Investigation of computational intelligence methods in forecasting problems at stock exchanges

In this paper, the forecasting problem of share prices at the New York Stock Exchange (NYSE) was considered and investigated. For its solution the alternative methods of computational intelligence were suggested and investigated: LSTM networks, GRU, simple recurrent neural networks (RNN) and Group Method of Data Handling (GMDH). The experimental investigations of intelligent methods for the problem of CISCO share prices were carried out and the efficiency of forecasting methods was estimated and compared. It was established that method GMDH had the best forecasting accuracy compared to other methods in the problem of share prices forecasting.

Download Full-text

Corporate governance, accounting transparency and stock exchange sizes in Germany, Japan and «Anglo-Saxon» economies, 1870–1950

Zeitschrift für Unternehmensgeschichte ◽

10.1515/zug-2018-0042 ◽

2019 ◽

Vol 64 (2) ◽

pp. 157-186

Author(s):

Leslie Hannah

Keyword(s):

New York ◽

Corporate Governance ◽

Stock Exchange ◽

Civil Law ◽

Corporate Bond ◽

Stock Exchanges ◽

Anglo Saxon ◽

Legal Rules ◽

Legal Origins ◽

The Us

AbstractModern discussions of corporate governance have focused on convergence of «varieties of capitalism», particularly the recent «Americanisation» of laws and voluntary codes in Germany, Japan, and other civil law countries. However German and Japanese legal and business historians have suggested that corporate governance, accounting transparency or other favourable factors in their countries were historically a match for – or even superior to – those in the US. An alleged consequence was deeper penetration by the Berlin and Tokyo stock exchanges of their domestic economies than of the US by the New York Stock Exchange (NYSE), using measures such as market capitalization/GDP ratios. This paper reviews the classic Rajan and Zingales data on the sizes of stock exchanges. It concludes that the evidence for Japanese historical precocity relative to the US, after the necessary allowance is made for regional stock exchanges and corporate bond finance, stands up better to this closer examination than that for Germany.Many financial historians now agree that stock exchange development was not historically determined by legal origins («Anglo-Saxon» common vs Euro-Japanese civil law), though today it appears to be driven by legal rules protecting shareholders and/or bondholders and limiting directorial autocracy and information asymmetry. However, both today and historically in some cultures private order rules (voluntary codes, bourse listing requirements, bankers as trusted intermediaries, block-holder monitoring, etc) offered substitute protections, or at least complemented protective laws. This paper reviews the plausibility of these determinants of historical stock exchange sizes – and others that have been neglected – in Japan, Germany, and elsewhere, before 1950.

Download Full-text

Cross-Listing, Firm Valuation, and Corporate Governance

International Cross-Listing of Chinese Firms ◽

10.4018/978-1-4666-5047-3.ch004 ◽

2013 ◽

pp. 108-154

Keyword(s):

New York ◽

Corporate Governance ◽

Hong Kong ◽

Firm Value ◽

Stock Exchange ◽

Firm Valuation ◽

Stock Exchanges ◽

Refined Theory ◽

Bonding Theory ◽

Cross Listing

This chapter examines a unique dataset, which, to the best of my knowledge, has not hitherto been used. It concerns the relationship between corporate governance and firm value in the context of Chinese firms cross-listed on major international exchanges, which include the NASDAQ, the New York Stock Exchange (NYSE), the Hong Kong Main Board, the Hong Kong Growth Enterprise Market (GEM), the Singapore Stock Exchange, and the London Alternative Investment Market (AIM). The study is grounded in the bonding theory, which asserts that stringent corporate governance requirements imposed by overseas regulations enhance firm value. Contrary to this theory, firms listed on stock exchanges in mainland China alone command significantly better value than those that are cross-listed on overseas stock exchanges. This results in the conclusion that the general bonding theory cannot adequately explain how cross-listing affects firm valuation in the Chinese context, and thus a refined theory is required.

