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Journal articles on the topic 'Stock market'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Truong, Loc Dong, H. Swint Friday, and Tran My Ngo. "Market Reaction to Delisting Announcements in Frontier Markets: Evidence from the Vietnam Stock Market." Risks 11, no. 11 (2023): 201. http://dx.doi.org/10.3390/risks11110201.

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This paper aims to measure the effects of delisting on stock returns for the Vietnam stock market. This study employs a sample of 118 stocks that were compulsorily delisted from the market between January 2011 and December 2021. Using an event study methodology, the empirical findings confirm that the delisting has negative effects on stock returns in the Vietnam stock market. Specifically, results derived from tests show that the average abnormal return of delisted stocks continuously declines during three trading days following the announcement of delisting. Moreover, it is found that the di

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Yaya, OlaOluwa, Olayinka Adenikinju, and Hammed A. Olayinka. "African stock markets’ connectedness: Quantile VAR approach." Modern Finance 2, no. 1 (2024): 51–68. http://dx.doi.org/10.61351/mf.v2i1.70.

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The present paper investigates African stock markets’ linkages by considering stocks in the continent’s largest economies, specifically Egypt, Kenya, Morocco, Nigeria, South Africa, and Tunisia. Using a dataset that spanned November 25, 2008, to September 18, 2023, the quantile connectedness approach of Chatziantoniou et al. (2021) is employed, and the results unfold these interesting dynamics of African market connectivity: (i) In the bearish market phase, South African stock dominated the entire network, transmitting shocks to the remaining stocks, while Moroccan and Kenyan stocks played sim

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Yousaf, Imran, Shoaib Ali, and Wing-Keung Wong. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management." Journal of Risk and Financial Management 13, no. 10 (2020): 226. http://dx.doi.org/10.3390/jrfm13100226.

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This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the US financial crisis, and the Chinese Stock market crash. We also calculate the optimal weights and hedge ratios for the stock portfolios. Our results reveal that both return and volatility transmissions vary across the pairs of stock markets and the financial crises. More specifically, return spillover w

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Kirkulak Uludag, Berna, and Muzammil Khurshid. "Volatility spillover from the Chinese stock market to E7 and G7 stock markets." Journal of Economic Studies 46, no. 1 (2019): 90–105. http://dx.doi.org/10.1108/jes-01-2017-0014.

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PurposeThe purpose of this paper is to examine volatility spillover from the Chinese stock market to E7 and G7 stock markets. Using the estimated results, the authors also analyze the optimal weights and optimal hedge ratios for the portfolios including stocks from E7 and G7 countries.Design/methodology/approachThe authors employed generalized vector autoregressive-generalized autoregressive conditional heteroskedasticity approach, developed by Ling and McAleer (2003), in order to analyze daily data on the national stock indices. Considering the late establishment of some E7 stock markets, the

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Shkolnyk, Inna, Serhiy Frolov, Volodymyr Orlov, Viktoriia Dziuba, and Yevgen Balatskyi. "Influence of world stock markets on the development of the stock market in Ukraine." Investment Management and Financial Innovations 18, no. 4 (2021): 223–40. http://dx.doi.org/10.21511/imfi.18(4).2021.20.

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Viewing the development of the stock market in Ukraine, the economy, which world financial organizations characterize as small and open, is largely determined by the trends formed by the global stock markets and leading stock exchanges. Therefore, the study aims to analyze Ukraine’s stock market, the world stock market, stock markets in the regions, and to assess their mutual influence. The study uses the data of the World Federation of Exchanges and National Securities and Stock Market Commission (Ukraine) from 2015 to 2020. Stock market performance forecasts are built using triple exponentia

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Sharma, Gunjan. "A STUDY ON PERFORMANCE OF STOCKS OF BLUE CHIP COMPANIES IN INDIA." BSSS Journal of Management 14, no. 1 (2023): 110–64. http://dx.doi.org/10.51767/jm1410.

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The main aims of this paper are to explain the discriminatory variables between the top 10 blue chip companies stocks in stock markets of the India. . Since there is relatively less empirical research on the stock selection in markets, with even less studies on the markets in the transition economies of India, this paper is designed to shed some light on the identification of blue chip stocks from Indian stock market. Results presented in this paper provide confirmatory evidence that the blue chip stocks from the selected stock markets of the Indian stock market can be identified by examining

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Lamichhane, Pitamber. "Individual Investors' Consciousness and Investment on Common Stocks." Journal of Academic Development 8, no. 1 (2023): 45–60. http://dx.doi.org/10.3126/tjad.v8i1.64826.

