Search results for: artificial stock markets
3565 The Impact of Bitcoin on Stock Market Performance
Authors: Oliver Takawira, Thembi Hope
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This study will analyse the relationship between Bitcoin price movements and the Johannesburg stock exchange (JSE). The aim is to determine whether Bitcoin price movements affect the stock market performance. As crypto currencies continue to gain prominence as a safe asset during periods of economic distress, this raises the question of whether Bitcoin’s prosperity could affect investment in the stock market. To identify the existence of a short run and long run linear relationship, the study will apply the Autoregressive Distributed Lag Model (ARDL) bounds test and a Vector Error Correction Model (VECM) after testing the data for unit roots and cointegration using the Augmented Dicker Fuller (ADF) and Phillips-Perron (PP). The Non-Linear Auto Regressive Distributed Lag (NARDL) will then be used to check if there is a non-linear relationship between bitcoin prices and stock market prices.Keywords: bitcoin, stock market, interest rates, ARDL
Procedia PDF Downloads 963564 The Effect of Behavioral and Risk Factors of Investment Growth on Stock Returns
Authors: Majid Lotfi Ghahroud, Seyed Jalal Tabatabaei, Ebrahim Karami, AmirArsalan Ghergherechi, Amir Ali Saeidi
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In this study, the relationship between investment growth and stock returns of companies listed in Tehran Stock Exchange and whether their relationship -behavioral or risk factors- are discussed. Generally, there are two perspectives; risk-based approach and behavioral approach. According to the risk-based approach due to increase investment, systemic risk and consequently the stock returns are reduced. But due to the second approach, an excessive optimism or pessimism leads to assuming stock price with high investment growth in the past, higher than its intrinsic value and the price of stocks with lower investment growth, less than its intrinsic value. The investigation period is eight years from 2007 to 2014. The sample consisted of all companies listed on the Tehran Stock Exchange. The method is a portfolio test, and the analysis is based on the t-student test (t-test). The results indicate that there is a negative relationship between investment growth and stock returns of companies and this negative correlation is stronger for firms with higher cash flow. Also, the negative relationship between asset growth and stock returns is due to behavioral factors.Keywords: behavioral theory, investment growth, risk-based theory, stock returns
Procedia PDF Downloads 1513563 Corporate Governance and Share Prices: Firm Level Review in Turkey
Authors: Raif Parlakkaya, Ahmet Diken, Erkan Kara
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This paper examines the relationship between corporate governance rating and stock prices of 26 Turkish firms listed in Turkish stock exchange (Borsa Istanbul) by using panel data analysis over five-year period. The paper also investigates the stock performance of firms with governance rating with regards to the market portfolio (i.e. BIST 100 Index) both prior and after governance scoring began. The empirical results show that there is no relation between corporate governance rating and stock prices when using panel data for annual variation in both rating score and stock prices. Further analysis indicates surprising results that while the selected firms outperform the market significantly prior to rating, the same performance does not continue afterwards.Keywords: corporate governance, stock price, performance, panel data analysis
Procedia PDF Downloads 3873562 Testing the Weak Form Efficiency of Islamic Stock Market: Empirical Evidence from Indonesia
Authors: Herjuno Bagus Wicaksono, Emma Almira Fauni, Salma Amelia Dina
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The Efficient Market Hypothesis (EMH) states that, in an efficient capital market, price fully reflects the information available in the market. This theory has influenced many investors behavior in trading in the stock market. Advanced researches have been conducted to test the efficiency of the stock market in particular countries. Indonesia, as one of the emerging countries, has performed substantial growth in the past years. Hence, this paper aims to examine the efficiency of Islamic stock market in Indonesia in its weak form. The daily stock price data from Indonesia Sharia Stock Index (ISSI) for the period October 2015 to October 2016 were used to do the statistical tests: Run Test and Serial Correlation Test. The results show that there is no serial correlation between the current price with the past prices and the market follows the random walk. This research concludes that Indonesia Islamic stock market is weak form efficient.Keywords: efficient market hypothesis, Indonesia sharia stock index, random walk, weak form efficiency
