Search results for: stock indices

Authors: Eti Mizrahi, Gizem İntepe

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The geographical location of Turkey that stretches from Asia to Europe and Russia to Africa makes it an important logistics hub in the region. Although logistics is a developing sector in Turkey, the stock market representation is still low with only two companies listed in Turkey’s stock exchange since 2010. In this paper, we use the daily values of these two listed stocks as a benchmark for the logistics sector. After modeling logistics stock prices, an empirical examination is conducted between the existing logistics indices and these stock prices. The paper investigates whether the measures of logistics stocks are correlated with newly available logistics indices. It also shows the reflection of the economic activity in the logistics sector on the stock exchange market. The results presented in this paper are the first analysis of the behavior of logistics indices and logistics stock prices for Turkey.

Keywords: forecasting, logistic stock exchange, modeling, Africa

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Authors: Mohammad Irfan

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The purpose of this paper is to investigate the relationship among the key macroeconomic variables and Islamic stock market in India. This study is based on the time series data of financial years 2009-2015 to explore the consistency of relationship between macroeconomic variables and Shariah Indices. The ADF (Augmented Dickey–Fuller Test Statistic) and PP (Phillips–Perron Test Statistic) tests are employed to check stationarity of the data. The study depicts the long run relationship between Shariah indices and macroeconomic variables by using the Johansen Co-integration test. BSE Shariah and Nifty Shariah have uni-direct Granger causality. The outcome of VECM is significantly confirming the applicability of best fitted model. Thus, Islamic stock indices are proficiently working for the development of Indian economy. It suggests that by keeping eyes on Islamic stock market which will be more interactive in the future with other macroeconomic variables.

Keywords: Indian Shariah Indices, macroeconomic variables, co-integration, Granger causality, vector error correction model (VECM)

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Authors: Piotr Prewysz-Kwinto

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A dynamic development of financial market is accompanied by the emergence of new products on stock exchanges which give absolutely new possibilities of investing money. Currently, the most innovative financial instruments offered to investors are exchange traded products (ETP). They can be defined as financial instruments whose price depends on the value of the underlying instrument. Thus, they offer investors a possibility of making a profit that results from the change in value of the underlying instrument without having to buy it. Currently, the Warsaw Stock Exchange offers many types of ETPs. They are investment products with full or partial capital protection, products without capital protection as well as leverage products, issued on such underlying instruments as indices, sector indices, commodity indices, prices of energy commodities, precious metals, agricultural produce or prices of shares of domestic and foreign companies. This paper presents the mechanism of functioning of ETP available on the Warsaw Stock Exchange and the results of the analysis of statistical data on these financial instruments.

Keywords: exchange traded products, financial market, investment, stock exchange

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Authors: Nidhal Mgadmi, Abdelhafidh Othmani

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This article examines the causal relationship between stock indices and cryptocurrencies during the current war between Russia and Ukraine. The econometric investigation runs from February 24, 2022, to April 12, 2023, focusing on seven stock market indices (S&P500, DAX, CAC40, Nikkei, TSX, MOEX, and PFTS) and seven cryptocurrencies (Bitcoin, Ethereum, Litcoin, Dash, Ripple, DigiByte and XEM). In this article, we try to understand how investors react to fluctuations in financial assets to seek safe havens in cryptocurrencies. We used dynamic causality to detect a possible causal relationship in the short term and seven models to estimate the long-term relationship between cryptocurrencies and financial assets. The causal relationship between financial market indexes and cryptocurrency coins in the short run indicates that three famous cryptocurrencies (BITCOIN, ETHEREUM, RIPPLE) and the two digital assets with minor popularity (XEM, Digibyte) are impacted by the German, Russian, and Ukrainian stock markets. In the long run, we found a positive and significate effect of the American, Canadian, French, and Ukrainian stock market indexes on Bitcoin. Thus, the stability of the traditional financial markets during the current war period can be explained on the one hand by investors’ fears of an unstable business climate, and on the other hand, by speculators’ sentiment towards new electronic products, which are perceived as hedging instruments and a safe haven in the face of the conflict between Ukraine and Russia.