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This paper analyzes Nepalese individual investors' consciousness and their investment on stocks. Investors’ consciousness creates positive environment for the investment which helps in capital formulation. This study has employed explorative research design to explain investors’ consciousness and investment on common stock in Nepalese stock market. Data were collected through survey from individual stock investors using structural questionnaire in Kathmandu valley in 2021. The estimated result of this study shows the level of investors’ consciousness (investors’ education and training, access

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Chintha, Pranay, Bhanu Prakash Nageli, Meera Alphy Dr., and Shirisha K. "Stock Market." Recent Trends in Computer Graphics and Multimedia Technology 6, no. 3 (2024): 7–15. https://doi.org/10.5281/zenodo.12758635.

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<em>The stock market is a vital component of the global financial system, providing a platform for the buying and selling of equities, bonds, and other securities. This study delves into the intricate structure of the stock market, highlighting the roles and functions of major stock exchanges such as the New York Stock Exchange (NYSE) and Nasdaq. It examines the diverse array of market participants, including individual investors, institutional investors, market makers, and regulatory bodies, and their impact on market dynamics. Key factors influencing stock prices are thoroughly analyzed, inc

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Chi, Wei, Robert Brooks, Emawtee Bissoondoyal-Bheenick, and Xueli Tang. "Classifying Chinese bull and bear markets: indices and individual stocks." Studies in Economics and Finance 33, no. 4 (2016): 509–31. http://dx.doi.org/10.1108/sef-01-2015-0036.

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Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach By comparing the intervals of bull and bear markets between stocks and indices based on a Marko

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Lamichhane, Baburam. "Market Turnover of Nepalese Stock Market." Journal of Nepalese Business Studies 10, no. 1 (2018): 96–100. http://dx.doi.org/10.3126/jnbs.v10i1.19137.

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Securities market turnover is one of the major behavioral phenomena of stock market. It always depends on the demand and supply of the securities, so the market turnover assumes a number of trading share units, values of share turnover and percentage share value of stocks. This paper is concerned to analyze the different areas of stock units’ turnover and value coverage of stock market .descriptive research design is applied for analyzing the stock market condition. The coverage of share units and share of value weight is analyzed of Nepal stock exchange market economy.The Journal of Nepalese

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Gu, Anthony Yanxiang, and Chauchen Yang. "Short Sales Constraints and Return Volatility: Evidence from the Chinese A and H Share Markets." Review of Pacific Basin Financial Markets and Policies 10, no. 04 (2007): 469–78. http://dx.doi.org/10.1142/s021909150700115x.

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Returns of the same companies' common stocks, both non-market-adjusted and market-adjusted, exhibit greater volatility, on the Stock Exchange of Hong Kong where short selling is allowed than on the Shanghai Stock Exchange and Shenzhen Stock Exchange where short selling is restrained. This unique evidence indicates that short selling increases stock price volatility for the Chinese stocks in the Chinese stock markets.

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Zhang, Yunqi, Zeqi Zhang, and Xiaoyu Zhang. "Stock Market Downturn and Stock Market Concentration." Journal of Economics, Finance and Accounting Studies 5, no. 2 (2023): 152–63. http://dx.doi.org/10.32996/jefas.2023.5.2.12.

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As an important component of corporate inequality, stock market concentration has become a focus of attention in academia in recent years. However, existing literature focuses on its negative consequences, and research on the determinants of stock market concentration is scarce. This paper investigates for the first time how stock market downturns affect stock market concentration. Using data on stock markets in both the United States and China, we find a negative correlation between market-wide returns and stock market concentration. To address endogeneity and establish causal inference, we e

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Rahma Tri Benita, Siti Damayanti, and Irwan Adi Ekaputra. "Information Distribution and Informed Trading in Mixed and Islamic Capital Markets." International Journal of Business and Society 21, no. 3 (2021): 1333–51. http://dx.doi.org/10.33736/ijbs.3353.2020.

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The correlation between volume and frequency with return volatility can explicate the information distribution process and informed traders' transaction behavior in a stock market. In this study, the Indonesian stock market represents the mixed market, while the Saudi Arabian stock market represents the Islamic market. We find that 94% and 96% of sharia-compliant stocks in Indonesia and Saudi Arabia follow the Mixture of Distribution Hypothesis (MDH). Consequently, we may conclude that sharia-compliant stocks in both markets are informationally efficient. However, we find that informed traders

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Nur Iqmal Ibrahim, Siti, Siti Aida Muhammad, and Mimi Hafizah Abdullah. "A Network Analysis of the Stock Market in Malaysia, Singapore and Indonesia." International Journal of Engineering & Technology 7, no. 4.1 (2018): 99. http://dx.doi.org/10.14419/ijet.v7i4.1.28234.

