December 2014. The findings are slightly encouraging as results show that over all time horizons the chances of a stock price simulated using GBM moving in the same direction as real stock prices was a little greater than 50 percent. However, the results improved slightly when portfolios were formed.

  5. Stakeholder Specific Multi-Scale Spatial Representation of Urban Building-Stocks

    Directory of Open Access Journals (Sweden)

    Magnus Österbring

    2018-05-01

    Full Text Available Urban building-stocks use a significant amount of resources and energy. At the same time, they have a large potential for energy efficiency measures (EEM. To support decision-making and planning, spatial building-stock models are used to examine the current state and future development of urban building-stocks. While these models normally focus on specific cities, generic and broad stakeholder groups such as planners and policy makers are often targeted. Consequently, the visualization and communication of results are not tailored to these stakeholders. The aim of this paper is to explore the possibilities of mapping and representing energy use of urban building-stocks at different levels of aggregation and spatial distributions, to communicate with specific stakeholders involved in the urban development process. This paper uses a differentiated building-stock description based on building-specific data and measured energy use from energy performance certificates for multi-family buildings (MFB in the city of Gothenburg. The building-stock description treats every building as unique, allowing results to be provided at any level of aggregation to suit the needs of the specific stakeholders involved. Calculated energy use of the existing stock is within 10% of the measured energy use. The potential for EEM in the existing stock is negated by the increased energy use due to new construction until 2035, using a development scenario based on current renovation rates and planned developments. Visualizations of the current energy use of the stock as well as the impact of renovation and new construction are provided, targeting specific local stakeholders.

  6. Growth strategies and value creation: what works best for stock exchanges?

    OpenAIRE

    Hasan, Iftekhar; Schmiedel, Heiko; Song, Liang

    2010-01-01

    In recent years, demutualized stock exchanges have increasingly engaged in M&A and alliance activities. To shed light on this topic, we investigate short-run share price responses to the formation of 110 stock exchange M&As and alliances in the period 2000–2008. Our findings show that the average stock-price responses to a stock-exchange M&A or alliance is positive. Stock exchange M&As create more value than alliances. For alliances, joint ventures generate more value than non-equity alliances...

  7. Does Stock Market Performance Influence Retirement Intentions?

    Science.gov (United States)

    Goda, Gopi Shah; Shoven, John B.; Slavov, Sita Nataraj

    2012-01-01

    Media reports predicted that the stock market decline in October 2008 would cause changes in retirement intentions, due to declines in retirement assets. We use panel data from the Health and Retirement Study to investigate the relationship between stock market performance and retirement intentions during 1998-2008, a period that includes the…

  8. Monetary Policy Shocks and Stock Returns Reactions: Evidence ...

    African Journals Online (AJOL)

    SIPHAMBE, H.K. (PROF.)

    context is useful to both monetary authorities and investors. ... they should target stock prices or use stock price information as indicators of the monetary ... current account transactions, with remaining controls on the capital account eliminated ...

  9. Stock price estimation using ensemble Kalman Filter square root method

    Science.gov (United States)

    Karya, D. F.; Katias, P.; Herlambang, T.

    2018-04-01

    Shares are securities as the possession or equity evidence of an individual or corporation over an enterprise, especially public companies whose activity is stock trading. Investment in stocks trading is most likely to be the option of investors as stocks trading offers attractive profits. In determining a choice of safe investment in the stocks, the investors require a way of assessing the stock prices to buy so as to help optimize their profits. An effective method of analysis which will reduce the risk the investors may bear is by predicting or estimating the stock price. Estimation is carried out as a problem sometimes can be solved by using previous information or data related or relevant to the problem. The contribution of this paper is that the estimates of stock prices in high, low, and close categorycan be utilized as investors’ consideration for decision making in investment. In this paper, stock price estimation was made by using the Ensemble Kalman Filter Square Root method (EnKF-SR) and Ensemble Kalman Filter method (EnKF). The simulation results showed that the resulted estimation by applying EnKF method was more accurate than that by the EnKF-SR, with an estimation error of about 0.2 % by EnKF and an estimation error of 2.6 % by EnKF-SR.

  10. Global patterns of aboveground carbon stock and sequestration in mangroves

    Directory of Open Access Journals (Sweden)

    GUSTAVO C.D. ESTRADA

    Full Text Available ABSTRACT In order to contribute to understand the factors that control the provisioning of the ecosystem service of carbon storage by mangroves, data on carbon stock and sequestration in the aboveground biomass (AGB from 73 articles were averaged and tested for the dependence on latitude, climatic parameters, physiographic types and age. Global means of carbon stock (78.0 ± 64.5 tC.ha-1 and sequestration (2.9 ± 2.2 tC.ha-1.yr-1 showed that mangroves are among the forest ecosystems with greater capacity of carbon storage in AGB per area. On the global scale, carbon stock increases toward the equator (R²=0.22 and is dependent on 13 climatic parameters, which can be integrated in the following predictive equation: Carbon Stock in AGB = -16.342 + (8.341 x Isothermality + (0.021 x Annual Precipitation [R²=0.34; p < 0.05]. It was shown that almost 70% of carbon stock variability is explained by age. Carbon stock and sequestration also vary according to physiographic types, indicating the importance of hydroperiod and edaphic parameters to the local variability of carbon stock. By demonstrating the contribution of local and regional-global factors to carbon stock, this study provides information to the forecast of the effects of future climate changes and local anthropogenic forcings on this ecosystem service.

  11. Stock market reaction to xenophobic violence in an emerging economy

    Directory of Open Access Journals (Sweden)

    Collins C. Ngwakwe

    2017-05-01

    Full Text Available This paper presents an initial evaluation of possible effect of xenophobic violence on the Johannesburg Stock Market. Violence is inimical to economic development as it constraints normal business operations and causes a rebound on the stock market. The paper applied the event trend analysis combined with a statistical t-test of paired sample means in the pre and post-xenophobic period stock performance. Data was drawn from the JSE All Share Index - Capped Indices Performance (J303 - Capi DY for 2008 and 2015, during & after the xenophobic violence of 2008 and 2015. The economic consequences of social instability were substantiated with related literature. The theoretical foundation was inclined on the integrated threat theory and the social contract theory. Findings from the analysis of paired sample t-test showed a significant difference in means of stock performance with P<0.05 within and after the xenophobic period. Furthermore, a t-test of similarity in stock performance chart for periods of xenophobic violence 2008 and 2015 showed no significant difference in stock performance trend – indicating similarity in stock chart between 2008 and 2015 periods of xenophobic violence. The paper recommends the need for further research of a broader scope that will consider many years of xenophobic events or similar violence across countries using multiple stock performance and economic performance indicators.

  12. Tick size and stock returns

    Science.gov (United States)

    Onnela, Jukka-Pekka; Töyli, Juuso; Kaski, Kimmo

    2009-02-01

    Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid-ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation mechanism, and appears to be related to the long-term memory of volatility clustering. In this paper we investigate the impact of tick size on stock returns. We start with a simple simulation to demonstrate how continuous returns become distorted after confining the price to a discrete grid governed by the tick size. We then move on to a novel experimental set-up that combines decimalization pilot programs and cross-listed stocks in New York and Toronto. This allows us to observe a set of stocks traded simultaneously under two different ticks while holding all security-specific characteristics fixed. We then study the normality of the return distributions and carry out fits to the chosen distribution models. Our empirical findings are somewhat mixed and in some cases appear to challenge the simulation results.

  13. Style investing: behavioral explanations of stock market anomalies

    OpenAIRE

    Wouters, T.

    2006-01-01

    Abstract PhD-project The aim of this thesis is to explore the mechanisms of style investing. My project consists of two parts, each with an individual goal: 1. The first objective will be to analyze the implications of the dynamics of value and growth strategies for the US stock market. 2. The second objective will be to find explanations for stock returns by introducing the effects of collective preferences of investors into the dynamics of stock markets. We introduce style popularity as an ...

  14. A global network topology of stock markets: Transmitters and receivers of spillover effects

    Science.gov (United States)

    Shahzad, Syed Jawad Hussain; Hernandez, Jose Areola; Rehman, Mobeen Ur; Al-Yahyaee, Khamis Hamed; Zakaria, Muhammad

    2018-02-01

    This paper applies a bivariate cross-quantilogram approach to examine the spillover network structure in the stock markets of 58 countries according to bearish, normal and bullish market scenarios. Our aim is to identify the strongest interdependencies, the directionality of the spillover risk effects, and to detect those equity markets with the potential to cause global systemic risk. The results highlight the role of the US and Canadian equity markets as major spillover transmitters, while the stock markets of Romania, Taiwan and Mexico act mainly as spillover receivers. Particularly strong spillovers are observed from the Canadian and US equity markets towards the Irish market, and from the Brazilian equity market towards the Kenyan equivalent. The equity market networks suggest that only the US equity market can trigger systemic risk on a global scale. Implications of the results are discussed.

  15. Dynamic Evolution Analysis of Stock Price Fluctuation and Its Control

    Directory of Open Access Journals (Sweden)

    Yuhua Xu

    2018-01-01

    Full Text Available This paper studies a simple dynamical system of stock price fluctuation time series based on the rule of stock market. When the stock price fluctuation system is disturbed by external excitations, the system exhibits obviously chaotic phenomena, and its basic dynamic properties are analyzed. At the same time, a new fixed-time convergence theorem is proposed for achieving fixed-time control of stock price fluctuation system. Finally, the effectiveness of the method is verified by numerical simulation.

  16. Prediction of Safety Stock Using Fuzzy Time Series (FTS) and Technology of Radio Frequency Identification (RFID) for Stock Control at Vendor Managed Inventory (VMI)

    Science.gov (United States)

    Mashuri, Chamdan; Suryono; Suseno, Jatmiko Endro

    2018-02-01

    This research was conducted by prediction of safety stock using Fuzzy Time Series (FTS) and technology of Radio Frequency Identification (RFID) for stock control at Vendor Managed Inventory (VMI). Well-controlled stock influenced company revenue and minimized cost. It discussed about information system of safety stock prediction developed through programming language of PHP. Input data consisted of demand got from automatic, online and real time acquisition using technology of RFID, then, sent to server and stored at online database. Furthermore, data of acquisition result was predicted by using algorithm of FTS applying universe of discourse defining and fuzzy sets determination. Fuzzy set result was continued to division process of universe of discourse in order to be to final step. Prediction result was displayed at information system dashboard developed. By using 60 data from demand data, prediction score was 450.331 and safety stock was 135.535. Prediction result was done by error deviation validation using Mean Square Percent Error of 15%. It proved that FTS was good enough in predicting demand and safety stock for stock control. For deeper analysis, researchers used data of demand and universe of discourse U varying at FTS to get various result based on test data used.

  17. Prediction of Safety Stock Using Fuzzy Time Series (FTS and Technology of Radio Frequency Identification (RFID for Stock Control at Vendor Managed Inventory (VMI

    Directory of Open Access Journals (Sweden)

    Mashuri Chamdan

    2018-01-01

    Full Text Available This research was conducted by prediction of safety stock using Fuzzy Time Series (FTS and technology of Radio Frequency Identification (RFID for stock control at Vendor Managed Inventory (VMI. Well-controlled stock influenced company revenue and minimized cost. It discussed about information system of safety stock prediction developed through programming language of PHP. Input data consisted of demand got from automatic, online and real time acquisition using technology of RFID, then, sent to server and stored at online database. Furthermore, data of acquisition result was predicted by using algorithm of FTS applying universe of discourse defining and fuzzy sets determination. Fuzzy set result was continued to division process of universe of discourse in order to be to final step. Prediction result was displayed at information system dashboard developed. By using 60 data from demand data, prediction score was 450.331 and safety stock was 135.535. Prediction result was done by error deviation validation using Mean Square Percent Error of 15%. It proved that FTS was good enough in predicting demand and safety stock for stock control. For deeper analysis, researchers used data of demand and universe of discourse U varying at FTS to get various result based on test data used.

  18. Managerial Incentives and Stock Price Manipulation

    OpenAIRE

    Peng, Lin; Röell, Ailsa A

    2009-01-01

    This paper presents a rational expectations model of optimal executive compensation in a setting where managers are in a position to manipulate short-term stock prices, and managers' propensity to manipulate is uncertain. Stock-based incentives elicit not only productive effort, but also costly information manipulation. We analyze the tradeoffs involved in conditioning pay on long- versus short-term performance and characterize a second-best optimal compensation scheme. The paper shows manipu...

  19. What stock market returns to expect for the future?

    Science.gov (United States)

    Diamond, P A

    2000-01-01

    In evaluating proposals for reforming Social Security that involve stock investments, the Office of the Chief Actuary (OCACT) has generally used a 7.0 percent real return for stocks. The 1994-96 Advisory Council specified that OCACT should use that return in making its 75-year projections of investment-based reform proposals. The assumed ultimate real return on Treasury bonds of 3.0 percent implies a long-run equity premium of 4.0 percent. There are two equity-premium concepts: the realized equity premium, which is measured by the actual rates of return; and the required equity premium, which investors expect to receive for being willing to hold available stocks and bonds. Over the past two centuries, the realized premium was 3.5 percent on average, but 5.2 percent for 1926 to 1998. Some critics argue that the 7.0 percent projected stock returns are too high. They base their arguments on recent developments in the capital market, the current high value of the stock market, and the expectation of slower economic growth. Increased use of mutual funds and the decline in their costs suggest a lower required premium, as does the rising fraction of the American public investing in stocks. The size of the decrease is limited, however, because the largest cost savings do not apply to the very wealthy and to large institutional investors, who hold a much larger share of the stock market's total value than do new investors. These trends suggest a lower equity premium for projections than the 5.2 percent of the past 75 years. Also, a declining required premium is likely to imply a temporary increase in the realized premium because a rising willingness to hold stocks tends to increase their price. Therefore, it would be a mistake during a transition period to extrapolate what may be a temporarily high realized return. In the standard (Solow) economic growth model, an assumption of slower long-run growth lowers the marginal product of capital if the savings rate is constant

  20. Available information for estimating reproductive potential of Northwest Atlantic groundfish stocks

    DEFF Research Database (Denmark)

    Tomkiewicz, Jonna; Morgan, M.J.; Burnett, J.

    2003-01-01

    , possibilities for estimating stock potential egg production are constrained by scarcity of fecundity data. Data on fish condition, which can be useful in developing fecundity models, were seldom collected in earlier times, but have increased in recent decades. A data richness index, combining information about...... data quantity and quality, ranked most gadoid stocks as "data comprehensive" with a high proportion of stocks possessing some fecundity information. Flatfish stocks generally were "data moderate" owing to slightly shorter time series of data, while redfish and grenadier stocks in general were "data...

  1. Mean Reversion in Stock Prices: Implications for Long-Term Investors

    NARCIS (Netherlands)

    Spierdijk, L.; Bikker, J.A.

    2012-01-01

    This paper discusses the implications of mean reversion in stock prices for longterm investors such as pension funds. We start with a general definition of a meanreverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently, we

  2. A GRASP METAHEURISTIC FOR THE ORDERED CUTTING STOCK PROBLEM UN META-HEURÍSTICO GRASP PARA EL PROBLEMA DE STOCK DE CORTE ORDENADO

    Directory of Open Access Journals (Sweden)

    Rodrigo Rabello Golfeto

    2008-12-01

    Full Text Available This study presents a new mathematical model and a Greedy Randomized Adaptive Search Procedure (GRASP meta-heuristic to solve the ordered cutting stock problem. The ordered cutting stock problem was recently introduced in literature. It is appropriate to minimize the raw material used by industries that deal with reduced product inventories, such as industries that use the just-in-time basis for their production. In such cases, classic models for solving the cutting stock problem are useless. Results obtained from computational experiments for a set of random instances demonstrate that the proposed method can be applied to large industries that process cuts on their production lines and do not stock their products.Este estudio presenta un nuevo modelo matemático y un procedimiento meta-heurístico de búsqueda voraz adaptativa y aleatoria (GRASP, por sus siglas en inglés para resolver el problema de stock de corte ordenado. Éste problema ha sido introducido recientemente en la literatura. Es apropiado minimizar la materia prima usada por las industrias que manipulan inventarios reducidos de productos, tales como las industrias que usan la base justo a tiempo para su producción. En tales casos, los modelos clásicos para resolver el problema de stock de corte ordenado son inútiles. Los resultados obtenidos, mediante experimentos computacionales para un conjunto de ejemplos aleatorios, demuestran que el método propuesto puede ser aplicado a industrias grandes que procesan cortes en sus líneas de producción y no mantienen en stock sus productos.