Keywords: causality, stock indices, cryptocurrency, war, Russia, Ukraine

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Authors: Mohammad Hossein Ranjbar, Mahdi Bagheri, B. Shivaraj

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This study attempts to investigate the relationship between stock market of Iran and GCC countries stock exchanges. Eight markets were included: the stock market of Iran, Kuwait, Bahrain, Qatar, Saudi Arabia, Dubai, Abu Dhabi and Oman. Daily country market indices were collected from January 2005 to December 2010. The potential time-varying behaviors of long-run stock market relationship among selected markets are tested applying correlation test, Augmented Dick Fuller test (ADF), Bilateral and Multilateral Cointegration (Johansen), and the Granger Causality test. The findings suggest that stock market of Iran is negatively correlated with most of the selected markets in the whole duration. But contemporaneous correlations among the eight selected markets are increased positively in period of financial crises. Bilateral Cointegration between selected markets suggests that there is no integration between Tehran stock exchange and other selected markets. Among other markets, except the stock market of Dubai and Abu Dhabi as a one pair, are not cointegrated in whole, but in duration of financial crises integration between selected markets are increased. Finally, investigation of the casual relationship among eight financial markets suggests there are unidirectional and bidirectional causal relationship among some of stock market indices.

Keywords: financial crises, Middle East, stock market integration, Granger Causality test, ARDL test

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Authors: Abul Shamsuddin

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The Islamic stock market indices are constructed by screening out stocks that are incompatible with Islam’s prohibition of interest and certain lines of business. This study examines the effects of Islamic screening on the risk-return characteristics of Islamic vis-a-vis mainstream equity portfolios. We use data on Dow Jones Islamic market indices and FTSE Global Islamic indices over 1993-2013. We observe that Islamic equity indices outperform their mainstream counterparts in both raw and risk-adjusted returns. In addition, Islamic equity indices are more resilient to turbulence in international markets than that of their mainstream counterparts. The findings are robust across a variety of portfolio performance measures.

Keywords: Dow Jones Islamic market index, FTSE global Islamic index, ethical investment, finance

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Authors: Mario Zgela

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Application of Benford’s Law is very rarely covered in the field of stock market analysis, especially in percentage change of stock market indices. Deutscher Aktien IndeX (DAX) is very important stock market index of Frankfurt Deutsche Börse which serves as underlying basis for large number of financial instruments. It is calculated for selected 30 German blue chips stocks. In this paper, Benford's Law first digit test is applied on 10 year DAX daily percentage changes in order to check compliance. Deviations of 10 year DAX percentage changes set as well as distortions of certain subsets from Benford's Law distribution are detected. It is possible that deviations are the outcome of speculations; and psychological influence should not be eliminated.

Keywords: Benford's Law, DAX, index percentage changes, stock market

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Authors: Jitendra Aswani

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In the first section of this study, impact of Global Financial Crisis (GFC) on the synchronization of fourteen Asian Stock Markets (ASM’s) of countries like Hong Kong, India, Thailand, Singapore, Taiwan, Pakistan, Bangladesh, South Korea, Malaysia, Indonesia, Japan, China, Philippines and Sri Lanka, has been analysed using the network science and its metrics like degree of node, clustering coefficient and network density. Then in the second section of this study by introducing the US stock market in existing network and developing a Minimum Spanning Tree (MST) spread of crisis from the US stock market to Asian Stock Markets (ASM) has been explained. Data used for this study is adjusted the closing price of these indices from 6th January, 2000 to 15th September, 2013 which further divided into three sub-periods: Pre, during and post-crisis. Using network analysis, it is found that Asian stock markets become more interdependent during the crisis than pre and post crisis, and also Hong Kong, India, South Korea and Japan are systemic important stock markets in the Asian region. Therefore, failure or shock to any of these systemic important stock markets can cause contagion to another stock market of this region. This study is useful for global investors’ in portfolio management especially during the crisis period and also for policy makers in formulating the financial regulation norms by knowing the connections between the stock markets and how the system of these stock markets changes in crisis period and after that.

