Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.06.020
Abstract: Abstract This paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in China by considering its time-variant feature. Time-varying effect is specified by the Legendre polynomials in… read more here.
Keywords: volatility spillover; stock index; fuel oil; volatility ... See more keywords
Asymmetry in spillover effects: Evidence for international stock index futures markets
Sign Up to like & getrecommendations! Published in 2017 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2017.07.007
Abstract: The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of… read more here.
Keywords: stock index; futures markets; spillover effects; index futures ... See more keywords
Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA
Sign Up to like & getrecommendations! Published in 2019 at "Resources Policy"
DOI: 10.1016/j.resourpol.2019.03.011
Abstract: Abstract We investigate the connectedness among crude oil prices, stock index and metal prices covering the period of 1990M1-2017M3 for US economy applying time domain Spillover Index framework by Diebold and Yilmaz (2012) . We… read more here.
Keywords: crude oil; stock index; connectedness among; index ... See more keywords
Creation of an Islamic stock index in West Africa
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.04.017
Abstract: Islamic finance, which has become inescapable has entered into financial markets by offering solutions consistent with the precepts of the Shariah. The objective of this paper is to propose the creation of an Islamic stock… read more here.
Keywords: stock index; finance; islamic stock; stock ... See more keywords
Feedback trading in stock index futures: Evidence from South Africa
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.07.065
Abstract: Abstract This study tests whether investors and speculators in stock index futures contracts on the South African stock market use feedback trading strategies. Feedback trading can be destabilizing and impede on the risk mitigation and… read more here.
Keywords: index futures; index; feedback trading; stock index ... See more keywords
Can the Exchange Rate Be Used to Predict the Shanghai Composite Index?
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DOI: 10.1109/access.2019.2962221
Abstract: Stock index price forecasting is a consistent focus of business intelligence. Various factors influence stock index price forecasting, such as technical indicators, financial news, business status, and the macroeconomics situation. In addition, many studies have… read more here.
Keywords: stock index; exchange rate; index;
Discovery and Prediction of Stock Index Pattern via Three-Stage Architecture of TICC, TPA-LSTM and Multivariate LSTM-FCNs
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DOI: 10.1109/access.2020.3005994
Abstract: In this study, we attempt to discover and predict stock index patterns through analysis of multivariate time series. Our motivation is based on the notion that financial planning guided by pattern discovery and prediction of… read more here.
Keywords: three stage; stock index; stage; stage architecture ... See more keywords
Stock index trend prediction based on TabNet feature selection and long short-term memory
Sign Up to like & getrecommendations! Published in 2022 at "PLOS ONE"
DOI: 10.1371/journal.pone.0269195
Abstract: In this study, we propose a predictive model TabLSTM that combines machine learning methods such as TabNet and Long Short-Term Memory Neural Network (LSTM) with a complete factor library for stock index trend prediction. Our… read more here.
Keywords: stock index; factor; prediction; stock ... See more keywords
Volatility forecasts of stock index futures in China and the US–A hybrid LSTM approach
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DOI: 10.1371/journal.pone.0271595
Abstract: This paper is concerned with the unsolved issue of how to accurately predict the financial market volatility. We propose a novel volatility prediction method for stock index futures prediction based on LSTM, PCA, stock indices… read more here.
Keywords: stock index; index futures; volatility; prediction ... See more keywords
Stock Index Prediction Based on Time Series Decomposition and Hybrid Model
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DOI: 10.3390/e24020146
Abstract: The stock index is an important indicator to measure stock market fluctuation, with a guiding role for investors’ decision-making, thus being the object of much research. However, the stock market is affected by uncertainty and… read more here.
Keywords: stock; stock index; model; time series ... See more keywords
An Empirical Investigation to the “Skew” Phenomenon in Stock Index Markets: Evidence from the Nikkei 225 and Others
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DOI: 10.3390/su11247219
Abstract: The skew processes have recently received much attention, owing to their capacity to describe controlled dynamics. In this paper, we employ the skew geometric Brownian motion (SGBM) to depict nine major stock index markets. The… read more here.
Keywords: phenomenon; index markets; stock index; skew phenomenon ... See more keywords