China’s Monetary Policy Impacts on Money and Stock Markets

This study investigated the impact of China’s monetary policy on both the money market and stock markets,assuming that non-policy variables would not respond contemporaneously to changes in policy variables.Monetary policy adjustments are swiftly observed in money markets and gradually extend to the stock market.The study examined the effects of monetary policy shocks using three primary instruments:interest rate policy,reserve requirement ratio,and open market operations.Monthly data from 2007 to 2013 were analyzed using vector error correction(VEC)models.The findings suggest a likely presence of long-lasting and stable relationships among monetary policy,the money market,and stock markets.This research holds practical implications for Chinese policymakers,particularly in managing the challenges associated with fluctuation risks linked to high foreign exchange reserves,aiming to achieve autonomy in monetary policy and formulate effective monetary strategies to stimulate economic growth.

Survey of feature selection and extraction techniques for stock market prediction

In stock market forecasting,the identification of critical features that affect the performance of machine learning(ML)models is crucial to achieve accurate stock price predictions.Several review papers in the literature have focused on various ML,statistical,and deep learning-based methods used in stock market forecasting.However,no survey study has explored feature selection and extraction techniques for stock market forecasting.This survey presents a detailed analysis of 32 research works that use a combination of feature study and ML approaches in various stock market applications.We conduct a systematic search for articles in the Scopus and Web of Science databases for the years 2011–2022.We review a variety of feature selection and feature extraction approaches that have been successfully applied in the stock market analyses presented in the articles.We also describe the combination of feature analysis techniques and ML methods and evaluate their performance.Moreover,we present other survey articles,stock market input and output data,and analyses based on various factors.We find that correlation criteria,random forest,principal component analysis,and autoencoder are the most widely used feature selection and extraction techniques with the best prediction accuracy for various stock market applications.

The effect of overseas investors on local market efficiency:evidence from the Shanghai/Shenzhen–Hong Kong Stock Connect

Using a recent stock market liberalization reform policy in China—the Stock Connect—as a quasi-natural experiment,this study examines the effect of stock market liberalization on market efficiency.Employing a dataset of 17,086 Chinese listed firms covering 2009 to 2018,we find that stock market liberalization improves the market efficiency of the Chinese mainland stock market.We further explore the potential channels through which the Stock Connect can enhance the efficiency of the A-share(A-shares refer to shares issued by Chinese companies incorporated in China's Mainland,traded in the Shanghai Stock Exchange and the Shenzhen Stock Exchange.They are denominated in Chinese RMB(the local currency).A-shares were restricted to local Chinese investors before 2003,are open to foreign investors via the Qualified Foreign Institutional Investor,RMB Qualified Foreign Institutional Investor,or the Stock Connect programs.)market.The findings show that liberalizing capital markets could benefit local market efficiency by increasing stock price informational efficiency and improving corporate governance quality.The additional analysis shows that stock market liberalization has a significant and positive impact on local market efficiency,enhancing firm value and reducing stock crash risk.We conduct various robustness checks to corroborate our findings.This study provides important policy implications for emerging countries liberalizing capital markets for foreign investors.

Stock market prediction using deep learning algorithms

The Stock Market is one of the most active research areas,and predicting its nature is an epic necessity nowadays.Predicting the Stock Market is quite challenging,and it requires intensive study of the pattern of data.Specific statistical models and artificially intelligent algorithms are needed to meet this challenge and arrive at an appropriate solution.Various machine learning and deep learning algorithms can make a firm prediction with minimised error possibilities.The Artificial Neural Network(ANN)or Deep Feedforward Neural Network and the Convolutional Neural Network(CNN)are the two network models that have been used extensively to predict the stock market prices.The models have been used to predict upcoming days'data values from the last few days'data values.This process keeps on repeating recursively as long as the dataset is valid.An endeavour has been taken to optimise this prediction using deep learning,and it has given substantial results.The ANN model achieved an accuracy of 97.66%,whereas the CNN model achieved an accuracy of 98.92%.The CNN model used 2-D histograms generated out of the quantised dataset within a particular time frame,and prediction is made on that data.This approach has not been implemented earlier for the analysis of such datasets.As a case study,the model has been tested on the recent COVID-19 pandemic,which caused a sudden downfall of the stock market.The results obtained from this study was decent enough as it produced an accuracy of 91%.