  3. Multiscale Detrended Cross-Correlation Analysis of STOCK Markets

    Science.gov (United States)

    Yin, Yi; Shang, Pengjian

    2014-06-01

    In this paper, we employ the detrended cross-correlation analysis (DCCA) to investigate the cross-correlations between different stock markets. We report the results of cross-correlated behaviors in US, Chinese and European stock markets in period 1997-2012 by using DCCA method. The DCCA shows the cross-correlated behaviors of intra-regional and inter-regional stock markets in the short and long term which display the similarities and differences of cross-correlated behaviors simply and roughly and the persistence of cross-correlated behaviors of fluctuations. Then, because of the limitation and inapplicability of DCCA method, we propose multiscale detrended cross-correlation analysis (MSDCCA) method to avoid "a priori" selecting the ranges of scales over which two coefficients of the classical DCCA method are identified, and employ MSDCCA to reanalyze these cross-correlations to exhibit some important details such as the existence and position of minimum, maximum and bimodal distribution which are lost if the scale structure is described by two coefficients only and essential differences and similarities in the scale structures of cross-correlation of intra-regional and inter-regional markets. More statistical characteristics of cross-correlation obtained by MSDCCA method help us to understand how two different stock markets influence each other and to analyze the influence from thus two inter-regional markets on the cross-correlation in detail, thus we get a richer and more detailed knowledge of the complex evolutions of dynamics of the cross-correlations between stock markets. The application of MSDCCA is important to promote our understanding of the internal mechanisms and structures of financial markets and helps to forecast the stock indices based on our current results demonstrated the cross-correlations between stock indices. We also discuss the MSDCCA methods of secant rolling window with different sizes and, lastly, provide some relevant implications and

  4. Stock Options Economic Determinants of Brazilian Listed Companies

    Directory of Open Access Journals (Sweden)

    Isaac Gezer Silva de Oliveira

    2018-01-01

    Full Text Available It aim to identify the economic determinants that influence the use of stock options plans in Brazilian public companies listed on the Brazilian Securities, Commodities, and Futures Exchange (BM&FBovespa. Theoretically, the study relies on agency theory and corporate governance and executive compensation body of knowledge. Four research hypotheses were drawn concerning financial performance and corporate value; indebtedness; ownership concentration; and size. The sample was comprised of 100 companies with greater liquidity shares and volume for six years (from 2010 to2015.Data were examined from the logistic regression panel. The results lead to the rejection of the first and the fourth hypo the sesindicating, in the case of H1, that the higher financial performance the lower is probability of use stock options and, in the case of H4, that the higher size is related the lower is probability of use of stock options in their incentive plans for executives. The third hypothesis (H3 was not rejected, indicating that the ownership concentration relates negatively with the use of stock options. Regarding the second hypothesis (H2, the results did not present statistical significance indicating the absence of a relationship between indebtedness and the use of stock options. As a summary of the results it was found that the use of stock options tend to be used by lower companies, with lower ownership concentration and lower financial performance.

  5. Oil prices and the stock prices of alternative energy companies

    International Nuclear Information System (INIS)

    Henriques, Irene; Sadorsky, Perry

    2008-01-01

    Energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements. While it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies, there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices. In this paper, a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices, technology stock prices, oil prices, and interest rates. Our results show technology stock prices and oil prices each individually Granger cause the stock prices of alternative energy companies. Simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices. These results should be of use to investors, managers and policy makers. (author)

  6. Fractal profit landscape of the stock market.

    Science.gov (United States)

    Grönlund, Andreas; Yi, Il Gu; Kim, Beom Jun

    2012-01-01

    We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy.

  7. Volatility of Stock Markets (an Analysis of South Asian and G8 Countries

    Directory of Open Access Journals (Sweden)

    Muhammad Mansoor Baig

    2015-12-01

    Full Text Available The objective of this study is to make an analysis of volatility of stock markets between South Asian Stock Markets and Stock Markets of Group of Eight Countries. This study important for the investors whose want to invest in stock markets. This study helps investors to determine what stock market is more volatile. To make the analysis three South Asian stock markets and Group of Eight countries stock markets are selected. South Asian stock markets indexes include KSE 100 (Pakistan, SENSEX (India, ASPI (Sri Lanka, CAC 40 (France, DAX (Germany, S &P / TSX Composite (Canada, FTSE MIB (Italy, RTS (Russia, Nikkei 225 (Japan, S & P 500 (USA and FTSE 100 (UK. Data is collected from the period of January 1st 2005 to August 31st 2015. ARCH and GARCH model is used to analyze the volatility of South Asian Stock Markets and stock markets of Group of Eight Countries. The findings show that South Asian Stock Markets are less volatile while Stock Markets of Group of Eight Countries are high volatile. This study is useful for investment institutions and portfolio managers because it focuses on current issues and takes the current data.

  8. Individual and collective stock dynamics: intra-day seasonalities

    International Nuclear Information System (INIS)

    Allez, Romain; Bouchaud, Jean-Philippe

    2011-01-01

    We establish several new stylized facts concerning the intra-day seasonalities of stock dynamics. Beyond the well-known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day, leading to a smaller relative dispersion between stocks. Somewhat paradoxically, the kurtosis (a measure of volatility surprises) reaches a minimum at the open of the market, when the volatility is at its peak. We confirm that the dispersion kurtosis is a markedly decreasing function of the index return. This means that during large market swings, the idiosyncratic component of the stock dynamics becomes sub-dominant. In a nutshell, the early hours of trading are dominated by idiosyncratic or sector-specific effects with little surprises, whereas the influence of the market factor increases throughout the day, and surprises become more frequent.

  9. Daily happiness and stock returns: Some international evidence

    Science.gov (United States)

    Zhang, Wei; Li, Xiao; Shen, Dehua; Teglio, Andrea

    2016-10-01

    In this paper, we examine the relations between the daily happiness sentiment extracted from Twitter and the stock market performance in 11 international stock markets. By partitioning this happiness sentiment into quintiles from the least to the happiest days, we first show that the contemporary correlation coefficients between happiness sentiment and index return in the 4 and most-happiness subgroups are higher than that in least, 2 and 3-happiness subgroups. Secondly, the happiness sentiment can provide additional explanatory power for index return in the most-happiness subgroup. Thirdly, the daily happiness can granger-cause the changes in index return for the majority of stock markets. Fourthly, we find that the index return and the range-based volatility of the most-happiness subgroup are larger than those of other subgroups. These results highlight the important role of social media in stock market.

  10. Behavioural finance perspectives on Malaysian stock market efficiency

    Directory of Open Access Journals (Sweden)

    Jasman Tuyon

    2016-03-01

    Full Text Available This paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behavioural-related theories. The analyses employed a long span of Bursa Malaysia stock market data from 1977 to 2014 along the different phases of economic development and market states. The tests confirmed the presence of asymmetric dynamic behaviour of prices predictability as well as risk and return relationships across different market states, risk states and quantiles data segments. The efficiency tests show trends of an adaptive pattern of weak market efficiency across various economic phases and market states. Collectively, these evidences lend support to bounded-adaptive rational of investors' behaviour, dynamic stock price behaviour, and accordingly forming bounded-adaptive market efficiency.

  11. Annual trends in catchability and fish stock assessments

    DEFF Research Database (Denmark)

    Marchal, P.; Ulrich, Clara; Korsbrekke, K.

    2003-01-01

    . The performances of the new and traditional XSA assessments are compared using criteria based on the precision of catchability estimates, stationarity of Log-catchability residuals and retrospective patterns relative to fishing mortality, spawning stock biomass and recruitment estimates. The performances....... A range of catchability trends, including values derived from the "Hybrid" method, is then implemented to standardise the fishing effort of some tuning fleets used in the stock assessments performed by XSA (eXtended Survivors Analysis). Stocks being assessed are the North Sea cod, saithe, plaice and sole...

  12. Spatial optimization of carbon-stocking projects across Africa integrating stocking potential with co-benefits and feasibility.

    Science.gov (United States)

    Greve, Michelle; Reyers, Belinda; Mette Lykke, Anne; Svenning, Jens-Christian

    2013-01-01

    Carbon offset projects through forestation are employed within the emissions trading framework to store carbon. Yet, information about the potential of landscapes to stock carbon, essential to the design of offset projects, is often lacking. Here, based on data on vegetation carbon, climate and soil, we quantify the potential for carbon storage in woody vegetation across tropical Africa. The ability of offset projects to produce co-benefits for ecosystems and people is then quantified. When co-benefits such as biodiversity conservation are considered, the top-ranked sites are sometimes different to sites selected purely for their carbon-stocking potential, although they still possess up to 92% of the latter carbon-stocking potential. This work provides the first continental-scale assessment of which areas may provide the greatest direct and indirect benefits from carbon storage reforestation projects at the smallest costs and risks, providing crucial information for prioritization of investments in carbon storage projects.

  13. Effects of daylight savings time changes on stock market volatility.

    Science.gov (United States)

    Berument, M Hakan; Dogan, Nukhet; Onar, Bahar

    2010-04-01

    The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.

  14. Stock prices forecasting based on wavelet neural networks with PSO

    Directory of Open Access Journals (Sweden)

    Wang Kai-Cheng

    2017-01-01

    Full Text Available This research examines the forecasting performance of wavelet neural network (WNN model using published stock data obtained from Financial Times Stock Exchange (FTSE Taiwan Stock Exchange (TWSE 50 index, also known as Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX, hereinafter referred to as Taiwan 50. Our WNN model uses particle swarm optimization (PSO to choose the appropriate initial network values for different companies. The findings come with two advantages. First, the network initial values are automatically selected instead of being a constant. Second, threshold and training data percentage become constant values, because PSO assists with self-adjustment. We can achieve a success rate over 73% without the necessity to manually adjust parameter or create another math model.

  15. Analysis of stock market returns of American and European stock market from the view of an American and a European investor

    Directory of Open Access Journals (Sweden)

    Oldřich Šoba

    2005-01-01

    Full Text Available The paper is focused on the analysis of stock market returns of American and European stock market for different investment horizon from the view of an American and European investor. The paper also partly resumes, in the part of analysis of USD/EUR exchange rate influence on market returns of mentioned stock market, research paper REJNUŠ, O., ŠOBA, O.: Changes in the USD/EUR exchange rate and their impact on the return of stock indexes from the viewpoint of a European and of an American investor. ACTA UNIVERSITATIS AGRICULTURAE ET SILVICULTURAE MENDELIANAE BRU- NENSIS, Vol. LII, No. 6, 2004, pg. 145–159, ISSN 1211-8516.The development of both American and European stock market is put on the development of two, structure-similar Standard & Poor’s exchange indexes, particularly S&P 500 and S&P Europe 350. According to the USD/EUR exchange rate, there were used the values published by FED, with the oldest data there were accepted the count ECU to EUR. The data were taken both from the weekly closing values of mentioned stock indexes and weekly closing values of USD/EUR exchange rate.The analysis was done with using the methods of quantification of „running market returns“ (recount to the average annual values of indexes from the view of both investors within the set investment horizon. The elemental statistical level characteristic – simple average, median and statistical characteristic of variability – standard deviation and variation coefficient were quantified from this time series of annual running market returns. The analysis, which was purposely oriented to six basic different long investment horizon (1 year, 2 years, 3 years, 5 years, 7 years, 10 years, has approved that in focused term of 1980–2004 the market returns of picked stock market from the view of both investors (American and European was generally higher in longer investment horizon than in the shorter investment horizon. The values of variation coefficient in

  16. Global socioeconomic carbon stocks in long-lived products 1900-2008

    Science.gov (United States)

    Lauk, Christian; Haberl, Helmut; Erb, Karl-Heinz; Gingrich, Simone; Krausmann, Fridolin

    2012-09-01

    A better understanding of the global carbon cycle as well as of climate change mitigation options such as carbon sequestration requires the quantification of natural and socioeconomic stocks and flows of carbon. A so-far under-researched aspect of the global carbon budget is the accumulation of carbon in long-lived products such as buildings and furniture. We present a comprehensive assessment of global socioeconomic carbon stocks and the corresponding in- and outflows during the period 1900-2008. These data allowed calculation of the annual carbon sink in socioeconomic stocks during this period. The study covers the most important socioeconomic carbon fractions, i.e. wood, bitumen, plastic and cereals. Our assessment was mainly based on production and consumption data for plastic, bitumen and wood products and the respective fractions remaining in stocks in any given year. Global socioeconomic carbon stocks were 2.3 GtC in 1900 and increased to 11.5 GtC in 2008. The share of wood in total C stocks fell from 97% in 1900 to 60% in 2008, while the shares of plastic and bitumen increased to 16% and 22%, respectively. The rate of gross carbon sequestration in socioeconomic stocks increased from 17 MtC yr-1 in 1900 to a maximum of 247 MtC yr-1 in 2007, corresponding to 2.2%-3.4% of global fossil-fuel-related carbon emissions. We conclude that while socioeconomic carbon stocks are not negligible, their growth over time is not a major climate change mitigation option and there is an only modest potential to mitigate climate change by the increase of socioeconomic carbon stocks.

  17. Application of integrated data mining techniques in stock market forecasting

    Directory of Open Access Journals (Sweden)

    Chin-Yin Huang

    2014-12-01

    Full Text Available Stock market is considered too uncertain to be predictable. Many individuals have developed methodologies or models to increase the probability of making a profit in their stock investment. The overall hit rates of these methodologies and models are generally too low to be practical for real-world application. One of the major reasons is the huge fluctuation of the market. Therefore, the current research focuses in the stock forecasting area is to improve the accuracy of stock trading forecast. This paper introduces a system that addresses the particular need. The system integrates various data mining techniques and supports the decision-making for stock trades. The proposed system embeds the top-down trading theory, artificial neural network theory, technical analysis, dynamic time series theory, and Bayesian probability theory. To experimentally examine the trading return of the presented system, two examples are studied. The first uses the Taiwan Semiconductor Manufacturing Company (TSMC data-set that covers an investment horizon of 240 trading days from 16 February 2011 to 23 January 2013. Eighty four transactions were made using the proposed approach and the investment return of the portfolio was 54% with an 80.4% hit rate during a 12-month period in which the TSMC stock price increased by 25% (from $NT 78.5 to $NT 101.5. The second example examines the stock data of Evergreen Marine Corporation, an international marine shipping company. Sixty four transactions were made and the investment return of the portfolio was 128% in 12 months. Given the remarkable investment returns in trading the example TSMC and Evergreen stocks, the proposed system demonstrates promising potentials as a viable tool for stock market forecasting.

  18. Benchmark values for forest soil carbon stocks in Europe

    DEFF Research Database (Denmark)

    De Vos, Bruno; Cools, Nathalie; Ilvesniemi, Hannu

    2015-01-01

    Soil organic carbon (SOC) stocks in forest floors and in mineral and peat forest soils were estimated at the European scale. The assessment was based on measured C concentration, bulk density, coarse fragments and effective soil depth data originating from 4914 plots in 22 EU countries belonging...... to the UN/ECE ICP Forests 16 × 16 km Level I network. Plots were sampled and analysed according to harmonized methods during the 2nd European Forest Soil Condition Survey. Using continuous carbon density depth functions, we estimated SOC stocks to 30-cm and 1-m depth, and stratified these stocks according...... to 22 WRB Reference Soil Groups (RSGs) and 8 humus forms to provide European scale benchmark values. Average SOC stocks amounted to 22.1 t C ha− 1 in forest floors, 108 t C ha− 1 in mineral soils and 578 t C ha− 1 in peat soils, to 1 m depth. Relative to 1-m stocks, the vertical SOC distribution...