Procedia PDF Downloads 4513561 Behavioral Finance: Anomalies at Real Markets, Weekday Effect
Authors: Vera Jancurova
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The financial theory is dominated by the believe that weekday effect has disappeared from current markets. The purpose of this article is to study anomalies, especially weekday effect, at real markets that disrupt the efficiency of financial markets. The research is based on the analyses of historical daily exchange rates of significant world indices to determine the presence of weekday effects on financial markets. The methodology used for the study is based on the analyzes of daily averages of particular indexes for different time periods. Average daily gains were analyzed for their whole time interval and then for particular five and ten years periods with the aim to detect the presence on current financial markets. The results confirm the presence of weekday effect at the most significant indices - for example: Nasdaq, S & P 500, FTSE 100 and the Hang Seng. It was confirmed that in the last ten years, the weekend effect disappeared from financial markets. However in last year’s the indicators show that weekday effect is coming back. The study shows that weekday effect has to be taken into consideration on financial markets, especially in the past years.Keywords: indices, anomalies, behavioral finance, weekday effect
Procedia PDF Downloads 3353560 A Mathematical Equation to Calculate Stock Price of Different Growth Model
Authors: Weiping Liu
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This paper presents an equation to calculate stock prices of different growth model. This equation is mathematically derived by using discounted cash flow method. It has the advantages of being very easy to use and very accurate. It can still be used even when the first stage is lengthy. This equation is more generalized because it can be used for all the three popular stock price models. It can be programmed into financial calculator or electronic spreadsheets. In addition, it can be extended to a multistage model. It is more versatile and efficient than the traditional methods.Keywords: stock price, multistage model, different growth model, discounted cash flow method
Procedia PDF Downloads 3983559 On the Influence of the Covid-19 Pandemic on Tunisian Stock Market: By Sector Analysis
Authors: Nadia Sghaier
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In this paper, we examine the influence of the COVID-19 pandemic on the performance of the Tunisian stock market and 12 sectors over a recent period from 23 March 2020 to 18 August 2021, including several waves and the introduction of vaccination. The empirical study is conducted using cointegration techniques which allows for long and short-run relationships. The obtained results indicate that both daily growth in confirmed cases and deaths have a negative and significant effect on the stock market returns. In particular, this effect differs across sectors. It seems more pronounced in financial, consumer goods and industrials sectors. These findings have important implications for investors to predict the behavior of the stock market or sectors returns and to implement hedging strategies during the COVID-19 pandemic.Keywords: Tunisian stock market, sectors, COVID-19 pandemic, cointegration techniques
Procedia PDF Downloads 1933558 The Arabian Financial Framework in the Pre-Islamic Times: Do We Need a New Paradigm
Authors: Fahad Ahmed Qureshi
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There were abundant renowned financial markets in Pre-Islamic Arabs. Most of those were patterned and settled during pre-particularized sunshine. Those markets were classified either as vernacular markets helping the neighboring clans, or habitual markets that people sojourned to from all articulations of the Arabian Peninsula, such as Okaz near Mecca. Some of those markets had leading significance due to their geographical positions, such as Prime market of Eden, because of their entanglement in international trade i.e. with the markets of Sub-Continent, Abyssinia, Persia and China. Other markets such as Market of Yamamah annex its gist from being situated on the caravan crossroads. Islamic worldview and Islamic epistemology base of Financial Market’s realistic theory, pragmatic model and operative approach is moderately constrained in terms of its growth. The existent situation only parasol the form of accommodative-modification and splendid-methodologies, which due to depleted and decorous endeavor in explaining Islamic financial market theoretically. This is the demand of time that particular studies should be conduct to magnify the devours in developing theoretical framework for Islamic Financial Market.Keywords: Islam, financial market, history, research, product development
Procedia PDF Downloads 4043557 Stock Price Prediction with 'Earnings' Conference Call Sentiment
Authors: Sungzoon Cho, Hye Jin Lee, Sungwhan Jeon, Dongyoung Min, Sungwon Lyu