Keywords: global financial crisis, Asian stock markets, network science, Kruskal algorithm

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Authors: Abderrazek Ben Maatoug, Ibrahim Fatnassi, Wassim Ben Ayed

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In this paper we investigate the issue of market risk quantification for Middle East and North Africa (MENA) Islamic market equity. We use Value-at-Risk (VaR) as a measure of potential risk in Islamic stock market, for long and short position, based on Riskmetrics model and the conditional parametric ARCH class model volatility with normal, student and skewed student distribution. The sample consist of daily data for the 2006-2014 of 11 Islamic stock markets indices. We conduct Kupiec and Engle and Manganelli tests to evaluate the performance for each model. The main finding of our empirical results show that (i) the superior performance of VaR models based on the Student and skewed Student distribution, for the significance level of α=1% , for all Islamic stock market indices, and for both long and short trading positions (ii) Risk Metrics model, and VaR model based on conditional volatility with normal distribution provides the best accurate VaR estimations for both long and short trading positions for a significance level of α=5%.

Keywords: value-at-risk, risk management, islamic finance, GARCH models

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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

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Authors: Abdul Rauf, Xiaoxing Liu, Waqas Amin

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Stock markets are fascinating more and more conductive to each other due to liberalization and globalization trends in recent years. China Pakistan Economic Corridor (CPEC) has dragged Pakistan stock exchange to the new heights and global investors are making investments to reap its benefits. So, in investors and government perspective, the study focuses co-integration of Pakistan stock exchange with world’s five big economies i-e US, China, England, Japan, and France. The time period of study is seven years i-e 2010 to 2016 and daily values of major indices of corresponding stock exchanges collected. All variables of that particular study are stationary at first difference confirmed by unit root test. The study Johansen system co integration test for analysis of data along with Granger causality test is performed for result purpose. Co integration test asserted that Pakistan stock exchange integrated with Shanghai stock exchange (SSE) and NIKKEI stock exchange in short run. Granger causality test also proclaimed these results. But NASDAQ, FTSE, DAX not co integrated and Granger cause at a short run but long run these markets are bonded with Pakistan stock exchange (KSE). VECM also confirmed this liaison in short and long run. Investors, therefore, need to be updated regarding co-integration of world’s stock exchanges to ensure well diversified and risk adjusted high returns. Equally, governments also need updated status so that they could reduce co-integration through multiple steps and hence drag investors for diversified investment.

Keywords: CPEC, DAX, FTSE, liberalization, NASDAQ, NIKKEI, SSE, stock markets

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Authors: Tabassum Riaz

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This study provides a complete examination of the stock prices behavior in the Karachi stock exchange. It examines that whether Karachi stock exchange can be described as mean reversion or not. For this purpose daily, weekly and monthly index data from Karachi stock exchange ranging from period July 1, 1997 to July 2, 2011 was taken. After employing the Multiple variance ratio and unit root tests it is concluded that stock market follow mean reversion behavior and hence have reverting trend which opens the door for the active invest management. Thus technical analysis may be help to identify the potential areas for value creation.

Keywords: mean reversion, random walk, technical analysis, Karachi stock exchange

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Authors: Hina Munir Abbasi

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The current paper examines the relationship and diversification ability of Islamic stock indices /conventional stocks indices and Real Estate Investment Trust (REITs).To represent conditional dependency between stocks and REITs in a more realistic way, new modeling technique, time-varying copula with switching dependence is used. It represents reliance structure more accurately and realistically than a single copula regime as dependence may alter between positive and negative correlation regimes with time. The fluctuating behavior of markets has significant impact on economic variables; especially the downward trend during crisis. Overall addition of Real Estate Investment Trust in stocks portfolio reduces risks and provide better diversification benefit. Results varied depending upon the circumstances of the country. REITs provides better diversification benefits for Islamic Stocks, when both markets are bearish and can provide hedging benefit for conventional stocks portfolio.

