Stock exchange

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

Forecasting stock market short-term trends using a neuro-fuzzy based methodology

Abstract: A neuro-fuzzy system composed of an Adaptive Neuro Fuzzy Inference System (ANFIS) controller used to control the stock market process model, also identified using an adaptive neuro-fuzzy technique, is derived and evaluated for a variety of stocks. Obtained results challenge the weak form of the Efficient Market Hypothesis (EMH) by demonstrating much improved and better predictions, compared to other approaches, of short-term stock market trends, and in particular the next day's trend of chosen stocks. The ANFIS controller and the stock market process model inputs are chosen based on a comparative study of fifteen different combinations of past stock prices performed to determine the stock market process model inputs that return the best stock trend prediction for the next day in terms of the minimum Root Mean Square Error (RMSE). Gaussian-2 shaped membership functions are chosen over bell shaped Gaussian and triangular ones to fuzzify the system inputs due to the lowest RMSE. Real case studies using data from emerging and well developed stock markets - the Athens and the New York Stock Exchange (NYSE) - to train and evaluate the proposed system illustrate that compared to the ''buy and hold'' strategy and several other reported methods, the proposed approach and the forecasting trade accuracy are by far superior.

Return Behavior in Emerging Stock Markets

Abstract: This article investigates the behavior of stock returns in the twenty stock markets represented in the International Finance Corporation's Emerging Markets Data Base. The aim is to test for return anomalies and predictability. Using statistical methodologies that have identified seasonal and size-based return differences, as well as general return predictability in industrial markets, the authors find that these emerging markets display few of the same anomalies. In particular, the authors find limited evidence of turn-of-the-tax-year effects and small-firm effects. The authors do find, however, evidence of return predictability.

Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

Abstract: We study the joint effect of the trading mechanism and the time at which transactions take place on the behavior of stock returns using data from Japan. The Tokyo Stock Exchange employs a periodic clearing procedure twice a day, at the opening of both the morning and the afternoon sessions. This enables us to discern the effect of the clearing mechanism from the effect of the overnight trading halt. While the periodic clearing at the beginning of the trading day is noisy and inefficient, the midday clearing transaction appears to be no worse than the two closing transactions. IN A RECENT ARTICLE in this Journal (Amihud and Mendelson (1987a)) we examined the effects of two major trading mechanisms on the behavior of stock returns. One mechanism is the continuous dealership market, where investors trade with market makers at their quoted bid-ask prices, and the other is the periodic clearing procedure, where buy and sell orders accumulate during some time interval and are then executed simultaneously at a single price which equates the quantity demanded to the quantity supplied. Our study of the two trading mechanisms compared the time-series behavior of stock returns over the open-to-open and close-to-close time intervals for the same stocks over the same period on the New York Stock Exchange (NYSE). By this methodology, any information about the value of the stock equally affects both return series. Yet, there is a difference between the trading mechanisms by which opening and closing prices are set: The opening transaction in major NYSE stock issues is executed by a periodic clearing procedure, whereas trading continues afterward in a dealership market controlled by the Exchange specialist. If the different trading mechanisms had no effect on stock prices, the variances and autocorrelations would be the same for the two return series.

An empirical study of selected factors influencing the decision to list on foreign stock exchanges

Abstract: The growing internationalization of capital markets suggests that an increasing number of firms perceive the benefits of listing their stocks on foreign exchanges as outweighing the related costs. Many other firms, however, still limit listing their securities to their domestic exchanges. This study investigates the motives for listing abroad. The empirical analyses, based on data on 481 multinationals, indicate significant association between the likelihood of listing abroad and 1) the relative size of a firm in its domestic capital market, 2) the ratio of foreign to total sales.