scholarly journals Herding Behaviour, Bubbles and Log Periodic Power Laws in Illiquid Stock Markets: A Case Study on the Bucharest Stock Exchange

2013 ◽  
Author(s):  
Daniel Traian Pele ◽  
Miruna Marinescu Mazurencu ◽  
Peter Nijkamp
Keyword(s):  
Stock Markets ◽  
Stock Exchange ◽  
Power Laws

Mixed integer programming approach for seasonal anomalies in stock markets: A case study for BIST

2018 ◽  
Vol 5 (2) ◽  
pp. 19-28
Author(s):  
Oguzhan Ahmet Arik
Keyword(s):  
Integer Programming ◽  
Mixed Integer Programming ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Mixed Integer ◽  
Programming Approach ◽  
The Past ◽  
Istanbul Stock Exchange

This paper proposes a mixed integer programming approach for seasonal anomalies in stock markets and presents a case study for the XU030 index in the stock market of Istanbul Stock Exchange (BIST). Stock markets are significant for economies of countries all over the world. Investors get economical wealth or lose some of their investment by selling and buying stocks. Therefore, buying and selling times of stocks are so important. This paper investigates a well-known effect called as ‘Sell in May and Go Away’ by proposing a MIP approach that searches best times for buying and selling of stocks in a year. Furthermore, this paper includes a numerical example of XU030 stock prices for the past 5 years and shows that most of the XU030 stocks have seasonal anomalies.Keywords: First keyword, second keyword, third keyword, forth keyword.

scholarly journals When Politics is Quoted on the Stock Market. Case Study – Romania

2017 ◽  
Vol 22 (2) ◽  
pp. 124-133
Author(s):  
Diana Elena Vasiu
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Point Of View ◽  
Multiple Objective ◽  
Political Events ◽  
The Press

Abstract The stock markets are considered to be the most sensitive markets, the variation of the titles course being generated by multiple objective and subjective factors. When social or political events take place, the stock market is rising or falling, and the press takes over and disseminates this information. Starting from this context, we analyze the measure in which the Bucharest Stock Exchange (BSE) reacted at times agitated from a social and political point of view, in the last period.

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

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

Herd Behaviour: How Decisive is the Noise in the NSE and BSE Stock Markets?

2016 ◽  
Vol 6 (1) ◽  
Author(s):  
Paritosh Chandra Sinha
Keyword(s):  
Behavioral Finance ◽  
Stock Markets ◽  
High Frequency ◽  
Stock Exchange ◽  
Time Stamp ◽  
Trade Volume ◽  
Herding Behavior ◽  
Equilibrium Pricing ◽  
Indian Context ◽  
Herd Behaviour

Do investors in the stock markets act/react on true information or noise? Do they believe on their own information or simply herd? The study seeks to explore these typical research queries from the behavioral finance perspectives. In particular, it develops a new theory of herding behavior and extends the models of Banerjee (1992) and Bikhchandani, Hirshleifer, and Welch (1992). The study also empirically tests the same on the Indian context with the high frequency intraday trading data for the real trade-time or time-stamp, trade-volume, and trade-price of ten sample scripts listed for their trading in both markets - the Bombay Stock Exchange (BSE) and the National stock Exchange (NSE). The study contributes to the literature with original findings. It shows that investors in the two Indian stock markets show crowd of positive and negative herding as well significantly and there is huge noise along with information in the markets equilibrium pricing mechanism.

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