Keywords: conventional stocks, real estate investment trust, copula, diversification, risk spillover, safe heaven

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Authors: Mahdi Karazmodeh, Pooyan Jafari

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One of the most interesting topics in finance is the relation between stock prices and exchange rates. During the past decades different stock markets in different countries have been the subject of study for researches. The volatilities of exchange rates and its effect on stock prices during the past 10 years have continued to be an attractive research topic. The subject of this study is one of the most important indices, FTSE 100. 20 firms with the highest market capitalization in 5 different industries are chosen. Firms are included in oil and gas, mining, pharmaceuticals, banking and food related industries. 5 different criteria have been introduced to evaluate the relationship between stock markets and exchange rates. Return of market portfolio, returns on broad index of Sterling are also introduced. The results state that not all firms are sensitive to changes in exchange rates. Furthermore, a Granger Causality test has been run to observe the route of changes between stock prices and foreign exchange rates. The results are consistent, to some level, with the previous studies. However, since the number of firms is not large, it is suggested that a larger number of firms being used to achieve the best results. However results showed that not all firms are affected by foreign exchange rates changes. After testing Granger Causality, this study found out that in some industries (oil and gas, pharmaceuticals), changes in foreign exchange rate will not cause any changes in stock prices (or vice versa), however, in banking sector the situation was different. This industry showed more reaction to these changes. The results are similar to the ones with Richards and Noel, where a variety of firms in different industries were evaluated.

Keywords: stock prices, foreign exchange rate, exchange rate exposure, Granger Causality

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Authors: Kwabena Asare, Ezekiel N. N. Nortey, Felix O. Mettle

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Modelling of extreme events has always been of interest in fields such as hydrology and meteorology. However, after the recent global financial crises, appropriate models for modelling of such rare events leading to these crises have become quite essential in the finance and risk management fields. This paper models the extreme values of the Ghana Stock Exchange All-Shares indices (2000-2010) by applying the Extreme Value Theory to fit a model to the tails of the daily stock returns data. A conditional approach of the EVT was preferred and hence an ARMA-GARCH model was fitted to the data to correct for the effects of autocorrelation and conditional heteroscedastic terms present in the returns series, before EVT method was applied. The Peak Over Threshold (POT) approach of the EVT, which fits a Generalized Pareto Distribution (GPD) model to excesses above a certain selected threshold, was employed. Maximum likelihood estimates of the model parameters were obtained and the model’s goodness of fit was assessed graphically using Q-Q, P-P and density plots. The findings indicate that the GPD provides an adequate fit to the data of excesses. The size of the extreme daily Ghanaian stock market movements were then computed using the Value at Risk (VaR) and Expected Shortfall (ES) risk measures at some high quantiles, based on the fitted GPD model.

Keywords: extreme value theory, expected shortfall, generalized pareto distribution, peak over threshold, value at risk

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Authors: Ameen Alshugaa, Abul Mansur Masih

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This paper sheds light on the economic impacts of political uncertainty caused by the civil uprisings that swept the Arab World and have been collectively known as the Arab Spring. Measuring documented effects of political uncertainty on regional stock market indices, we examine the impact of the Arab Spring on the volatility of stock markets in eight countries in the Middle East and North Africa (MENA) region: Egypt, Lebanon, Jordon, United Arab Emirate, Qatar, Bahrain, Oman and Kuwait. This analysis also permits testing the existence of financial contagion among equity markets in the MENA region during the Arab Spring. To capture the time-varying and multi-horizon nature of the evidence of volatility and contagion in the eight MENA stock markets, we apply two robust methodologies on consecutive data from November 2008 to March 2014: MGARCH-DCC, Continuous Wavelet Transforms (CWT). Our results indicate two key findings. First, the discrepancies between volatile stock markets of countries directly impacted by the Arab Spring and countries that were not directly impacted indicate that international investors may still enjoy portfolio diversification and investment in MENA markets. Second, the lack of financial contagion during the Arab Spring suggests that there is little evidence of cointegration among MENA markets. Providing a general analysis of the economic situation and the investment climate in the MENA region during and after the Arab Spring, this study bear significant importance for policy makers, local and international investors, and market regulators.

