An Investigation Into The Use Of Neural Networks For The Prediction Of The Stock Exchange Of Thailand,
2011
Edith Cowan University
An Investigation Into The Use Of Neural Networks For The Prediction Of The Stock Exchange Of Thailand, Suchira Chaigusin
Theses: Doctorates and Masters
Stock markets are affected by many interrelated factors such as economics and politics at both national and international levels. Predicting stock indices and determining the set of relevant factors for making accurate predictions are complicated tasks. Neural networks are one of the popular approaches used for research on stock market forecast. This study developed neural networks to predict the movement direction of the next trading day of the Stock Exchange of Thailand (SET) index. The SET has yet to be studied extensively and research focused on the SET will contribute to understanding its unique characteristics and will lead to identifying …
Developing A Culturally Responsive Classroom Collaborative Of Faculty, Students, And Institution,
2010
Johnson & Wales University - Providence
Developing A Culturally Responsive Classroom Collaborative Of Faculty, Students, And Institution, Paul J. Colbert
MBA Faculty Conference Papers & Journal Articles
Culture is integral to the learning process. It is the organization and way of life within the community of students and teachers and directs the way they communicate, interact, and approach teaching and learning. Although founded in particular values and principles, the academy, like most organizations, is impacted day-to-day by its culture. Yet, the traditional higher education institution has not been designed to operate within a racially or ethnically diverse student population. The social, political, economic, and cultural forces that support the institution influence the teaching and learning environments. To better address cultural diversity in the classroom, faculty must first …
The Initial And Aftermarket Performance Of Ipos In An Emerging Market : The Case Of Malaysian Stock Exchange.,
2010
Universiti Malaya
The Initial And Aftermarket Performance Of Ipos In An Emerging Market : The Case Of Malaysian Stock Exchange., Ricky Wong Baan Wahh
Student Works (2010-2019)
The study of initial public offering (IPO) underpricing and its post-listing underperformance has been one of those issues that are never laid to rest. The ongoing quest for the reasons behind IPO underpricing and its subsequent poor post-listing returns is what motivates this paper to study these anomalous market behaviours in an emerging market setting such as Malaysia. The primary purpose of this paper is to analyze the existence and magnitude of the underpricing phenomenon and post listing performance of IPOs listed in Bursa Malaysia from 1998 to 2008. Moreover, this study aims to provide an insight primarily into the …
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises,
2010
Singapore Management University
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Research Collection Lee Kong Chian School Of Business
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact finite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on devian information criterion …
Would Position Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010,
2010
Singapore Management University
Would Position Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh
Research Collection School Of Computing and Information Systems
On May 6, 2010, the US equity markets experienced a brief but highly unusual drop in prices across a number of stocks and indices. The Dow Jones Industrial Average (DJIA) fell by approximately 9% in a matter of minutes, and several stocks were traded down sharply before recovering a short time later. Earlier research by Lee, Cheng and Koh (2010) identified the conditions under which a “flash crash” can be triggered by systematic traders running highly similar trading strategies, especially when they are “crowding out” other liquidity providers in the market. The authors contend that the events of May 6, …
Do Foreign Institutions Improve Stock Liquity?,
2010
Singapore Management University
Do Foreign Institutions Improve Stock Liquity?, Chi Shen Wei
Research Collection Lee Kong Chian School Of Business
This paper examines whether capital flows by foreign institutions improve liquidity in domestic markets. I find that stocks with increased foreign institutional ownership subsequently experience higher liquidity. However, it is difficult to interpret this evidence as a causal relation because institutions tend to self-select into more liquid stocks. To solve this problem, I exploit the 2003 US dividend tax cut as a natural experiment. The results from a 2SLS (IV) regression confirm that liquidity improved more in dividend-paying stocks located in US tax-treaty countries compared to similar stocks located in non-treaty countries. These patterns are consistent with the notion that …