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Major public corporations worldwide use conference calls to report their quarterly earnings. These 'earnings' conference calls allow for questions from stock analysts. We investigated if it is possible to identify sentiment from the call script and use it to predict stock price movement. We analyzed call scripts from six companies, two each from Korea, China and Indonesia during six years 2011Q1 – 2017Q2. Random forest with Frequency-based sentiment scores using Loughran MacDonald Dictionary did better than control model with only financial indicators. When the stock prices went up 20 days from earnings release, our model predicted correctly 77% of time. When the model predicted 'up,' actual stock prices went up 65% of time. This preliminary result encourages us to investigate advanced sentiment scoring methodologies such as topic modeling, auto-encoder, and word2vec variants.Keywords: earnings call script, random forest, sentiment analysis, stock price prediction
Procedia PDF Downloads 2883556 An Impact of Stock Price Movements on Cross Listed Companies: A Study of Indian ADR and Domestic Stock Prices
Authors: Kanhaiya Singh
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Indian corporate sector has been raising resources through various international financial instruments important among them are Global depository receipts (GDRs) and American Depository Receipts (ADRs). The purpose of raising resources through such instruments is multifold such as lower cost of capital, increased visibility of the company, liberal tax environment, increased trading liquidity etc. One of the significant reason is also the value addition of the company in terms of market capitalization. Obviously, the stocks of such companies are cross listed, one in India and other at the International stock exchange. The sensitivity and movements of stock prices on one stock exchange as compared to other may have an impact on the price movement of the particular scrip. If there is any relationship exists is an issue of study. Having this in view this study is an attempt to identify the extent of impact of price movement of the scrip on one stock exchange on account of change in the prices on the counter stock exchange. Also there is an attempt to find out the difference between pre and post cross listed domestic firm. The study also analyses the impact of exchange rate movements on stock prices.Keywords: ADR, GDR, cross listing, liquidity, exchange rate
Procedia PDF Downloads 3783555 Artificial Intelligence Created Inventions
Authors: John Goodhue, Xiaonan Wei
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Current legal decisions and policies regarding the naming as artificial intelligence as inventor are reviewed with emphasis on the recent decisions by the European Patent Office regarding the DABUS inventions holding that an artificial intelligence machine cannot be an inventor. Next, a set of hypotheticals is introduced and examined to better understand how artificial intelligence might be used to create or assist in creating new inventions and how application of existing or proposed changes in the law would affect the ability to protect these inventions including due to restrictions on artificial intelligence for being named as inventors, ownership of inventions made by artificial intelligence, and the effects on legal standards for inventiveness or obviousness.Keywords: Artificial intelligence, innovation, invention, patent
Procedia PDF Downloads 1683554 Stock Market Developments, Income Inequality, Wealth Inequality
Authors: Quang Dong Dang
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This paper examines the possible effects of stock market developments by channels on income and wealth inequality. We use the Bayesian Multilevel Model with the explanatory variables of the market’s channels, such as accessibility, efficiency, and market health in six selected countries: the US, UK, Japan, Vietnam, Thailand, and Malaysia. We found that generally, the improvements in the stock market alleviate income inequality. However, stock market expansions in higher-income countries are likely to trigger income inequality. We also found that while enhancing the quality of channels of the stock market has counter-effects on wealth equality distributions, open accessibilities help reduce wealth inequality distributions within the scope of the study. In addition, the inverted U-shaped hypothesis seems not to be valid in six selected countries between the period from 2006 to 2020.Keywords: Bayesian multilevel model, income inequality, inverted u-shaped hypothesis, stock market development, wealth inequality
Procedia PDF Downloads 1043553 Risk Management of Natural Disasters on Insurance Stock Market
Authors: Tarah Bouaricha
