The two-stage machine learning ensemble models for stock price prediction by combining mode decomposition, extreme learning machine and improved harmony search algorithm
Sign Up to like & getrecommendations! Published in 2020 at "Annals of Operations Research"
DOI: 10.1007/s10479-020-03690-w
Abstract: As stock data is characterized by highly noisy and non-stationary, stock price prediction is regarded as a knotty problem. In this paper, we propose new two-stage ensemble models by combining empirical mode decomposition (EMD) (or… read more here.
Keywords: machine; mode decomposition; elm; price prediction ... See more keywords
Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2022 at "Annals of Operations Research"
DOI: 10.1007/s10479-021-04452-y
Abstract: This paper uses weekly data from July 01, 2011 to July 09, 2021 to examine the dynamic nonlinear connectedness between the green bonds, clean energy, and stock price around the COVID-19 outbreak in the global… read more here.
Keywords: energy; stock price; green bonds; clean energy ... See more keywords
Predicting Stock Price Falls Using News Data: Evidence from the Brazilian Market
Sign Up to like & getrecommendations! Published in 2020 at "Computational Economics"
DOI: 10.1007/s10614-020-10060-y
Abstract: Market participants use a wide set of information before they decide to invest in risk assets, such as stocks. Investors often follow the news to collect the information that will help them decide which strategy… read more here.
Keywords: news; price falls; market; stock price ... See more keywords
Stock price reactivity to earnings announcements: the role of the Cammer/Krogman factors
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00943-4
Abstract: The stock characteristics often used in securities litigation to assess market efficiency are dispositive indicators of reactivity to earnings announcements. Stocks with large capitalization, high trading volume, broad analyst coverage, a large number of market… read more here.
Keywords: price reactivity; earnings announcements; announcements role; stock price ... See more keywords
R&D investment intensity and jump volatility of stock price
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00944-3
Abstract: This paper studies the important but unexplored relationship between R&D investment intensity and different components of stock price volatility. The total volatility of stock price is decomposed into a continuous component and a jump component.… read more here.
Keywords: investment intensity; volatility stock; stock; stock price ... See more keywords
Wisdom of the crowd and stock price crash risk: evidence from social media
Sign Up to like & getrecommendations! Published in 2021 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-021-01007-x
Abstract: In this study, we investigate the impact of social media on future stock price crash risk. A stock price crash occurs when managers hoard bad news over an extended period and disclose all the bad… read more here.
Keywords: social media; price crash; stock price;
A Novel Model for Stock Price Prediction Using Hybrid Neural Network
Sign Up to like & getrecommendations! Published in 2018 at "Journal of The Institution of Engineers (India): Series B"
DOI: 10.1007/s40031-018-0343-7
Abstract: The foremost challenge for investors is to select stock price by analyzing financial data which is a menial task as of distort associated and massive pattern. Thereby, selecting stock poses one of the greatest difficulties… read more here.
Keywords: price; model; stock price; stock ... See more keywords
Do politically connected independent directors matter? Evidence from mandatory resignation events in China
Sign Up to like & getrecommendations! Published in 2019 at "China Economic Review"
DOI: 10.1016/j.chieco.2018.05.011
Abstract: Abstract This paper investigates the contributions of politically connected independent directors to shareholder value by examining stock price reactions to their mandatory resignations. Employing an event study, we find that, if a private firm loses… read more here.
Keywords: stock price; mandatory resignation; politically connected; connected independent ... See more keywords
Foreign investors and stock price crash risk: Evidence from China
Sign Up to like & getrecommendations! Published in 2020 at "Economic Analysis and Policy"
DOI: 10.1016/j.eap.2020.09.016
Abstract: This study examines whether and how foreign investors affect firm-specific crash risk. Based on China’s stock market, we show that foreign investors significantly increase stock price crash risk and the positive association is more pronounced… read more here.
Keywords: crash risk; stock price; foreign investors;
Policy signaling and stock price synchronicity: Evidence from China
Sign Up to like & getrecommendations! Published in 2021 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2021.101355
Abstract: Abstract We investigate whether stock price synchronicity is associated with province-level policy support signaling in the case of China. China provides a unique opportunity to investigate the impacts of varied policy signaling across provinces within… read more here.
Keywords: price synchronicity; policy; stock price;
Controlling shareholder share pledging and stock price crash risk: Evidence from China
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101839
Abstract: Abstract Using the unique setting of the Chinese market from 2003 to 2018, this study examines how share pledging behavior affects firms' stock price crash risk by analyzing the costs and benefits of the controlling… read more here.
Keywords: crash risk; stock price; risk; price crash ... See more keywords