  19. Formation of initial cost of stocks of own production

    Directory of Open Access Journals (Sweden)

    Elena Krukovskiy

    2016-06-01

    Full Text Available The concept and component stocks according to national accounting standards are revealed. The procedure for forming the initial value of the stock, depending on the way they arrive at the company according to the guidelines as well as methods for evaluating stocks of own production is grounded. The methodological principles of formation of information on stocks and the disclosure of its financial statements are considered. In the article investigated the procedure of forming the original value of stocks depending on how they flow to the enterprise. Number of methods of assessment of inventory, which can be used to reflect their value in the accounting and financial reporting, and methods of evaluation of own production is characterized. Identified costs are included in the initial cost of inventories, including inventories of own production. The estimation of the definition of agricultural produce at fair value and features of its application in the enterprise is proposed by authors.

  20. The Effect of Financial Leverage, Employee Stock Ownership Program and Firm Size on Firm Performance of Companies Listed in Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Nurainun Bangun

    2017-07-01

    Full Text Available The purpose of this research is to examine and to obtain affected empirical evidence of financial leverage, firm size and employee stock ownership program (ESOP to firm performance in manufacturing company in Indonesian Stock Exchange on 2013-2015. Independent variables in this research are Financial Leverage (DER, Firm Size and Employee Stock Ownership Program (ESOP. Dependent variables in this research are Return on Assets (ROA and Return On Equity (ROE. The results Showed that the simultaneous test of three independent variables Significantly afftected to the ROA and ROE. The partial tests of Financial Leverage (proxy DER and Firm Size Significantly affected to ROA and ROE. But, the results Showed that the Employee Stock Ownership Program (ESOP did not Affect to ROA and ROE.

  1. Influence of stocking, site quality, stand age, low-severity canopy disturbance, and forest composition on sub-boreal aspen mixedwood carbon stocks

    Science.gov (United States)

    Reinikainen, Michael; D’Amato, Anthony W.; Bradford, John B.; Fraver, Shawn

    2014-01-01

    Low-severity canopy disturbance presumably influences forest carbon dynamics during the course of stand development, yet the topic has received relatively little attention. This is surprising because of the frequent occurrence of such events and the potential for both the severity and frequency of disturbances to increase as a result of climate change. We investigated the impacts of low-severity canopy disturbance and average insect defoliation on forest carbon stocks and rates of carbon sequestration in mature aspen mixedwood forests of varying stand age (ranging from 61 to 85 years), overstory composition, stocking level, and site quality. Stocking level and site quality positively affected the average annual aboveground tree carbon increment (CAAI), while stocking level, site quality, and stand age positively affected tree carbon stocks (CTREE) and total ecosystem carbon stocks (CTOTAL). Cumulative canopy disturbance (DIST) was reconstructed using dendroecological methods over a 29-year period. DIST was negatively and significantly related to soil carbon (CSOIL), and it was negatively, albeit marginally, related to CTOTAL. Minima in the annual aboveground carbon increment of trees (CAI) occurred at sites during defoliation of aspen (Populus tremuloides Michx.) by forest tent caterpillar (Malacosoma disstria Hubner), and minima were more extreme at sites dominated by trembling aspen than sites mixed with conifers. At sites defoliated by forest tent caterpillar in the early 2000s, increased sequestration by the softwood component (Abies balsamea (L.) Mill. and Picea glauca (Moench) Voss) compensated for overall decreases in CAI by 17% on average. These results underscore the importance of accounting for low-severity canopy disturbance events when developing regional forest carbon models and argue for the restoration and maintenance of historically important conifer species within aspen mixedwoods to enhance stand-level resilience to disturbance agents and maintain

  2. 27 CFR 46.195 - Floor stocks requirements.

    Science.gov (United States)

    2010-04-01

    ... Tubes Held for Sale on April 1, 2009 General § 46.195 Floor stocks requirements. (a) Take inventory. The dealer must establish the quantity of articles subject to the floor stocks tax held for sale on April 1, 2009. The dealer may take a physical inventory or may use a record (book) inventory, as specified in...

  3. Statistical Control Charts: Performances of Short Term Stock Trading in Croatia

    Directory of Open Access Journals (Sweden)

    Dumičić Ksenija

    2015-03-01

    Full Text Available Background: The stock exchange, as a regulated financial market, in modern economies reflects their economic development level. The stock market indicates the mood of investors in the development of a country and is an important ingredient for growth. Objectives: This paper aims to introduce an additional statistical tool used to support the decision-making process in stock trading, and it investigate the usage of statistical process control (SPC methods into the stock trading process. Methods/Approach: The individual (I, exponentially weighted moving average (EWMA and cumulative sum (CUSUM control charts were used for gaining trade signals. The open and the average prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the analysis. The statistical control charts capabilities for stock trading in the short-run were analysed. Results: The statistical control chart analysis pointed out too many signals to buy or sell stocks. Most of them are considered as false alarms. So, the statistical control charts showed to be not so much useful in stock trading or in a portfolio analysis. Conclusions: The presence of non-normality and autocorellation has great impact on statistical control charts performances. It is assumed that if these two problems are solved, the use of statistical control charts in a portfolio analysis could be greatly improved.

  4. Allometric Equations for Estimating Biomass and Carbon Stocks in the Temperate Forests of North-Western Mexico

    Directory of Open Access Journals (Sweden)

    Benedicto Vargas-Larreta

    2017-07-01

    Full Text Available This paper presents new equations for estimating above-ground biomass (AGB and biomass components of seventeen forest species in the temperate forests of northwestern Mexico. A data set corresponding to 1336 destructively sampled oak and pine trees was used to fit the models. The generalized method of moments was used to simultaneously fit systems of equations for biomass components and AGB, to ensure additivity. In addition, the carbon content of each tree component was calculated by the dry combustion method, in a TOC analyser. The results of cross-validation indicated that the fitted equations accounted for on average 91%, 82%, 83% and 76% of the observed variance in stem wood and stem bark, branch and foliage biomass, respectively, whereas the total AGB equations explained on average 93% of the total observed variance in AGB. The inclusion of total height (h or diameter at breast height2 × total height (d2h as a predictor in the d-only based equations systems slightly improved estimates for stem wood, stem bark and total above-ground biomass, and greatly improved the estimates produced by the branch and foliage biomass equations. The predictive power of the proposed equations is higher than that of existing models for the study area. The fitted equations were used to estimate stand level AGB stocks from data on growing stock in 429 permanent sampling plots. Three machine-learning techniques were used to model the estimated stand level AGB and carbon contents; the selected models were used to map the AGB and carbon distributions in the study area, for which mean values of respectively 129.84 Mg ha−1 and 63.80 Mg ha−1 were obtained.

  5. Social Interaction and Stock Market Participation: Evidence from China

    Directory of Open Access Journals (Sweden)

    Zhifeng Liu

    2014-01-01

    Full Text Available Current research on the impact of social interaction on the stock market participation only involves the traditional way of social interaction, and this paper further investigates the modern social interaction effects on the stock market participation and its activeness. The sample containing 150 Chinese counties is selected, and we apply grouping analysis and linear regression to conclude that social interaction has positive influence on the stock market participation and its activeness. Both traditional and modern social interaction ways affect the stock market participation and its activeness to the similar extent, so modern social interaction is of the same importance. Controlling for the respondents’ age, wealth, and education level, the above conclusion still holds.

  6. Incorporating stakeholders' knowledge to stock assessment: Central Baltic herring

    DEFF Research Database (Denmark)

    Mäntyniemi, Samu; Haapasaari, Päivi Elisabet; Kuikka, Sakari

    2013-01-01

    We present a method by which the knowledge of stakeholders can be taken into account in stock assessment. The approach consists of a structured interview process followed by quantitative modelling of the answers. The outcome is a set of probability models, each describing the views of different...... stakeholders. Individual models are then merged to a large model by applying the techniques of Bayesian model averaging, and this model is conditioned on stock assessment data. As a result, the viewsofinterviewedstakeholdershavebeentakenintoaccountandweighedbasedonhowwelltheirviewsaresupportedbythe observed...... data. We applied this method to the Baltic Sea herring (Clupea harengus) stock assessment by interviewing six stakeholders and conditioning the resulting models on stock assessment data provided by the International Council for the Exploration of the Sea....

  7. Stock Option Compensation and Managerial Turnover

    OpenAIRE

    Raluca Georgiana NASTASESCU

    2009-01-01

    This study examines the association between managerial turnover and equity-based compensation. I investigate whether stock options act to bond executives to their firms and whether retention of managers is a motivation of companies in designing CEO incentive contracts. The results show that stock options do negatively influence the probability of a CEO leaving the company. The monetary cost of losing the value of equity-based compensation package keeps the manager with his company. I also fin...

  8. The Geometric Phase of Stock Trading.

    Science.gov (United States)

    Altafini, Claudio

    2016-01-01

    Geometric phases describe how in a continuous-time dynamical system the displacement of a variable (called phase variable) can be related to other variables (shape variables) undergoing a cyclic motion, according to an area rule. The aim of this paper is to show that geometric phases can exist also for discrete-time systems, and even when the cycles in shape space have zero area. A context in which this principle can be applied is stock trading. A zero-area cycle in shape space represents the type of trading operations normally carried out by high-frequency traders (entering and exiting a position on a fast time-scale), while the phase variable represents the cash balance of a trader. Under the assumption that trading impacts stock prices, even zero-area cyclic trading operations can induce geometric phases, i.e., profits or losses, without affecting the stock quote.

  9. Random matrix theory and portfolio optimization in Moroccan stock exchange

    Science.gov (United States)

    El Alaoui, Marwane

    2015-09-01

    In this work, we use random matrix theory to analyze eigenvalues and see if there is a presence of pertinent information by using Marčenko-Pastur distribution. Thus, we study cross-correlation among stocks of Casablanca Stock Exchange. Moreover, we clean correlation matrix from noisy elements to see if the gap between predicted risk and realized risk would be reduced. We also analyze eigenvectors components distributions and their degree of deviations by computing the inverse participation ratio. This analysis is a way to understand the correlation structure among stocks of Casablanca Stock Exchange portfolio.

  10. Test Of Capital Asset Pricing Model On Stocks At Karachi Stock Exchange

    Directory of Open Access Journals (Sweden)

    Arbab Khalid Cheema

    2010-12-01

    Full Text Available This paper attempts to empirically test the single-factor CAPM developed by Sharpe (1964, Lintner (1965 and Jan Mossin (1966 and others, which proposes that the expected returns of capital assets are dependent on their risk relative to the entire market which is quantified by a correlation co-efficient between asset returns and market returns. The test of 20 stocks at Karachi Stock Exchange have shown that though, the beta co-efficients are significant, their strength is considerably weak. Therefore, other factors which are unaccounted for in this model are important in determining risk and return. In addition, betas are less relevant in a volatile emerging capital markets like the KSE. Thus, the multi-factor models are better than the classical CAPM at determining the risk-return relationship. However, the single-factor CAPM remains in practice beacause of its simplicity.

  11. Welfare of African catfish : effects of stocking density

    NARCIS (Netherlands)

    Nieuwegiessen, van de P.G.

    2009-01-01

    The general aim of this thesis was to determine the impact of stocking density on welfare indicators in African catfish, Clarias gariepinus, cultured in a recirculating aquaculture system. The following factors were studied: 1) the effects of stocking density on physical, physiological, and

  12. Booms, busts and behavioural heterogeneity in stock prices

    NARCIS (Netherlands)

    Hommes, C.; in 't Veld, D.

    2015-01-01

    We estimate a behavioural heterogeneous agents model with boundedly rational traders who know the fundamental stock price, but disagree about the persistence of deviations from the fundamental. Some agents (fundamentalists) believe in mean-reversion of stock prices, while others (chartists) expect a

  13. Booms, busts and behavioural heterogeneity in stock prices

    NARCIS (Netherlands)

    Hommes, C.; in ‘t Veld, D.

    2017-01-01

    We estimate a behavioural heterogeneous agents model with boundedly rational traders who know the fundamental stock price, but disagree about the persistence of deviations from the fundamental. Some agents (fundamentalists) believe in mean-reversion of stock prices, while others (chartists) expect a

  14. Marketing of green electrons. Solar-power stock exchanges

    International Nuclear Information System (INIS)

    Nussbaumer-Waelti, E.

    1999-01-01

    An independent power producer evaluates the current solar-power stock exchanges in Switzerland. Most stock exchanges have been created by electric utilities which want to deliver 'green' power to those of their clients asking for. A first group of solar-power stock exchanges offer to take over the produced solar power at a marginal price. Among them, some organise a competition between the potential solar-power producers, in order to press down the investment cost for the new photovoltaic plants to build. Other stock exchanges propose a periodical adaptation of the prices, especially an adaptation to the capital interest rate. For sure, the total length of the time period for which the contract is established is one of the decisive factors. Because no bank is ready to grant a credit for such an investment without having seen a long-running take-over contract for the produced power [de

  15. Mixed stock analysis of Lake Michigan's Lake Whitefish Coregonus clupeaformis commercial fishery

    Science.gov (United States)

    Andvik, Ryan; Sloss, Brian L.; VanDeHey, Justin A.; Claramunt, Randall M.; Hansen, Scott P.; Isermann, Daniel A.

    2016-01-01

    Lake whitefish (Coregonus clupeaformis) support the primary commercial fishery in Lake Michigan. Discrete genetic stocks of lake whitefish have been identified and tagging data suggest stocks are mixed throughout much of the year. Our objectives were to determine if (1) differential stock harvest occurs in the commercial catch, (2) spatial differences in genetic composition of harvested fish were present, and (3) seasonal differences were present in the harvest by commercial fisheries that operate in management zones WI-2 and WFM-01 (Green Bay, Lake Michigan). Mixed stock analysis was conducted on 17 commercial harvest samples (n = 78–145/sample) collected from various ports lake-wide during 2009–2010. Results showed significant mixing with variability in stock composition across most samples. Samples consisted of two to four genetic stocks each accounting for ≥ 10% the catch. In 10 of 17 samples, the stock contributing the largest proportion made up differences existed in the proportional stock contribution at a single capture location. Samples from Wisconsin's primary commercial fishing management zone (WI-2) were composed predominately of fish from the Big Bay de Noc (Michigan) stock as opposed to the geographically proximate, North–Moonlight Bay (Wisconsin) stock. These findings have implications for management and allocation of fish to various quotas. Specifically, geographic location of harvest, the current means of allocating harvest quotas, is not the best predictor of genetic stock harvest.

  16. MEASURES OF THE STATE FOR INTRODUCTION DEOFFSHORIZATION IN STOCK MARKET OF UKRAINE

    Directory of Open Access Journals (Sweden)

    Oksana Kiktenko

    2016-11-01

    Full Text Available The purpose of the article is to improve monitoring and control in the system of state regulation of the stock market and to develop practical recommendations for an integrated mechanism, which is aimed at stabilizing and improving the functioning of its state regulators. Methodology. The following research methods were used: analysis and synthesis – to identify the most important factors affecting the operation of the stock market, consolidation of trends and evaluation the effectiveness of individual measures of government regulation; statistical analysis, comparison and generalization – to study the effectiveness of the regulatory bodies of the stock market in Ukraine. Results. It’s necessary to introduce deoffshorization, which is a tool of economic mechanism of the development of state regulation of the stock market and optimal combination of the tax burden, comfortable business environment and the country’s stock market capitalization. Practical significance. Practical recommendations on the need to introduce deoffshorization in the stock market of Ukraine are seen as a tool of economic mechanism for further state regulation development of the stock market, used in the formation of proposals to introduce deoffshorization in the stock market in the Regulations of the National Commission on Securities and Stock Market. Value/originality. Implementation of the deoffshorization in the stock market will allow the State to strengthen the protection of investors’ rights, it is a strategic goal of Ukraine, as well as to strengthen the local stock market and increase its credibility among the population.

  17. Effects of changes in stock productivity and mixing on sustainable fishing and economic viability

    DEFF Research Database (Denmark)

    Bastardie, Francois; Nielsen, J. Rasmus; Eero, Margit

    2017-01-01

    Within the new FMSY European paradigm, this paper shows how a combination of changes in fish stock mixing, non-stationarity in productivity, and constraints on unit stock concepts undermine the effective management of fisheries, especially when management reference points are not adjusted...... accordingly. Recent changes in stock structures, conditions and stock mixing between eastern and western Baltic cod can jeopardize the reliability of stock assessments and of the fishery economy. We modelled how different management, individual vessel decision-making, and stock growth and mixing scenarios...... have induced alternative individual vessel spatial effort allocation and economic performance by affecting fishing costs and by changing the relative stock abundance and size distribution. Stock mixing heavily influences profit and stock abundance for stocks that have experienced increased fishing...