Keywords: Portfolio Diversification , MENA Region , Stock Market Indices, MGARCH-DCC, Wavelet Analysis, CWT

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Authors: Gizem İntepe, Eti Mizrahi

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Investment and financing decisions are influenced by various economic features. Detailed analysis should be conducted in order to make decisions not only by companies but also by governments. Such analysis can be conducted either at the company level or on a sectoral basis to reduce risks and to maximize profits. Sectoral disaggregation caused by seasonality effects, subventions, data advantages or disadvantages may appear in sectors behaving parallel to BIST (Borsa Istanbul stock exchange) Index. Proposed logistic indices could serve market needs as a decision parameter in sectoral basis and also helps forecasting activities in import export volume changes. Also it is an indicator of logistic activity, which is also a sign of economic mobility at the national level. Publicly available data from “Ministry of Transport, Maritime Affairs and Communications” and “Turkish Statistical Institute” is utilized to obtain five logistics indices namely as; exLogistic, imLogistic, fLogistic, dLogistic and cLogistic index. Then, efficiency and reliability of these indices are tested.

Keywords: economic activity, export trade data, import trade data, logistics indices

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Authors: Gultekin Gurcay

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In this paper, effects and responses of stock were analyzed. This analysis was done periodically. The dimensions of the financial crisis impact on the stock market were investigated by GARCH model. In this context, S&P 500 stock market is modeled with DAX, NIKKEI and BIST100. In this way, The effects of the changing in S&P 500 stock market were examined on European and Asian stock markets. Conditional variance coefficient will be calculated through garch model. The scope of the crisis period, the conditional covariance coefficient will be analyzed comparatively.

Keywords: conditional variance coefficient, financial crisis, garch model, stock market

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Authors: Dany Ng Cheong Vee, Preethee Nunkoo Gonpot, Noor Sookia

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In this paper, we consider the application of Extreme Value Theory as a risk measurement tool. The Value at Risk, for a set of indices, from six Stock Exchanges of Frontier markets is calculated using the Peaks over Threshold method and the performance of the model index-wise is evaluated using coverage tests and loss functions. Our results show that 'fat-tailedness' alone of the data is not enough to justify the use of EVT as a VaR approach. The structure of the returns dynamics is also a determining factor. This approach works fine in markets which have had extremes occurring in the past thus making the model capable of coping with extremes coming up (Colombo, Tunisia and Zagreb Stock Exchanges). On the other hand, we find that indices with lower past than present volatility fail to adequately deal with future extremes (Mauritius and Kazakhstan). We also conclude that using EVT alone produces quite static VaR figures not reflecting the actual dynamics of the data.

Keywords: extreme value theory, financial crisis 2008, value at risk, frontier markets

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Authors: Yaojun Wang, Yaoqing Wang

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Stock selection is an important decision-making problem. Many machine learning and data mining technologies are employed to build automatic stock-selection system. A profitable stock-selection system should consider the stock’s investment value and the market timing. In this paper, we present a hybrid system including both engage for stock selection. This system uses a case-based reasoning (CBR) model to execute the stock classification, uses a decision-tree model to help with market timing and stock selection. The experiments show that the performance of this hybrid system is better than that of other techniques regarding to the classification accuracy, the average return and the Sharpe ratio.