Download Full-text

Market Fragmentation, Market Quality and Clientele Effects

International Journal of Financial Research ◽

10.5430/ijfr.v9n1p74 ◽

2017 ◽

Vol 9 (1) ◽

pp. 74

Author(s):

D. Alasdair S. Turnbull

Keyword(s):

New York ◽

Stock Exchange ◽

Total Sample ◽

Stock Exchanges ◽

Market Quality ◽

Order Book ◽

Toronto Stock Exchange ◽

Multiple Markets ◽

Price Impacts ◽

Clientele Effects

This paper analyzes the relative trading activity of securities cross-listed on two highly integrated international stock exchanges. We find that traders choose an exchange on the basis of superior market quality, as measured by better quoted prices, greater depth at the market in its limit order book and better price continuity. As well, clientele effects influence trade location. From the perspective of a US investor, the price impacts of the total sample of trades for these securities, are statistically significantly lower on the New York Stock Exchange than on the Toronto Stock Exchange; but are not economically different. The results are consistent with the order splitting hypothesis and the co-existence of multiple markets.

Download Full-text

Corporate governance listing requirements: protecting investors from fraudulent financial reporting

Corporate Ownership and Control ◽

10.22495/cocv11i4c7p14 ◽

2014 ◽

Vol 11 (4) ◽

pp. 717-746 ◽

Cited By ~ 3

Author(s):

Khaled Aljifri ◽

Hugh Grove ◽

Lisa Victoravich

Keyword(s):

New York ◽

Corporate Governance ◽

Financial Reporting ◽

Stock Exchange ◽

Investor Protection ◽

Stock Exchanges ◽

Structural Factors ◽

Behavioral Factors ◽

Fraudulent Financial Reporting ◽

The 2008 Financial Crisis

This paper analyzes the corporate governance listing requirements of major global stock exchanges to assess the level of investor protection from investment disasters, such as corporate fraudulent financial reporting (e.g. Enron, Lehman Brothers, Satyam, and Parmalat) and the 2008 financial crisis which destroyed over $1 trillion in market capitalization of U.S. companies. This investor protection issue is especially critical for emerging stock exchanges that are trying to attract foreign investors, such as in the United Arab Emirates (UAE) and Russia. This issue is assessed by comparing the corporate governance listing requirements of the well-established stock exchanges in the United States (both the New York Stock Exchange or NYSE and the over-the-counter-stock-exchange or NASDAQ), United Kingdom (London), and Singapore to the listing requirements of the emerging stock exchanges in the UAE and Russia. The effectiveness of these corporate governance listing requirements in protecting investors is assessed by determining how they address ten common corporate governance factors which represent lessons learned from recent fraudulent financial reporting scandals. These ten factors have been divided into two groups of five. The first five common factors were the same ones found in a 2010 Commission on Corporate Governance report, sponsored by the New York Stock Exchange, to investigate the 2008 financial crisis. This paper has called them “structural” factors and labelled the other five common factors as “behavioral” factors. The global listing requirement comparisons reveal that investors seem to be quite well protected from the five “structural” factors but not the five “behavioral” factors. The paper concludes with listing requirement suggestions to protect investors from these five “behavioral” factors. Investor protection from all ten factors is still needed as recent U.S. and global surveys have indicated that financial reporting manipulations are ongoing

Download Full-text

One Of The Prime Beneficiaries Of The Sarbanes Oxley Act Of 2002: The London Stock Exchange!

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v7i10.3301 ◽

2011 ◽

Vol 7 (10) ◽

Author(s):

RamMohan R. Yallapragada ◽

Alfred Toma ◽

C. William Roe

Keyword(s):

