Updating world stock market indices
Further, investment returns are enhanced by the adoption of the threshold trading rules. LEUNG is Assistant Professor of Management Science at the University of Texas.He received his BSc and MBA degrees from the University of California, and Master of Business and Ph D in operations management from Indiana University.To facilitate more effective trading, we develop a set of threshold trading rules driven by the probabilities estimated by the classification models.
Despite abundant research which focuses on estimating the level of return on stock market index, there is a lack of studies examining the predictability of the direction/sign of stock index movement.
Given the notion that a prediction with little forecast error does not necessarily translate into capital gain, we evaluate the efficacy of several multivariate classification techniques relative to a group of level estimation approaches.
His research interests include volatility of asset prices, international finance, and financial econometrics. An-Sing CHEN is Professor of Finance at National Chung Cheng University, Taiwan.
Dr Chen received his BSc in business from Kent State University, MBA in finance and Ph D in Business Economics from Indiana University.
Hong Kong stocks retreated from a 10-year peak on Wednesday as investors took profit from a rally in tech stocks although the red-hot debut by digital publisher China Literature kept sentiment in the wider market buoyant.
Japan's Topix index hit a near 11-year high on Wednesday as foreign investors continued to pile in on strong earnings hopes for Japan Inc., though the Nikkei edged down from a near 26-year high on profit-taking.
Specifically, we conduct time series comparisons between the two types of models on the basis of forecast performance and investment return.
The tested classification models, which predict direction based on probability, include linear discriminant analysis, logit, probit, and probabilistic neural network.
The DJSI family contains one main global index, the DJSI World, and various indexes based on geographic regions such as: Europe, Nordic, North America and Asia Pacific.
The DJSI also contains industry-specific indexes called "blue chip indexes".
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