Contributing to the meagre published literature on interrelationships amongst stock market sectors of an economy, the present study sets out to examine both the long-run and short-run aspects of the inter-sectoral linkages in the Egyptian stock market. The data correspond to daily closing prices...

This paper attempts to measure the risk and return relationship in Dhaka Stock Exchange (DSE) of Bangladesh. Applying Single Index Model, the study reports statistically significant positive relationship between risk and return both at the individual security level and at the portfolio level....

In the paper the authors presented analysis of fitting the following distributions: normal, t-Student, α-stable, hyperbolic, generalized hyperbolic, normal inverse Gaussian, generalized hyperbolic t-Student and general error distribution to the empirical series of WIG20 returns in the situation...

This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this question...

Prediction of volatility is to a larger extent anchored on the properties of a volatility time series i.e. mean-reversion or random-walk. The consistency of mean-reversion or random-walk on the ZSE stock price and return volatility remain unexplored. This study therefore attempts to investigate...

The research paper was aimed to find the integration between Karachi Stock Exchange and Bombay Stock Exchange. A daily data of stock prices from Nov 2009 to Dec 2012 has been obtained and their geometric returns are calculated as mentioned in Ahmad and Husain (2007). Stock returns were found...

Financial Times Series such as stock price and exchange rates are, often, non-linear and non-stationary. Use of decomposition models has been found to improve the accuracy of predictive models. The paper proposes a hybrid approach integrating the advantages of both decomposition model (namely,...

This paper examines investors' trading behaviors in Chinese stock markets by studying five stock indices that cover Chinese common stocks in three stock exchanges — Shanghai, Shenzhen, and Hong Kong. Our empirical results suggest that there exists a significant positive feedback trading effect...

The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...