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In this study, we investigate the stock market network among the stocks traded in Malaysia, Singapore and Indonesia using the minimal spanning tree approach. Based on the market capitalization, the monthly adjusted closing prices from 2016 until 2017 of 10 companies for each stock market are chosen to construct the network, and the most influential stocks between Malaysia, Singapore and Indonesia stock markets are identified. Findings of this study show that 3 out of 30 companies are identified as the most influential in the Malaysia, Singapore and Indonesia stock market.

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Nyasha, Sheilla, and N. M. Odhiambo. "The Dynamics Of Stock Market Development In Kenya." Journal of Applied Business Research (JABR) 30, no. 1 (2013): 73. http://dx.doi.org/10.19030/jabr.v30i1.8284.

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This paper highlights the origin of the stock market in Kenya, and traces the reforms that have been undertaken to develop the stock market. It also highlights the growth of the Kenyan stock market, as well as the challenges currently facing the market. The country has one stock market, known as the Nairobi Securities Exchange (formerly the Nairobi Stock Exchange). It is one of Africas largest stock markets. Since the early 1980s, a number of stock market reforms have been implemented in Kenya. These include the formation of a regulatory body (Capital Markets Authority CMA) in 1989, the replac

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Singh, Aditi, and Madhumita Chakraborty. "Examining Efficiencies of Indian ADRs and their Underlying Stocks." Global Business Review 18, no. 1 (2017): 144–62. http://dx.doi.org/10.1177/0972150916666948.

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In this article, the efficient market hypothesis (EMH) is tested for US and Indian stock markets and Indian American depositary receipts (ADRs) and their underlying stocks. The approach used to observe changing market efficiency is time-varying Hurst exponent. The Hurst values have been calculated after filtering the financial asset return series for short-term dependence and volatility. Rolling window approach has been used to calculate Hurst exponent and observe time-varying long-range dependence. The data are filtered by autoregressive-generalized autoregressive conditional heteroscedastici

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XIONG, DEWEN, and MICHAEL KOHLMANN. "THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS." International Journal of Theoretical and Applied Finance 14, no. 05 (2011): 723–55. http://dx.doi.org/10.1142/s0219024911006449.

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We construct a bond-stock market composed of d stocks and many bonds with jumps driven by general marked point process as well as by an ℝn-valued Wiener process. By composing these tools we introduce the concept of a compatible bond-stock market and give a necessary and sufficient condition for this property. We study no-arbitrage properties of the composed market where a compatible bond-stock market is arbitrage-free both for the bonds market and for the stocks market. We then turn to an incomplete compatible bond-stock market and give a necessary and sufficient condition for a compatible bon

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Santhoshi, Mrs, Rianna Kristin M, Manojj D, and Rajeshwar v. "Stock Market Prediction." International Journal of Research Publication and Reviews 6, no. 5 (2025): 4091–95. https://doi.org/10.55248/gengpi.6.0525.1730.

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Haq, Daffa Aqomal, Asep Nurhalim, and Ranti Wiliasih. "Sharia stock market integration of oic countries before and during the crisis of the russian-ukraine war." Halal Studies and Society 1, no. 1 (2024): 25–32. http://dx.doi.org/10.29244/hass.1.1.25-32.

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An integrated stock market has negative impacts, such as accelerating co-movement, which is vulnerable to economic shocks and global market crises on the domestic market. One of the crises in 2022 was the Russia-Ukraine war which impacted the stock market, including Sharia stocks which were believed to be more resistant to the shocks of the global crisis. This study examines the development, integration, and response of OIC countries five Islamic stock markets in the Russia-Ukraine war. The method used is VAR/VECM on the DJIMMT25, SPSADS, SPSUUAEDS, JII, DJIMT, SPBMIR, and SPBMIU indices. The

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Muhammad, Sofian Maksar, Sari Firdani Winda, Abdillah Rabbani Inayah, Swastika Yuan, and Cipto Laksono Rifqi. "The Predictive Ability of U.S. Stock Market Skewness on Indonesian Stock Market Returns." Journal of Economics, Finance And Management Studies 07, no. 05 (2024): 2987–94. https://doi.org/10.5281/zenodo.11407489.

