PORTFOLIO SELECTION AND ONLINE LEARNING

2008 ◽  
Vol 16 (04) ◽  
pp. 437-473 ◽  
Author(s):  
TATSIANA LEVINA ◽  
GLENN SHAFER
Keyword(s):  
Stock Market ◽  
Portfolio Selection ◽  
Investment Strategy ◽  
Exponential Rate ◽  
Long Run ◽  
Statistical Assumptions ◽  
New Strategy ◽  
General Work ◽  
Constant Rebalanced Portfolios ◽  
Switching Strategies

This paper studies a new strategy for selecting portfolios in the stock market. The strategy is inspired by two streams of previous work: (1) work on universalization of strategies for portfolio selection, which began with Thomas Cover's work on constant rebalanced portfolios, published in 1991,4 and (2) more general work on universalization of online algorithms,17,21,23,30 especially Vladimir Vovk's work on the aggregating algorithm and Markov switching strategies.32 The proposed investment strategy achieves asymptotically the same exponential rate of growth as the portfolio that turns out to be best expost in the long run and does not require any underlying statistical assumptions on the nature of the stock market.

scholarly journals Profitability of investment strategies developed on the basis of buy and sell recommendations

2021 ◽  
Vol 43 ◽  
pp. 317-338
Author(s):  
Paweł Wnuczak ◽  
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Investment Strategy ◽  
Jel Classification ◽  
Theory And Practice ◽  
Investment Strategies ◽  
Market Theory ◽  
Rates Of Return ◽  
Long Run

Aim/purpose – The paper has two objectives. The first is to examine the profitability of applying investment strategies based on “buy” and “sell” recommendations issued by stock market analysts. The second objective is to validate that analysts who issue a rec- ommendation may not be impartial (not supporting any of the sides involved in an argu- ment) because the largest group of recommendations issued is “buy” recommendations. Design/methodology/approach – This study was conducted based on all the “buy” and “sell” recommendations issued during the period between January 1, 2004 and Decem- ber 31, 2016 for companies listed on the Warsaw Stock Exchange, using data from www.bankier.pl. The annual forecast rates of return were determined for all the recom- mendations included in the survey. The expected rates of return were determined for each recommendation based on the information collated from the Bloomberg database. The regression analysis enabled the exploration of the relationship between the actual rates of return and the rates of return predicted in recommendations. Findings – It was determined that investing on the basis of the information included in “sell” recommendations might make it possible to avoid unprofitable investments. At the same time, the study shows that an investment strategy compliant with “buy” recom- mendations does not let the investor achieve the expected rates of return on an invest- ment in the capital market in the long term. Research implications/limitations – The conducted research could be an important source of information for stock market investors’ decision-making regarding investments Originality/value/contribution – Despite the topic of recommendation effectiveness being very important from the perspective of capital market theory and practice, it is still unclear whether investing based on information provided in stock market recommenda- tions can be a profitable strategy in the long run. The study offers a bridge to fill the existing research gap. Keywords: recommendations, stock exchange, investment. JEL Classification: G140

Macroeconomic Determinants of Stock Market Prices in Nepal

2020 ◽  
Vol 2 (1) ◽  
pp. 56-65
Author(s):  
Bhim Prasad Panta
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Market ◽  
Money Supply ◽  
Developing Economies ◽  
Annual Data ◽  
Economic Variables ◽  
Market Prices ◽  
Ardl Model ◽  
Long Run

Background: Stock market plays a crucial role in the financial system of a country. It can be viewed as a channel through which resources are properly channelized. It enables the governments and industry to raise long-term capital for financing new projects. The stock markets of developing economies are likely to be sensitive to various macro-economic factors such as GDP, imports, exports, exchange rates etc., when there is high demand on financial products, as a constituent of financial market, ultimately stock market needs to develop. Many factors can be a signal to stock market participants to expect a higher or lower return when investing in stock and one of these factors are macroeconomic variables and thus, macro-economic variables tend to effect on stock market development. Objective: This study examines the linkage between stock market prices (NEPSE index) and five macro-economic variables, namely; real GDP, broad money supply, interest rate, inflation, and exchange rate using ARDL model and to explain the behavior of the Nepal Stock Exchange Index. Methods: The ECM which is delivered from ARDL model through simple linear transformation to integrate short run adjustments with long run equilibrium without losing long run information. The analysis has been done by using 25 years' annual data from 1994 to 2019. Findings: The result suggests that the fluctuation of Nepse Index in long run is strongly associated with broad money supply, interest rate, inflation, and exchange rate. Conclusion: Though Nepalese stock market is in primitive stage, broad money supply, interest rate, inflation and exchange rate are major factors affecting stock market price of Nepal. So, policies and strategies should be made and directed taking these in to consideration. Implication: The findings of research can be helpful to understand the behavior of Nepalese stock market and develop policies for market stabilization.

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

2020 ◽  
Vol 11 (1) ◽  
pp. 132-132
Author(s):  
Aref Emamian
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Real Effective Exchange Rate ◽  
Annual Data ◽  
Fiscal Policies ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

scholarly journals Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1411
Author(s):  
Xiaqing Su ◽  
Zhe Liu
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Asset Allocation ◽  
Policy Uncertainty ◽  
Volatility Spillover ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Transmission Structure ◽  
Long Term Impact

Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period. Further research of dynamic analysis shows that each sector acts in a time-varying role in this structure. The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of the inter-sector stock market in China. However, the EPUs do affect some sectors’ spillover indexes in the long run, and they are significantly heterogeneous. This paper can provide regulatory suggestions for policymakers and reasonable asset allocation and risk avoidance methods for investors.

Stock Market Development And Economic Growth in Nigeria

1998 ◽  
Vol 2 (1) ◽  
pp. 33-38 ◽  
Author(s):  
John C. Anyanwu
Keyword(s):  
Economic Growth ◽  
Risk Management ◽  
Stock Market ◽  
Conceptual Framework ◽  
Corporate Control ◽  
Market Development ◽  
Political Environment ◽  
Stock Market Development ◽  
Long Run

Is the stock market development important for economic growth in Nigeria? One line of research argues that it is not; another line stresses the importance of stock market development in allocating capital, acquisition of information about firms, easing risk management, mobilization of savings, and exerting corporate control. Indeed, some theories provide a conceptual framework for the belief that larger, more efficient stock markets boost economic growth. This article examines whether there is a strong empirical association between Nigerian stock market development and long-run economic growth. Our empirical results suggest that the Nigerian stock market development is positively and strongly associated with long-term economic growth. This implies that Nigerian policymakers should make concerted efforts at removing obstacles to stock market development while creating and sustaining an enabling macroeconomic and political environment for the market’s development.

scholarly journals Short-Run Pain, Long-Run Gain: Financial Liberalization and Stock Market Cycles

2007 ◽  
Vol 12 (2) ◽  
pp. 253-292 ◽  
Author(s):  
G. L. Kaminsky ◽  
S. L. Schmukler
Keyword(s):  
Stock Market ◽  
Financial Liberalization ◽  
Long Run ◽  
Short Run

Concept drift mining of portfolio selection factors in stock market

2015 ◽  
Vol 14 (6) ◽  
pp. 444-455 ◽  
Author(s):  
Yong Hu ◽  
Kang Liu ◽  
Xiangzhou Zhang ◽  
Kang Xie ◽  
Weiqi Chen ◽  
...  
Keyword(s):  
Stock Market ◽  
Portfolio Selection ◽  
Concept Drift ◽  
Selection Factors
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