scispace - formally typeset
Search or ask a question
Topic

Stock exchange

About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.


Papers
More filters
Journal ArticleDOI
TL;DR: An extensive comparative analysis of ensemble techniques such as boosting, bagging, blending and super learners (stacking) suggests that an innovative study in the domain of stock market direction prediction ought to include ensemble techniques in their sets of algorithms.
Abstract: Stock-market prediction using machine-learning technique aims at developing effective and efficient models that can provide a better and higher rate of prediction accuracy. Numerous ensemble regressors and classifiers have been applied in stock market predictions, using different combination techniques. However, three precarious issues come in mind when constructing ensemble classifiers and regressors. The first concerns with the choice of base regressor or classifier technique adopted. The second concerns the combination techniques used to assemble multiple regressors or classifiers and the third concerns with the quantum of regressors or classifiers to be ensembled. Subsequently, the number of relevant studies scrutinising these previously mentioned concerns are limited. In this study, we performed an extensive comparative analysis of ensemble techniques such as boosting, bagging, blending and super learners (stacking). Using Decision Trees (DT), Support Vector Machine (SVM) and Neural Network (NN), we constructed twenty-five (25) different ensembled regressors and classifiers. We compared their execution times, accuracy, and error metrics over stock-data from Ghana Stock Exchange (GSE), Johannesburg Stock Exchange (JSE), Bombay Stock Exchange (BSE-SENSEX) and New York Stock Exchange (NYSE), from January 2012 to December 2018. The study outcome shows that stacking and blending ensemble techniques offer higher prediction accuracies (90–100%) and (85.7–100%) respectively, compared with that of bagging (53–97.78%) and boosting (52.7–96.32%). Furthermore, the root means square error (RMSE) recorded by stacking (0.0001–0.001) and blending (0.002–0.01) shows a better fit of ensemble classifiers and regressors based on these two techniques in market analyses compared with bagging (0.01–0.11) and boosting (0.01–0.443). Finally, the results undoubtedly suggest that an innovative study in the domain of stock market direction prediction ought to include ensemble techniques in their sets of algorithms.

120 citations

Journal ArticleDOI
TL;DR: In this paper, the authors examined how alternative corporate governance mechanisms work in Japan, using the panel data on the equity ownership and bank loans of manufacturing companies listed on the Tokyo Stock Exchange (TSE) first section over the 1985-1998 period.
Abstract: In this paper, we examine how alternative corporate governance mechanisms work in Japan, using the panel data on the equity ownership and bank loans of manufacturing companies listed on the Tokyo Stock Exchange (TSE) first section over the 1985–1998 period. First, we find that the main bank borrowing is negatively related to firm value until the early 1990s, which is consistent with the view of the main bank extracting surplus from client firms. Second, we show that the cross shareholdings between the main bank and client firms are negatively related to firm value during the sample period. Third, our results on the intercorporate shareholdings show that one-way shareholdings tend to be positively related to firm value, but cross shareholdings tend to be negatively related to firm value when their effects are statistically significant. Finally, we find that managerial ownership is monotonically and positively related to firm value. The result of a simple check suggests that the endogeneity of managerial ownership did not drive our finding at least for the second subperiod (1992–1998).

120 citations

Journal ArticleDOI
TL;DR: In this paper, the authors show that a two-stage offering strategy is less costly than an initial public offering (IPO) because trading reduces the valuation uncertainty of these firms before they issue equity.
Abstract: A number of firms in the United Kingdom list without issuing equity and then issue equity shortly thereafter. We argue that this two-stage offering strategy is less costly than an initial public offering (IPO) because trading reduces the valuation uncertainty of these firms before they issue equity. We find that initial returns are 10% to 30% lower for these firms than for comparable IPOs, and we provide evidence that the market in the firm's shares lowers financing costs. We also show that these firms time the market both when they list and when they issue equity. ONE TYPICAL FEATURE OF AN INITIAL PUBLIC OFFERING is that the firm lists and issues equity simultaneously. As such, the value of the shares sold is inherently subject to great uncertainty, which results in underpricing. Rock (1986) argues that if both informed and uninformed investors are to purchase shares in the IPO, underpricing is necessary to attract uninformed investors. Similarly, Benveniste and Spindt (1989) argue that if some investors have better information about the value of the shares than the underwriter, the underwriter can extract this information by rewarding informed investors with underpriced shares. No matter who benefits from an informational advantage, however, the IPO literature agrees that uncertainty is costly for issuers. To reduce valuation uncertainty, a natural solution for firms wishing to raise equity is to proceed in two stages, listing and letting develop a public market in the firm's existing shares in the first stage, and selling new shares to the public in the second stage. The more active the market that develops in the firm's existing shares, the greater the reduction of valuation uncertainty, and, in turn, the less the underpricing required when the firm sells new shares. The benefits of this two-stage strategy are unquantifiable in the United States, where firms that list on stock exchanges concurrently issue equity.1 By contrast, the United Kingdom is an ideal setting in which to investigate this strategy. In the U.K., issuers can choose between an IPO and an

119 citations

Journal ArticleDOI
TL;DR: In this article, the authors examined intra-day variations in the bid-ask spread, volatility and volume for stocks traded on the London Stock Exchange during the first quarter of 1991.
Abstract: This paper examines intra-day variations in the bid-ask spread, volatility and volume for stocks traded on the London Stock Exchange. The data set used consists of quote and transactions data for a large sample of 835 stocks traded during the first quarter of 1991. The focus of the study is twofold; first, is to document a number of stylized facts regarding the intra-day behaviour of spread, trading volume, volatility etc. Second, the paper tests some predictions of two theoretical models of intra-day behaviour: the Admati and Pfleiderer and the Brock and Kleidon models. In addition, the paper also studies qualitatively the intra-day behaviour of several variables of interest including volume per transaction, transactions per fifteen-minute interval and spreads/trading volume for stocks of differing liquidity. The results suggest that the bid-ask spread is wide at the open, constant through the day and rises slightly at the close. Trading volume, in contrast is not highest at the open and the close. Volatility, based on the mid-point of the inside spread, shows a U-shaped pattern. Volume per transaction, in contrast, is fairly constant throughout the day. Further, the intra-day trading volume pattern differs for liquid and illiquid stocks. The results provide mixed support for current theoretical models of intra-day behaviour of spread, volume and volatility on the London Stock Exchange

119 citations

Posted Content
TL;DR: In this article, the authors report findings from a study that collected data over a two-year period both on households' stock market expectations (subjective probabilities of gains or losses) and on whether they own stocks.
Abstract: Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate this puzzle, recent research has started to elicit private households’ expectations of stock market returns. This paper reports findings from a study that collected data over a two-year period both on households’ stock market expectations (subjective probabilities of gains or losses) and on whether they own stocks. We document substantial heterogeneity in financial market expectations. Expectations are correlated with stock ownership. Over the two years of our data, stock market prices increased, and expectations of future stock market price changes also increased, lending support to the view that expectations are influenced by recent stock gains or losses.

119 citations


Network Information
Related Topics (5)
Stock market
44K papers, 1M citations
91% related
Interest rate
47K papers, 1M citations
86% related
Corporate social responsibility
45.5K papers, 1M citations
84% related
Competitive advantage
46.6K papers, 1.5M citations
84% related
Entrepreneurship
71.7K papers, 1.7M citations
81% related
Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20232,414
20225,944
20211,840
20202,645
20192,535
20182,413