Keywords: case-based reasoning, decision tree, stock selection, machine learning

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Authors: Jayanta Pokharel, Gokarna Aryal, Netra Kanaal, Chris Tsokos

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Investment in stocks and shares aims to seek potential gains while weighing the risk of future needs, such as retirement, children's education etc. Analysis of the behavior of the stock market returns and making prediction is important for investors to mitigate risk on investment. Historically, the normal variance models have been used to describe the behavior of stock market returns. However, the returns of the financial assets are actually skewed with higher kurtosis, heavier tails, and a higher center than the normal distribution. The Laplace distribution and its family are natural candidates for modeling stock returns. The Variance-Gamma (VG) distribution is the most sought-after distributions for modeling asset returns and has been extensively discussed in financial literatures. In this paper, it explore the other Laplace family, such as Asymmetric Laplace, Skewed Laplace, Kumaraswamy Laplace (KS) together with Variance-Gamma to model the weekly returns of the S&P 500 Index and it's eleven business sector indices. The method of maximum likelihood is employed to estimate the parameters of the distributions and our empirical inquiry shows that the Kumaraswamy Laplace distribution performs much better for stock returns modeling among the choice of distributions used in this study and in practice, KS can be used as a strong alternative to VG distribution.

Keywords: stock returns, variance-gamma, kumaraswamy laplace, maximum likelihood

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Authors: Chukwuebuka Vincent Azuka, Chidimma Peace Odoh

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Changes in agricultural practices and land use influence the storage and release of soil organic carbon and soil structural dynamics. To investigate this in Nsukka, southeastern Nigeria, soil samples were collected at 0-10 cm, 10-20 cm and 20-30 cm from three locations; Ovoko (OV), Obukpa (OB) and University of Nigeria, Nsukka (UNN) and three land use types; cultivated land (CL), forest land (FL) and grassland (GL)). Data were subjected to analysis of variance (ANOVA) using SPSS. Also, correlations between organic carbon stock, structural stability indices and other soil properties were established. The result showed that Ksat was significantly (p < 0.05) influenced by location with mean values of 68 cmhr⁻¹,121.63 cmhr⁻¹, 8.42 cmhr⁻¹ in OV, OB and UNN respectively. The MWD and aggregate stability (AS) were significantly (p < 0.05) influenced by land use and depth. The mean values of MWD are 0.85 (CL), 1.35 (FL) and 1.45 (GL), and 1.66 at 0-10 cm, 1.08 at 10-20 cm and 0.88 mm at 20-30 cm. The mean values of AS are; 27.66% (CL), 46.39% (FL) and 49.81% (GL), and 53.96% at 0-10cm, 40.22% at 10-20cm and 29.57% at 20-30cm. Clay flocculation (CFI) and dispersion indices (CDI) differed significantly (p < 0.05) among the land use. Soil pH differed significantly (p < 0.05) across the land use and locations with mean values ranging from 3.90-6.14. Soil organic carbon (SOC) significantly (p < 0.05) differed across locations and depths. SOC decreases as depth increases depth with mean values of 15.6 gkg⁻¹, 10.1 gkg⁻¹, and 8.6 gkg⁻¹ at 0-10 cm, 10-20 cm, and 20-30 cm respectively. SOC in the three land use was 8.8 g kg-1, 15.2 gkg⁻¹ and 10.4 gkg⁻¹ at CL, FL, and GL respectively. The highest aggregate-associated carbon was recorded in 0.5 mm across the land use and depth except in cultivated land and at 20-30 cm which recorded their highest SOC at 1mm. SOC stock, total nitrogen (TN) and CEC were significantly (p < 0.05) different across the locations with highest values of 23.43 t/ha, 0.07g/kg and 14.27 Cmol/kg respectively recorded in UNN. SOC stock was significantly (p < 0.05) influenced by depth as follows; 0-10>10-20>20-30 cm. TN was low with mean values ranging from 0.03-0.07 across the locations, land use and depths. The mean values of CEC ranged from 9.96-14.27 Cmol kg⁻¹ across the locations and land use. SOC stock showed correlation with silt, coarse sand, N and CEC (r = 0.40*, -0.39*, -0.65** and 0.64** respectively. AS showed correlation with BD, Ksat, pH in water and KCl, and SOC (r = -0.42*, 0.54**, -0.44*, -0.45* and 0.49** respectively. Thus, land use and location play a significant role in sustainable management of soil resources.