New York ◽

Stock Exchange ◽

The United States ◽

Stock Exchanges ◽

Public Confidence ◽

American Business ◽

London Stock Exchange ◽

Sarbanes Oxley ◽

Accounting Scandals ◽

Implementation Costs

In the late 1990s, financial markets in the United States (U S ) were rocked by accounting scandals in companies such as Enron and WorldCom. Public confidence in American business was at a low ebb. As a knee-jerk reaction to the scandals, the U S Congress hastily passed the Sarbanes-Oxley Act of 2002 (SOX) hoping to restore the lost image of the U S business firms. SOX rendered corporate governance and protecting corporate assets a matter of Federal mandates. Penalties for violation of the provisions of SOX include a maximum of 25 years of prison and/or a fine of twenty five million dollars. For small and mid-size firms, the implementation costs became prohibitive. The exorbitant implementation costs of Section 404 of SOX and the draconian criminal sanctions for senior management are driving companies to flee from The New York Stock Exchange to more favorable exchanges overseas. The London Stock Exchange appears to be the most benefited one from the passage of SOX. This paper presents the salient provisions of SOX, the havoc caused to the business firms by its implementation costs, and the present trend of flight of capital from American stock exchanges to overseas stock exchanges such as the London Stock Exchange.

Download Full-text

COVID-19 The Global Pandemic: Learning & Take Out for National Pension System (NPS)

Nepalese Journal of Management Science and Research ◽

10.53056/njmsr-2021.001.4 ◽

2021 ◽

Vol 4 (i) ◽

Keyword(s):

New York ◽

Pension Fund ◽

Pension System ◽

Stock Exchange ◽

Stock Exchanges ◽

Security Market ◽

Defined Benefit ◽

Defined Contribution ◽

Economic Activities ◽

Fund Managers

The SARS Cov-2 (Covid 19) pandemic has shaken the whole world; it has brought the business, education, industry, transport, communications, travel, hospitality almost all the economic activities to a standstill. Accordingly, it has adversely affected the financial markets and stock exchanges across the globe. The stock exchanges, may it be New York Stock Exchange, Dow Jones, London Stock Exchange, Nikkei, Bombay Stock Exchange or National Stock Exchange experienced an unprecedented plunge of 40 to 50% in a period few weeks. This new dynamic of volatility possesses serious questions about the market driven National Pension System (NPS) which endeavor to ensure smooth retirement life for Indian elderly. The volatility in security market will significantly impact the fund managers’ performance and accordingly the retirement benefit of the subscriber. This article has investigated the impacts of pandemic on fund manager’s risk returns profile. We have used three industry standard risk-adjusted returns parameters such as Sharpe ratio, Treynor Ratio and Jensen’s alpha to evaluate the performance of NPS pension fund managers selected under study. The study has also explored the learning from such unexpected crisis for the policy makers for future preparedness. On the basis of finding, it has suggested some measures for long run sustainability of schemes under NPS. Keywords : NPS, PFRDA, Defined benefit, Defined contribution, Pension fund managers, Risk adjusted returns, COVID-19.

Download Full-text

The Nominal Share Price Puzzle

The Journal of Economic Perspectives ◽

10.1257/jep.23.2.121 ◽

2009 ◽

Vol 23 (2) ◽

pp. 121-142 ◽

Cited By ~ 65

Author(s):

William C Weld ◽

Roni Michaely ◽

Richard H Thaler ◽

Shlomo Benartzi

Keyword(s):

New York ◽

Stock Exchange ◽

Share Price ◽

New York Stock Exchange ◽

Share Prices ◽

Optimal Trading ◽

The Great Depression ◽

Price Puzzle ◽

York Stock Exchange ◽

Common Stocks

The average nominal share prices of common stocks traded on the New York Stock Exchange have remained constant at approximately $35 per share since the Great Depression as a result of stock splits. It is surprising that U.S. firms actively maintained constant nominal prices for their shares while general prices in the economy went up more than tenfold. This is especially puzzling given that commissions paid by investors on trading ten $35 shares are about ten times those paid on a single $350 share. We review potential explanations including signaling and optimal trading ranges and find that none of the existing theories are able to explain the observed constant nominal prices. We suggest that the evidence is consistent with the idea that customs and norms can explain the nominal price puzzle.

