scholarly journals Hybridization of Bat Algorithm with XGBOOST Model for Precise Prediction of Stock Market Directions

2020 ◽  
Vol 9 (3) ◽  
pp. 3375-3382
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Bat Algorithm ◽  
Market Returns ◽  
Market Prices ◽  
Stock Market Returns ◽  
Proposed Model ◽  
Wide Range ◽  
Precise Prediction ◽  
Stock Values

In recent days, prediction of stock market returns is generally treated as a forecasting problem. The implicit volatile nature of stock market across the world makes the prediction process highly challenging. As a result, prediction and diffusion modeling undermine a wide range of issues present in the stock market prediction. The minimization in prediction error will greatly minimize the investment risks. This paper presents a new method to determine the direction of stock market variations indicating gain and loss. A new machine learning ML based model is applied to predict the direction of stock market prices. The presented model undergoes preprocessing, feature extraction and classification. Initially, preprocessing takes place using exponential smoothing. Then, required features are extracted from the preprocessed dataset. Afterwards, an effective Bat algorithm (BA) with the XGBoost model called BA-XGB is applied for forecasting the stock prices in market. The proposed model predicts whether the stock values gets increased or decreased based on the price existing n days in advance. The presented model is experimented using Apple (APPL) and Facebook (FB) stocks. The obtained simulation outcome stated that the BA-XGB model has offered superior outcome by achieving a maximum accuracy of 96.42.

MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES

2002 ◽  
Vol 05 (06) ◽  
pp. 645-657 ◽  
Author(s):  
JAVIER DEPENYA ◽  
L. A. GIL-ALANA
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Stock Prices ◽  
Mean Reversion ◽  
Small Degree ◽  
Market Returns ◽  
Market Prices ◽  
Stock Market Returns ◽  
The Mean ◽  
Spanish Stock Market

In this article we examine the mean-reverting property in the Spanish stock market prices by means of looking at its order of integration. We use several semiparametric procedures proposed by P. M. Robinson in a number of papers. The results show that, though the unit root hypothesis cannot be rejected in the log of the stock prices, the estimated order of integration in the first differenced series, (i.e. in the stock market returns), is slightly below zero, implying that there exists a small degree of mean reversion in the behaviour of prices.

scholarly journals The effect of ambiguity on the UK stock market: evidence from a new empirical approach

2017 ◽  
Vol 14 (4) ◽  
pp. 133-147
Author(s):  
Run Qing Tan ◽  
Viktor Manahov ◽  
Jacco Thijssen
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Linear Models ◽  
The Other ◽  
Var Model ◽  
Market Returns ◽  
Stock Market Returns ◽  
Bid Ask Spread ◽  
The Uk

This study developed a new ambiguity measure using the bid-ask spread. The results suggest that the degree of ambiguity has an impact on the daily UK stock market returns, but ambiguity does not cause changes in the returns. This implies that UK stock prices or returns cannot be predicted using variation in the degree of ambiguity through linear models, such as the VAR model, which was used in the study. The two sets of results in the study show that the degree of ambiguity from the previous two days might affect stock market returns. The authors observe that an increase in the degree of ambiguity two days ago is associated with a positive premium required by the investors. On the other hand, the degree of ambiguity tends to be affected by its past five-day values. Thus, the degree of ambiguity seems to persist for five days until investors update their priors. The intuition behind the result is that the degree of ambiguity can affect the returns of the UK stock market and UK stock market returns can in turn have an impact on the degree of ambiguity. The authors also observe that the degree of ambiguity does not seem to predict stock market returns in the UK when one applies linear models. However, this does not mean that there is no non-linear relationship between the degree of ambiguity and stock market returns or stock returns.

scholarly journals Inflation And Stock Market Returns In South Africa

2012 ◽  
Vol 11 (6) ◽  
pp. 677
Author(s):  
Joel Hinaunye Eita
Keyword(s):  
South Africa ◽  
Stock Market ◽  
Stock Prices ◽  
Positive Association ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Relationship

This paper investigated the relationship between stock market returns and inflation in South Africa and revealed that stock market returns and inflation in South Africa are positively related. An increase in inflation results in an increase in stock prices. The results also indicate that when all-share index is used as the measure of stock market returns, the causality is bi-directional. However, when gold index is used as a proxy for stock market returns, the causality is unidirectional, running from inflation to stock market returns. The positive association between these two variables suggests that equities are a hedge against inflation in South Africa.

scholarly journals NONLINEAR RELATIONSHIPS AND VOLATILITY SPILLOVERS AMONG HOUSE PRICES, INTEREST RATES AND STOCK MARKET PRICES