Stock Market Index Prediction Using Machine Learning and Deep Learning Techniques

Stock market forecasting has drawn interest from both economists and computer scientists as a classic yet difficult topic.With the objective of constructing an effective prediction model,both linear and machine learning tools have been investigated for the past couple of decades.In recent years,recurrent neural networks(RNNs)have been observed to perform well on tasks involving sequence-based data in many research domains.With this motivation,we investigated the performance of long-short term memory(LSTM)and gated recurrent units(GRU)and their combination with the attention mechanism;LSTM+Attention,GRU+Attention,and LSTM+GRU+Attention.The methods were evaluated with stock data from three different stock indices:the KSE 100 index,the DSE 30 index,and the BSE Sensex.The results were compared to other machine learning models such as support vector regression,random forest,and k-nearest neighbor.The best results for the three datasets were obtained by the RNN-based models combined with the attention mechanism.The performances of the RNN and attention-based models are higher and would be more effective for applications in the business industry.

Stock Market Prediction Using Generative Adversarial Networks(GANs):Hybrid Intelligent Model

The key indication of a nation’s economic development and strength is the stock market.Inflation and economic expansion affect the volatility of the stock market.Given the multitude of factors,predicting stock prices is intrinsically challenging.Predicting the movement of stock price indexes is a difficult component of predicting financial time series.Accurately predicting the price movement of stocks can result in financial advantages for investors.Due to the complexity of stock market data,it is extremely challenging to create accurate forecasting models.Using machine learning and other algorithms to anticipate stock prices is an interesting area.The purpose of this article is to forecast stock market values to assist investors to make better informed and precise investing decisions.Statistics,Machine Learning(ML),Natural language processing(NLP),and sentiment analysis will be used to accomplish the study’s objectives.Using both qualitative and quantitative information,the study developed a hybrid model.The hybrid model has been handled with GANs.Based on the model’s predictions,a buy-or-sell trading strategy is offered.The conclusions of this study will assist investors in selecting the ideal choice while selling,holding,or buying shares.

A Survey on Stock Market Manipulation Detectors Using Artificial Intelligence

A well-managed financial market of stocks,commodities,derivatives,and bonds is crucial to a country’s economic growth.It provides confidence to investors,which encourages the inflow of cash to ensure good market liquidity.However,there will always be a group of traders that aims to manipulate market pricing to negatively influence stock values in their favor.These illegal trading activities are surely prohibited according to the rules and regulations of every country’s stockmarket.It is the role of regulators to detect and prevent any manipulation cases in order to provide a trading platform that is fair and efficient.However,the complexity of manipulation cases has increased significantly,coupled with high trading volumes,which makes the manual observations of such cases by human operators no longer feasible.As a result,many intelligent systems have been developed by researchers all over the world to automatically detect various types of manipulation cases.Therefore,this review paper aims to comprehensively discuss the state-of-theart methods that have been developed to detect and recognize stock market manipulation cases.It also provides a concise definition of manipulation taxonomy,including manipulation types and categories,as well as some of the output of early experimental research.In summary,this paper provides a thorough review of the automated methods for detecting stock market manipulation cases.

A Critical Review of the Effects of Stock Returns and Market Timing on Capital Structure

Capital structure is regarded as the combination of debt and equity firms used to finance operations and investments.The choice of capital structure significantly impacts a company’s cost of capital,profitability,and risk profile.Among a series of factors that affect capital structure,this paper focuses on stock returns and market timing.In this review,an array of papers is analyzed to summarize what current research claims regarding the influence of stock returns and market timing on capital structure.This paper centers on the stock return and market timing theories and also discusses other theories like the trade-off theory,the pecking order theory,and the signaling theory.

ST-Trader:A Spatial-Temporal Deep Neural Network for Modeling Stock Market Movement

Stocks that are fundamentally connected with each other tend to move together.Considering such common trends is believed to benefit stock movement forecasting tasks.However,such signals are not trivial to model because the connections among stocks are not physically presented and need to be estimated from volatile data.Motivated by this observation,we propose a framework that incorporates the inter-connection of firms to forecast stock prices.To effectively utilize a large set of fundamental features,we further design a novel pipeline.First,we use variational autoencoder(VAE)to reduce the dimension of stock fundamental information and then cluster stocks into a graph structure(fundamentally clustering).Second,a hybrid model of graph convolutional network and long-short term memory network(GCN-LSTM)with an adjacency graph matrix(learnt from VAE)is proposed for graph-structured stock market forecasting.Experiments on minute-level U.S.stock market data demonstrate that our model effectively captures both spatial and temporal signals and achieves superior improvement over baseline methods.The proposed model is promising for other applications in which there is a possible but hidden spatial dependency to improve time-series prediction.