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The three-moment capital asset pricing model (three-moment CAPM) suggests that the expected excess return on stocks should include compensation for skewness risk. This study aims to investigate the ability of U.S. stock market skewness to predict Indonesian stock market returns. The data used in this research includes the S&P500 Index, JCI, JII, and LQ45 from January 2001 to December 2022. The results of this study indicate that U.S. stock market skewness can predict future excess returns of the Indonesian stock market. Additionally, when the estimation model incorporates alternative varia

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Imhanzenobe, Japhet Osazefua. "Historical Development of Frontier Stock Markets in Sub-Saharan Africa." International Journal of Professional Business Review 8, no. 7 (2023): e02659. http://dx.doi.org/10.26668/businessreview/2023.v8i7.2659.

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Purpose: The purpose of this research is to review and compare the development of the three major frontier stock markets in Sub-Saharan Africa over time. The study provides some narrative around the historical development of each market as well as a theoretical backdrop for stock market development studies. Theoretical framework: The adaptive market hypothesis was used as the theoretical backdrop for the study. The adaptive market suggests that stock markets develop in an evolutionary manner (similar to natural selection). This evolution of stock market development is influenced by changes in

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Irfana, Shakira, Mohammad Nihal, S. M. Riha Parvin, et al. "Stock market literacy and investment motivations: Tri-layer market analysis of stock market participation." Investment Management and Financial Innovations 22, no. 2 (2025): 435–49. https://doi.org/10.21511/imfi.22(2).2025.34.

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Bridging the gap between stock market literacy and active participation is the ultimate objective for institutions and policymakers globally, due to its ability to promote inclusive economic growth. In light of this, the study intended to assess the impact of intrinsic and extrinsic motivation on stock market literacy leading to participation. Further, an attempt was made to analyze the intervening role of investment decision and the moderating role of Tri-Layer Market Analysis. With the descriptive design, a survey questionnaire was used to gather data for this investigation, collecting respo

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Chen, Muzi, Yuhang Wang, Boyao Wu, and Difang Huang. "Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy." Entropy 23, no. 4 (2021): 434. http://dx.doi.org/10.3390/e23040434.

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The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion. Based on daily stock returns in the Shanghai Stock Exchange (SSE) A-shares, this paper divides the period between 2005 and 2018 into eight bull and bear market stages to investigate interactive patterns in the Chinese financial market. We employ the Least Absolute Shrinkage and Selection Operator (LASSO) method to construct the stock network, compare the heterogeneity of bull and bear markets, and further use the Map Equation method to analyse the evolution of mo

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Khadke, Prof A., Samyak Ajmera, Anand Ghatol, Akshay Singh, and Himanshu Narwal. "Institutional Market Analysis in Stock Market." International Journal for Research in Applied Science and Engineering Technology 10, no. 11 (2022): 1805–7. http://dx.doi.org/10.22214/ijraset.2022.47653.

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Abstract: A stock market, equity market, or share market is the aggregation of buyers and sellers of stocks (also called shares), which represent ownership claims on businesses. In stock market analysis we are trying to predict the price of given share or stock The result was achieved at the end of this project was quite impressive as model was able to predict the trend successfully, it was not 100% accurate but considering that model it predicted only on the basis of past data is quite impressive. All these things we are able to do with help of machine learning.

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Setiawan, Budi, and Muhammad Hidayat. "PENGARUH PASAR MODAL NEGARA G-3 TERHADAP PASAR MODAL ASEAN-5." Jurnal Ilmiah Ekonomi Global Masa Kini 8, no. 3 (2018): 11–15. http://dx.doi.org/10.36982/jiegmk.v8i3.348.

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The stock marketÂ has captured the attention of many practitioners and scholars in the past decade. ItÂ has becomeÂ one of the most vital aspects of a modern market economy. The stock market providesÂ companiesÂ with access to capital and gives opportunity forÂ investors to have a slice of company ownership. The present paper investigates the impact of G-3 stock markets (US, Japan and Europe) to ASEAN-5 stock markets (Indonesia, Malaysia, Philippines, Thailand and Singapore). The data coverage is composed of daily closing stock index at G-3 stock markets and ASEAN-5 stock markets over the peri

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Phatangare, Sheetal, Abbas Taherbhai Madhvaswala, Kashish Rahate, Mohammed Nogamawala, and Mohamed Maged Mohamed Ahmed. "Stock Market Forecasting." International Journal for Research in Applied Science and Engineering Technology 11, no. 5 (2023): 556–60. http://dx.doi.org/10.22214/ijraset.2023.51550.

