This study investigates the integration of the Indonesian stock market with eight major trading partner countries, namely, China, Japan, the United States, Malaysia, India, Singapore, the Philippines, and South Korea. The analysis of the stock-market...
A decade after the global financial crisis, the developments in stock market integration have increased the stability and liquidity of markets, and decreased the diversification benefits for investors. International trade is an important determinant...
Current integration and co-movement among international stock markets has been boosted by increased globalization of the world economy, and profit-chasing capital surfing across borders. With a reputation as the fastest growing economy in the world,...
In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run r...
Accurate forecasting of stock market indices is crucial for investors, financial analysts, and policymakers. The integration of encoder and decoder architectures, coupled with an attention mechanism, has emerged as a powerful approach to enhance pred...
The aim of this paper is the analysis and selection of stock trading systems that combine different models with data of a different nature, such as financial and microeconomic information. Specifically, based on previous work by the authors and with...
The interest in studies aimed at understanding the integration of the stock market with the economic performance of countries has been growing in recent years, perhaps driven by the recent economic crises faced by the world. Although several studies...
This study analyzes the determinants of stock market co-movement between Pakistan and Asian emerging economies for the period 2001 to 2015. Augmented Dickey and Fuller (ADF) and Philips-Perron (PP) tests are applied to check co-integration between th...
Capital market integration has become an interesting research topic nowadays. Many studies have tried to explain this phenomenon using various methods. Here, we used sophisticated methods to explain capital market integration. This study aims to scru...
With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during t...
This study examines the impact of the COVID-19 pandemic on global stock markets by comparing developed and developing economies, while highlighting regional differences. Using dynamic panel regression models, this study explores the role of pandemic-...
Stock market forecasting is a critical area in financial research, yet the inherent volatility and non-linearity of financial markets pose significant challenges for traditional predictive models. This study proposes a hybrid deep learning model, int...
Sentiment analysis is widely applied in the financial domain. However, financial documents, particularly those concerning the stock market, often contain complex and often ambiguous information, and their conclusions frequently deviate from actual ma...
Stock price prediction is a core challenge in quantitative finance. While machine learning has advanced the modeling of complex financial time series, existing methods often rely on single-target predictions, underutilize multidimensional market info...
This article undertakes a literature review on the topic of market integration, covering over 380 articles from the 1980s to 2024. The review consists of a qualitative analysis for context and a quantitative analysis for content, identifying key rese...
For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients ba...
This paper proposes a long-memory model that includes multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and, thus, different cycles with differen...
This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the year...
This study examines the sustainability of financial integration between China (represented by Shenzhen and Shanghai) stock markets and Hong Kong stock market over the period of pre and post launch of the Stock Connect Scheme. This paper aims to fill...
This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capi...
This is the first comprehensive study to investigate the dynamics of international information spillovers, regional linkages and fundamental forces driving return volatility in the SAARC (South Asian Association for Regional Cooperation) member natio...
This paper presents a methodology for making decisions in the stock market using the AHP-TOPSIS multi-criteria technique. The problem is related to the stock market’s investment process considering the criteria of liquidity, risk, and profitabi...
The paper aims to analyze the contagion effect coming from the developed stock markets of the US and Germany to the emerging CEE stock markets of Romania, Czech Republic, Hungary, and Poland using daily data for the period April 2005–April 2021. The...
The stock market represents one of the most complex mechanisms in the financial world. It can be seen as a living being with complex ways to enact, interact, evolve, defend, and respond to various stimuli. Technical analysis is one of the most comple...
To examine the spillover of tail-risk information across global stock markets, we select nine major stock markets for the period spanning from June 2014 to May 2024 as the sample data. First, we employ effective Rényi transfer entropy to measu...
The development of a methodology for the growth of the stock market through a deep transformation of the economic development system and introduction of digital technologies. The article is devoted to the study of the development of stock markets&rsq...
Analysis of the relationships among global stock markets is crucial for international investors, regulators, and policymakers, particularly during a crisis. Complex network theory was applied to analyze the relationship between global stock markets d...