Keywords: agricultural practices, structural dynamics, sequestration, soil resources, management

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Authors: Sumit Sen, Sohan Khedekar, Umang Shinde, Shivam Bhargava

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This study has been undertaken to investigate whether the deep learning models are able to predict the future stock prices by training the model with the historical stock price data. Since this work required time series analysis, various models are present today to perform time series analysis such as Recurrent Neural Network LSTM, ARIMA and Facebook Prophet. Applying these models the movement of stock price of stocks are predicted and also tried to provide the future prediction of the stock price of a stock. Final product will be a stock price prediction web application that is developed for providing the user the ease of analysis of the stocks and will also provide the predicted stock price for the next seven days.

Keywords: Autoregressive Integrated Moving Average, Deep Learning, Long Short Term Memory, Time-series

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Authors: Tijjani Bashir Musa

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The recent global crisis which suddenly results to Nigerian stock market crash revealed some peculiarities of Nigerian firms. Some firms in Nigeria are performing but their stock prices are not increasing while some firms are at the brink of collapse but their stock prices are increasing. Thus, this study examines the relationship between firm performance and stock price in Nigeria. The study covered the period of 2005 to 2009. This period is the period of stock boom and also marked the period of stock market crash as a result of global financial meltdown. The study is a panel study. A total of 140 firms were sampled from 216 firms listed on the Nigerian Stock Exchange (NSE). Data were collected from secondary source. These data were divided into four strata comprising the most performing stock, the least performing stock, most performing firms and the least performing firms. Each stratum contains 35 firms with characteristic of most performing stock, most performing firms, least performing stock and least performing firms. Multiple linear regression models were used to analyse the data while statistical/econometrics package of Stata 11.0 version was used to run the data. The study found that, relationship exists between selected firm performance parameters (operating efficiency, firm profit, earning per share and working capital) and stock price. As such firm performance gave sufficient information or has predictive power on stock prices movements in Nigeria for all the years under study.. The study recommends among others that Managers of firms in Nigeria should formulate policies and exert effort geared towards improving firm performance that will enhance stock prices movements.

Keywords: firm, Nigeria, performance, stock price

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Authors: Erfan Memarian, Seyyed Fazayel Alizadeh

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This study aims to evaluate the impacts of the oil and financial markets of the United States on Iran stock exchange and to develop an ARDL model to predict the short and long-term relationship between these markets. In this regard, all 713 weekly data between 28 July 1999 and 20 March 2013 were analyzed by using Microfit4.0 and Eviews7 econometric softwares. The independent variable of the study is the “Price and Yield Index (TEDPIX)” of Tehran Stock Exchange and the independent variables include S & P 500 Index, the US three-month treasury bill rate and West Texas Intermediate oil spot price index. The results show that the West Texas Intermediate oil spot price and the S&P 500 indices have significant positive relationships with Iran's TEDPIX. Also, there exists a significant negative relationship between Iran's TEDPIX and the US three-month Treasury bill rate.

Keywords: TEDPIX; Tehran Stock Exchange; S&P 500 index; USA three-month Treasury bill rate; West Texas Intermediate oil

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Authors: Mohamad H. Atyeh, Wael Alrashed, Steven Telford

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The main objective of this research is to measure if there have been any notable changes in the trading actives of the Kuwait stock Exchange (KSE) after the privatization process that took place on the 25th of April 2016. The data that are used to test if there is any change in the KSE market performance are the daily indices for the period from the 25th of April 2016 till the 24th of October 2016 (after privatization) and a similar six months period before the date of the privatization from the 24th of October 2015 till the 24th of April 2016. In addition, as a control, the study included a period that is a period parallel to the six months period after the privatization. The results indicate that privatization is associated with lower variability for the majority of variables, but that the observed switch in slope direction is not actually a product of privatization, but rather one of serial correlation.