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Abstract: Stock market forecasting seeks to determine the worth of a firm’s financial stocks in the future. Machine learning is being used in recent developments in stock market forecasting technology to produce forecasts based on the values of current stock market indices by training on their previous values. Future stock price projections can be difficult to make when trying to anticipate the stock market. It is incredibly challenging to forecast the stock market since shares fluctuate so frequently. Every day and frequently, stock. Foreseeing trends in the stock market is often correct usin

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Kumar, Shivam. "INVESTOR PERCEPTION TOWARDS THE STOCK MARKET." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 04 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem32943.

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A stock market is a market in which stocks are bought and sold. It is also called industrial securities market, because it is the market for the trading of company stocks i.e. corporate securities; both those securities listed on stock exchange as well as those only traded privately. The term ‘Stock Market’ is often used as synonymous to ‘Stock Exchange’. But there is a difference in the two terms. Stock exchange is a corporation in the business of bringing buyers and sellers of stocks together. It is a major part of stock market, but not whole of it. Because a stock market besides stock excha

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Alloul, Fouzia, and El Mehdi Ferrouhi. "The effect of weather on stock market returns: Evidence from African stock markets." Investment Management and Financial Innovations 21, no. 4 (2024): 49–68. http://dx.doi.org/10.21511/imfi.21(4).2024.05.

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Increasing market volatility and the profound impacts of climate change require a comprehensive understanding of how weather affects stock market performance. This paper aims to investigate the effect of eight weather conditions (clear sky, precipitation, pressure, temperature, relative humidity, specific humidity, wind direction, and wind speed) on the returns of major African stock markets (Botswana, Cote d’Ivoire, Kenya, Mauritius, Morocco, Namibia, Nigeria, Rwanda, South Africa, Tanzania, Tunisia, Uganda and Zambia) over the period from January 2, 1998 to December 30, 2023. Using daily dat

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Deshmukh, Tejas, Suraj Hume, Ritesh Rana, Yash Chahande, Harshal Kubde, and Charan Pote. "Stock Market Price Prediction." International Journal for Research in Applied Science and Engineering Technology 11, no. 4 (2023): 4531–34. http://dx.doi.org/10.22214/ijraset.2023.51234.

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Abstract: In stock request valuation, the end is to prognosticate the unborn value of the fiscal stocks of a company. Machine learning itself employs different models to make vaccinating easier and more authentic. The paper focuses on the use of retrogression and LSTM-grounded machine literacy to prognosticate stock values. stock request valuation, the end is to prognosticate the unborn value of the fiscal stocks of a company. Machine learning itself employs different models to make vaticination easier and further authentic. The paper focuses on the use of retrogression and LSTM-grounded machi

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Roška, Vlasta, and Marko Špoljarić. "Musk’s Tweet effect on Bitcoin and Tesla prices." Obrazovanje za poduzetništvo - E4E 14, no. 2 (2025): 101–10. https://doi.org/10.38190/ope.14.2.5.

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Social media significantly impacts the dynamics and move-ment of stock and cryptocurrency markets. The perfect market hypothesis assumes that all available information is already embed-ded in stock prices, meaning that only some announcements will affect the market price of a company’s stock. The efficient market hypothesis and anomalies that cause certain deviations apply to both stock and cryptocurrency markets. Social networks like Twitter, Facebook, and Reddit are significant tools for promoting cryptocurrencies. This paper aims to explore the influence of social media on market price move

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Bensoltane, Héla. "Is there a “Flight to liquidity” phenomenon in the Saudi stock market?" International Journal of ADVANCED AND APPLIED SCIENCES 11, no. 4 (2024): 45–51. http://dx.doi.org/10.21833/ijaas.2024.04.006.

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The study examines how market illiquidity shocks affect stock prices and explores the "flight to liquidity" phenomenon in the largest stock market in the Middle East, specifically the Saudi stock market. It analyzes the relationship between these shocks and stock prices to understand the impact on both small and large firms. Utilizing a comprehensive database that contains daily data of all stocks listed on the Saudi stock market for over 20 years, the research evaluates the illiquidity of each stock and the entire market on a weekly basis. Market illiquidity shocks are determined using an aut

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O'Sullivan, Mary. "The Expansion of the U.S. Stock Market, 1885–1930: Historical Facts and Theoretical Fashions." Enterprise & Society 8, no. 3 (2007): 489–542. http://dx.doi.org/10.1017/s1467222700006182.