The ability to predict stock prices is essential for informing investment decisions in the stock market. However, the complexity of various factors influencing stock prices has been widely studied. Traditional methods, which rely on time-series infor...
This paper applies the Multivariate Stochastic Volatility (MSV) model, alongside its extended DGC-t-MSV model, and integrates Bayesian methods with MCMC techniques to develop the DGC-t-MSV-BN model. This model is specifically designed to analyze the...
This paper provides an investigation into the dependence structure among different disruptive technology sectors driving the Fourth Industrial Revolution and scrutinizes the impact of ESG integration on shaping investments in different tech stock sec...
The aim of this study was to examine the impact of adopting information and communication technologies (ICT) on the development of African stock exchanges. The study examined a panel of 11 African stock exchanges for the period 2008–2017 and em...
We propose a simple three-factor pricing model, consisting of a local stock market index, a global REIT market index, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate investment trust...
This paper analyses the link between exchange rates and stock markets in four Central and Eastern European countries. We simultaneously explore the comovements of foreign exchange markets and stock markets at the cross-country level and the link betw...
The extent of correlation or co-movement among the returns of developed and emerging stock markets remains pivotal for efficiently diversifying global portfolios. This correlation is prone to variation over time as a consequence of escalating economi...
This paper investigates the impact of the Luckin Coffee accounting scandal on stock liquidity and spillover effects in the financial market, focusing on Chinese companies listed on U.S. exchanges. Utilizing event studies, we analyze eight pivotal eve...
The inherent uncertainty and information asymmetry in financial markets create significant challenges for accurate price forecasting. Although investor sentiment analysis has gained traction in recent research, the temporal dimension of sentiment dyn...
The problem of stock price prediction has been a hot research issue. Stock price is influenced by various factors at the same time, and market sentiment is one of the most critical factors. Financial texts such as news and investor comments reflect i...
Price prediction tools play a significant role in small investors’ behavior. As such, this study aims to propose a method to more effectively predict stock prices in North America. Chiefly, the study addresses crucial questions related to the r...
15 July 2024
In the rapidly evolving domain of finance, quantitative stock selection strategies have gained prominence, driven by the pursuit of maximizing returns while mitigating risks through sophisticated data analysis and algorithmic models. Yet, prevailing...
With the continuous increase of China’s foreign-trade dependence on crude oil and the accelerating integration of the international crude oil market and the Chinese finance market, the spillover effect of international oil price fluctuation on...
During the past two decades, financial markets across the globe have experienced sporadic waves of crashes. Such waves raise concerns about the vulnerability of global financial markets and the transmission mechanisms of shocks beyond borders. The cu...
This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed inter...
Navigating the stock market’s unpredictability and reducing vulnerability to its volatility requires well-informed decisions on stock selection, capital allocation, and transaction timing. While stock selection can be accomplished through funda...
Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmi...
Stock market analysis plays an indispensable role in gaining knowledge about the stock market, developing trading strategies, and determining the intrinsic value of stocks. Nevertheless, predicting stock trends remains extremely difficult due to a va...
In a context characterized by an increasing integration among financial markets, we aim to analyze whether the ECB unconventional monetary policy shields the Eurozone stock markets against spillovers of volatility from the US stock market. We augment...
In the field of business research method, a literature review is more relevant than ever. Even though there has been lack of integrity and inflexibility in traditional literature reviews with questions being raised about the quality and trustworthine...
The euro was launched, on 1 January 1999, as a common currency for members of the European Union that complied with the Maastricht Treaty. The Maastricht Treaty calls for the coordination of major macroeconomic policies, such as inflation, budget bal...
Stock value prediction and trading, a captivating and complex research domain, continues to draw heightened attention. Ensuring profitable returns in stock market investments demands precise and timely decision-making. The evolution of technology has...
Stock market indices are important tools to measure and compare stock market performance. The Selective Stock Price (SSP) index reflects fluctuations in a set value of financial instruments of Santiago de Chile’s stock exchange. Stock indices a...
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