Interdependence between the stock market and the bond market in one country:evidence from the subprime crisis and the European debt crisis

Background:Once a global financial crisis breaks out,the interdependence between different financial markets suddenly increases and leads to a significant contagion.Methods:With 39 countries used as samples,this paper analyzes the interdependence between the stock market and the government bond market during the crisis periods.Results:It proves that the investor focuses more on the safety of their portfolio so there is neither a flight from quality nor a positive spillover during a crisis period.When one market is safer than the other market in the same country,a flight to quality occurs between the two markets;however,when the two markets in one country are both risky,negative spillover appears between these two markets.Conclusions:This means a flight to quality from the stock market to the short-term government bond will occur more frequently than will occur from the stock market to the long-term government bond markets.In addition,a flight to quality always emerges in developed markets,while negative spillovers take place in emerging markets and in the PIIGS countries(Portugal,Italy,Ireland,Greece,and Spain,referred to hereon as“PIIGS”)in the European Debt Crisis.

Can the Baidu Index predict realized volatility in the Chinese stock market?

This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index.Furthermore,the predictability of the Baidu Index is found to rise as the forecasting horizon increases.We also find that continuous components enhance predictive power across all horizons,but that increases are only sustained in the short and medium terms,as the long-term impact on volatility is less persistent.Our findings should be expected to influence investors interested in constructing trading strategies based on realized volatility.

Predicting Stock Prices Using Polynomial Classifiers: The Case of Dubai Financial Market

Predicting stock price movements is a challenging task for academicians and practitioners. In particular, forecasting price movements in emerging markets seems to be more elusive because they are usually more volatile often accompa-nied by thin trading-volumes and they are susceptible to more manipulation compared to mature markets. Technical analysis of stocks and commodities has become a science on its own;quantitative methods and techniques have been applied by many practitioners to forecast price movements. Lagging and sometimes leading technical indicators pro-vide rich quantitative tools for traders and investors in their attempt to gain advantage when making investment or trading decisions. Artificial Neural Networks (ANN) have been used widely in predicting stock prices because of their capability in capturing the non-linearity that often exists in price movements. Recently, Polynomial Classifiers (PC) have been applied to various recognition and classification application and showed favorable results in terms of recog-nition rates and computational complexity as compared to ANN. In this paper, we present two prediction models for predicting securities’ prices. The first model was developed using back propagation feed forward neural networks. The second model was developed using polynomial classifiers (PC), as a first time application for PC to be used in stock prices prediction. The inputs to both models were identical, and both models were trained and tested on the same data. The study was conducted on Dubai Financial Market as an emerging market and applied to two of the market’s leading stocks. In general, both models achieved very good results in terms of mean absolute error percentage. Both models show an average error around 1.5% predicting the next day price, an average error of 2.5% when predicting second day price, and an average error of 4% when predicted the third day price.

Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Background:The purpose of this study is to examine volatility spillover effects between stock market and foreign exchange market in selected Asian countries;Pakistan,India,Sri Lanka,China,Hong Kong and Japan.This study considered daily data from 4th January,1999 to 1st January,2014.Methods:This study opted EGARCH(Exponential Generalized Auto Regressive Conditional Heteroskedasticity)model for the purpose of analyzing asymmetric volatility spillover effects between stock and foreign exchange market.Results:The EGARCH analyses reveal bidirectional asymmetric volatility spillover between stock market and foreign exchange market of Pakistan,China,Hong Kong and Sri Lanka.The results reveal unidirectional transmission of volatility from stock market to foreign exchange market of India.The analysis reveals no evidence of volatility transmission between the two markets in reference to Japan.Conclusions:The result of this study provide valuable insights to economic policy makers for financial stability perspective and to investors regarding decision making in international portfolio and currency risk strategies.

Stock Market Prediction Using Heat of Related Keywords on Micro Blog

Whether the stock market investors’ emotion can influence the stock market itself is one of the hot topic in financial research. In this paper, a method based on the heat of related keywords on Micro Blog is proposed, as Micro Blog is an ideal source for capturing public opinions towards certain topic. We choose Shanghai Composite index as the research object, through correlation analysis, Granger causality analysis, and support vector machine classification, the results have shown that the keywords heat on micro blog can make a short-time prediction of stock market, and the keyword which expresses negative emotion have more powerful prediction ability.

Investor sentiments and stock marketsduring the COVID-19 pandemic

This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effects, panel quantile regressions, apanel vector autoregression (PVAR) model, and country-specific regressions. We proxyfor negative and positive investor sentiments using the Google Search Volume Indexfor terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significantrelationships between positive and negative investor sentiments and stock marketreturns and volatility. Specifically, an increase in positive investor sentiment leads toan increase in stock returns while negative investor sentiment decreases stock returnsat lower quantiles. The effect of investor sentiment on volatility is consistent acrossthe distribution: negative sentiment increases volatility, whereas positive sentimentreduces volatility. These results are robust as they are corroborated by Granger causalitytests and a PVAR model. The findings may have portfolio implications as they indicatethat proxies for positive and negative investor sentiments seem to be good predictorsof stock returns and volatility during the pandemic.