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The impact of worst natural disasters is analysed in terms of insured losses which happened between 2010 and 2014 on S&P insurance index. Event study analysis is used to test whether natural disasters impact insurance index stock market price. There is no negative impact on insurance stock market price around the disasters event. To analyse the reaction of insurance stock market, normal returns (NR), abnormal returns (AR), cumulative abnormal returns (CAR), cumulative average abnormal returns (CAAR) and a parametric test on AR and on CAR are used.Keywords: study event, natural disasters, insurance, reinsurance, stock market
Procedia PDF Downloads 3843552 The Probability of Smallholder Broiler Chicken Farmers' Participation in the Mainstream Market within Maseru District in Lesotho
Authors: L. E. Mphahama, A. Mushunje, A. Taruvinga
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Although broiler production does not generate any large incomes among the smallholder community, it represents the main source of livelihood and part of nutritional requirement. As a result, market for broiler meat is growing faster than that of any other meat products and is projected to continue growing in the coming decades. However, the implication is that a multitude of factors manipulates transformation of smallholder broiler farmers participating in the mainstream markets. From 217 smallholder broiler farmers, socio-economic and institutional factors in broiler farming were incorporated into Binary model to estimate the probability of broiler farmers’ participation in the mainstream markets within the Maseru district in Lesotho. Of the thirteen (13) predictor variables fitted into the model, six (6) variables (household size, number of years in broiler business, stock size, access to transport, access to extension services and access to market information) had significant coefficients while seven (7) variables (level of education, marital status, price of broilers, poultry association, access to contract, access to credit and access to storage) did not have a significant impact. It is recommended that smallholder broiler farmers organize themselves into cooperatives which will act as a vehicle through which they can access contracts and formal markets. These cooperatives will also enable easy training and workshops for broiler rearing and marketing/markets through extension visits.Keywords: broiler chicken, mainstream market, Maseru district, participation, smallholder farmers
Procedia PDF Downloads 1373551 Financial Literacy and Stock Market Participation: Does Gender Matter?
Authors: Irfan Ullah Munir, Shen Yue, Muhammad Shahzad Ijaz, Saad Hussain, Syeda Yumna Zaidi
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Financial literacy is fundamental to every decision-making process and has received attention from researchers, regulatory bodies and policy makers in the recent past. This study is an attempt to evaluate financial literacy in an emerging economy, particularly Pakistan, and its influence on people's stock market participation. Data of this study was collected through a structured questionnaire from a sample of 300 respondents. EFA is used to check the convergent and discriminant validity. Data is analyzed using Hayes (2013) approach. A set of demographic control variables that have passed the mean difference test is used. We demonstrate that participants with financial literacy tend to invest more in the stock market. We also find that association among financial literacy and participation in stock market gets moderated by gender.Keywords: Financial literacy, Stock market participation, Gender, PSX
Procedia PDF Downloads 1913550 Exploring the Factors Affecting the Presence of Farmers’ Markets in Rural British Columbia
Authors: Amirmohsen Behjat, Aleck Ostry, Christina Miewald, Bernie Pauly
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Farmers’ Markets have become one of the important healthy food suppliers in both rural communities and urban settings. Farmers’ markets are evolving and their number has rapidly increased in the past decade. Despite this drastic increase, the distribution of the farmers’ markets is not even across different areas. The main goal of this study is to explore the socioeconomic, geographic, and demographic variables which affect the establishment of farmers’ market in rural communities in British Columbia (BC). Thus, the data on available farmers’ markets in rural areas were collected from BC Association of Farmers’ Markets and spatially joined to BC map at Dissemination Area (DA) level using ArcGIS software to link the farmers’ market to the respective communities that they serve. Then, in order to investigate this issue and understand which rural communities farmer’ markets tend to operate, a binary logistic regression analysis was performed with the availability of farmer’ markets at DA-level as dependent variable and Deprivation Index (DI), Metro Influence Zone (MIZ) and population as independent variables. The results indicated that DI and MIZ variables are not statistically significant whereas the population is the only which had a significant contribution in predicting the availability of farmers’ markets in rural BC. Moreover, this study found that farmers’ markets usually do not operate in rural food deserts where other healthy food providers such as supermarkets and grocery stores are non-existent. In conclusion, the presence of farmers markets is not associated with socioeconomic and geographic characteristics of rural communities in BC, but farmers’ markets tend to operate in more populated rural communities in BC.Keywords: farmers’ markets, socioeconomic and demographic variables, metro influence zone, logistic regression, ArcGIS