2016 ◽  
Vol 20 (4) ◽  
pp. 371-383 ◽  
Author(s):  
Hsiang-Hsi LIU ◽  
Sheng-Hung CHEN
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Goodness Of Fit ◽  
House Prices ◽  
House Price ◽  
Smooth Transition ◽  
Market Returns ◽  
Market Prices ◽  
Stock Market Returns ◽  
Volatility Spillovers

This paper addresses the interaction between interest rates and the significant increases in both Taiwanese house and stock market prices seen in recent years. Changes in house prices impact banks’ nonperforming loans, whereas changes in interest rates directly influence the ability of individuals and businesses to pay loan interest, accentuating the co-movements between house and stock mar-ket prices. We investigate the nonlinear relations and volatility spillovers among house prices, interest rates and stock market prices using monthly data from January 1985 to March 2009 for Taiwan. We find that the Smooth Transition Vector Error Correction GARCH (STVEC-GARCH) model has the best forecasting ability based on goodness of fit tests while showing a nonlinear and co-integrated relation among the three variables. Specifically, house price leads stock market returns when the interest rate is led by either house price or stock market returns. The volatility of stock market returns has significant impacts on interest rates, implying that borrowers should be aware of stock market fluctuations and thus strengthen their risk management because of unexpected changes.

COVID-19 Sentiments and Impact on Stock Market Prices

2021 ◽  
Vol 2 (2) ◽  
pp. 40-58
Author(s):  
Chandra Prayaga ◽  
Krishna Devulapalli ◽  
Lakshmi Prayaga ◽  
Aaron Wade
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Prices ◽  
Multivariate Time Series ◽  
Market Prices ◽  
Vector Error Correction ◽  
Jones Index ◽  
Vector Error ◽  
The Impact ◽  
Stock Values

This paper studies the impact of sentiments expressed by tweets from Twitter on the stock market associated with COVID-19 during the critical period from December 1, 2019 to May 31, 2020. The stock prices of 30 companies on the Dow Jones Index were collected for this period. Twitter tweets were also collected, using the search phrases “COVID-19” and “Corona Virus” for the same period, and their sentiment scores were calculated. The three time series, open and close stock values, and the corresponding sentiment scores from tweets were sorted by date and combined. Multivariate time series models based on vector error correction (VEC) models were applied to this data. Forecasts for these 30 companies were made for the time series open, for the 30 days of June 2020, following the data collection period. Stock market data for the month of June was for all the companies was compared with the forecast from the model. These were found to be in excellent agreement, implying that sentiment had a significant impact or was significantly impacted by the stock market prices.

scholarly journals Dividend Policy and Its Impact on Stock Price – A Study on Commercial Banks Listed in Dhaka Stock Exchange

2014 ◽  
Vol 3 (1) ◽  
pp. 7-16 ◽  
Author(s):  
Abdullah Al Masum
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Commercial Banks ◽  
Stock Price ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Jel Classification ◽  
Market Returns ◽  
Stock Market Returns ◽  
Retained Earnings

How do dividend policy decisions affect a firm’s stock price, is a widely researched topic in the field of investments and finance but still it remains a mystery that whether dividend policy affects the stock prices or not. There are those who suggest that dividend policy is irrelevant because they argue a firm’s value should be determine by the basic earning power and business risk of the firm, in which case value depends only on the income (cash) produced, not on how the income is split between dividends and retained earnings and opponents of this statement called dividend is irrelevance, that investors care only about the total returns they receive, not whether they receive those returns in the form of dividends, capital gains or both.The results of researches conducted in various stock markets are different. There are many internal and external factors, which simultaneously affect stock prices and it is almost impossible to segregate the effect of each so the variations remain. This paper empirically estimates excess stock market returns for all the thirty banks listed in Dhaka Stock Exchange for the period of 2007 to 2011. Attempts are made to examine, what kind of relationship exists between dividend policy and stock market returns of private commercial banks in Bangladesh, and to what degree the returns on stocks can be explained by their respective dividend policy for the same period of time. Various theories related to dividend policy are tested in various parts of the world with different results and findings. Various other articles are reviewed, written in Bangladesh and abroad to see the significance of dividend policy on the stock prices and to compare the results of this research with those conducted earlier. Sample size is large i.e. all the listed commercial banks of Dhaka Stock Exchange so the results are reliable and valid. Panel data approach is used to explain the relationship between dividends and stock prices after controlling the variables like Earnings per Share, Return on Equity, Retention Ratio have positive relation with Stock Prices and significantly explain the variations in the market prices of shares, while the Dividend Yield and Profit after Tax has negative, insignificant relation with stock prices. Overall results of this study indicate that Dividend Policy has significant positive effect on Stock Prices. JEL Classification Code: D78; E64; H54; R53; G21

scholarly journals EFFECT OF INVESTOR SENTIMENT ON FUTURE RETURNS IN THE NIGERIAN STOCK MARKET