An efficient stock market prediction model using hybrid feature reduction method based on variational autoencoders and recursive feature elimination

In this study,the hourly directions of eight banking stocks in Borsa Istanbul were predicted using linear-based,deep-learning(LSTM)and ensemble learning(Light-GBM)models.These models were trained with four different feature sets and their performances were evaluated in terms of accuracy and F-measure metrics.While the first experiments directly used the own stock features as the model inputs,the second experiments utilized reduced stock features through Variational AutoEncoders(VAE).In the last experiments,in order to grasp the effects of the other banking stocks on individual stock performance,the features belonging to other stocks were also given as inputs to our models.While combining other stock features was done for both own(named as allstock_own)and VAE-reduced(named as allstock_VAE)stock features,the expanded dimensions of the feature sets were reduced by Recursive Feature Elimination.As the highest success rate increased up to 0.685 with allstock_own and LSTM with attention model,the combination of allstock_VAE and LSTM with the attention model obtained an accuracy rate of 0.675.Although the classification results achieved with both feature types was close,allstock_VAE achieved these results using nearly 16.67%less features compared to allstock_own.When all experimental results were examined,it was found out that the models trained with allstock_own and allstock_VAE achieved higher accuracy rates than those using individual stock features.It was also concluded that the results obtained with the VAE-reduced stock features were similar to those obtained by own stock features.

Short-term and long-term Interconnectedness of stock returns in Western Europe and the global market

Background:The present study examines the short term dynamics and long term equilibrium relationship among the stock markets of 17 countries in Western Europe as well as the world market,using time series techniques.Methods:Weekly returns of market benchmark indices of the respective countries are used from the second week of 1995 to the fourth week of December 2013.Results:The study finds that the market returns of Austria,Belgium,the Netherlands,and France are relatively less dynamically interlinked as compared with Britain,Denmark,Finland,Germany,Portugal,Spain,Sweden,Switzerland,Greece,Ireland,Luxembourg,and Norway,which are quite dynamically interlinked within the region as well as with the MSCI world index.Conclusion:There exists a strong long run equilibrium relationship between the return distributions of the stock markets within the region.

Dynamic connectedness between stock markets in the presence of the COVID‑19 pandemic:does economic policy uncertainty matter?

This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,the US,and the UK)by implementing the time-varying VAR(TVP-VAR)model for daily data over the period spanning from 01/01/2015 to 05/18/2020.Results showed that stock markets were highly connected during the entire period,but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020.Moreover,we found that the European stock markets(except Italy)transmitted more spillovers to all other stock markets than they received,primarily during the COVID-19 outbreak.Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns.Also,findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset,indicating that information spillovers from a given market may signal either good or bad news for other markets,depending on the prevailing economic situation.These results have important implications for individual investors,portfolio managers,policymakers,investment banks,and central banks.

General election effect on the network topology of Pakistan’s stock market: network-based study of a political event

To examine the interdependency and evolution of Pakistan’s stock market,we consider the cross-correlation coefficients of daily stock returns belonging to the blue chip Karachi stock exchange(KSE-100)index.Using the minimum spanning tree network-based method,we extend the financial network literature by examining the topological properties of the network and generating six minimum spanning tree networks around three general elections in Pakistan.Our results reveal a star-like structure after the general elections of 2018 and before those in 2008,and a tree-like structure otherwise.We also highlight key nodes,the presence of different clusters,and compare the differences between the three elections.Additionally,the sectorial centrality measures reveal economic expansion in three industrial sectors—cement,oil and gas,and fertilizers.Moreover,a strong overall intermediary role of the fertilizer sector is observed.The results indicate a structural change in the stock market network due to general elections.Consequently,through this analysis,policy makers can focus on monitoring key nodes around general elections to estimate stock market stability,while local and international investors can form optimal diversification strategies.

Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market

This study examines herding behavior in the Pakistani Stock Market under different market conditions,focusing on the Ramadan effect and Crisis period by using data from 2004 to 2014.Two regression models of Christie and Huang(Financ Analysts J 51:31-37,1995)and Chang et al.,(J Bank Finance 24:1651-1679,2000)are used for herding estimations.Results based on daily stock data reveal that there is an absence of herding behavior during rising(up)and falling(down)market as well as during high and low volatility in market.While herding behavior is detected during low trading volume days.Yearly analysis shows that herding existed during 2005,2006 and 2007,while it is not evident during rest of the period.However,herding behavior is not detected during Ramadan.Furthermore,during financial crisis of 2007-08,Pakistani Stock Market exhibits herding behavior due to higher uncertainty and information asymmetry.