Procedia PDF Downloads 1853549 Brexit: Implications on Banking Regulations and Conditions; An Analysis
Authors: Astha Sinha, Anjali Kanagali
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The United Kingdom’s withdrawal from the European Union, also termed as “Brexit,” took place on June 23, 2016 and immediately had global repercussions on the stock markets of the world. It is however expected to have a greater impact on the Banking sector in the UK. There is a two-fold effect on the earnings of banks which is being expected. First is of the trading activity and investment banking businesses being hit due to global weakness in financial markets. Second is that the banks having a large presence in the European Union will have to restructure their operations in order to cover other European countries as well increase their operating costs. As per the analysis, banks are expected to face rate cuts, bad loans, and tight liquidity. The directives in the Brexit negotiations on the Markets in Financial Instruments Directive (MiFID) will be a major decision to be taken for the Banking sector. New regulations will be required since most of the regulations governing the financial services industry allowing for the cross-border transactions were at the EU level. This paper aims to analyze the effect of Brexit on the UK Banking sector and changes in regulations that are expected due to the same. It shall also lay down the lessons learnt from the 2008 financial crisis and draw a parallel in terms of potential areas to be focused on for revival of the financial sector of Britain.Keywords: Brexit, Brexit impact on UK, impact of Brexit on banking, impact of Brexit on financial services
Procedia PDF Downloads 3983548 Executive Stock Options, Business Ethics and Financial Reporting Quality
Authors: Philemon Rakoto
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This paper tests the improvement of financial reporting quality when firms award stock options to their executives. The originality of this study is that we introduce the moderating effect of business ethics in the model. The sample is made up of 116 Canadian high-technology firms with available data for the fiscal year ending in 2012. We define the quality of financial reporting as the value relevance of accounting information as developed by Ohlson. Our results show that executive stock option award alone does not improve the quality of financial reporting. Rather, the quality improves when a firm awards stock options to its executives and investors perceive that the level of business ethics in that firm is high.Keywords: business ethics, Canada, high-tech firms, stock options, value relevance
Procedia PDF Downloads 4823547 Stock Prediction and Portfolio Optimization Thesis
Authors: Deniz Peksen
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This thesis aims to predict trend movement of closing price of stock and to maximize portfolio by utilizing the predictions. In this context, the study aims to define a stock portfolio strategy from models created by using Logistic Regression, Gradient Boosting and Random Forest. Recently, predicting the trend of stock price has gained a significance role in making buy and sell decisions and generating returns with investment strategies formed by machine learning basis decisions. There are plenty of studies in the literature on the prediction of stock prices in capital markets using machine learning methods but most of them focus on closing prices instead of the direction of price trend. Our study differs from literature in terms of target definition. Ours is a classification problem which is focusing on the market trend in next 20 trading days. To predict trend direction, fourteen years of data were used for training. Following three years were used for validation. Finally, last three years were used for testing. Training data are between 2002-06-18 and 2016-12-30 Validation data are between 2017-01-02 and 2019-12-31 Testing data are between 2020-01-02 and 2022-03-17 We determine Hold Stock Portfolio, Best Stock Portfolio and USD-TRY Exchange rate as benchmarks which we should outperform. We compared our machine learning basis portfolio return on test data with return of Hold Stock Portfolio, Best Stock Portfolio and USD-TRY Exchange rate. We assessed our model performance with the help of roc-auc score and lift charts. We use logistic regression, Gradient Boosting and Random Forest with grid search approach to fine-tune hyper-parameters. As a result of the empirical study, the existence of uptrend and