  18. The Impact of Economic Agents Perceptions on Stock Price Volatility

    Directory of Open Access Journals (Sweden)

    Jaroslav Bukovina

    2015-01-01

    Full Text Available This paper studies perceptions of economic subjects and its impact on stock prices. Perceptions are represented by stock market indexes and Facebook activity. The contribution of this paper is twofold. In the first place, this paper analyzes the unique data of Facebook activity and proposes the methodology for employment of social networks as a proxy variable which represents the perceptions of information in society related to the specific company. The second contribution is the proposal of potential link between social network principles and theories of behavioral economics. Overall, the author finds the negative impact of Facebook activity on stock prices and the positive impact of stock market indices. The author points the implications of findings to protection of company reputation and to investment strategy based on the existence of undervalued stocks.

  19. The Stock Concept Applicability for the Economic Evaluation of Marine Ecosystem Exploitation

    DEFF Research Database (Denmark)

    Ravn-Jonsen, Lars

    Stock models, in which production is interpreted as if it were the population growth of a stock, have been the preferred tool for fishery economics since Clark and Munro (1975) introduced capital theory in these models. Ravn-Jonsen (2009) applied capital theory to a model in which the production ...... of a stock. The concept of a stock is rather an illusion, as is the concept of an optimal stock level. It is essential to liberate fishery economics from a simplified view of population and communities.......Stock models, in which production is interpreted as if it were the population growth of a stock, have been the preferred tool for fishery economics since Clark and Munro (1975) introduced capital theory in these models. Ravn-Jonsen (2009) applied capital theory to a model in which the production...

  20. MODELING OF THE TRACK AND ROLLING STOCK INTERACTION

    Directory of Open Access Journals (Sweden)

    N. V. Khalipova

    2013-09-01

    Full Text Available Purpose. Interaction of system’s elements of "carriage–track" modelling requires consideration of various criteria, it also requires analysis of many uncertainty and randomness factors’ influence on the basic parameters to ensure optimal or rational parameters of the system. The researching of interactions’ process requires new theoretical approaches to formulation of objectives, based on a generalization of existing modeling approaches. The purpose of this work is development of interaction models between track and rolling stock based on multiple structures of objects. Methodology. Dedicated and formed the main evaluation criteria of dynamic interaction between track and rolling stock optimization - quality assurance and safety of transportation process, improving of their efficiency and reducing of prime cost’s. Based on vector optimization methods, proposed model of rolling stock and track’s elements interaction. For the synthesis of the model used mathematical machine of multiple objects structures. Findings. Generalized approaches to modeling in the interaction of rolling stock and track for different structural elements of the system under different exploitation conditions. This theoretical approach demonstrated on the examples of modeling of passenger and freight cars with track under different exploitation conditions. Originality. Proposed theoretical approach to the problem of track and rolling stock interaction, based on a synthesis of existing models by using of multiple objects structures. Practical value. Using of proposed model allows to structure key data and rational parameters of rolling stock and track interaction’s modeling and to formulate optimal and rational parameters of the system, to determine the effective exploitation parameters and measurement system for rational use of infrastructure.

  1. 26 CFR 1.1502-34 - Special aggregate stock ownership rules.

    Science.gov (United States)

    2010-04-01

    ... stock ownership of a member of a group in another corporation (the “issuing corporation”) for purposes... in the issuing corporation. Thus, assume that members A, B, and C each own 331/3 percent of the stock... 26 Internal Revenue 12 2010-04-01 2010-04-01 false Special aggregate stock ownership rules. 1.1502...

  2. Modelling the impact of oil prices on Vietnam's stock prices

    Energy Technology Data Exchange (ETDEWEB)

    Narayan, Paresh Kumar [School of Accounting, Economics and Finance, Deakin University, Victoria 3125 (Australia); Narayan, Seema [School of Economics, Finance and Marketing, Royal Melbourne Institute of Technology University, Melbourne (Australia)

    2010-01-15

    The goal of this paper is to model the impact of oil prices on Vietnam's stock prices. We use daily data for the period 2000-2008 and include the nominal exchange rate as an additional determinant of stock prices. We find that stock prices, oil prices and nominal exchange rates are cointegrated, and oil prices have a positive and statistically significant impact on stock prices. This result is inconsistent with theoretical expectations. The growth of the Vietnamese stock market was accompanied by rising oil prices. However, the boom of the stock market was marked by increasing foreign portfolio investment inflows which are estimated to have doubled from US$0.9 billion in 2005 to US$1.9 billion in 2006. There was also a change in preferences from holding foreign currencies and domestic bank deposits to stocks local market participants, and there was a rise in leveraged investment in stock as well as investments on behalf of relatives living abroad. It seems that the impact of these internal and domestic factors were more dominant than the oil price rise on the Vietnamese stock market. (author)

  3. Outplanting Wyoming big sagebrush following wldfire: stock performance and economics

    Science.gov (United States)

    Dettweiler-Robinson, Eva; Bakker, Jonathan D.; Evans, James R.; Newsome, Heidi; Davies, G. Matt; Wirth, Troy A.; Pyke, David A.; Easterly, Richard T.; Salstrom, Debra; Dunwiddle, Peter W.

    2013-01-01

    Finding ecologically and economically effective ways to establish matrix species is often critical for restoration success. Wyoming big sagebrush (Artemisia tridentata subsp. wyomingensis) historically dominated large areas of western North America, but has been extirpated from many areas by large wildfires; its re-establishment in these areas often requires active management. We evaluated the performance (survival, health) and economic costs of container and bare-root stock based on operational plantings of more than 1.5 million seedlings across 2 200 ha, and compared our plantings with 30 other plantings in which sagebrush survival was tracked for up to 5 yr. Plantings occurred between 2001 and 2007, and included 12 combinations of stock type, planting amendment, and planting year.We monitored 10 500 plants for up to 8 yr after planting. Survival to Year 3 averaged 21% and was higher for container stock (30%) than bare-root stock (17%). Survival did not differ among container stock plantings, whereas survival of bare-root stock was sometimes enhanced by a hydrogel dip before planting, but not by

  4. Association between Stock Market Gains and Losses and Google Searches.

    Science.gov (United States)

    Arditi, Eli; Yechiam, Eldad; Zahavi, Gal

    2015-01-01

    Experimental studies in the area of Psychology and Behavioral Economics have suggested that people change their search pattern in response to positive and negative events. Using Internet search data provided by Google, we investigated the relationship between stock-specific events and related Google searches. We studied daily data from 13 stocks from the Dow-Jones and NASDAQ100 indices, over a period of 4 trading years. Focusing on periods in which stocks were extensively searched (Intensive Search Periods), we found a correlation between the magnitude of stock returns at the beginning of the period and the volume, peak, and duration of search generated during the period. This relation between magnitudes of stock returns and subsequent searches was considerably magnified in periods following negative stock returns. Yet, we did not find that intensive search periods following losses were associated with more Google searches than periods following gains. Thus, rather than increasing search, losses improved the fit between people's search behavior and the extent of real-world events triggering the search. The findings demonstrate the robustness of the attentional effect of losses.

  5. THE PLACE OF BUCHAREST STOCK EXCHANGE AMONGST THE CAPITAL MARKETS FROM CENTRAL AND EASTERN EUROPE

    OpenAIRE

    Iulia-Oana Stefan

    2015-01-01

    This study performs a thorough comparative analysis over the last five years on the activity of Bucharest Stock Exchange compared to that of the major stock exchanges in Central and Eastern Europe, respectively, the Bulgarian Stock Exchange, the Bratislava Stock Exchange, the CEESEG Budapest Stock Exchange, the CEESEG Ljubljana Stock Exchange, the CEESEG Prague Stock Exchange and the Warsaw Stock Exchange. Thus, through a correlated interpretation of both the evolution of the main stock marke...

  6. The overnight effect on the Taiwan stock market

    Science.gov (United States)

    Tsai, Kuo-Ting; Lih, Jiann-Shing; Ko, Jing-Yuan

    2012-12-01

    This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-to-close) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods among major markets, the TWSE is selected to explore the correlation among the three components and compare it with major markets such as the New York Stock Exchange (NYSE) and the National Association of Securities Dealers Automated Quotation (NASDAQ). Analysis results indicate a negative cross correlation between the sign of daytime return and the sign of overnight return; possibly explaining why most stocks feature a negative cross correlation between daytime return and overnight return [F. Wang, S.-J. Shieh, S. Havlin, H.E. Stanley, Statistical analysis of the overnight and daytime return, Phys. Rev. E 79 (2009) 056109]. Additionally, the cross correlation between the magnitude of returns is analyzed. According to those results, a larger magnitude of overnight return implies a higher probability that the sign of the following daytime return is the opposite of the sign of overnight return. Namely, the predictability of daytime return might be improved when a stock undergoes a large magnitude of overnight return. Furthermore, the cross correlations of 29 indices of worldwide markets are discussed.

  7. Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk

    Science.gov (United States)

    Borysov, Stanislav S.; Balatsky, Alexander V.

    2014-01-01

    We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994–2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa. PMID:25162697

  8. Impact of Monetary Policy and Fiscal Policy on Indonesian Stock Market

    Directory of Open Access Journals (Sweden)

    Rossanto Dwi HANDOYO

    2015-05-01

    Full Text Available This paper attempts to investigate the effect of fiscal and monetary policy on Indonesian Stock price as well as main sectors stock price such as agricultural, mining, manufacture, and financial sector indexes. We consider the world oil price as a foreign variable that will influence domestic economy as in regular small open economy model. In this paper, we employ the Monte Carlo algorithm to Near-SVAR models (If some of the VAR equations have regressors not included in the others. We find that there is a positive stock price response to monetary policy shock both aggregated and sectoral stock price. In term of interaction between fiscal policy shock and stock market, we find that all sectors respond negative relationship. From this empirical finding, fiscal policy crowd out private sector activity in market, thus, its effect will be impotent in economy. We also provide the evidence that not only both policies are able to influence the stock price individually, but also the interaction between monetary and fiscal policy is important in explaining stock market performance.

  9. Cross-correlation asymmetries and causal relationships between stock and market risk.

    Science.gov (United States)

    Borysov, Stanislav S; Balatsky, Alexander V

    2014-01-01

    We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994-2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa.

  10. An Analysis and Implementation of the Hidden Markov Model to Technology Stock Prediction

    Directory of Open Access Journals (Sweden)

    Nguyet Nguyen

    2017-11-01

    Full Text Available Future stock prices depend on many internal and external factors that are not easy to evaluate. In this paper, we use the Hidden Markov Model, (HMM, to predict a daily stock price of three active trading stocks: Apple, Google, and Facebook, based on their historical data. We first use the Akaike information criterion (AIC and Bayesian information criterion (BIC to choose the numbers of states from HMM. We then use the models to predict close prices of these three stocks using both single observation data and multiple observation data. Finally, we use the predictions as signals for trading these stocks. The criteria tests’ results showed that HMM with two states worked the best among two, three and four states for the three stocks. Our results also demonstrate that the HMM outperformed the naïve method in forecasting stock prices. The results also showed that active traders using HMM got a higher return than using the naïve forecast for Facebook and Google stocks. The stock price prediction method has a significant impact on stock trading and derivative hedging.

  11. Gold-Stock Market Relationship: Emerging Markets versus Developed Markets

    Directory of Open Access Journals (Sweden)

    Jalal Seifoddini

    2017-09-01

    Full Text Available We perform a comparative study on the gold-stock market relationship in U.S. stock market as a developed market and in Iran stock market as an emerging market. By considering appropriate variables for emerging markets and by providing a more proper methodology, we improve earlier studies. According to our findings, the relationship between stock market returns and gold price returns does not follow any specific regimes and that this relationship changes in short and long term returns. It is necessary to mention that in the present research, we did not consider this relationship in major structural changes in the economies and instead considered usual economic circumstances that investors are regularly faced with in their investment decisions.

  12. Causality between regional stock markets: A frequency domain approach

    Directory of Open Access Journals (Sweden)

    Gradojević Nikola

    2013-01-01

    Full Text Available Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany, this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBITOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect.

  13. Recycling strategy of the end-of-life rolling stock in China

    Science.gov (United States)

    Guo, L.; Wang, X. W.; Lin, Y.; Shen, X. F.; Liu, Y. Q.

    2018-03-01

    China's high-speed railway industry is growing fast, the side effect is that plenty of rolling stock come to the end of life each year. However, there are not relevant standards nor regulations for the recycling of rolling stock in China, which causes pollution and a waste of resources. In this paper, the basic meaning and characteristics of the circular economy is reviewed and applied to the rolling stock industry. The recycling steps are elaborated in detail according to the characteristics of rolling stock. The result proves that circular economy has both the theoretical and practical meaning in the rolling stock recycling industry in China.

  14. Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

    Directory of Open Access Journals (Sweden)

    Lili Li

    2016-01-01

    Full Text Available We study the nonlinear autoregressive dynamics of stock index returns in seven major advanced economies (G7 and China. The quantile autoregression model (QAR enables us to investigate the autocorrelation across the whole spectrum of return distribution, which provides more insightful conditional information on multinational stock market dynamics than conventional time series models. The relation between index return and contemporaneous trading volume is also investigated. While prior studies have mixed results on stock market autocorrelations, we find that the dynamics is usually state dependent. The results for G7 stock markets exhibit conspicuous similarities, but they are in manifest contrast to the findings on Chinese stock markets.

  15. Stock Identification of Columbia River Chinook Salmon and Steelhead Trout, 1986 Final Report.

    Energy Technology Data Exchange (ETDEWEB)

    Schreck, Carl B.; Li, Hiran W.; Hjort, Randy C.

    1986-08-01

    For the first time genetic similarities among chinook salmon and among steelhead trout stocks of the Columbia River were determined using a holistic approach including analysis of life history, biochemical, body shape and meristic characters. We examined between year differences for each of the stock characteristics and we also correlated the habitat characteristics with the wild stock characteristics. The most important principle for managing stocks of Columbia River chinook salmon and steelhead trout is that geographically proximal stocks tend to be like each other. Run timing and similarity of the stream systems should be taken into account when managing stocks. There are similarities in the classifications derived for chinook salmon and steelhead trout. Steelhead trout or chinook salmon tend to be genetically similar to other steelhead or chinook stocks, respectively, that originate from natal streams that are geographically close, regardless of time of freshwater entry. The primary exception Lo this trend is between stocks of spring and fall chinook in the upper Columbia River where fish with the different run timings are dissimilar, though geographically proximate stocks within a run form are generally very similar. Spring chinook stocks have stronger affinities to other spring chinook stocks that originate in the same side of the Cascade Range than to these Spring chinook stock: spawned on the other side of the Cascade Range. Spring chinook from west of the Cascades are more closely related to fall chinook than they are to spring chinook from east of the Cascades. Summer chinook can be divided into two main groups: (1) populations in the upper Columbia River that smolt as subyearlings and fall chinook stocks; and (2) summer chinook stocks from the Salmon River, Idaho, which smolt as yearlings and are similar to spring chinook stocks from Idaho. Fall chinook appear to comprise one large diverse group that is not easily subdivided into smaller subgroups. In

  16. 26 CFR 1.865-2 - Loss with respect to stock.

    Science.gov (United States)

    2010-04-01

    ... principal purpose of holding the N stock without significant risk of loss until the recapture period expired... of enabling P to hold the N stock without significant risk of loss. Accordingly, under paragraph (b... diminishes P's risk of loss with respect to the F stock (and vice versa). P holds N and F with a principal...

