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Forecasting Nigerian stock market returns using ARIMA and artificial neural network models
Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN Journal of Applied Statistics 05 (2014) 2, pp. 25-48
study. These networks are TECH (4-3-1) and TECH (3-3-1) whose out-of-sample forecast performance was compared with a …
Persistent link: https://www.econbiz.de/10011518784
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What drives performance while being far away from home? An examination of leader-member exchange (LMX) ambivalence, job embeddedness, trust, and perceived organisation support of T...
Setthakorn, Kevalin Puangyoykeaw - In: Cogent Business & Management 10 (2023) 3, pp. 1-17
This study investigates the determinants of performance among Thai seafarers working away from their homes using … embeddedness, trust, and perceived organisational support (POS) on seafarers' performance. Using a survey questionnaire, data were … collected from 175 Thai seafarers. Results suggest that LMX ambivalence is a better predictor of performance than traditional …
Persistent link: https://www.econbiz.de/10014527834
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A machine learning integrated portfolio rebalance framework with risk-aversion adjustment
Jiang, Zhenlong; Ji, Ran; Chang, Kuo-Chu - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-20
tests with real financial data to evaluate the performance of the machine learning integrated portfolio rebalance framework …
Persistent link: https://www.econbiz.de/10012611384
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A process model on P2P lending
Wang, Huaiqing; Chen, Kun; Zhu, Wei; Song, Zhenxia - In: Financial Innovation 1 (2015) 3, pp. 1-8
Background: Online peer-to-peer lending (P2P lending) is booming as the popularity of e-finance. To develop a conceptual model for the P2P lending process is great valuable for managers to tack the issues of marketing, management and operation. Methods: In this paper, we focus on the P2P lending...
Persistent link: https://www.econbiz.de/10011808190
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Do (successful) stock exchanges support or hinder institutions in transition economies?
Hartwell, Christopher A. - In: Cogent Economics & Finance 2 (2014) 1, pp. 2-18
interact? That is, does the performance of a stock exchange support the development of property rights, or can it actually …-shaped relationship between property rights and stock market performance. While a well-functioning stock market may help reinforce …
Persistent link: https://www.econbiz.de/10011559134
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Testing for linear and nonlinear causality between crude oil price changes and stock market returns
Anoruo, Emmanuel - In: International Journal of Economic Sciences and Applied … 4 (2011) 3, pp. 75-92
This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market...
Persistent link: https://www.econbiz.de/10010289389
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Stock market return predictability: Google pessimistic sentiments versus fear gauge
Habibah, Ume; Rajput, Suresh; Sadhwani, Ranjeeta - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-15
This study aims at comparing Google Search Volume Indices (GSVIs-including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger cause...
Persistent link: https://www.econbiz.de/10011988804
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Effect of inflationary expectations on stock market returns in Nigeria
Iwegbu, Onyebuchi; Adeoye, Babatunde Wasiu - In: Journal of Economic Studies 17 (2020) 1, pp. 27 – 42
This study examined the effect of inflationary expectations on stock market returns during the financial crisis era and the post-financial crisis era in Nigeria. The study built its argument using Fisher’s effect to examine the objective. The study employed quarterly data spanning through the...
Persistent link: https://www.econbiz.de/10012290381
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Are investors' attention and uncertainty aversion the risk factors for stock markets? International evidence from the COVID-19 crisis
Shear, Falik; Ashraf, Badar Nadeem; Sadaqat, Mohsin - In: Risks 9 (2021) 1, pp. 1-15
In this paper, we examine the impact of investors' attention to COVID-19 on stock market returns and the moderating effect of national culture on this relationship. Using daily data from 34 countries over the period 23 January to 12 June 2020, and measuring investors' attention with the Google...
Persistent link: https://www.econbiz.de/10013200672
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Multiscale partial correlation clustering of stock market returns
Michis, Antonis A. - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-22
This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns over different time scales. The estimated partial correlations are subsequently used in a cluster analysis to identify, for each time scale, groups of stocks that exhibit distinct...
Persistent link: https://www.econbiz.de/10013201328