downtrend of five stocks could not be predicted by the models. When we use these predictions to define buy and sell decisions in order to generate model-based-portfolio, model-based-portfolio fails in test dataset. It was found that Model-based buy and sell decisions generated a stock portfolio strategy whose returns can not outperform non-model portfolio strategies on test dataset. We found that any effort for predicting the trend which is formulated on stock price is a challenge. We found same results as Random Walk Theory claims which says that stock price or price changes are unpredictable. Our model iterations failed on test dataset. Although, we built up several good models on validation dataset, we failed on test dataset. We implemented Random Forest, Gradient Boosting and Logistic Regression. We discovered that complex models did not provide advantage or additional performance while comparing them with Logistic Regression. More complexity did not lead us to reach better performance. Using a complex model is not an answer to figure out the stock-related prediction problem. Our approach was to predict the trend instead of the price. This approach converted our problem into classification. However, this label approach does not lead us to solve the stock prediction problem and deny or refute the accuracy of the Random Walk Theory for the stock price.Keywords: stock prediction, portfolio optimization, data science, machine learning
Procedia PDF Downloads 753546 Adaptive Neuro Fuzzy Inference System Model Based on Support Vector Regression for Stock Time Series Forecasting
Authors: Anita Setianingrum, Oki S. Jaya, Zuherman Rustam
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Forecasting stock price is a challenging task due to the complex time series of the data. The complexity arises from many variables that affect the stock market. Many time series models have been proposed before, but those previous models still have some problems: 1) put the subjectivity of choosing the technical indicators, and 2) rely upon some assumptions about the variables, so it is limited to be applied to all datasets. Therefore, this paper studied a novel Adaptive Neuro-Fuzzy Inference System (ANFIS) time series model based on Support Vector Regression (SVR) for forecasting the stock market. In order to evaluate the performance of proposed models, stock market transaction data of TAIEX and HIS from January to December 2015 is collected as experimental datasets. As a result, the method has outperformed its counterparts in terms of accuracy.Keywords: ANFIS, fuzzy time series, stock forecasting, SVR
Procedia PDF Downloads 2383545 Reverse Innovation in Subsistence and Developed Markets
Authors: Hailu Getnet
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This study focus on reverse innovation on performance outcomes across developed and subsistence markets context. The subsistence market consists two third of the world population and the largest international market. To date, it has been neglected because of its issues of perceived challenges and seeming unattractiveness compared to the established markets in the west. However, subsistence markets are becoming source of reverse innovation; an innovation that is likely to be adopted first in developing world and successfully traded globally. In response, there is a growing interest on reverse innovation to power the future. Based on the theories of innovation and growing subsistence market literatures, the study propose drivers and outcomes of reverse innovation, a potential similarities and difference in benefiting and challenging firms and consumers in subsistence and developed markets.Keywords: reverse innovation, subsistence market, developing world, developed market
Procedia PDF Downloads 3143544 Synthesis of Biolubricant Base Stock from Palm Methyl Ester
Authors: Nur Sulihatimarsyila Abd Wafti, Harrison Lik Nang Lau, Nabilah Kamaliah Mustaffa, Nur Azreena Idris
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The use of biolubricant has gained its popularity over the last decade. Base stock produced using methyl ester and trimethylolethane (TME) can be potentially used for biolubricant production due to its biodegradability, non-toxicity and good thermal stability. The synthesis of biolubricant base stock e.g. triester (TE) via transesterification of palm methyl ester and TME in the presence of sodium methoxide as the catalyst was conducted. Factors influencing the reaction conditions were investigated including reaction time, temperature and pressure. The palm-based biolubricant base stock produced was analysed for its monoester (ME), diester (DE) and TE contents using gas chromatography as well as its lubricating properties such as viscosity, viscosity index, oxidation stability, and density. The resulting base stock containing 90 wt% TE was successfully synthesized.Keywords: biolubricant, methyl ester, triester transesterification, lubricating properties
Procedia PDF Downloads 4383543 Carbon Credits in Voluntary Carbon Markets: A Proposal for Iran