  17. Can we still beat "buy-and-hold" for individual stocks?

    Science.gov (United States)

    Hui, Eddie C. M.; Kevin Chan, Ka Kwan

    2014-09-01

    Many investors seek for a trading strategy to beat the "buy-and-hold" strategy. In light of this, Hui and Yam (2014) and Hui et al. (2014) derived a trading strategy from the Shiryaev-Zhou index, and found that the resulting strategy outperformed the "buy-and-hold" strategy for western and Asian securitized real estate indices respectively. However, whether the trading strategy works on individual stocks or not is still unknown. This is the first study to test whether the trading strategy can beat the "buy-and-hold" strategy on individual stocks. We construct two trading strategies and compare the resulting profits with the profits arising from the "buy-and-hold" strategy on Hang Seng Index (HSI), Hang Seng Property (HSP) Index and 12 constituent stocks of HSI during the period December 29, 1995-December 31, 2013. The second strategy (Strategy 2) is a new strategy which incorporates short-selling, and has the effect of multiplying the profit. The results show that our trading strategies are less effective on individual stocks than on stock indices, and are more effective on property stocks than on non-property stocks. Moreover, our strategies outperform "buy-and-hold" by a larger extent on stocks of which the Shiryaev-Zhou indices fluctuate less frequently. Furthermore, by tracking the resulting profits of the three strategies at different times along the whole period of observation, our strategies work better during "bad times" than during "good times". This reflects that our trading strategies are especially useful in protecting investors from substantial loss during market downturns.

  18. Measuring liquidity on stock market: impact on liquidity ratio

    OpenAIRE

    Siniša Bogdan; Suzana Bareša; Saša Ivanović

    2012-01-01

    The purpose – It is important to emphasize that liquidity on Croatian stock market is low, the purpose of this paper is to test empirically and find out which variables make crucial role in decision making process of investing in stocks. Design – This paper explores the impact of various liquidity variables on liquidity ratio since it is still insufficiently researched topic. Methodology –This research uses secondary and primary data available from Croatian stock market. Considering pri...

  19. Immediate causality network of stock markets

    Science.gov (United States)

    Zhou, Li; Qiu, Lu; Gu, Changgui; Yang, Huijie

    2018-02-01

    Extensive works show that a network of stocks within a single stock market stores rich information on evolutionary behaviors of the system, such as collapses and/or crises. But a financial event covers usually several markets or even the global financial system. This mismatch of scale leads to lack of concise information to coordinate the event. In this work by using the transfer entropy we reconstruct the influential network between ten typical stock markets distributed in the world. Interesting findings include, before a financial crisis the connection strength reaches a maximum, which can act as an early warning signal of financial crises. The markets in America are monodirectionally and strongly influenced by that in Europe and act as the center. Some strongly linked pairs have also close correlations. The findings are helpful in understanding the evolution and modelling the dynamical process of the global financial system. This method can be extended straightly to find early warning signals for physiological and ecological systems, etc.

  20. Clustering stocks using partial correlation coefficients

    Science.gov (United States)

    Jung, Sean S.; Chang, Woojin

    2016-11-01

    A partial correlation analysis is performed on the Korean stock market (KOSPI). The difference between Pearson correlation and the partial correlation is analyzed and it is found that when conditioned on the market return, Pearson correlation coefficients are generally greater than those of the partial correlation, which implies that the market return tends to drive up the correlation between stock returns. A clustering analysis is then performed to study the market structure given by the partial correlation analysis and the members of the clusters are compared with the Global Industry Classification Standard (GICS). The initial hypothesis is that the firms in the same GICS sector are clustered together since they are in a similar business and environment. However, the result is inconsistent with the hypothesis and most clusters are a mix of multiple sectors suggesting that the traditional approach of using sectors to determine the proximity between stocks may not be sufficient enough to diversify a portfolio.

  1. A cointegration analysis of wine stock indexes

    Directory of Open Access Journals (Sweden)

    Sabina Introvigne

    2017-12-01

    Full Text Available This paper analyzes price patterns and long-run relationships for both fine wine and non-fine wine, with the aim to highlight price dynamics and co-movements between series, and to exploit potential diversification benefits. Data are from Liv-Ex 100 Fine Wine for fine wine, the Mediobanca Global Wine Industry Share Price for normal wine, and the MSCI World Index as a proxy of the overall stock market. Engle-Granger and Johansen tests were used to detect whether and to what extent the series co-move in the long run and which one of the variables contributes proactively to such an equilibrium by reacting to disequilibria from the long-run path. The estimates highlight that i the two wine indexes have a higher Sharpe ratio compared to the general stock market index, revealing wine stocks as a profitable investment per se, and ii the absence of cointegration among the three series and the existence of possible diversification benefits. In fact, in the long-run price do not move together and, therefore, investors may be better off by including wine stocks into investment portfolios and take advantage of diversification

  2. The stock market performance of the central banks of Belgium and Japan

    NARCIS (Netherlands)

    Kabir, Mohammed Rezaul; Goldberg, Lawrence G.

    2002-01-01

    Most central banks issue stock that is held by the government and/or commercial banks and is not tradable. In contrast, stocks of the central banks of Belgium and Japan are traded on the Brussels and Tokyo stock exchanges. The purpose of the paper is to examine this unique phenomenon of stock market

  3. 77 FR 29969 - Marine Mammal Stock Assessment Reports

    Science.gov (United States)

    2012-05-21

    ... Mammal Stock Assessment Reports AGENCY: National Marine Fisheries Service (NMFS), National Oceanic and... of marine mammal stock assessment reports (SARs). The 2011 reports are final and available to the... individual reports at the following address: http://www.nmfs.noaa.gov/pr/sars/ . You also may send requests...

  4. Stock Market Savvy.

    Science.gov (United States)

    Okula, Susan

    2003-01-01

    This issue of Keying In, the newsletter of the National Business Education Association, focuses upon teaching young adults how to develop both investment strategies and an understanding of the stock market. The first article, "Sound Investing Know-How: A Must for Today's Young Adults," describes how young adults can plan for their own…

  5. The Financial Indicators’ and Listed Company‘s Stock Price Link Determining the Value

    Directory of Open Access Journals (Sweden)

    Rima Tamošiūnienė

    2016-06-01

    Full Text Available The demand for value determination increased after rising of the Lithuanian economics. The joint-stock company value depends on the stock price and the company’s profit according to the “stock pricing for profit” method. The purpose of this scientific paper is the financial indicators’ and listed company’s stock price link determining the value. The analysis methods are: the research of scientific literature, data analysis, summarizing and graphic visualization. The link between financial indicators and the stock price is determined on the basis of correlation regression analysis. The analysis showed that listed on the stock exchange company’s stocks already have some value as they raise the capital. The research results revealed the stock price’s direct dependence on the fixed asset turnover and the debt-to-asset ratios.

  6. The Value Premium on the Danish Stock Market

    DEFF Research Database (Denmark)

    Risager, Ole

    2005-01-01

    research on this issue. The purpose of this paper is to report evidence for the Danish stock market and to test whether the value premium is a genuine long-term feature of the market or just a phenomenon that pops up now and then. To research this issue we have collected accounting and stock market data......A number of influential studies have documented a strong value premium for US stocks over the period 1963 to 1990 (Fama and French (1992), Lakonishok et al. (1994)). Stocks with low price-earnings multiples, price-book values and other measures of value are reported to have given a higher mean...... return than the high multiple growth firms. Work by Basu (1997) and others have shown that the value dominance is also a feature of the earlier market history of the United States. The value premium is reported also to exist in a number of other countries over the period 1975 to 1995 (Fama and French...

  7. Northern peatland carbon stocks and dynamics: a review

    Directory of Open Access Journals (Sweden)

    Z. C. Yu

    2012-10-01

    Full Text Available Peatlands contain a large belowground carbon (C stock in the biosphere, and their dynamics have important implications for the global carbon cycle. However, there are still large uncertainties in C stock estimates and poor understanding of C dynamics across timescales. Here I review different approaches and associated uncertainties of C stock estimates in the literature, and on the basis of the literature review my best estimate of C stocks and uncertainty is 500 ± 100 (approximate range gigatons of C (Gt C in northern peatlands. The greatest source of uncertainty for all the approaches is the lack or insufficient representation of data, including depth, bulk density and carbon accumulation data, especially from the world's large peatlands. Several ways to improve estimates of peat carbon stocks are also discussed in this paper, including the estimates of C stocks by regions and further utilizations of widely available basal peat ages.

    Changes in peatland carbon stocks over time, estimated using Sphagnum (peat moss spore data and down-core peat accumulation records, show different patterns during the Holocene, and I argue that spore-based approach underestimates the abundance of peatlands in their early histories. Considering long-term peat decomposition using peat accumulation data allows estimates of net carbon sequestration rates by peatlands, or net (ecosystem carbon balance (NECB, which indicates more than half of peat carbon (> 270 Gt C was sequestrated before 7000 yr ago during the Holocene. Contemporary carbon flux studies at 5 peatland sites show much larger NECB during the last decade (32 ± 7.8 (S.E. g C m−2 yr–1 than during the last 7000 yr (∼ 11 g C m−2 yr–1, as modeled from peat records across northern peatlands. This discrepancy highlights the urgent need for carbon accumulation data and process understanding, especially at decadal and centennial timescales

  8. 26 CFR 1.1242-1 - Losses on small business investment company stock.

    Science.gov (United States)

    2010-04-01

    ... the sale or exchange, of the stock of a small business investment company (whether or not such stock....1242-1 Losses on small business investment company stock. (a) In general. Any taxpayer who sustains a... operating loss shall not apply to any loss with respect to the stock of a small business investment company...

  9. Stock Selection for Portfolios Using Expected Utility-Entropy Decision Model

    Directory of Open Access Journals (Sweden)

    Jiping Yang

    2017-09-01

    Full Text Available Yang and Qiu proposed and then recently improved an expected utility-entropy (EU-E measure of risk and decision model. When segregation holds, Luce et al. derived an expected utility term, plus a constant multiplies the Shannon entropy as the representation of risky choices, further demonstrating the reasonability of the EU-E decision model. In this paper, we apply the EU-E decision model to selecting the set of stocks to be included in the portfolios. We first select 7 and 10 stocks from the 30 component stocks of Dow Jones Industrial Average index, and then derive and compare the efficient portfolios in the mean-variance framework. The conclusions imply that efficient portfolios composed of 7(10 stocks selected using the EU-E model with intermediate intervals of the tradeoff coefficients are more efficient than that composed of the sets of stocks selected using the expected utility model. Furthermore, the efficient portfolio of 7(10 stocks selected by the EU-E decision model have almost the same efficient frontier as that of the sample of all stocks. This suggests the necessity of incorporating both the expected utility and Shannon entropy together when taking risky decisions, further demonstrating the importance of Shannon entropy as the measure of uncertainty, as well as the applicability of the EU-E model as a decision-making model.

  10. Stock Price Synchronicity and Material Sustainability Information

    OpenAIRE

    Grewal, Jody; Hauptmann, Clarissa; Serafeim, Georgios

    2017-01-01

    We examine if, and under what conditions, disclosure of sustainability information identified as investor relevant by market-driven innovations in accounting standard-setting, is associated with stock prices reflecting more firm-specific information and thereby lower synchronicity with market and industry returns. We find that firms voluntarily disclosing more sustainability information, identified as material by the Sustainability Accounting Standards Board (SASB), have lower stock price syn...

  11. The illogicality of stock-brokers: psychological experiments on the effects of prior knowledge and belief biases on logical reasoning in stock trading.

    Science.gov (United States)

    Knauff, Markus; Budeck, Claudia; Wolf, Ann G; Hamburger, Kai

    2010-10-18

    Explanations for the current worldwide financial crisis are primarily provided by economists and politicians. However, in the present work we focus on the psychological-cognitive factors that most likely affect the thinking of people on the economic stage and thus might also have had an effect on the progression of the crises. One of these factors might be the effect of prior beliefs on reasoning and decision-making. So far, this question has been explored only to a limited extent. We report two experiments on logical reasoning competences of nineteen stock-brokers with long-lasting vocational experiences at the stock market. The premises of reasoning problems concerned stock trading and the experiments varied whether or not their conclusions--a proposition which is reached after considering the premises--agreed with the brokers' prior beliefs. Half of the problems had a conclusion that was highly plausible for stock-brokers while the other half had a highly implausible conclusion. The data show a strong belief bias. Stock-brokers were strongly biased by their prior knowledge. Lowest performance was found for inferences in which the problems caused a conflict between logical validity and the experts' belief. In these cases, the stock-brokers tended to make logically invalid inferences rather than give up their existing beliefs. Our findings support the thesis that cognitive factors have an effect on the decision-making on the financial market. In the present study, stock-brokers were guided more by past experience and existing beliefs than by logical thinking and rational decision-making. They had difficulties to disengage themselves from vastly anchored thinking patterns. However, we believe, that it is wrong to accuse the brokers for their "malfunctions", because such hard-wired cognitive principles are difficult to suppress even if the person is aware of them.

  12. The illogicality of stock-brokers: psychological experiments on the effects of prior knowledge and belief biases on logical reasoning in stock trading.

    Directory of Open Access Journals (Sweden)

    Markus Knauff

    Full Text Available BACKGROUND: Explanations for the current worldwide financial crisis are primarily provided by economists and politicians. However, in the present work we focus on the psychological-cognitive factors that most likely affect the thinking of people on the economic stage and thus might also have had an effect on the progression of the crises. One of these factors might be the effect of prior beliefs on reasoning and decision-making. So far, this question has been explored only to a limited extent. METHODS: We report two experiments on logical reasoning competences of nineteen stock-brokers with long-lasting vocational experiences at the stock market. The premises of reasoning problems concerned stock trading and the experiments varied whether or not their conclusions--a proposition which is reached after considering the premises--agreed with the brokers' prior beliefs. Half of the problems had a conclusion that was highly plausible for stock-brokers while the other half had a highly implausible conclusion. RESULTS: The data show a strong belief bias. Stock-brokers were strongly biased by their prior knowledge. Lowest performance was found for inferences in which the problems caused a conflict between logical validity and the experts' belief. In these cases, the stock-brokers tended to make logically invalid inferences rather than give up their existing beliefs. CONCLUSIONS: Our findings support the thesis that cognitive factors have an effect on the decision-making on the financial market. In the present study, stock-brokers were guided more by past experience and existing beliefs than by logical thinking and rational decision-making. They had difficulties to disengage themselves from vastly anchored thinking patterns. However, we believe, that it is wrong to accuse the brokers for their "malfunctions", because such hard-wired cognitive principles are difficult to suppress even if the person is aware of them.

  13. Cluster fusion-fission dynamics in the Singapore stock exchange

    Science.gov (United States)

    Teh, Boon Kin; Cheong, Siew Ann

    2015-10-01

    In this paper, we investigate how the cross-correlations between stocks in the Singapore stock exchange (SGX) evolve over 2008 and 2009 within overlapping one-month time windows. In particular, we examine how these cross-correlations change before, during, and after the Sep-Oct 2008 Lehman Brothers Crisis. To do this, we extend the complete-linkage hierarchical clustering algorithm, to obtain robust clusters of stocks with stronger intracluster correlations, and weaker intercluster correlations. After we identify the robust clusters in all time windows, we visualize how these change in the form of a fusion-fission diagram. Such a diagram depicts graphically how the cluster sizes evolve, the exchange of stocks between clusters, as well as how strongly the clusters mix. From the fusion-fission diagram, we see a giant cluster growing and disintegrating in the SGX, up till the Lehman Brothers Crisis in September 2008 and the market crashes of October 2008. After the Lehman Brothers Crisis, clusters in the SGX remain small for few months before giant clusters emerge once again. In the aftermath of the crisis, we also find strong mixing of component stocks between clusters. As a result, the correlation between initially strongly-correlated pairs of stocks decay exponentially with average life time of about a month. These observations impact strongly how portfolios and trading strategies should be formulated.

  14. Chinook salmon Genetic Stock Identification data - Genetic Stock Identification of Washington Chinook salmon

    Data.gov (United States)

    National Oceanic and Atmospheric Administration, Department of Commerce — This project evaluates data from coded wire tagging with that from parental based tagging to identify stock of origin for Chinook salmon landed in Washington state...

  15. 51 The Role of Stock Market Development on Economic Growth in ...

    African Journals Online (AJOL)

    User

    2012-01-24

    Jan 24, 2012 ... An International Multidisciplinary Journal, Ethiopia ... study measures the relationship between stock market development indices ... The stock market capitalization ratio was used as a ... market performance and economic growth. ... With well-functional financial sector or banking sector, stock markets can.