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Based on an analysis of the leading trading markets for stock in the United States, I document the dramatic expansion that took place in the scale and scope of the country's stock market from the mid-1880s to the early 1930s. My analysis suggests that a broadbased stock market was a long way from being established even by the early teens. It took the impetus provided by World War I, plus the enthusiasm of the 1920s, to bring such a market into existence. I consider the capacity of today's fashionable theories, which link the development of stock markets to improvements in minority shareholder

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Chowdhury, Mohammad Ashraful Ferdous, Md Mahmudul Haque, and Md Nazrul Islam. "Contagion Effects on Stock Market of Bangladesh." International Journal of Asian Business and Information Management 8, no. 2 (2017): 1–14. http://dx.doi.org/10.4018/ijabim.2017040101.

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Due to increased globalization and economic integration in the global economy, contagion effects have been considered an important matter for the investors and policymakers. In the wake of the global financial crisis of September 2008, Islamic financial products were thrust into the spotlight as alternatives to the shaken conventional equity markets. The objective of this study is to discover the Islamic stock market dynamics of Bangladesh with the global Islamic stock markets such as Saudi Arabia, UAE, Kuwait, Europe, UK and Japan. For understanding long run relationship or the theoretical re

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Mamcarz, Katarzyna. "Gold market and selected Nordic stock markets: Granger causality." Ekonomia i Prawo 21, no. 2 (2022): 463–87. http://dx.doi.org/10.12775/eip.2022.026.

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Motivation: The turbulence in financial markets, especially stocks, makes investors seek safer ways of capital allocation. Gold exhibiting a low or negative correlation with stocks can constitute an alternative form of investment for them. The price volatility of aforementioned assets has impact on investors’ decisions. That is why the assessment of interrelations between stock and gold returns is important. The direction of causality between the analysed variables is reflected by the fact that investors tend to transfer their funds from gold markets to more profitable markets, or return to go

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Sari, Linda Karlina, Noer Azam Achsani, and Bagus Sartono. "THE VOLATILITY TRANSMISSION OF MAIN GLOBAL STOCK'S RETURN TO INDONESIA." Buletin Ekonomi Moneter dan Perbankan 20, no. 2 (2017): 229–56. http://dx.doi.org/10.21098/bemp.v20i2.813.

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Stock return volatility is a very interesting phenomenon because of its impact on global financial markets. For instance, an adverse shocks in one country’s market can be transmitted to other countries’ market through a particular mechanism of transmission, causing the related markets to experience financial instability as well (Liu et al., 1998). This paper aims to determine the best model to describe the volatility of stock returns, to identify asymmetric effect of such volatility, as well as to explore the transmission of stocks return volatilities in seven countries to Indonesia’s stock ma

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Nyasha, Sheilla, and Nicholas M. Odhiambo. "The Brazilian stock market development: A critical analysis of progress and prospects during the past 50 years." Risk Governance and Control: Financial Markets and Institutions 3, no. 3 (2013): 7–15. http://dx.doi.org/10.22495/rgcv3i3art1.

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This paper highlights the origin of the stock market in Brazil, and traces the reforms that have been undertaken to develop the stock market. It also highlights the growth of the Brazilian stock market, as well as the challenges currently facing the market. The country has one big stock market, known as the BM&FBOVESPA, which is one of the world’s largest stock markets. Over the years, a number of stock market reforms have been implemented in Brazil. Among these reforms have been the restructuring of the financial market, the replacement of the traditional trading systems by full electroni

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Chellaswamy, Karthigai Prakasam, Natchimuthu N, and Muhammadriyaj Faniband. "Stock Market Reforms and Stock Market Performance." International Journal of Financial Research 12, no. 2 (2021): 202. http://dx.doi.org/10.5430/ijfr.v12n2p202.

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This paper analyses the impact of stock market reforms on the stock market performance in India using regression based event-study method. We consider nine stock market reforms introduced from 1998 to 2018. We find that the impact of stock market reforms on Nifty trading volume and Nifty return is different. This paper documents that the impact of the additional volatility measures, T+3 and T+2 settlement cycles, and margin provisions for intra-day crystallized losses reforms show a positive impact on trading volume post-reform. In contrast, internet trading, prohibition of fraudulent and unfa

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Nyasha, Sheilla, and N. M. Odhiambo. "Stock Market Development In The United Kingdom: Prospects And Challenges." International Business & Economics Research Journal (IBER) 12, no. 7 (2013): 725. http://dx.doi.org/10.19030/iber.v12i7.7963.

