stock index
Intraday Lead-Lag Relationship between Stock Index and Stock Index Futures Markets: Evidence from Turkey
... spot index and index future contracts might lead to spurious results regarding the direction of lead -lad ...the index may continuously be traded in all time ...spot index price which reflects ...
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Stock Index Volatility: the case of IPSA
... Stock Index Volatility: the case of IPSA Alfaro, Rodrigo and Silva, Carmen Gloria.[r] ...
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Analysis of Stock Market Volatility using Neural Network for Apple Stock Index
... forecasting stock market prices and volatilities. The value of Apple index have been studied and nearly two and half hears of data has been used for ...
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Normality of the Stock Index Futures of China
... In this paper, we test the null hypothesis that the prices of stock index futures of China follow a random-walk process. Five hypothesis tests are applied to test the random-walk hypothesis (RWH). Each test ...
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Stock index hedge using trend and volatility regime switch model considering hedging cost
... This paper studies the risk hedging between stock index and underlying futures. The hedging ratios are optimized using the mean-variance utility function as considering the hedging cost. The trend of ...
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What drives Tadawul All Stock Index of the Saudi Stock Market
... All Stock Index (TASI) of the Saudi Stock Market during the period August 2005 May ...price index, interest rate, oil prices, general price level (P) and government expenditure are included in ...
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Characteristics of Japan’s Commodities Index and its Correlation with Stock Index
... TG Index and stocks of companies that are listed on the TSE in agricultural, fisheries, forestry, and food industry and whose stock prices are available on all trading days between April 1, 2003 and ...
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The Effects of Indonesian Macroeconomic Indicators and Global Stock Price Index on the Composite Stock Prices Index in Indonesia
... and stock prices in five ASEAN ...the stock index is largely determined by the fundamental conditions of the country and the relationship of one country to ...the index of composite ...
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Vol 5, No 04 (2017)
... price index of Asia Pacific Regional Committee member who is the organization of the Capital Market Authority of Asia Pacific Region consists of 19 ...of stock index closing time until the first day ...
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Effect of fall in crude oil price on stock indices and exchange rates of India and China
... (stock index of India), Shanghai Composite (stock index of China), exchange rates of INR and CNY with US dollar as well as the closing prices of the crude oil index represented by the ...
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ASEAN-5 STOCK PRICE ANALYSIS
... a stock exchange where there are 11 types of stock price indices that are continuously disseminated through print and electronic ...of stock price index, namely the composite stock ...
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Impacts of Macroeconomic Factors on the Stock Market in Estonia
... other stock markets suffering from significant declining stock values during the global financial crisis, the Estonian OMX Tallinn stock index had dropped ...500 index during the period ...
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Multi scale Lead Lag Relationship between the Stock and Futures Markets: Malaysia as a Case Study
... the stock index (spot) and stock index futures ...and stock index futures markets in many different ...500 index using minute-to-minute data on the prices of nearby ...
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Linkages between TASI and S&P CNX NIFTY Shariah Index – A Co-integration & Causal Approach
... Shariah index (Hakim and Rashidian, 2004; Girard and Hassan, 2008; Hussein, 2004; Ahamad and Ibrahim, 2002; Albaity and Ahamad, 2008; Dharani and Natarajan, 2011) while the comparison among country’s Shariah ...
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THE CREDIT RISK DYNAMICS OF INTERNATIONAL BONDS: THE INDONESIAN CASE
... The determinants of USD-denominated bonds issued by Indonesia are reported in Tables 2 and 3. As stated, this study utilizes a set of variables that theoretically determine credit risk. Deriving from structural models of ...
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Verifying the Effects of Risk Variables on Return Volatility of Sector Price Indices in the Nigeria Stock Exchange
... Common stock value is affected by two important economic and finance risk factors namely interest rate and exchange ...of stock prices is indirectly affected by interest rates while directly its volatility ...
8
Robiyanto
... Sharpe Index introduced by Sharpe (1966) and Treynor Ratio introduced by Treynor ...Sharpe Index and Treynor Ratio even become standards in industry in measuring risk-adjusted returns (Deborah Kidd, 2011; ...
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The Determinants of Stock Market Index: VAR Approach to Turkish Stock Market
... aggregate stock returns as the timeframe changes from over-the-month to over-the ...in stock returns calculated on monthly basis to more than 84 percent of variance when point-to-point change is measured ...
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Mexican Stock Market Index Volatility
... Taani and Banykhaled (2011) examined the effect of accounting information such as profitability, liquidity, debit to equity, market ratio, size which is derived from firm’s total assets, and cash flow from operation ...
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DOES DAY-OF-THE-WEEK ANOMALY INFLUENCE BRICS STOCK MARKETS? A UNIT ROOT TESTING APPROACH
... Dhaka stock exchange (DSE) and his findings clearly indicate towards the negative trading returns on Monday, consistent with Mitra & and Khan (2014), whereas the market was significantly posi- tive on Thursday ...
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