This paper proposes a methodology to anticipate market risk using qualitative and quantitative variables that capture communicative and financial activity within equity networks. During periods of crisis as market risk increases, companies tend to behave alike, and the number of news and common...

This research aims to investigate, through simulation models, how the interaction among agents in an artificial stock market can affect the dynamics of asset prices. Thus, the study follows a different methodology for the analysis of prices by exploring the simulation of agents' behavior in an...

Forecasts of stock market volatility is an important input for market participants in measuring and managing investment risks. Thus, understanding the most appropriate methods to generate accurate is key. This paper examines the ability of Machine Learning methods, and specifically Artificial...

This study explores an innovative approach to portfolio optimization, bridging traditional Modern Portfolio Theory (MPT) with advanced Machine Learning techniques. We start by recognizing the significance of Markowitz's model in MPT and quickly proceed to focus on the Hierarchical Risk Parity...

This paper has two aims. First, we study the impact of oil price variables (change and volatility) on stock market returns under regime shifts in the case of Gulf Cooperation Council (GCC) countries. We employ a Markov regime-switching model to generate regime probabilities for oil market...

This paper studies the undirected partial-correlation stock network for the Spanish market that considers the constituents of IBEX-35 as nodes and their partial correlations of returns as links. I propose a novel methodology that combines a recently developed variable selection method, Graphical...

The purpose of this paper is to examine the equity market crisis contagion in major Asian economic markets. A comparative assessment of Asian markets during the Asian Financial Crisis and Global Financial crisis may clearly identify the changing nature of long term integration of major Asian...

We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold...

In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...

This paper extends the economic growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...