Sökning: "Asian Stock Markets"

Visar resultat 1 - 5 av 14 uppsatser innehållade orden Asian Stock Markets.

  1. 1. A Non-linear Analysis of Cointegration in South-East Asian Equity Markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Massimiliano Severi; [2021]
    Nyckelord :Cointegration; South-East Asian stock markets; Time series comovements; Markov-switching models; Regime-shifting models;

    Sammanfattning : This paper investigates the presence of cointegration among the main stock markets in South-East Asia, namely those of Hong Kong, Singapore, Malaysia and Thailand. Part 1 of the thesis studies the relationship using Markov-switching models, while Part 2 uses regime-shifting models with one structural break. LÄS MER

  3. 2. Predicting the Movement Direction of OMXS30 Stock Index Using XGBoost and Sentiment Analysis

    Kandidat-uppsats, Blekinge Tekniska Högskola/Institutionen för datavetenskap

    Författare :Podasca Elena; [2021]
    Nyckelord :Machine learning; XGBoost; Sentiment analysis; Stock market prediction; OMXS30;

    Sammanfattning : Background. Stock market prediction is an active yet challenging research area. A lot of effort has been put in by both academia and practitioners to produce accurate stock market predictions models, in the attempt to maximize investment objectives. Tree-based ensemble machine learning methods such as XGBoost have proven successful in practice. LÄS MER

  4. 3. A Comparative Risk Analysis of Bangladesh in the SAARC Region: A Study of Value at Risk

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Md Tazul Islam; [2015]
    Nyckelord :Value at Risk VaR ; Incremental Value at Risk IVaR ; Components Value at Risk CVaR ; Bangladesh; DSE; SAARC; Business and Economics;

    Sammanfattning : The aim of this study is to find out how much more risky the stock market of Bangladesh is compared to the other South Asian Association of Regional cooperation (SAARC) countries and investigate the role of it in this region from risk perspective. Bangladesh is one of the potential markets for investment among the eight countries of SAARC. LÄS MER

  5. 4. A Study of a Relationship Between The U.S. Stock Market and Emerging Stock Markets in Southeast Asia

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Författare :Tanyatorn Suppakittiwong; Sornsita Aimprasittichai; [2015]
    Nyckelord :Stock Market Integration; Structural Break; The Subprime Crisis; Diversification; Co-Movement; Gregory and Hansen Cointegration Test; Error Correction Model ECM ;

    Sammanfattning : Resulting from the deregulation and prosperity of the economic and financial sectors in Asia during 1980s, a significant increase in cross-bordered financial transactions ultimately accelerated the region of Southeast Asia to be on a process of financial integration and consequently diminished opportunities for portfolio diversification. Financial Integration is a multidimensional process through which allocation of financial assets becomes lastly borderless. LÄS MER

  7. 5. The effects of macroeconomic variables on Asian stock market volatility: A GARCH MIDAS approach

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Duc Hong Hoang; [2015]
    Nyckelord :China; South Korea; Japan; volatility; GARCH MIDAS; inflation; industrial production; oil price shocks; Business and Economics;

    Sammanfattning : This paper aims to investigate the effects of macroeconomic variables on stock market volatility in three Asian countries by applying GARCH MIDAS model. The study covers the period from 01/2003 to 06/2014. The GARCH MIDAS framework allows to incorporate macro variables directly in the model and obtain long-term and short-term volatility separately. LÄS MER