10.26458/1726 ◽  
2017 ◽  
Vol 17 (2) ◽  
pp. 75-102
Author(s):  
Udoka Bernard Alajekwu ◽  
Michael Chukwumee OBIALOR ◽  
Cyprian Okey OKORO
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Price Index ◽  
Explanatory Power ◽  
Consumer Price Index ◽  
Investor Sentiment ◽  
Market Returns ◽  
Stock Market Returns ◽  
Dynamic Relationship ◽  
Positive Effect

The study examined the effect of investor sentiment on future returns in the Nigerian stock market. The OLS regression and granger causality techniques were employed for data analyses. The results showed that (1) investor sentiment has a significant positive effect on stock market returns even after control for fundamentals such as Industrial production index, consumer price index and Treasury bill rate; (2) there is a uni-directional causality that runs from change in investor sentiment (ΔCCI) to stock market returns (Rm). Derived finding showed that the inclusion of fundamentals increased the explanatory power of investor sentiment from 3.96% to 33.05%, though at both level, investor sentiment (ΔCCI) has low explanatory power on stock market returns. The study posits existence of a dynamic relationship between investor sentiment and the behaviour of stock future returns in Nigeria such that higher sentiment concurrently leads to higher stock prices.  

scholarly journals Relationship Between Stock Market Returns and Macroeconomic Variables: Evidence from Turkey

2015 ◽  
Vol 7 (5(J)) ◽  
pp. 6-18
Author(s):  
Erhan Cankal
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Stock Prices ◽  
Well Being ◽  
Common Belief ◽  
Market Returns ◽  
Significant Information ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Exchange Rate Shocks

Financial sector is considered to be important in signaling about economic development. It is a common belief that stock market returns contain significant information on economic well-being and act as a good source of market indicator in a country. This common belief is tested for a number of countries using various methods in literature. Whether stock market returns are affected by changes in primary macroeconomic variables have been tested for different time periods in many countries. The findings of the previous studies proved that the results may vary depending on country specific characteristics. The directions and magnitudes of the examined relationships seemed to be different for various economies. However, the mainstream of the findings is consistent with theoretical expectations. This study attempts to bring a light to the relationship between stock market returns and basic macroeconomic variables using monthly data between 2003 and 2015 and employing structural vector autoregressive (SVAR) model for the Turkish economy. Turkey is considered as one of the most vulnerable five countries whose stock prices are most responsive to, exchange rate shocks. This study concludes that the stock prices in Turkey responsive to the shocks in exchange rate, interest rate, and inflation in order. The results of the analyses are in accordance with theoretical expectations as well as with the findings of the vast majority in the literature.

Volatility and cross correlations of stock markets in SAARC nations

2014 ◽  
Vol 3 (2) ◽  
pp. 154-169 ◽  
Author(s):  
Monica Singhania ◽  
Shachi Prakash
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
Cross Correlation ◽  
Global Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Stock Indices

Purpose – The purpose of this paper is to examine cross-correlation in stock returns of SAARC countries, conditional and unconditional volatility of stock markets and to test efficient market hypothesis (EMH). Design/methodology/approach – Stock indices of India, Bangladesh, Sri Lanka and Pakistan are considered to serve as proxy for stock markets in SAARC countries. Data consist of daily closing price of stock indices from 2000 to 2011. Since preliminary testing indicated presence of serial autocorrelation and volatility clustering, family of GARCH models is selected. Findings – Results indicate presence of serial autocorrelation in stock market returns, implying dependence of current stock prices on stock prices of previous times and leads to rejection of EMH. Significant relationship between stock market returns and unconditional volatility indicates investors’ expectation of extra risk premium for exposing their portfolios to unexpected variations in stock markets. Cross-correlation revealed level of integration of South Asian economies with global market to be high. Research limitations/implications – Business cycles and other macroeconomic developments affect most companies and lead to unexplained relationships. The paper finds stock markets to exist at different levels of development as economic liberalization started at different points of time in SAARC countries. Practical implications – Correlation between stock indices of SAARC economies are found to be low which is in line with intra-regional trade being one of lowest as compared to other regional groups. Results point towards greater need for economic cooperation and integration between SAARC countries. Greater financial integration leads to development of markets and institutions, effective price discovery, higher savings and greater economic progress. Originality/value – The paper focuses on EMH and risk return relation for SAARC nations.

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