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Stock Index Forecasting for Vietnam's Stock Market

2012 Sixth International Conference on Genetic and Evolutionary Computing, 2012
In the so-called global crisis from late 2007 up to early 2009, the economy was shaken, especially stock market by global increased volatility transmission. Stocks' price in Viet Nam continuously went down. Therefore, in this paper, we will analyze to find main factors which strongly have influence on fluctuation of Vietnam's stock index for the period
Juifang Chang, Son Van Duong
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Arbitrage in Stock Index Futures

The Journal of Business, 1990
The textbook description of arbitrage suggests that it is a straightforward matter of taking offsetting positions in different securities and realizing the arbitrage profit. Such descriptions, however, typically ignore the transaction costs that give rise to the arbitrage opportunity in the first place. Taking proper account of these transactions costs
Brennan, Michael J, Schwartz, Eduardo S
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Impact of The Global Stocks Index on The Shariah And Conventional Stocks Index in Indonesia

Islamic Economics Methodology, 2022
The Islamic capital market plays an important role in the growth of the economy in Indonesia. During its development, the performance of the stock index in a country is often influenced by other stock indices in other countries. This study tries to analyze the dependence of the international stock index towards JII and JCI price, using Autoregression ...
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Stock index volatility: evidence for stock index options in Taiwan

Journal of Information and Optimization Sciences, 2008
This study applies artificial neural network to forecast Taiwan stock index option prices from 2005 to 2006. This study compares the option pricing model using three approaches to volatility: GARCH, EGARCH and GJR-GARCH, and compares estimators with three sets of criteria: RMSE, MAE and MAPE.
Chin-Tsai Lin, Hsin-Yi Yeh
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Forecasting the Volatility of Stock Price Index

Expert Systems with Applications, 2006
Accurate volatility forecasting is the core task in the risk management in which various portfolios’ pricing, hedging, and option strategies are exercised. Prior studies on stock market have primarily focused on estimation of stock price index by using financial time series models and data mining techniques.
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A Study on the Leading Fact of Stock Index Future and Spot Stock Index

2010 International Conference on Management and Service Science, 2010
This paper choose sample data from both the upward trending market and the downward trending market for the empirical test. We find that (1) on the whole, the movement of the spot stock index and the stock index future adjusts consulting to each other.
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Stock market volatility and the information content of stock index options

Journal of Econometrics, 1992
Abstract Previous studies of the information content of the implied volatilities from the prices of call options have used a cross-sectional regression approach. This paper compares the information content of the implied volatilities from call options on the S&P 100 index to GARCH (Generalized Auto regressive Conditional ...
Theodore E Day, Craig M Lewis
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Index Numbers and Stock Market Indexes

2014
Throughout the text, we have learned that one of the most important uses of statistics is to summarize data and to make comparisons. Often we are interested in comparing the past and the present. For example, we may be interested in how prices have changed over time.
Ronald L. Moy, Li-Shya Chen, Lie Jane Kao   +2 more
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Stock Index Futures

2018
Preface Preliminaries: Stock market indices Introduction to futures trading Arbitrage: Arbitrage and the valuation of stock index futures Arbitrage in practice Arbitrage and relaxing the assumptions Prices: Basics, spreads and the risk premium Maturity, price volatility and volume Market efficiency Uses: Hedging The uses of stock index futures by fund ...
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Index Numbers and Stock Market Indexes

2012
Business executives and government officials often make judgments that involve summarizing how business, economic, and financial variables change with time or place. Examples of variation over time include variation in gross national production, variation in the price of consumer goods, and variation in stock market prices, As an example of variation ...
Cheng-Few Lee, John C. Lee, Alice C. Lee
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