The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue...

This study investigates the effect of macroeconomic factors on the conditional volatility of developed and emerging bond markets using ARMA-GARCH model and examines the effect of macroeconomic factors themselves rather than the effect of announcement of macroeconomic factors. The findings show...

The short term and long term stock price volatility changes around bonus and rights issue announcements have been examined using historical volatility estimation and time varying volatility approach. The results show that the historical volatility has increased after bonus and rights issue...

This study examines the dynamic causal (linear as well as non-linear) relationship between trading volume and return and between volatility and returns. We have used the vector autoregression based Granger causality framework to examine the linear causality, while the non-linear causality have...

The purpose of this paper is to develop and identify the best hybrid model to predict stock index returns. We develop three different hybrid models combining linear ARIMA and non-linear models such as support vector machines (SVM), artificial neural network (ANN) and random forest (RF) models to...