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Stock and Index Derivatives and Markets
SSRN Electronic Journal, 2014Stock options have been traded in the United States from the late 1700s, and they are based on underlying common stock issues. Options and futures on corporate securities can be evaluated using the firm’s common stock price and its volatility rate because this exercise takes in consideration only one type of uncertainty: the firm’s value.
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Predicting stock market indexes with world news
2017 4th International Conference on Systems and Informatics (ICSAI), 2017With the rapid development of economy, people need to raise the accuracy of predicting prices considering late events. The main tackle in raising the accuracy is to fully use the information in daily reports. Unfortunately, most of the current solutions separate the time series statistics, the events reported in text data and prediction in data mining ...
Yunsong Zhong, Qinpei Zhao, Weixiong Rao
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The design and performance of the adaptive stock market index
Algorithmic Finance, 2014The stock market index is one of the main tools used by investors and financial managers to describe the market and compare the returns on specific investments. Common approaches to index calculation rely on a company's market value generating a weighted average as the index.
Lior Zatlavi +2 more
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The impact of stock index futures on the Korean stock market
Applied Financial Economics, 2004This article investigates the impact on the spot market of trading in KOSPI 200 futures. Empirical results show that futures trading increases the speed at which information is impounded into spot market prices, reduces the persistence of information and increases spot market volatility.
Hyun-Jung Ryoo, Graham Smith
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The effect of stock index futures to stock market volatility
2011 International Conference on System science, Engineering design and Manufacturing informatization, 2011Based on daily closing price of Shanghai-Shenzhen 300 Index from 16st April 2008 to 16st April 2011, the paper constructs the GARCH model in order to study whether the Chinese stock markets show some significant change in the volatility after the introduction of stock index futures trading.
null Zhang Jianfeng +2 more
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Modeling stock market indexes with copula functions [PDF]
e-Finanse, 2011 Contemporary financial risk management is significantly based on the analysis of time series of returns. One of the most significant errors frequently committed by analysts is the predominant use of normal distributions when it is clear that the returns are not normal. Copula models and models for non-normal multivariate distributions provide new tools
Jacek Leskow +2 more
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THE IMPACT OF STOCK MARKET VOLATILITY ON STOCK INDEXES
Современные проблемы развития экономики России и Китая. Материалы IV международной научно-практической конференции. Часть 2, 2023D.A. Starchukov, Ye.S. Novopashina
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Behavior of Stock Market Index in the Stock Exchange of Thailand [PDF]
, 2007 2, 2, Development Economic ...
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Forecasting Croatian stock market index: Crobex
UTMS Journal of Economics, 2013Forecasting stock returns is considered one of the hardest tasks for every potential investor. This paper attempts to predict the movement of Croatian stock market index Crobex on Zagreb Stock Exchange. Main aim of this paper was to empirically examine the best univariate Autoregressive Integrated Moving Average model for forecasting.
Ivanovic, Zoran +2 more
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