Authors: Saeed Mohammadirad
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During the first commitment period of the Kyoto Protocol, many developed countries were forced to restrict carbon emissions. Although Iran was one of the countries of Kyoto protocol, due to some special conditions, it was not required to restrict its carbon emissions. Flexible mechanisms were developed to assist countries responsible for reducing their carbon emissions, and regulated carbon markets were introduced. Carbon credits which are provided by organizations in countries with no responsibility to restrict their carbon emissions are traded in voluntary markets. This study focuses on how to measure and report the carbon allowances and carbon credits from accounting view point under both regulated and voluntary markets.Keywords: carbon credits, carbon markets, accounting, flexible mechanisms
Procedia PDF Downloads 4003542 Combined Effect of Heat Stimulation and Delay Addition of Superplasticizer with Slag on Fresh and Hardened Property of Mortar
Authors: Antoni Wibowo, Harry Pujianto, Dewi Retno Sari Saputro
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The stock market can provide huge profits in a relatively short time in financial sector; however, it also has a high risk for investors and traders if they are not careful to look the factors that affect the stock market. Therefore, they should give attention to the dynamic fluctuations and movements of the stock market to optimize profits from their investment. In this paper, we present a nonlinear autoregressive exogenous model (NARX) to predict the movements of stock market; especially, the movements of the closing price index. As case study, we consider to predict the movement of the closing price in Indonesia composite index (IHSG) and choose the best structures of NARX for IHSG’s prediction.Keywords: NARX (Nonlinear Autoregressive Exogenous Model), prediction, stock market, time series
Procedia PDF Downloads 2363541 Applying Hybrid Graph Drawing and Clustering Methods on Stock Investment Analysis
Authors: Mouataz Zreika, Maria Estela Varua
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Stock investment decisions are often made based on current events of the global economy and the analysis of historical data. Conversely, visual representation could assist investors’ gain deeper understanding and better insight on stock market trends more efficiently. The trend analysis is based on long-term data collection. The study adopts a hybrid method that combines the Clustering algorithm and Force-directed algorithm to overcome the scalability problem when visualizing large data. This method exemplifies the potential relationships between each stock, as well as determining the degree of strength and connectivity, which will provide investors another understanding of the stock relationship for reference. Information derived from visualization will also help them make an informed decision. The results of the experiments show that the proposed method is able to produced visualized data aesthetically by providing clearer views for connectivity and edge weights.Keywords: clustering, force-directed, graph drawing, stock investment analysis
Procedia PDF Downloads 2963540 Structural Breaks, Asymmetric Effects and Long Memory in the Volatility of Turkey Stock Market
Authors: Serpil Türkyılmaz, Mesut Balıbey
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In this study, long memory properties in volatility of Turkey Stock Market are being examined through the FIGARCH, FIEGARCH and FIAPARCH models under different distribution assumptions as normal and skewed student-t distributions. Furthermore, structural changes in volatility of Turkey Stock Market are investigated. The results display long memory property and the presence of asymmetric effects of shocks in volatility of Turkey Stock Market.Keywords: FIAPARCH model, FIEGARCH model, FIGARCH model, structural break
Procedia PDF Downloads 2873539 Application of Artificial Intelligence in Market and Sales Network Management: Opportunities, Benefits, and Challenges
Authors: Mohamad Mahdi Namdari
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In today's rapidly changing and evolving business competition, companies and organizations require advanced and efficient tools to manage their markets and sales networks. Big data analysis, quick response in competitive markets, process and operations optimization, and forecasting customer behavior are among the concerns of executive managers. Artificial intelligence, as one of the emerging technologies, has provided extensive capabilities in this regard. The use of artificial intelligence in market and sales network management can lead to improved efficiency, increased decision-making accuracy, and enhanced customer satisfaction. Specifically, AI algorithms can analyze vast amounts of data, identify complex patterns, and offer strategic suggestions to improve sales performance. However, many companies are still distant from