The price disparity between the dual-listed Chinese firms in the A- and H-share markets is one of the most intriguing puzzles in the Mainland and Hong Kong financial markets. In this paper, we revisit this price disparity puzzle using the channel of parameter uncertainty. In the presence of...

This paper presents a study of Artificial Neural Network (ANN) and Bayesian Network (BN) for use in stock index prediction. The data from Nigerian Stock Exchange (NSE) market are applied as a case study. Based on the rescaled range analysis, the neural network was used to capture the...

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims by looking at various measures of correlation. Next, we assess to what...