Conceptualizing Terrorist Violence And Suicide Bombing,
2010
Azerbaijan Diplomatic Academy
Conceptualizing Terrorist Violence And Suicide Bombing, Murad Ismayilov
Journal of Strategic Security
This article presents an analysis of different approaches to terrorist violence, with a particular focus on suicide terrorism, using the above mentioned levels of analysis as a conceptual framework to organize this study. In doing so, the article focuses primarily on four selected studies: Khashan's theory of collective Palestinian frustration operating at individual and structural levels; Pape's strategic theory of suicide terrorism, Devji's notion of global jihad, and Hammes' conceptualization of suicide terrorism as one of the strategies of Fourth Generation Warfare, all studied at a strategic level. Drawing on these analyses, as well as on Tilly, this article attempts …
Social Cohesion And Islamic Radicalization: Implications From The Uighur Insurgency,
2010
Georgia Tech
Social Cohesion And Islamic Radicalization: Implications From The Uighur Insurgency, Tong Zhao
Journal of Strategic Security
This article starts with a critical review of the current literature on the Islamic radicalization and Uighur insurgency in Xinjiang, pointing out that existing literature focuses too narrowly on certain aspects of the Uighur insurgency, and is insufficient to explain the causal mechanism of the insurgency and Islamic radicalization. Built upon historical evidence, this article uses sociological analysis to explore the structural changes in the Uighur community over the past decades, and demonstrates the importance and effectiveness of social cohesion theory in identifying the key causal variables which underlie and determine the course of Uighur insurgency and Islamic radicalization. The …
Understanding The Appeal Of The Taliban In Pakistan,
2010
National Counter Terrorism Authority of Pakistan
Understanding The Appeal Of The Taliban In Pakistan, Syed Manzar Abbas Zaidi
Journal of Strategic Security
This article briefly explores the economics of the "Talibanization" of Pakistan within descriptive and contextual paradigms, while attempting to find a best solution to counter rising militancy in the context of realities facing the population on the ground. One such solution is the National Pakistani Counter Terrorism and Extremism Strategy (NACTES), designed to curb Taliban financing in Pakistan. The strategy is being drafted by National Counter Terrorism Authority (NACTA), the nascent homeland security coordination body set up by the state as the primary public organ entrusted with counterterrorism, counter-extremism, and de-radicalization efforts of the state.
Eriksonian Identity Theory In Counterterrorism,
2010
University of South Florida
Eriksonian Identity Theory In Counterterrorism, Cally O'Brien
Journal of Strategic Security
Certain terrorists come from unexpected backgrounds. They give up comfortable lives and opportunities in order to wage jihad. Their existence has puzzled various theorists since they came to light. This article will explain how a theory of psychosocial identity formation created by Erik Erikson and his student James Marcia may explain this phenomenon. It will also explain how Erikson's theoretical legacy has contributed to current attempts at increasing moderation in the Middle East through education. Many of those attempts reflect ideas that are drawn from Eriksonian theory, although they are not typically described in Eriksonian terms. Meanwhile, while some theorists …
Political Terrorism: An Historical Case Study Of The Italian Red Brigades,
2010
U.S. Army
Political Terrorism: An Historical Case Study Of The Italian Red Brigades, Major Victor H. Sundquist
Journal of Strategic Security
As the world's governments become increasingly engulfed in economic and political strife, international leaders should step back and understand what historical realities enabled political extremism to surface in particular regions of the world. More important, these leaders need to recognize what past governments did to counter these movements. Global communities are currently witnessing a dynamic trend of populous uprisings that in some cases, like Greece and the United States, have the potential to severely disrupt the activities of local governments. Consequently, it behooves leaders to reflect upon historical precedence in order to avoid repeating the same mistakes of our forefathers. …
Book Reviews,
2010
Henley-Putnam University
Book Reviews, Edward M. Roche, John Coale, Keely M. Fahoum, Leland Erickson, Mark J. Roberts, Millard E. Moon, Ed.D., Colonel (Ret.)
Journal of Strategic Security
No abstract provided.