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This paper highlights the origin and development of the U.K. stockmarket. The country consists of one major stock market, known as the London Stock Exchange, which is one of the worlds largest stock markets. Stock market reforms have been implemented since the Big Bang of 1986 and the Exchange responded positively to most of these reforms, but not so positively to others. As a result of the reforms, the U.K.s stock market has developed, in terms of market capitalisation, the total value of stocks traded and the turnover ratio.Although the U.K. stock market has developed over the years, it stil

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Jiang, Jing. "Cross-sectional variation of market efficiency." Review of Accounting and Finance 16, no. 1 (2017): 67–85. http://dx.doi.org/10.1108/raf-02-2016-0018.

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Purpose This paper aims to provide evidence that market efficiency varies greatly across individual stock, and across market exchanges. Design/methodology/approach Three approaches, partial adjustment model, Dimson beta model and variance ratio test, are used on a large sample of US stocks. Findings This paper finds prices are closer to random walk benchmarks (i.e. more efficient) for stocks with better liquidity provision, frequent trading, greater return volatility, higher prices, larger market capitalizations and smaller trade sizes. These findings suggest that liquidity stimulates arbitrag

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Akinlaso, Mustapha Ishaq, Aroua Robbana, and Nura Mohamed. "Volatility transmission within financial markets during the COVID-19 pandemic: are faith-based investors well off in Tunisia?" Journal of Islamic Accounting and Business Research 13, no. 1 (2021): 98–113. http://dx.doi.org/10.1108/jiabr-12-2020-0388.

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Purpose This paper aims to investigate the risk-return and volatility spillover within the Tunisian stock market during the COVID-19 pandemic analyzing both the Islamic and conventional stocks’ performance. Design/methodology/approach Both symmetric (GARCH and GARCH-M) and asymmetric (Threshold GARCH and Exponential GARCH) models are used to analyze the market returns and volatility response. Standard and Poor’s (S&P) index has been used to test both the Islamic and conventional stocks within the Tunisian stock market. Findings The findings suggest that both Tunisia Islamic and conventiona

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Tsung-Yu, Hsieh, Wu Tsung-Che, and Shu-Ling Lin. "The Lifting of Price Limits and the Stock Market Quality: The Case of the Taiwanese Stock Market." Empirical Economics Letters 22, no. 4 (2023): 125–30. https://doi.org/10.5281/zenodo.10005732.

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<strong>Abstract: </strong>In order to increase the market efficiency and connect with the international stock market mechanism, the Taiwan Stock Exchange had published the price fluctuation limitations and relaxed the price fluctuation limits from 7% to 10% on June 1, 2015. Asian stock markets tend to have the least price limits relaxation, however, owing to the Taiwan stock market owns more retail investors, and retail investors tend to jump on the bandwagon when trading stocks. The purpose of this paper is to discuss the system modification on price limits and its influences on the stock ma

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Kumar, Rakesh, and Raj S. Dhankar. "Asymmetric Volatility and Cross Correlations in Stock Returns under Risk and Uncertainty." Vikalpa: The Journal for Decision Makers 34, no. 4 (2009): 25–36. http://dx.doi.org/10.1177/0256090920090403.

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Capital market efficiency is a matter of great interest for policy makers and investors in designing investment strategy. If efficient market hypothesis (EMH) holds true, it will prevent the investors to realize extra return by utilizing the inherent information of stocks. They will realize extra returns only by incorporating the extra risky stocks in their portfolios. While empirical tests of EMH and risk-return relationship are plentiful for developed stock markets, the focus on emerging stock markets like India, Pakistan, Sri Lanka, etc., began with the liberalization of financial systems i

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Patidar, Jaydeep. "Web Trade Analytics." International Scientific Journal of Engineering and Management 03, no. 04 (2024): 1–9. http://dx.doi.org/10.55041/isjem01704.

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This research introduces an innovative web application developed using the MERN (MongoDB, Express.js, React, Node.js) stack, enhanced with fundamental machine learning algorithms, designed to address the complexities of stock market analysis. The central focus is on creating a user-customizable dashboard, allowing investors to select specific stocks for real-time analysis, sentiment tracking, and future price prediction. The methodology integrates historical stock data with sentiment analysis sourced from news and social media. The machine learning algorithms leverage this data to generate buy

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Sable, Rachna, Shivani Goel, and Pradeep Chatterjee. "Techniques for Stock Market Prediction: A Review." International Journal on Recent and Innovation Trends in Computing and Communication 11, no. 5s (2023): 381–402. http://dx.doi.org/10.17762/ijritcc.v11i5s.7056.