Keywords: privatization, Kuwait stock exchange (KSE), market capitalization (MCAP), capital markets authority (CMA), Boursa Kuwait securities company (BKSC)

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Authors: M. Helen

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Chemical graph serves as a convenient model for any real or abstract chemical system. Dendrimers are novel three dimensional hyper branched globular nanopolymeric architectures. Drug delivery scientists are especially enthusiastic about possible utility of dendrimers as drug delivery tool. Dendrimers like poly L lysine (PLL), poly-propylene imine (PPI) and poly-amidoamine (PAMAM), etc., are used as gene carrier in drug delivery system because of their chemical characteristics. These characteristics of chemical compounds are analysed using topological indices (invariants under graph isomorphism) such as Wiener index, Zagreb index, etc., Prof. V. R. Kulli motivated by the application of Zagreb indices in finding the total π energy and derived Gourava indices which is an improved version over Zagreb indices. In this paper, we study the structure of PLL-Dendrimer that has the following applications: reduction in toxicity, colon delivery, and topical delivery. Also, we determine first and second Gourava indices, first and second hyper Gourava indices, product and sum connectivity Gourava indices for PLL-Dendrimer. Gourava Indices have found applications in Quantitative Structure-Property Relationship (QSPR)/ Quantitative Structure-Activity Relationship (QSAR) studies.

Keywords: connectivity Gourava indices, dendrimer, Gourava indices, hyper GouravaG indices

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Authors: Xinyi Xu

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This study conducts a detailed examination of Asian stock markets over the period from 2008 to 2023, with a focus on the dynamics of cointegration and their relevance for long-term investment strategies. Specifically, we assess the co-movement and potential for pairs trading—a strategy where investors take opposing positions on two stocks, indices, or financial instruments that historically move together. For example, we explore the relationship between the Nikkei 225 (N225), Japan’s benchmark stock index, and the Straits Times Index (STI) of Singapore, as well as the relationship between the Korea Composite Stock Price Index (KS11) and the STI. The methodology includes tests for normality, stationarity, cointegration, and the application of Vector Error Correction Modeling (VECM). Our findings reveal significant long-term relationships between these pairs, indicating opportunities for pairs trading strategies. Furthermore, the research underscores the challenges posed by model instability and the influence of major global incidents, which are identified as structural breaks. These findings pave the way for further exploration into the intricacies of financial market dynamics.

Keywords: normality tests, stationarity, cointegration, VECM, pairs trading

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Authors: Reza Mokhtari Malek Abadi, Mohsen Saghaei, Fatemeh Iman

Abstract:

This paper investigates the indices of a creative city in Isfahan. Its main aim is to evaluate quantitative status of the creative city indices in Isfahan city, analyze the dispersion and distribution of these indices in Isfahan city. Concerning these, this study tries to analyze the creative city indices in fifteen area of Isfahan through secondary data, questionnaire, TOPSIS model, Shannon entropy and SPSS. Based on this, the fifteen areas of Isfahan city have been ranked with 12 factors of creative city indices. The results of studies show that fifteen areas of Isfahan city are not equally benefiting from creative indices and there is much difference between the areas of Isfahan city.

Keywords: grading, creative city, creative city evaluation indicators, regional planning model

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Authors: Kaoutar Abbahaddou, Mohammed Salah Chiadmi

Abstract:

The need to find a relevant way to predict the next-day price of a stock index is a real concern for many financial stakeholders and researchers. We have known across years the proliferation of several methods. Nevertheless, among all these methods, the most controversial one is a machine learning algorithm that claims to be reliable, namely neural networks. Thus, the purpose of this article is to study the prediction power of neural networks in the particular case of Islamic finance as it is an under-looked area. In this article, we will first briefly present a review of the literature regarding neural networks and Islamic finance. Next, we present the architecture and principles of artificial neural networks most commonly used in finance. Then, we will show its empirical application on two Islamic stock indexes. The accuracy rate would be used to measure the performance of the algorithm in predicting the right price the next day. As a result, we can conclude that artificial neural networks are a reliable method to predict the next-day price for Islamic indices as it is claimed for conventional ones.

Keywords: Islamic finance, stock price prediction, artificial neural networks, machine learning

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