Cover & Front Matter,
2010
University of South Florida
Corporate Transparency, Private Information And Stock Price Synchronicity.,
2010
Universiti Malaya
Corporate Transparency, Private Information And Stock Price Synchronicity., Mohammed Sharaf Mohsen Shaiban
Student Works (2010-2019)
The issue of stock price synchronicity as a measure of stock price informativeness has recently attracted much research attention. Using cross-country data from 40 countries, this study investigates the relationship between corporate transparency (measured by reporting timeliness, financial analyst following and credibility of disclosures) and stock price synchronicity. In addition, this study investigates the moderating effects of reporting timeliness on the relationship between financial analyst and credibility of disclosures and stock price synchronicity. Specifically, it examines whether the relationship between financial analysts and disclosure credibility and stock price synchronicity is stronger or weaker given the range of timeliness of financial …
International Diversification With Factor Funds,
2010
Georgia Institute of Technology
International Diversification With Factor Funds, Cheol S. Eun, Sandy Lai, Frans A. De Roon, Zhe Zhang
Research Collection Lee Kong Chian School Of Business
We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor, adequately describe international stock returns, and by the direct link between investors’ portfolio choice problems and international asset pricing theories and tests. Using data from ten developed countries during the period 1981-2008, we show that the “augmented” optimal portfolio involving local factor funds substantially outperforms the “benchmark” optimal portfolio comprising country market indices only as measured by their portfolio Sharpe …
Investor Inattention And The Underreaction To Stock Recommendations,
2010
Singapore Management University
Investor Inattention And The Underreaction To Stock Recommendations, Roger Loh
Research Collection Lee Kong Chian School Of Business
Investors’ reaction to stock recommendations is often incomplete so that there is a predictable post-recommendation drift. I investigate investor inattention as a plausible explanation for this drift by using prior turnover as a proxy for attention. I find that low attention stocks react less to stock recommendations than high attention stocks around the three-day event window. Subsequently, the recommendation drift of firms with low attention is more than double in magnitude when compared to firms with high attention. Similar conclusions are reached with alternative proxies for attention. The evidence supports investor inattention as a source of the stock recommendation drift.
Investing Into The Abyss: The Continued Misclassification Of Multi-Sector Managed Funds,
2010
Monash University
Investing Into The Abyss: The Continued Misclassification Of Multi-Sector Managed Funds, John R Watson, N. Allen, Kok Fai Phoon, J. Wickramanayake
Research Collection Lee Kong Chian School Of Business
The objective of this paper is to assess whether Australian multi-sector managed funds are misclassified, and then, having found this to be the case, determine if this misclassification has any impact on fund performance. We adopt a strong form of returns based style analysis to investigate a monthly sample of Australian multi-sector funds over the five-year sample period 2003:04-2008:03. The evidence provided demonstrates that insufficient attention has been paid as to whether fund managers are able to keep within their tactical asset allocation ranges and presents that misclassification exist for Australian multi-sector managed funds but that the effect on fund …
Incorporating Economic Objectives Into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty,
2010
Singapore Management University
Incorporating Economic Objectives Into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty, Jun Tu, Guofu Zhou
Research Collection Lee Kong Chian School Of Business
This paper proposes a way to allow Bayesian priors to reflect the objectives of an economic problem. That is, we impose priors on the solution to the problem rather than on the primitive parameters whose implied priors can be backed out from the Euler equation. Using monthly returns on the Fama-French 25 size and book-to-market portfolios and their 3 factors from January 1965 to December 2004, we find that investment performances under the objective-based priors can be significantly different from those under alternative priors, with differences in terms of annual certainty-equivalent returns greater than 10% in many cases. In terms …
A Dynamic Model For The Forward Curve,
2010
Singapore Management University
A Dynamic Model For The Forward Curve, Choong Tze Chua, Foster Dean, Krishna Ramaswamy, Robert Stine
Research Collection Lee Kong Chian School Of Business
This article develops and estimates a dynamic arbitrage-free model of the current forward curve as the sum of (i) an unconditional component, (ii) a maturity-specific component and (iii) a date-specific component. The model combines features of the Preferred Habitat model, the Expectations Hypothesis (ET) and affine yield curve models; it permits a class of low-parameter, multiple state variable dynamic models for the forward curve. We show how to construct alternative parametric examples of the three components from a sum of exponential functions, verify that the resulting forward curves satisfy the Heath-Jarrow-Morton (HJM) conditions, and derive the risk-neutral dynamics for the …
Price Movers On The Stock Exchange Of Thailand: Evidence From A Fully Automated Order-Driven Market,
2010
Nanyang Technological University
Price Movers On The Stock Exchange Of Thailand: Evidence From A Fully Automated Order-Driven Market, Charlie Charoenwong, David K. Ding, Nattawut Jenwittayaroje
Research Collection Lee Kong Chian School Of Business
This study examines trade sizes used by informed traders. The selected sample includes 73 active stocks from the Stock Exchange of Thailand (SET), a pure limit order market, that cover two distinct market conditions of a bull and bear market. Using intraday data, the study finds that large sized trades (i.e., larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. This finding compares with the results of studies conducted on U.S. markets that show informed traders employ trade sizes falling between the 40th and 95th percentiles (Barclay and Warner 1993; Chakravarty …