Download Full-text

Decimalization of Stock Exchanges

E-Government Service Maturity and Development ◽

10.4018/978-1-60960-848-4.ch009 ◽

2011 ◽

pp. 165-180

Author(s):

Bin Chang

Keyword(s):

New York ◽

Stock Exchange ◽

Stock Exchanges ◽

New York Stock Exchange ◽

Tick Size ◽

Toronto Stock Exchange ◽

Bid Ask Spread ◽

Limit Orders ◽

York Stock Exchange ◽

The Impact

Technological innovation is propelling the move in financial markets away from fractional trading and towards decimal trading, as in the example of The New York Stock Exchange (NYSE) tick size changed from $1/16 to $0.01 on January 29, 2001. This chapter examines the impact of that trend as it relates to market quality and trading behaviour, and draws on comparisons between NYSE and NASDAQ, as well as evidence from other markets and market-traded securities, in demonstrating how decimalization leads to a decrease in the bid-ask spread and depth and an improvement in the probability of information-based trading, while having seemingly no effect on the frequency of limit orders. Our examination also demonstrates how the 1996 decimalization of the Toronto Stock Exchange (TSX, formerly TSE) has had little impact on its giant competitor, NYSE.

Download Full-text

Transmission of Information of the Indonesian Dual Listed Shares

International Journal of Financial Research ◽

10.5430/ijfr.v11n2p255 ◽

2020 ◽

Vol 11 (2) ◽

pp. 255

Author(s):

Randi Anto ◽

Irene Rini Demi Pangestuti

Keyword(s):

New York ◽

Stock Prices ◽

Stock Exchange ◽

Stock Exchanges ◽

Daily Data ◽

York Stock Exchange ◽

Transmission Of Information ◽

Trading Period ◽

The Difference ◽

Dual Listing

Various studies have been carried out in relation to the behavior of dual listing stock prices, unfortunately, study on the effects of changes in dual listing stock prices on the Indonesia Stock Exchange (IDX) is still limited. Differences in trading time and stock exchange class between one stock exchange with another in different countries raise an opportunity for the accumulation of information when one of the exchanges is experiencing a closing trading period. Indonesian companies such as PT. Telekomunikasi Indonesia (Persero) Tbk. (TLKM) whose shares are listed on the New York Stock Exchange (NYSE) and IDX experience the difference in time of their transaction which can affect the shares on the NYSE and on the IDX. This study conducted by using daily data from January 2018 to December 2018. This study found that there is a significant effect of changes in TLKM stock prices on the NYSE in (t-1) period to changes in TLKM stock prices on IDX in t-period. This finding proves that there was the existence of transmission of information between the stock exchanges utilized by investors.

Download Full-text

Wage Rates in Pittsburgh during the Depression of 1908

Journal of American Studies ◽

10.1017/s0021875800010306 ◽

1975 ◽

Vol 9 (2) ◽

pp. 163-188 ◽

Cited By ~ 5

Author(s):

Peter R. Shergold

Keyword(s):

New York ◽

Stock Exchange ◽

Share Prices ◽

Wage Rates ◽

Short Run ◽

Banking Institutions ◽

National Bank ◽

Trust Company ◽

The Rich ◽

Emergency Fund

On 22 October 1907, the Knickerbocker Trust Company, the third largest trust company in New York City, closed its door and announced itself bankrupt. Panic rapidly spread. On the New York Stock Exchange chaos reigned as a loss of confidence, fed by insistent rumours of further imminent collapses, led to waves of selling, margin calls, and a rapid lowering of share prices. Heavy pressure developed upon the Trust Company of America and the Lincoln Trust Company: through the timely intervention of J. P. Morgan they survived, but lesser banking institutions throughout America, faced with long lines of depositors anxious to retrieve savings, were less fortunate. The supply of national bank notes proved insufficiently elastic to meet the massive, short-run increase in demand. Many banks, lacking adequate emergency reserves of notes and/or specie, were forced to ignore legal requirements and to suspend payments. It is true that the establishment of a New York trust company emergency fund prevented the chain of banking failures from spiralling disastrously onward, that the panic selling on the Stock Exchange was short-lived, and that the financial crises of late 1907 were confined largely to the cities – hence the manner in which the period has been written into American history as the ‘ rich man's panic ’. It is incorrect, however, to assert that its ‘ effects were not widespread ’.

Download Full-text