  16. The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities

    OpenAIRE

    Yuan-Ming Lee; Kuan-Min Wang

    2010-01-01

    This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to 2007). The data include Taiwan Stock Exchange Capitalization Weighted Stock Index and the U.S. Dow Jones Industrial Average index to proxy the impact of U.S. stock market on Taiwan’s stock market performanc...

  17. Estimating temporary and permanent stock price innovations on Croatian capital market

    Directory of Open Access Journals (Sweden)

    Tihana Škrinjarić

    2014-03-01

    Full Text Available This paper evaluates the size and duration of temporary and permanent stock price innovations on Croatian capital market in the structural VAR (vector autoregression framework with Blanchard and Quah (1989 decomposition. The purpose is to identify the effects of temporary price innovations in order to determine to which extent future stock prices can be predicted. Temporary components present in stock prices are explained throughout the mean-reversion hypothesis. This means that stock prices deviate from the fundamental values, but they will revert to their mean. In that way, to some extent, it is possible to predict future price movements. The results show that for the observed period from January 2000 to September 2013, temporary innovations account for only 2.62% of price variability over a two-year horizon. This means that forecasting the future movements of stock prices on Zagreb Stock Exchange is a difficult task.

  18. 76 FR 34054 - Marine Mammal Stock Assessment Reports

    Science.gov (United States)

    2011-06-10

    ... the language, a broad consensus was reached to accept the amendment of Schedule paragraph 13(b)(2) as... false killer whale stock into three fictional stocks based on the U.S. EEZ boundaries, and has inappropriately extrapolated from a single outdated false killer whale sighting to establish a population...

  19. Essays on investing in stock and bond markets

    NARCIS (Netherlands)

    Kuiper, Ivo

    2017-01-01

    This Ph.D. thesis consists of three chapters about investing in stock and bond markets. The first chapter studies the financial market’s response to economic news as function of the economic environment by attributing the daily stock returns to its main drivers. The second chapter studies the cross

  20. Development of an Executive Level Stock Fund Handbook

    Science.gov (United States)

    1990-09-01

    appearance of a document. Format involves, among other matters, the typography and physical arrangement of the words of a document. However, not only...Concepts What Are Stock Funds? Unless you actually worked with stock funds before, your immediate reaction may be captured by the thought "smoke and

  1. Scaling and volatility of breakouts and breakdowns in stock price dynamics.

    Science.gov (United States)

    Liu, Lu; Wei, Jianrong; Huang, Jiping

    2013-01-01

    Because the movement of stock prices is not only ubiquitous in financial markets but also crucial for investors, extensive studies have been done to understand the law behind it. In particular, since the financial crisis in 2008, researchers have a more interest in investigating large market volatilities in order to grasp changing market trends. In this work, we analyze the breakouts and breakdowns of both the Standard & Poor's 500 Index in the US stock market and the Shanghai Composite Index in the Chinese stock market. The breakout usually represents an ongoing upward trend in technical analysis while the breakdown represents an ongoing downward trend. Based on the renormalization method, we introduce two parameters to quantize breakouts and breakdowns, respectively. We discover scaling behavior, characterized by power-law distributions for both the breakouts and breakdowns in the two financial markets with different power-law exponents, which reflect different market volatilities. In detail, the market volatility for breakdowns is usually larger than that for breakouts. Moreover, as an emerging market, the Chinese stock market has larger market volatilities for both the breakouts and breakdowns than the US stock market (a mature market). Further, the short-term volatilities show similar features for both the US stock market and the Chinese stock market. However, the medium-term volatilities in the US stock market are almost symmetrical for the breakouts and breakdowns, whereas those in the Chinese stock market appear to be asymmetrical for the breakouts and breakdowns. The methodology presented here provides a way to understand scaling and hence volatilities of breakouts and breakdowns in stock price dynamics. Our findings not only reveal the features of market volatilities but also make a comparison between mature and emerging financial markets.

  2. Scaling and volatility of breakouts and breakdowns in stock price dynamics.

    Directory of Open Access Journals (Sweden)

    Lu Liu

    Full Text Available BACKGROUND: Because the movement of stock prices is not only ubiquitous in financial markets but also crucial for investors, extensive studies have been done to understand the law behind it. In particular, since the financial crisis in 2008, researchers have a more interest in investigating large market volatilities in order to grasp changing market trends. METHODOLOGY/PRINCIPAL FINDINGS: In this work, we analyze the breakouts and breakdowns of both the Standard & Poor's 500 Index in the US stock market and the Shanghai Composite Index in the Chinese stock market. The breakout usually represents an ongoing upward trend in technical analysis while the breakdown represents an ongoing downward trend. Based on the renormalization method, we introduce two parameters to quantize breakouts and breakdowns, respectively. We discover scaling behavior, characterized by power-law distributions for both the breakouts and breakdowns in the two financial markets with different power-law exponents, which reflect different market volatilities. In detail, the market volatility for breakdowns is usually larger than that for breakouts. Moreover, as an emerging market, the Chinese stock market has larger market volatilities for both the breakouts and breakdowns than the US stock market (a mature market. Further, the short-term volatilities show similar features for both the US stock market and the Chinese stock market. However, the medium-term volatilities in the US stock market are almost symmetrical for the breakouts and breakdowns, whereas those in the Chinese stock market appear to be asymmetrical for the breakouts and breakdowns. CONCLUSIONS/SIGNIFICANCE: The methodology presented here provides a way to understand scaling and hence volatilities of breakouts and breakdowns in stock price dynamics. Our findings not only reveal the features of market volatilities but also make a comparison between mature and emerging financial markets.

  3. 26 CFR 1.58-8 - Capital gains and stock options.

    Science.gov (United States)

    2010-04-01

    ... 26 Internal Revenue 1 2010-04-01 2010-04-01 true Capital gains and stock options. 1.58-8 Section 1... Tax Preference Regulations § 1.58-8 Capital gains and stock options. (a) In general. Section 58(g)(2) provides that the items of tax preference specified in section 57(a)(6), and § 1.57-1(b) (stock options...

  4. Information Asymmetry and Financing Decisions: Evidence from Iran Stock Exchange

    OpenAIRE

    Mehdi Elhaei Sahar; Seyed Ali Vaez

    2013-01-01

    This study aims to investigate the relations of information asymmetry and financing decisions in Tehran Stock Exchange (TSE) during 2009 to 2011. Our statistical simple consist 170 firms and stepwise regression method has been used. We found that the relationship between information asymmetry and stock issuing is negative. Other results refer to positive relation between financing deficit and stock issuing.

  5. 26 CFR 1.1014-9 - Special rule with respect to DISC stock.

    Science.gov (United States)

    2010-04-01

    ... 995(c) as a dividend if the decedent had lived and sold such stock at its fair market value on the... DISC stock has a fair market value of $100. The estate does not elect the alternate valuation allowed... such stock from the decedent will take as a basis for such stock its fair market value at A's death...

  6. The Random-Walk Hypothesis on the Indian Stock Market

    OpenAIRE

    Ankita Mishra; Vinod Mishra; Russell Smyth

    2014-01-01

    This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random walk hypothesis. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accou...

  7. Asymmetry Effects of shocks in Chinese Stock Markets Volatility

    DEFF Research Database (Denmark)

    Hou, Ai Jun

    2013-01-01

    The unique characteristics of the Chinese stock markets make it difficult to assume a particular distribution for innovations in returns and the specification form of the volatility process when modelling return volatility with the parametric GARCH family models. This paper therefore applies...... a generalized additive nonparametric smoothing technique to examine the volatility of the Chinese stock markets. The empirical results indicate that an asymmetric effect of negative news exists in the Chinese stock markets. Furthermore, compared with other parametric models, the generalized additive...

  8. An Intelligent Model for Stock Market Prediction

    Directory of Open Access Journals (Sweden)

    IbrahimM. Hamed

    2012-08-01

    Full Text Available This paper presents an intelligent model for stock market signal prediction using Multi-Layer Perceptron (MLP Artificial Neural Networks (ANN. Blind source separation technique, from signal processing, is integrated with the learning phase of the constructed baseline MLP ANN to overcome the problems of prediction accuracy and lack of generalization. Kullback Leibler Divergence (KLD is used, as a learning algorithm, because it converges fast and provides generalization in the learning mechanism. Both accuracy and efficiency of the proposed model were confirmed through the Microsoft stock, from wall-street market, and various data sets, from different sectors of the Egyptian stock market. In addition, sensitivity analysis was conducted on the various parameters of the model to ensure the coverage of the generalization issue. Finally, statistical significance was examined using ANOVA test.

  9. The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data

    Directory of Open Access Journals (Sweden)

    Pramod Kumar NAIK

    2012-11-01

    Full Text Available The study investigates the relationships between the Indian stock market index (BSE Sensex and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period 1994:04–2011:06. Johansen’s co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is observed that the stock prices positively relate to the money supply and industrial production but negatively relate to inflation. The exchange rate and the short-term interest rate are found to be insignificant in determining stock prices. In the Granger causality sense, macroeconomic variable causes the stock prices in the long-run but not in the short-run. There is bidirectional causality exists between industrial production and stock prices whereas, unidirectional causality from money supply to stock price, stock price to inflation and interest rates to stock prices are found.

  10. Performance of Islamic Stocks Index: Comparative Studies Between Indonesia and Malaysia

    Directory of Open Access Journals (Sweden)

    Tulasmi Tulasmi

    2016-06-01

    Full Text Available The aim of this research is to compare the Islamic stocks index performance between Malaysia and Indonesia using Sharpe method, Treynor method, and Jensen method. The result show that the Islamic stocks index performance in Indonesia –measured by Jakarta Islamic Index- is better than Malaysia if using Treynor and Jensen methods. Otherwise, using the Sharpe method show that Islamic stock index in Malaysia is better than Islamic stocks index in Indonesia. The implication from this result is the investor with enough funds recommended to invest in Indonesia, but the small investor can do the investment to Islamic stocks index in Malaysia.DOI:  10.15408/sjie.v5i1.3127 

  11. Oil Price Shocks and Stock Markets in BRICs

    Directory of Open Access Journals (Sweden)

    Ono, Shigeki

    2011-06-01

    Full Text Available This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.

  12. ECONOMIC AND ACCOUNTING INFORMATION AND STOCK MARKET EFFICIENCY

    Directory of Open Access Journals (Sweden)

    Simona – Florina SĂLIȘTEANU

    2014-05-01

    Full Text Available The purpose of this paper is to explore and to analyse the relations between financial accounting information and stock market efficiency. As we know, accounting contributes to the efficiency of the stock market by producing primordial information for the investors. On the other side, an efficient market facilitates the role of accounting by providing a reliable estimate of the value of many assets that needs to be evaluated. This article examines the importance of the financial accounting information for the efficiency of stock market, and also analyses whether and how the structure, the characteristics and publication of the information, impacts the prices and transactions volumes.

  13. Statistics of extreme events in Chinese stock markets

    International Nuclear Information System (INIS)

    Wu Gan-Hua; Qiu Lu; Li Xin-Li; Yang Yue; Yang Hui-Jie; Jiang Yan; Stephen Mutua

    2014-01-01

    We investigate the impact of financial factors on daily volume recurrent time intervals in the developing Chinese stock markets. The tails of probability distribution functions (PDFs) of volume recurrent intervals behave as a power-law, and the scaling exponent decreases with the increase of stock lifetime, which are similar to those in the US stock markets, and they are typical representatives of developed markets. The difference is that the power-law exponent values remain almost the same with the changes of market capitalization, mean volume, and mean trading value, respectively. These findings enrich the results for event statistics for financial markets. (interdisciplinary physics and related areas of science and technology)

  14. INFLUENCE THE STOCKS ON YIELD AND QUALITY OF GRAPES AND ALIGOTE WINE

    OpenAIRE

    Chausov V. M.

    2016-01-01

    The article presents results of the six-year study of the effect of stocks Riparia × Rupestris 101-14 and Berlandieri × Riparia Kober 5BB on yield, quality of grapes and Aligote wine in the central zone of the Krasnodar region. Effect of stock on scion strongly depends on the annual weather conditions. In a given year, there is a stock better adapted to the weather conditions. Stocks of Riparia × Rupestris 101-14 increase winter hardiness, and the stock Berlandieri × Riparia Kober 5BB - droug...

  15. Eastern Baltic cod in distress: biological changes and challenges for stock assessment

    DEFF Research Database (Denmark)

    Eero, Margit; Hjelm, Joakim; Behrens, Jane

    2015-01-01

    The eastern Baltic (EB) cod (Gadus morhua) stock was depleted and overexploited for decades until the mid-2000s, when fishing mortality rapidly declined and biomass started to increase, as shown by stock assessments. These positive developments were partly assigned to effective management measures...... that the stock is in distress. In this study, we (i) summarize the knowledge of recent changes in cod biology and ecosystem conditions, (ii) describe the subsequent challenges for stock assessment, and (iii) highlight the key questions where answers are urgently needed to understand the present stock status...

  16. A multi-assets artificial stock market with zero-intelligence traders

    Science.gov (United States)

    Ponta, L.; Raberto, M.; Cincotti, S.

    2011-01-01

    In this paper, a multi-assets artificial financial market populated by zero-intelligence traders with finite financial resources is presented. The market is characterized by different types of stocks representing firms operating in different sectors of the economy. Zero-intelligence traders follow a random allocation strategy which is constrained by finite resources, past market volatility and allocation universe. Within this framework, stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Moreover, the cross-correlations between returns of different stocks are studied using methods of random matrix theory. The probability distribution of eigenvalues of the cross-correlation matrix shows the presence of outliers, similar to those recently observed on real data for business sectors. It is worth noting that business sectors have been recovered in our framework without dividends as only consequence of random restrictions on the allocation universe of zero-intelligence traders. Furthermore, in the presence of dividend-paying stocks and in the case of cash inflow added to the market, the artificial stock market points out the same structural results obtained in the simulation without dividends. These results suggest a significative structural influence on statistical properties of multi-assets stock market.

  17. A Novel Model for Stock Price Prediction Using Hybrid Neural Network

    Science.gov (United States)

    Senapati, Manas Ranjan; Das, Sumanjit; Mishra, Sarojananda

    2018-06-01

    The foremost challenge for investors is to select stock price by analyzing financial data which is a menial task as of distort associated and massive pattern. Thereby, selecting stock poses one of the greatest difficulties for investors. Nowadays, prediction of financial market like stock market, exchange rate and share value are very challenging field of research. The prediction and scrutinization of stock price is also a potential area of research due to its vital significance in decision making by financial investors. This paper presents an intelligent and an optimal model for prophecy of stock market price using hybridization of Adaline Neural Network (ANN) and modified Particle Swarm Optimization (PSO). The connoted model hybrid of Adaline and PSO uses fluctuations of stock market as a factor and employs PSO to optimize and update weights of Adaline representation to depict open price of Bombay stock exchange. The prediction performance of the proposed model is compared with different representations like interval measurements, CMS-PSO and Bayesian-ANN. The result indicates that proposed scheme has an edge over all the juxtaposed schemes in terms of mean absolute percentage error.

  18. Long-run equilibrium relationships in the international stock market factor systems

    Directory of Open Access Journals (Sweden)

    Hyung-Suk Choi

    2014-06-01

    Full Text Available The main objective of this paper is to investigate the international linkages among local, country-specific stock market factors in order to better understand the dependence structure of increasingly integrated world financial markets. The seeming discordance between Fama and French (1998 and Griffin (2002 regarding the multi-factor model in the international stock markets motivates us to study the international relationship among local factors. With the individual stock data from the six major developed countries in the international stock market, we compose daily returns to the Fama-French three factors (i.e. market, size, and value and the momentum factor over the period from January 2000 to June 2010. We investigate the international linkages among local stock market factors, focusing on their equilibrium relationship in the integrated world financial market. The cointegration analysis indicates that local factor indices, constructed from the cumulative factor returns, are cointegrated for each of the four factor classes. Thus, we conclude that local factors are globally bound to each other through a long-run equilibrium relationship and that although stock market factors may be local, rather than global, individual stock returns are driven by common global stochastic trends.

