Does the Stock Market Evaluate Intangible Assets? An Empirical Analysis Using Data of Listed Firms in Japan

2020 ◽

pp. 310-313

Author(s):

Karunesh Makker ◽

Prince Patel ◽

Hrishikesh Roy ◽

Sonali Borse

Keyword(s):

Neural Network ◽

Stock Market ◽

Prediction Model ◽

Efficient Market Hypothesis ◽

Deterministic System ◽

Vast Number ◽

Factors Influencing ◽

Number Of Factors ◽

Using Data ◽

Robust Prediction

Stock market is a very volatile in-deterministic system with vast number of factors influencing the direction of trend on varying scales and multiple layers. Efficient Market Hypothesis (EMH) states that the market is unbeatable. This makes predicting the uptrend or downtrend a very challenging task. This research aims to combine multiple existing techniques into a much more robust prediction model which can handle various scenarios in which investment can be beneficial. Existing techniques like sentiment analysis or neural network techniques can be too narrow in their approach and can lead to erroneous outcomes for varying scenarios. By combing both techniques, this prediction model can provide more accurate and flexible recommendations. Embedding Technical indicators will guide the investor to minimize the risk and reap better returns.

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On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

Studies of Applied Economics ◽

10.25115/eea.v38i3.3145 ◽

2020 ◽

Vol 38 (3) ◽

Author(s):

Ainhoa Fernández-Pérez ◽

María de las Nieves López-García ◽

José Pedro Ramos Requena

Keyword(s):

Standard Deviation ◽

Stock Market ◽

Trading Strategy ◽

Stock Market Index ◽

Pairs Trading ◽

Empirical Application ◽

Statistical Arbitrage ◽

Market Index ◽

Standard Deviations ◽

Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

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Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

10.34091/ajss.12.1.02 ◽

2019 ◽

Vol 12 (1) ◽

Author(s):

Shahid Rasheed ◽

Umar Saood ◽

Waqar Alam

Keyword(s):

Stock Market ◽

Empirical Evidence ◽

Stock Markets ◽

Stock Exchange ◽

Momentum Effect ◽

Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

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