Managerial Finance: Volume 26 Issue 12

Rate of Return of Stock Index and the NAFTA Process: An Analysis of North America and ASEAN Financial Markets

Amitava Chatterjee, Amlan Mitra

This study analyzes the effect of the North American Free Trade Agreement (NAFTA) process on two major segments of the world economy. Specifically, daily stock index returns in…

Granger Causality Tests of Stock Returns: The US and Japanese Stock Markets

Marios Mavrides

This article uses Granger‐causality tests to study the dynamic relationship between stock returns and dividend yields in the American and Japanese equity markets. The “signaling”…

Reliability in Income Numbers for Investment Decision: The Case of the Istanbul Stock Market

Musa Al‐Darayseh, Inam Hussain, Elaine Waples

This paper uses annual accounting data to show that the frequency of occurrence of the first and second digits contained in the income numbers of companies, listed in the Istanbul…

Artificial Neural Network and the Financial Markets: A Survey

Amitava Chatterjee, O.Felix Ayadi, Bryan E. Boone

This study describes the structure and function of a new financial modeling technique, namely, the Artificial Neutral Network (ANN) in predicting financial markets’ behavior. With…

An Autoregressive Heteroskedastic in the Mean (ARCH‐M) Analysis of International Stock Market Indexes

Dimitrios Tsoukalas

This study examines predicability and volatility in three major stock markets, (the US, UK, and Japan) using the Vector Autoregressive Approach and the Multivariate Autoregressive…