  19. Empirical properties of inter-cancellation durations in the Chinese stock market

    Directory of Open Access Journals (Sweden)

    Gao-Feng eGu

    2014-03-01

    Full Text Available Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empirical statistical properties of inter-cancellation durations in units of events defined as the waiting times between two consecutive cancellations. The inter-cancellation durations for both buy and sell orders of all the stocks favor a $q$-exponential distribution when the maximum likelihood estimation method is adopted; In contrast, both cancelled buy orders of 9 stocks and cancelled sell orders of 4 stocks prefer Weibull distribution when the nonlinear least-square estimation is used. Applying detrended fluctuation analysis (DFA, centered detrending moving average (CDMA and multifractal detrended fluctuation analysis (MF-DFA methods, we unveil that the inter-cancellation duration time series process long memory and multifractal nature for both buy and sell cancellations of all the stocks. Our findings show that order cancellation processes exhibit long-range correlated bursty behaviors and are thus not Poissonian.

  20. Aggregate Stock Market Illiquidity and Bond Risk Premia

    NARCIS (Netherlands)

    K.E. Bouwman (Kees); E. Sojli (Elvira); W.W. Tham (Wing Wah)

    2012-01-01

    textabstractWe assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock market illiquidity variable adds to the well established Cochrane-Piazzesi and Ludvigson-Ng factors. It explains 10%, 9%, 7%, and 7% of the one-year-ahead variation in the

  1. DEA investment strategy in the Brazilian stock market

    OpenAIRE

    Newton da Costa, Jr.; Marcus Lima; Edgar Lanzer; Ana Lopes

    2008-01-01

    This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.

  2. Global stock market linkages reduce potential for diversification

    OpenAIRE

    Karen K. Lewis

    2012-01-01

    Recent European government debt difficulties demonstrate how linked stock markets have become. Problems in countries such as Greece and Italy have depressed stock markets not only on the continent but also in the United States. Such comovement across international financial markets highlights U.S. equity markets’ exposure to foreign markets.

  3. Stock price analysis of sustainable foreign investment companies in Indonesia

    Science.gov (United States)

    Fachrudin, Khaira Amalia

    2018-03-01

    The stock price is determined by demand and supply in the stock market. Stock price reacts to information. Sustainable investment is an investment that considers environmental sustainability and human rights. This study aims to predict the probability of above average stock price by including the sustainability index as one of its variables. The population is all foreign investment companies in Indonesia. The target population is companies that distribute dividends – also as a sample. The analysis tool is a logistic regression. At 5% alpha, it was found that sustainability index did not have the probability to increase stock price average. The significant effects are free cash flow and cost of debt. However, sustainability index can increase the Negelkarke R square. The implication is that the awareness of sustainability is still necesary to be improved because from the research result it can be seen that investors only consider the risk and return.

  4. How “Point Blindness” Dilutes the Value of Stock Market Reports

    OpenAIRE

    Lupia, Arthur; Grafstrom, Cassandra; Krupnikov, Yanna; Levine, Adam Seth; MacMillan, William; McGovern, Erin

    2008-01-01

    The stock index “point” is a focal component of financial news reports. While much attention is paid to changes in stock index point totals, few people realize that the value of a stock index “point” varies (and has recently declined). We call this perceptual phenomenon “point blindness” and explain its threat to investors. Simple changes in media presentations of stock index information can counter point blindness. These changes are easy to implement and can help audiences make better financ...

  5. US stock market crashes and their aftermath: Implications for monetary policy

    OpenAIRE

    Mishkin, Frederic S.; White, Eugene N.

    2002-01-01

    This paper examines fifteen historical episodes of stock market crashes and their aftermath in the United States over the last one hundred years. Our basic conclusion from studying these episodes is that financial instability is the key problem facing monetary policy makers and not stock market crashes, even if they reflect the possible bursting of a bubble. With a focus on financial stability rather than the stock market, the response of central banks to stock market fluctuations is more lik...

  6. The Interplay Between the Thai and Several Other International Stock Markets

    OpenAIRE

    Valadkhani, Abbas; Chancharat, Surachai; Harvie, Charles

    2006-01-01

    The paper analyses the effect of various international stock market price indices and some relevant macroeconomic variables on the Thai stock market price index, using a GARCH-M model and monthly data from January 1988 to December 2004. It is found, inter alia, that (a) changes in stock market returns in Singapore, Malaysia and Indonesia in the pre-1997 Asian crisis, and changes in Singapore, the Philippines and Korea in the post-1997 era instantaneously influenced returns in the Thai stock m...

  7. Taxing Stock Options: Efficiency, Fairness and Revenue Implications

    Directory of Open Access Journals (Sweden)

    Jack M. Mintz

    2015-10-01

    Full Text Available The federal Liberals and the NDP are right about this much: There is a more sensible way to tax the stock options that are granted as compensation by corporations than the approach the federal government takes now. But both parties are wrong about how much revenue an appropriate change in current tax policy will add to the treasury. Far from the half-billion dollars or more that both parties claim they will raise in federal tax revenue by changing the taxation of stock options, the appropriate reform will virtually raise no revenue. It could actually result in marginally lower tax revenue. As it stands, stock options are treated differently than salary and other forms of cash compensation when it comes to taxing an employee or director, in that they are subject to only half taxation, similar to capital gains. They are also treated differently than cash compensation for the corporation granting the options, in that they cannot be deducted from corporate income tax. The federal NDP and Liberals have both accepted the growing criticism, which only intensified in the aftermath of the 2008 financial crisis, that the lower tax rate is an unfair tax break for those employees who receive stock options. Both parties have proposed to change that, leaving an exemption for startup companies only, with the NDP proposing full personal taxation for all stock options except for start-up companies and the Liberals proposing it for options-based compensation exceeding $100,000. Treating stock options the same as cash compensation would indeed be more tax efficient, reducing the distortionary effect that can influence company compensation packages to give more weight to stock options and less to cash than they might otherwise. But the only way to ensure that efficiency is by treating both the personal tax side of the benefit, and the corporate tax side of the benefit, in the same way as other employee compensation. That is, applying full taxation to the recipient

  8. Pattern-set generation algorithm for the one-dimensional multiple stock sizes cutting stock problem

    Science.gov (United States)

    Cui, Yaodong; Cui, Yi-Ping; Zhao, Zhigang

    2015-09-01

    A pattern-set generation algorithm (PSG) for the one-dimensional multiple stock sizes cutting stock problem (1DMSSCSP) is presented. The solution process contains two stages. In the first stage, the PSG solves the residual problems repeatedly to generate the patterns in the pattern set, where each residual problem is solved by the column-generation approach, and each pattern is generated by solving a single large object placement problem. In the second stage, the integer linear programming model of the 1DMSSCSP is solved using a commercial solver, where only the patterns in the pattern set are considered. The computational results of benchmark instances indicate that the PSG outperforms existing heuristic algorithms and rivals the exact algorithm in solution quality.

  9. Stock Markets Indices in Artificial Insymmetrization Patterns

    International Nuclear Information System (INIS)

    Makowiec, D.

    2002-01-01

    The daily data of indices of Warsaw Stock Exchange - WIG, and New York Stock Exchange - NASDAQ, NYSE and S and P 500 for the last two years are being studied. Properties of fluctuations of daily returns found from scaling analysis of tails are confronted with patterns obtained by the artificial insymmetrization method to specify difference between the world-wide American market and local and rather marginal Polish market. (author)

  10. SUPPLY AND DEMAND ON THE RUSSIAN STOCK MARKET: A SOCIOECONOMIC ANALYSIS

    Directory of Open Access Journals (Sweden)

    Podgornyy Boris Borisovich

    2013-03-01

    Full Text Available The stock market in advanced economies allows people to participate in the economic development by investing their savings in equities of leading and emerging industries. It solves a number of economic and social problems. There is less than 1% of the population takes part in investing in shares and other securities In Russia. The structure of Russian commercial organizations, the supply and demand of the Russian stock market are analyzes in the paper. Also the results of original sociological research explains the meaning of the factors wich are limiting the population to investing in the stock market instruments. And there are some measures proposed for the further development of the Russian stock market. The results of the research have both theoretical and practical significance. That can be used in the development of national and regional activities aimed at the development of the Stock Market and attracting the Russian population to invest the Stock Market instruments.

  11. Hybrid machine learning technique for forecasting Dhaka stock market timing decisions.

    Science.gov (United States)

    Banik, Shipra; Khodadad Khan, A F M; Anwer, Mohammad

    2014-01-01

    Forecasting stock market has been a difficult job for applied researchers owing to nature of facts which is very noisy and time varying. However, this hypothesis has been featured by several empirical experiential studies and a number of researchers have efficiently applied machine learning techniques to forecast stock market. This paper studied stock prediction for the use of investors. It is always true that investors typically obtain loss because of uncertain investment purposes and unsighted assets. This paper proposes a rough set model, a neural network model, and a hybrid neural network and rough set model to find optimal buy and sell of a share on Dhaka stock exchange. Investigational findings demonstrate that our proposed hybrid model has higher precision than the single rough set model and the neural network model. We believe this paper findings will help stock investors to decide about optimal buy and/or sell time on Dhaka stock exchange.

  12. Investors' performance and trading behavior on the Norwegian stock market

    OpenAIRE

    Che, Limei

    2011-01-01

    This dissertation examines investors’ performance and trading behavior on the Norwegian stock market, using a unique and extensive data set of monthly holdings of all the investors. The first paper studies how Norwegian individual investors, financial institutional investors and foreign investors affect stock return volatility and finds surprising and interesting results: domestic individual investors and financial institutional investors dampen stock return volatility, and foreign investors ...

  13. Statistical aspects of fish stock assessment

    DEFF Research Database (Denmark)

    Berg, Casper Willestofte

    for stock assessment by application of state-of-the-art statistical methodology. The main contributions are presented in the form of six research papers. The major part of the thesis deals with age-structured assessment models, which is the most common approach. Conversion from length to age distributions...... statistical aspects of fish stocks assessment, which includes topics such as time series analysis, generalized additive models (GAMs), and non-linear state-space/mixed models capable of handling missing data and a high number of latent states and parameters. The aim is to improve the existing methods...

  14. Do Hedge Funds Manipulate Stock Prices?

    OpenAIRE

    Ben-David, Itzhak; Franzoni, Francesco; Landier, Augustin; Moussawi, Rabih

    2011-01-01

    We find evidence of significant price manipulation at the stock level by hedge funds on critical reporting dates. Stocks in the top quartile by hedge fund holdings exhibit abnormal returns of 30 basis points in the last day of the month and a reversal of 25 basis points in the following day. Using intraday data, we show that a significant part of the return is earned during the last minutes of the last day of the month, at an increasing rate towards the closing bell. This evidence is consiste...

  15. Participation Constraints in the Stock Market

    DEFF Research Database (Denmark)

    Andersen, Steffen; Meisner Nielsen, Kasper

    2011-01-01

    We use a natural experiment to investigate the impact of participation constraints on individuals' decisions to invest in the stock market. Unexpected inheritance due to sudden deaths results in exogenous variation in financial wealth, and allows us to examine whether fixed entry and ongoing...... participation costs cause non-participation. We have three key findings. First, windfall wealth has a positive effect on participation. Second, the majority of households do not react to sizeable windfalls by entering the stock market, but hold on to substantial safe assets—even over longer horizons. Third...

  16. Lead-lag relationships between stock and market risk within linear response theory

    Science.gov (United States)

    Borysov, Stanislav; Balatsky, Alexander

    2015-03-01

    We study historical correlations and lead-lag relationships between individual stock risks (standard deviation of daily stock returns) and market risk (standard deviation of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over stocks, using historical stock prices from the Standard & Poor's 500 index for 1994-2013. The observed historical dynamics suggests that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when individual stock risks affect market risk and vice versa. This work was supported by VR 621-2012-2983.

  17. How Newspaper-Article-Events, Other Stock Market Indices, and the Foreign Currency Rate Affect the Philippine Stock Market

    OpenAIRE

    Percival S. Gabriel

    2013-01-01

    Eugene Fama in his “Efficient Market Hypothesis” introduced the term newspaper-article-event. The aim of this paper is to find out if newspaper-article-events which are presented and discussed in newspaper articles and which could collage to create an atmosphere of investment, together with the indices of other stock markets (treated as other events) and the performance of the Philippine Peso against the US Dollar (considered as another event) could affect the closing Philippine Stock Market ...

  18. The Interval Slope Method for Long-Term Forecasting of Stock Price Trends

    Directory of Open Access Journals (Sweden)

    Chun-xue Nie

    2016-01-01

    Full Text Available A stock price is a typical but complex type of time series data. We used the effective prediction of long-term time series data to schedule an investment strategy and obtain higher profit. Due to economic, environmental, and other factors, it is very difficult to obtain a precise long-term stock price prediction. The exponentially segmented pattern (ESP is introduced here and used to predict the fluctuation of different stock data over five future prediction intervals. The new feature of stock pricing during the subinterval, named the interval slope, can characterize fluctuations in stock price over specific periods. The cumulative distribution function (CDF of MSE was compared to those of MMSE-BC and SVR. We concluded that the interval slope developed here can capture more complex dynamics of stock price trends. The mean stock price can then be predicted over specific time intervals relatively accurately, in which multiple mean values over time intervals are used to express the time series in the long term. In this way, the prediction of long-term stock price can be more precise and prevent the development of cumulative errors.

  19. Seasonal Trends in Lithuanian Stock Market

    Directory of Open Access Journals (Sweden)

    Žaneta Simanavičienė

    2013-11-01

    Full Text Available Purpose of the article is to disentangle different calendar effects which leave efficiency holes in Lithuanian market. This paper presents and tests if commonly described seasonal patterns exist in Lithuanian stock market. Analysis of three different sections: period-of-the-year; week-of-the-month and day-of-the-week, suggests that calendar effects do exist in this market. The multitude of explanations for the seasonal effect leaves the reader confused about its primary cause(s: is it tax-loss selling, window dressing, information, bid-ask bounce, or a combination of these causes? The confusion arises, in part, because evidence has generally been presented in support of a particular hypothesis though the same evidence may be consistent with another hypothesis. Methodology/methods are logical and systemic analysis of research literature based on the comparative and generalization methods as well as statistical methods. Scientific aim of the article is the lack of arguments questioning if market prices operating system is fully effective. Novelty of the paper is to the answer to the question what seasonal anomalies are also present in the stock market of new open economy countries. Findings show that using this modified strategy investor could achieve 20.7% compounded annual growth rate versus 7.8% achieved using simply holding stocks throughout. The hypothesis asserts that returns generally will be greater following the “January effect”. There is limited amount of data for constructing robust seasonal strategies so we modified Buy and Hold strategy with simple rules of using best and worst months to show how they influence OMXV index performance. In the conclusions, empirical results using stock index returns for 2000 - 2010 support the hypothesis in Lithuaian stock market. Abnormal activity of OMXV index’s performance is found in the end of summer and throughout autumn. August is best performer of the year while October is

  20. Issuance Expenses and Common Stock Offerings for Over-the-Counter Firms

    OpenAIRE

    Hull, Robert M.; Fortin, Richard

    1993-01-01

    This study explores the role of issuance expenses in explaining the fall in stock value for OTC stock offerings that raise cash for debt reduction purposes. It estimates that over half of the sample's -2.79% two-day fall in stock value can be accounted for by issuance expenses when using a lower bound measure of issuance expenses. This estimate contrasts with the one-fifth estimate suggested by NYSE/AMEX studies that examine stock offerings that raise cash primarily for non-debt reduction pur...

  1. InterCatch - a tool for fish stock assessment, status and methods

    DEFF Research Database (Denmark)

    Kjems-Nielsen, Henrik; Larsen, Lena Inger; Zarecki, Maria

    2006-01-01

    InterCatch is a web-based system for handling fish stock assessment data focusing on documenting characteristics of the catches. These national fish stock data are uploaded to InterCatch by national data submitters. After all data are uploaded the stock coordinators (working for the fish stock as...... assessment group) can then check and set up allocation schemes for unsampled catches. After applying the best allocation scheme to the unsampled catches, the catch data are aggregated as required and exported for analysis, e.g. XSA or ICA....

