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Available. Open Access. Open Access
Article
Publication date: 26 September 2023

Paravee Maneejuk, Binxiong Zou and Woraphon Yamaka

The primary objective of this study is to investigate whether the inclusion of convertible bond prices as important inputs into artificial neural networks can lead to improved…

863

Abstract

Purpose

The primary objective of this study is to investigate whether the inclusion of convertible bond prices as important inputs into artificial neural networks can lead to improved accuracy in predicting Chinese stock prices. This novel approach aims to uncover the latent potential inherent in convertible bond dynamics, ultimately resulting in enhanced precision when forecasting stock prices.

Design/methodology/approach

The authors employed two machine learning models, namely the backpropagation neural network (BPNN) model and the extreme learning machine neural networks (ELMNN) model, on empirical Chinese financial time series data.

Findings

The results showed that the convertible bond price had a strong predictive power for low-market-value stocks but not for high-market-value stocks. The BPNN algorithm performed better than the ELMNN algorithm in predicting stock prices using the convertible bond price as an input indicator for low-market-value stocks. In contrast, ELMNN showed a significant decrease in prediction accuracy when the convertible bond price was added.

Originality/value

This study represents the initial endeavor to integrate convertible bond data into both the BPNN model and the ELMNN model for the purpose of predicting Chinese stock prices.

Details

Asian Journal of Economics and Banking, vol. 7 no. 3
Type: Research Article
ISSN: 2615-9821

Keywords

Available. Open Access. Open Access
Article
Publication date: 8 November 2024

Kansuda Pankwaen, Woraphon Yamaka and Paravee Maneejuk

The primary purpose of this study is to explore the effects of demographic transition toward aging populations on the performance of stock market indices across various economic…

180

Abstract

Purpose

The primary purpose of this study is to explore the effects of demographic transition toward aging populations on the performance of stock market indices across various economic developments. The research aims to provide valuable insights into the life-cycle hypothesis on savings patterns, investment behavior and the potential reverberations on global financial markets.

Design/methodology/approach

The study adopts a comprehensive global perspective, scrutinizing the effects of aging populations on stock market indices across developed, developing and transitional economies through the panel data analysis. Using annual data spanning the period from 1991 to 2020, encompassing a sample of 10 countries from each economic development level, the study employs the panel autoregressive distributed lag (ARDL) model with fixed effect estimation.

Findings

The findings unveil a statistically significant positive impact of the elderly population proportion on global stock market indices. However, the magnitude and contours of this impact exhibit considerable heterogeneity across different country groups. Specifically, the study finds that while the aging population significantly influences stock market performance in developed nations, its effect is overshadowed by other economic factors, such as consumer price indices and interest rates, in developing countries and economies in transition.

Originality/value

The originality and value of this study lie in its comprehensive global perspective, which encompasses a diverse array of economies at varying developmental stages. The research contributes to an understanding of the effects of demographic transitions on stock market performance on a global scale. The insights derived from this study hold significant implications for policymakers, financial institutions and investors seeking to navigate the challenges and opportunities posed by aging societies in an increasingly interconnected global economy. Additionally, the findings highlight the need for specific strategies and policies that account for the unique economic characteristics and developmental stages of different nations.

Details

Asian Journal of Economics and Banking, vol. 8 no. 3
Type: Research Article
ISSN: 2615-9821

Keywords

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