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Stock market forecasting has long been viewed as a vital real-life topic in economics world. There are many challenges in stock market prediction systems such as the Efficient Market Hypothesis (EMH), Nonlinearity, complex, diverse datasets, and parameter optimization. A stock's value on the stock market fluctuates due to many factors like previous trends of the stock, the current news, twitter feeds, any online customer feedbacks etc. In this paper, the literature is critically analysed on approaches used for stock market prediction in terms of stock datasets, features used, evaluation metric

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Matek, Petar-Pierre, and Maša Galić. "The impact of designated market-makers on liquidity in frontier markets." Zbornik radova Ekonomskog fakulteta u Rijeci 42, no. 1 (2024): 95–121. http://dx.doi.org/10.18045/zbefri.2024.1.95.

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Many exchanges around the globe have implemented market-making schemes inan attempt to mitigate liquidity risk and enhance trading volume. This researchexamines the impact of designated market makers on stock liquidity in frontiermarkets, specifically measured by bid-ask spreads and trading turnover. Using adifference-in-differences analysis, we studied 19 stocks that introduced designatedmarket makers at the Zagreb Stock Exchange and Ljubljana Stock Exchangebetween May 2010 and January 2022. To the best of our knowledge, this is the firststudy investigating the impact of market makers in thes

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Miralles-Quirós, María del Mar, José Luis Miralles-Quirós, and Celia Oliveira. "The role of liquidity in asset pricing: the special case of the Portuguese Stock Market." Journal of Economics, Finance and Administrative Science 22, no. 43 (2017): 191–206. http://dx.doi.org/10.1108/jefas-12-2016-0001.

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Purpose The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing. Design/methodology/approach The authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to pri

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Cai, Huan, Meining Wang, and Chaonan Bai. "An Empirical Study of Investors’ Disposition Effect in China Based on Open Data from the Chinese Stock Markets." International Journal of Economics and Finance 10, no. 5 (2018): 165. http://dx.doi.org/10.5539/ijef.v10n5p165.

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This paper focuses on investors’ different behavioral biases in China’s segmented stock markets and investigates the correlation between average holding periods, stock returns and investors’ disposition effect between 2010 and 2014. The results show that the disposition effect is prevalent in A-share market but is very weak in Growth Enterprise market and there is a lack of evidence to support the existence of disposition effect in B-share market. The study supports the view that investors’ experience and sophistication can partly help reduce investors’ behavioral biases in stock markets. It a

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ATMAZ, ADEM, and SULEYMAN BASAK. "Stock Market and No‐Dividend Stocks." Journal of Finance 77, no. 1 (2021): 545–99. http://dx.doi.org/10.1111/jofi.13098.

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Kolte, Geeta, Varadraj Kini, Harikrishnan Nair, and Prof Suresh Babu K. S. "Stock Market Prediction using Deep Learning." International Journal for Research in Applied Science and Engineering Technology 10, no. 4 (2022): 26–32. http://dx.doi.org/10.22214/ijraset.2022.41159.

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Abstract: Stock market is very uncertain and highly volatile as the prices of stocks keep fluctuating due to several factors that make prediction of stocks a very difficult and complicated task. In the finance and trading world stock analysis and trading is a method for investors and traders to make buying and selling decisions. Investors and traders try to gain an edge in the markets by taking informed decisions by studying and evaluating past and current data. Stock market prediction has always been an important research topic in the financial and trading field [2]. Prediction of stock marke

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Stereńczak, Szymon. "Conditional stock liquidity premium: is Warsaw stock exchange different?" Studies in Economics and Finance 38, no. 1 (2021): 67–85. http://dx.doi.org/10.1108/sef-03-2020-0075.

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Purpose This paper aims to empirically indicate the factors influencing stock liquidity premium (i.e. the relationship between liquidity and stock returns) in one of the leading European emerging markets, namely, the Polish one. Design/methodology/approach Various firms’ characteristics and market states are analysed as potentially affecting liquidity premiums in the Polish stock market. Stock returns are regressed on liquidity measures and panel models are used. Liquidity premium has been estimated in various subsamples. Findings The findings vividly contradict the common sense that liquidity

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