  2. Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology

    Directory of Open Access Journals (Sweden)

    Mohamed Chikhi

    2018-02-01

    Full Text Available This paper analyses cyclical behaviour of Orange stock price listed in French stock exchange over 01/03/2000 to 02/02/2017 by testing the nonlinearities through a class of conditional heteroscedastic nonparametric models. The linearity and Gaussianity assumptions are rejected for Orange Stock returns and informational shocks have transitory effects on returns and volatility. The forecasting results show that Orange stock prices are short-term predictable and nonparametric NAR-ARCH model has better performance over parametric MA-APARCH model for short horizons. Plus, the estimates of this model are also better comparing to the predictions of the random walk model. This finding provides evidence for weak form of inefficiency in Paris stock market with limited rationality, thus it emerges arbitrage opportunities.

  3. Risk factors in stock returns of Canadian oil and gas companies

    International Nuclear Information System (INIS)

    Sadorsky, P.

    2001-01-01

    This paper uses a multifactor market model to estimate the expected returns to Canadian oil and gas industry stock prices. Results are presented to show that exchange rates, crude oil prices and interest rates each have large and significant impacts on stock price returns in the Canadian oil and gas industry. In particular, an increase in the market or oil price factor increases the return to Canadian oil and gas stock prices while an increase in exchange rates or the term premium decreases the return to Canadian oil and gas stock prices. Furthermore, the oil and gas sector is less risky than the market and its moves are pro-cyclical. This suggests that Canadian oil and gas stocks may not be a good hedge against inflation

  4. Stock index adjustments, analyst coverage and institutional holdings: Evidence from China

    Directory of Open Access Journals (Sweden)

    Song Zhu

    2017-09-01

    Full Text Available Using 231 pairs of matched firms from 2009 to 2012 in Chinese stock market, we find that the stock index adjustment significantly affects the analyst coverage, which in addition to the stock index leads to more analyst coverage, while deletion from the stock index has no significant effect, indicating that stock index adjustment can significantly change the information environments of firms that are added to the index. An index adjustment also affects institutional holdings in consideration of new information (e.g., changes in fundamentals and information environments. Changes in institutional holdings are partially due to changes in analyst coverage, and both index funds and other types can change their portfolios in response to changes in the target firms’ informativeness.

  5. Global socioeconomic carbon stocks in long-lived products 1900–2008

    International Nuclear Information System (INIS)

    Lauk, Christian; Haberl, Helmut; Erb, Karl-Heinz; Gingrich, Simone; Krausmann, Fridolin

    2012-01-01

    A better understanding of the global carbon cycle as well as of climate change mitigation options such as carbon sequestration requires the quantification of natural and socioeconomic stocks and flows of carbon. A so-far under-researched aspect of the global carbon budget is the accumulation of carbon in long-lived products such as buildings and furniture. We present a comprehensive assessment of global socioeconomic carbon stocks and the corresponding in- and outflows during the period 1900–2008. These data allowed calculation of the annual carbon sink in socioeconomic stocks during this period. The study covers the most important socioeconomic carbon fractions, i.e. wood, bitumen, plastic and cereals. Our assessment was mainly based on production and consumption data for plastic, bitumen and wood products and the respective fractions remaining in stocks in any given year. Global socioeconomic carbon stocks were 2.3 GtC in 1900 and increased to 11.5 GtC in 2008. The share of wood in total C stocks fell from 97% in 1900 to 60% in 2008, while the shares of plastic and bitumen increased to 16% and 22%, respectively. The rate of gross carbon sequestration in socioeconomic stocks increased from 17 MtC yr −1 in 1900 to a maximum of 247 MtC yr −1 in 2007, corresponding to 2.2%–3.4% of global fossil-fuel-related carbon emissions. We conclude that while socioeconomic carbon stocks are not negligible, their growth over time is not a major climate change mitigation option and there is an only modest potential to mitigate climate change by the increase of socioeconomic carbon stocks. (letter)

  6. Measuring Biomass and Carbon Stock in Resprouting Woody Plants

    Science.gov (United States)

    Matula, Radim; Damborská, Lenka; Nečasová, Monika; Geršl, Milan; Šrámek, Martin

    2015-01-01

    Resprouting multi-stemmed woody plants form an important component of the woody vegetation in many ecosystems, but a clear methodology for reliable measurement of their size and quick, non-destructive estimation of their woody biomass and carbon stock is lacking. Our goal was to find a minimum number of sprouts, i.e., the most easily obtainable, and sprout parameters that should be measured for accurate sprout biomass and carbon stock estimates. Using data for 5 common temperate woody species, we modelled carbon stock and sprout biomass as a function of an increasing number of sprouts in an interaction with different sprout parameters. The mean basal diameter of only two to five of the thickest sprouts and the basal diameter and DBH of the thickest sprouts per stump proved to be accurate estimators for the total sprout biomass of the individual resprouters and the populations of resprouters, respectively. Carbon stock estimates were strongly correlated with biomass estimates, but relative carbon content varied among species. Our study demonstrated that the size of the resprouters can be easily measured, and their biomass and carbon stock estimated; therefore, resprouters can be simply incorporated into studies of woody vegetation. PMID:25719601

  7. Energy savings in Danish residential building stock

    DEFF Research Database (Denmark)

    Tommerup, Henrik M.; Svendsen, Svend

    2006-01-01

    a short account of the technical energy-saving possibilities that are present in existing dwellings and presents a financial methodology used for assessing energy-saving measures. In order to estimate the total savings potential detailed calculations have been performed in a case with two typical...... buildings representing the residential building stock and based on these calculations an assessment of the energy-saving potential is performed. A profitable savings potential of energy used for space heating of about 80% is identified over 45 years (until 2050) within the residential building stock......A large potential for energy savings exists in the Danish residential building stock due to the fact that 75% of the buildings were constructed before 1979 when the first important demands for energy performance of building were introduced. It is also a fact that many buildings in Denmark face...

  8. APPLICATION OF DIVIDEND DISCOUNT MODEL VALUATION AT MACEDONIAN STOCK-EXCHANGE

    Directory of Open Access Journals (Sweden)

    Zoran Ivanovski

    2015-06-01

    Full Text Available Dividend discount model (DDM is the simplest model for valuing equities in finance. Many analysts belived that DDM is outmoded, but much of the intuition that drives Discounted Cash Flow (DCF valuation is embedded in the DDM model. There are also specific companies stocks where the DDM model remains a useful tool for estimating value. The basic task of these research is to examine if DDM models offer relevant and safe valuation of long-term securities at Macedonian Stock Exchange (MSE through the process of empirical valuation of random chosen stocks. This research helped us to identify problems in use of DDM valuation models at MSE, to determine causes for differences between the intrinsic values and the stock market prices and to determine basic parameters for implementation of valuation on Macedonian financial market. We find that DDM models are usefull only as additional tool beside relative and DCF stocks valuation at MSE.

  9. The Impulsive Stock Market of Bangladesh and the Great Recession

    Directory of Open Access Journals (Sweden)

    Saif Hossain

    2013-07-01

    Full Text Available The paper investigates whether the stock market of Bangladesh can be related with the last world recession. The Pearson’s correlation analysis model was used to find the correlation between the Dhaka Stock Exchange General index and real GDP growth rate of the world. The findings show that no statistically significant correlation exists between the two variables inferring that the stock market of Bangladesh was not significantly affected by ‘the great recession’ (2007-2009. The findings of this study are inconsistent with the results of previous studies which claimed that the Bangladesh stock market shares a common stochastic trend with the capital market of USA. The results of this study may be explained mainly by domestic factors such as low market capitalization, market inefficiency, strict monitoring and control by the Security and Exchange Commission and low international participation in the stock market of Bangladesh. All these factors, along with the inconsistency with past results, instigate further investigation.

  10. Portfolio optimization for index tracking modelling in Malaysia stock market

    Science.gov (United States)

    Siew, Lam Weng; Jaaman, Saiful Hafizah; Ismail, Hamizun

    2016-06-01

    Index tracking is an investment strategy in portfolio management which aims to construct an optimal portfolio to generate similar mean return with the stock market index mean return without purchasing all of the stocks that make up the index. The objective of this paper is to construct an optimal portfolio using the optimization model which adopts regression approach in tracking the benchmark stock market index return. In this study, the data consists of weekly price of stocks in Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index from January 2010 until December 2013. The results of this study show that the optimal portfolio is able to track FBMKLCI Index at minimum tracking error of 1.0027% with 0.0290% excess mean return over the mean return of FBMKLCI Index. The significance of this study is to construct the optimal portfolio using optimization model which adopts regression approach in tracking the stock market index without purchasing all index components.

  11. Safety stock placement in supply chains with demand forecast updates

    Directory of Open Access Journals (Sweden)

    Youssef Boulaksil

    2016-01-01

    Full Text Available Supply chains are exposed to many types of risks and it may not be obvious where to keep safety stocks in the supply chain to hedge against those risks, while maintaining a high customer service level. In this paper, we develop an approach to determine the safety stock levels in supply chain systems that face demand uncertainty. We model customer demand following the Martingale Model of Forecast Evolution (MMFE. An extensive body of literature discusses the safety stock placement problem in supply chains, but most studies assume independent and identically distributed demand. Our approach is based on a simulation study in which mathematical models are solved in a rolling horizon setting. It allows determining the safety stock levels at each stage of the supply chain. Based on a numerical study, we find that a big portion of the safety stocks should be placed downstream in the supply chain to achieve a high customer service level.

  12. Blue carbon stocks in Baltic Sea eelgrass (Zostera marina) meadows

    DEFF Research Database (Denmark)

    Rohr, Maria Emilia; Bostrom, Christoffer; Canal-Vergés, Paula

    2016-01-01

    Although seagrasses cover only a minor fraction of the ocean seafloor, their carbon sink capacity accounts for nearly one-fifth of the total oceanic carbon burial and thus play a critical structural and functional role in many coastal ecosystems. We sampled 10 eelgrass (Zostera marina) meadows....... The C-org stock integrated over the top 25 cm of the sediment averaged 627 g C m(-2) in Finland, while in Denmark the average C-org stock was over 6 times higher (4324 g Cm-2). A conservative estimate of the total organic carbon pool in the regions ranged between 6.98 and 44.9 t C ha(-1). Our results...... in Finland and 10 in Denmark to explore seagrass carbon stocks (C-org stock) and carbon accumulation rates (C-org accumulation) in the Baltic Sea area. The study sites represent a gradient from sheltered to exposed locations in both regions to reflect expected minimum and maximum stocks and accumulation...

  13. Stock and option portfolio using fuzzy logic approach

    Science.gov (United States)

    Sumarti, Novriana; Wahyudi, Nanang

    2014-03-01

    Fuzzy Logic in decision-making process has been widely implemented in various problems in industries. It is the theory of imprecision and uncertainty that was not based on probability theory. Fuzzy Logic adds values of degree between absolute true and absolute false. It starts with and builds on a set of human language rules supplied by the user. The fuzzy systems convert these rules to their mathematical equivalents. This could simplify the job of the system designer and the computer, and results in much more accurate representations of the way systems behave in the real world. In this paper we examine the decision making process of stock and option trading by the usage of MACD (Moving Average Convergence Divergence) technical analysis and Option Pricing with Fuzzy Logic approach. MACD technical analysis is for the prediction of the trends of underlying stock prices, such as bearish (going downward), bullish (going upward), and sideways. By using Fuzzy C-Means technique and Mamdani Fuzzy Inference System, we define the decision output where the value of MACD is high then decision is "Strong Sell", and the value of MACD is Low then the decision is "Strong Buy". We also implement the fuzzification of the Black-Scholes option-pricing formula. The stock and options methods are implemented on a portfolio of one stock and its options. Even though the values of input data, such as interest rates, stock price and its volatility, cannot be obtain accurately, these fuzzy methods can give a belief degree of the calculated the Black-Scholes formula so we can make the decision on option trading. The results show the good capability of the methods in the prediction of stock price trends. The performance of the simulated portfolio for a particular period of time also shows good return.

  14. Genetic analysis of farmed and wild stocks of large yellow croaker ...

    African Journals Online (AJOL)

    The pair-wise FST, the phylogenetic tree, the factor correspondence analysis and the model based clustering analysis revealed that, the Ningbo stock, which was from Zhejiang province, was different from the remaining stocks from Fujian province. This study suggested that (1) the farmed stocks were at relatively low level ...

  15. Oil futures prices and stock management: a cointegration analysis

    International Nuclear Information System (INIS)

    Balabanoff, Stefan

    1995-01-01

    Futures markets are considered important to hedgers and speculators. Therefore, they are relevant to stock management. This issue is tested empirically by applying the methodology of cointegration analysis and causality testing to the monthly average of commercial (non-strategic) primary oil stocks and monthly averages of West Texas Intermediate (WTI) spot and futures prices for one month and three-months delivery, over the period January 1985 to June 1993. Long-and short-run relations are presented. The results support the view of a relationships between futures prices and oil stocks. (author)

  16. Extreme negative coexceedances in South Eastern European stock markets

    DEFF Research Database (Denmark)

    Tevdovski, Dragan

    The aim of this paper is to analyze the financial integration of the South Eastern Europe (SEE) stock markets. We use a multinomial logistic regression to analyze how persistence, asset class and volatility effects are related with negative coexceedances in SEE markets. We find evidence in favor...... of the continuation hypothesis in SEE stock markets. However, the factors associated with the coexceedances differ between the EU member countries from SEE and EU accession countries from SEE stock markets.The EU member countries are more dependent from the signals from major EU economies, while the accession...

  17. The Relationship Between Stock Market Development and Macroeconomic Fundamentals in the Visegrad Group

    Directory of Open Access Journals (Sweden)

    Pražák Tomáš

    2017-09-01

    Full Text Available This study examines the effect of specific macroeconomic factors on the stock prices of selected financial sector companies listed on the Central European Exchanges (Budapest Stock Exchange, Prague Stock Exchange, Bratislava Stock Exchange, or Warsaw Stock Exchange. We investigate the nature of the causal relationships between macroeconomic factors and stock prices. The long‑term causality, tested using the Johansen cointegration test, and the short‑run dynamics between the variables, examined using the VECM model, are explored using quarterly data from the 2005-2014 period. The short‑term causality shows the possibility of time series fluctuations; however a steady state should be achieved in the long‑term. In general, we confirmed that macroeconomic fundamentals had a negative impact on stock prices. The interest rate, which also has a negative impact, is the most prominent predictor of the long‑run developments. We also found very rare examples of macroeconomic variables that explain changes in stock prices within the VECM framework.

  18. The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

    Directory of Open Access Journals (Sweden)

    Marie Ligocká

    2016-01-01

    Full Text Available Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level. The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005 – 2014 we revealed a long‑run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short‑run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us from drawing any general conclusion for the entire real estate sector in Switzerland.

  19. Analyzing the Stock Markets Role as a Source of Capital Formation in Pakistan

    Directory of Open Access Journals (Sweden)

    Hakim Ali Kanasro

    2011-12-01

    Full Text Available This paper is to examine the stock markets role in the capital formation in Pakistan from the period 1st January 2001 to 31st December 2008. This analytical study is based on the data collected from the secondary sources such as State Bank of Pakistan and three stock exchanges; Karachi, Lahore and Islamabad Stock exchanges. The stock market size of capital, number of listed companies and liquidity positions has been examined in the study. The study reveals that Karachi Stock exchange is the oldest and biggest Stock exchange of Pakistan and it is the first mover to adapt institutional developments, new policies and procedures in the business of securities exchange and shares a big role in the capital formation in Pakistan. In recent years all stock exchanges have implemented the advanced technology and fully automated trading systems. This has changed the stock markets role in the capital formation as great boom has been observed during the study period.

  20. A network analysis of the Chinese stock market

    Science.gov (United States)

    Huang, Wei-Qiang; Zhuang, Xin-Tian; Yao, Shuang

    2009-07-01

    In many practical important cases, a massive dataset can be represented as a very large network with certain attributes associated with its vertices and edges. Stock markets generate huge amounts of data, which can be use for constructing the network reflecting the market’s behavior. In this paper, we use a threshold method to construct China’s stock correlation network and then study the network’s structural properties and topological stability. We conduct a statistical analysis of this network and show that it follows a power-law model. We also detect components, cliques and independent sets in this network. These analyses allows one to apply a new data mining technique of classifying financial instruments based on stock price data, which provides a deeper insight into the internal structure of the stock market. Moreover, we test the topological stability of this network and find that it displays a topological robustness against random vertex failures, but it is also fragile to intentional attacks. Such a network stability property would be also useful for portfolio investment and risk management.