effectively leveraging this technology, and those that do face challenges in fully exploiting AI's potential in market and sales network management. It appears that the general public's and even the managerial and academic communities' lack of knowledge of this technology has caused the managerial structure to lag behind the progress and development of artificial intelligence. Additionally, high costs, fear of change and employee resistance, lack of quality data production processes, the need for updating structures and processes, implementation issues, the need for specialized skills and technical equipment, and ethical and privacy concerns are among the factors preventing widespread use of this technology in organizations. Clarifying and explaining this technology, especially to the academic, managerial, and elite communities, can pave the way for a transformative beginning. The aim of this research is to elucidate the capacities of artificial intelligence in market and sales network management, identify its opportunities and benefits, and examine the existing challenges and obstacles. This research aims to leverage AI capabilities to provide a framework for enhancing market and sales network performance for managers. The results of this research can help managers and decision-makers adopt more effective strategies for business growth and development by better understanding the capabilities and limitations of artificial intelligence.Keywords: artificial intelligence, market management, sales network, big data analysis, decision-making, digital marketing
Procedia PDF Downloads 273538 Heat Waves Effect on Stock Return and Volatility: Evidence from Stock Market and Selected Industries in Pakistan
Authors: Sayed Kifayat Shah, Tang Zhongjun, Arfa Tanveer
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This study explores the significant heatwave effect on stock return and volatility. Using an ARCH/GARCH approach, it examines the relationship between the heatwave of Karachi, Islamabad, and Lahore on the KSE-100 index. It also explores the impact of heatwave on returns of the pharmaceutical and electronics industries. The empirical results confirm that that stock return is positively related to the heat waves of Karachi, negatively related to that of Islamabad, and is not affected by the heatwave of Lahore. Similarly, pharmaceutical and electronics indices are also positively related to heatwaves. These differences in results can be ascribed to the change in the behavior of the residents of that city. The outcomes are useful for understanding an investor's behavior reacting to weather and fluxes in stock price related to heatwave severity levels. The results can support investors in fixing biases in behavior.Keywords: ARCH/GARCH model, heat wave, KSE-100 index, stock market return
Procedia PDF Downloads 1523537 Outlier Detection in Stock Market Data using Tukey Method and Wavelet Transform
Authors: Sadam Alwadi
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Outlier values become a problem that frequently occurs in the data observation or recording process. Thus, the need for data imputation has become an essential matter. In this work, it will make use of the methods described in the prior work to detect the outlier values based on a collection of stock market data. In order to implement the detection and find some solutions that maybe helpful for investors, real closed price data were obtained from the Amman Stock Exchange (ASE). Tukey and Maximum Overlapping Discrete Wavelet Transform (MODWT) methods will be used to impute the detect the outlier values.Keywords: outlier values, imputation, stock market data, detecting, estimation
Procedia PDF Downloads 773536 Management Accounting Techniques of Companies Listed on the Stock Exchange in Thailand
Authors: Prateep Wajeetongratana
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The objectives of the research were to examine that how management accounting techniques were perceived and used by companies listed on the stock exchange and to investigate similarities or differences of management accounting practices between companies listed on the stock exchange and Thai SMEs. Descriptive and inferential statistics were employed. The finding found that almost all of the companies used traditional management accounting techniques more than advanced management accounting techniques. Four management accounting techniques having no significant association with business characteristic were standard costing, job order costing, process costing. The barriers that Thai SMEs encountered were a lack of proper accounting system and the insufficient knowledge in management accounting of the accountants. The comparison results revealed that both companies listed on the stock exchange and Thai SMEs used traditional management accounting techniques more than advanced techniques.Keywords: companies listed on the stock exchange, financial budget, management accounting, operating budget
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