Asia-Pacific Financial Markets最新文献_第3页

CAGTRADE: Predicting Stock Market Price Movement with a CNN-Attention-GRU Model CAGTRADE：利用 CNN-Attention-GRU 模型预测股市价格走势

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-06-17 DOI: 10.1007/s10690-024-09463-w

Ibanga Kpereobong Friday, Sarada Prasanna Pati, Debahuti Mishra, Pradeep Kumar Mallick, Sachin Kumar

{"title":"CAGTRADE: Predicting Stock Market Price Movement with a CNN-Attention-GRU Model","authors":"Ibanga Kpereobong Friday, Sarada Prasanna Pati, Debahuti Mishra, Pradeep Kumar Mallick, Sachin Kumar","doi":"10.1007/s10690-024-09463-w","DOIUrl":"https://doi.org/10.1007/s10690-024-09463-w","url":null,"abstract":"Accurately predicting market direction is crucial for informed trading decisions to buy or sell stocks. This study proposes a deep learning based hybrid approach combining convolutional neural network (CNN), attention mechanism (AM), and gated recurrent unit (GRU) to predict short-term market trends (1 day, 3 days, 7 days, 10 days) across different stock indices (BSE, HSI, IXIC, NIFTY, N225, SSE). The architecture dynamically weights the input sequence with the AM model, captures local patterns through CNN and effectively models long-term dependencies with GRU thus aiming to accurately classify either \"buy\" or \"sell\" positions of stocks. The model is assessed using classification and financial evaluation metrics involving accuracy, precision, recall, f1-score, annualized returns, maximum drawdown, and return on investment. It outperforms benchmark models, and different technical indicators including average directional index, rate of change, moving average convergence divergence, and the buy-and-hold strategy, demonstrating its effectiveness in various market conditions. The proposed model achieves an average accuracy of 98% in predicting the 1 day-ahead direction, and an average accuracy of 88.53% across all prediction intervals. The model was also validated using the wilcoxon signed rank test that further supported its significance over the benchmark models. The CAG model presents a comprehensive and intuitive approach to stock market trend prediction, with potential applications in real-world asset decision-making.","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141507964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Inclusive or Fraudulent: Digital Inclusive Finance and Urban–Rural Income Gap 普惠还是欺诈？数字普惠金融与城乡收入差距

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-06-15 DOI: 10.1007/s10690-024-09472-9

Liang Zhang, Jian-kun Liu, Zi-hang Li, Jun-yan Yu, Chante Jian Ding

引用次数: 0

Loan Frauds in the Indian Banking Industry: A New Approach to Fraud Prevention Using Natural Language Processing (NLP) 印度银行业的贷款欺诈：利用自然语言处理 (NLP) 预防欺诈的新方法

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-06-12 DOI: 10.1007/s10690-024-09470-x

Smita Roy Trivedi, Dipali Krishnakumar, Richa Verma Bajaj

引用次数: 0

The Profitability and Arbitrage Efficiency of the Chicago Mercantile Exchange Nikkei 225 Futures 芝加哥商业交易所日经 225 期货的盈利能力和套利效率

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-06-05 DOI: 10.1007/s10690-024-09469-4

Jieye Qin

引用次数: 0

Financial Derivatives Usage and Firm Value in Turbulent Periods: Comparative Evidence from India during the COVID-19 Crisis 动荡时期的金融衍生品使用和公司价值：印度在 COVID-19 危机期间的比较证据

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-06-04 DOI: 10.1007/s10690-024-09457-8

S. M. R. K. Samarakoon, Rudra P. Pradhan, I. K. D. Gunathunga, Sasikanta Tripathy

{"title":"Financial Derivatives Usage and Firm Value in Turbulent Periods: Comparative Evidence from India during the COVID-19 Crisis","authors":"S. M. R. K. Samarakoon, Rudra P. Pradhan, I. K. D. Gunathunga, Sasikanta Tripathy","doi":"10.1007/s10690-024-09457-8","DOIUrl":"https://doi.org/10.1007/s10690-024-09457-8","url":null,"abstract":"This study delves into the ramifications of financial derivatives usage on the firm value among Indian non-financial firms, covering both the COVID-19 crisis period (2020–2021) and the preceding stable phase (2015–2019). This comparative analysis aims to discern how the strategic use of derivatives influences firm valuation across varying economic conditions. Analyzing 712 firm-year observations during the pandemic and extending to 1735 observations in the pre-COVID era, our findings reveal that while foreign exchange and interest rate derivatives consistently enhance firm value, the use of commodity derivatives exhibits a complex relationship with firm value, becoming notably negative during the pandemic. This suggests that derivatives’ effectiveness in risk management and value preservation is contingent upon both the type of derivative and the economic context. Our research underscores the critical role of derivatives in navigating financial uncertainties, offering nuanced insights that enrich our understanding of firm-level risk management strategies in both stable and turbulent times.","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141255747","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Performance Evaluation of Socially Responsible Funds Compared to Their Benchmark Index in India: Evidence from the Covid-19 Crisis 印度社会责任基金与其基准指数的绩效评估：来自 Covid-19 危机的证据

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-05-28 DOI: 10.1007/s10690-024-09460-z

Renu Jonwall, Seema Gupta, Shuchi Pahuja

{"title":"Performance Evaluation of Socially Responsible Funds Compared to Their Benchmark Index in India: Evidence from the Covid-19 Crisis","authors":"Renu Jonwall, Seema Gupta, Shuchi Pahuja","doi":"10.1007/s10690-024-09460-z","DOIUrl":"https://doi.org/10.1007/s10690-024-09460-z","url":null,"abstract":"This study aimed at differentiating the qualitative characteristics (Basic and Technical) of the Indian Socially Responsible (SR) funds. The study also compared the performance of SR funds with their benchmark indexes. The novelty of the current study is analyzing the impact of the market return and the Covid-19 outbreak on the returns of SR funds. The study used content analysis, independent t-test, and multiple linear regression analysis. The content analysis results highlighted that the majority of the SR funds adopt the Environmental, Social and Governance (ESG) integration approach, invest in large-cap, high-growth companies with good ESG score, and have an investment committee. The comparative analysis indicated that out of 14 SR funds, only four funds outperformed their benchmark index. The regression analysis showed that the selected four funds had a significant relationship with their respective benchmarks and a non-significant relationship with the Covid-19 outbreak. The current study contributes to SRI literature by identifying the differentiating characteristics of the Indian SR funds. It also contributes to the extant literature a comparative analysis, assessing the performance of the SR funds with their benchmark index. Further, determining the impact of the market return and the Covid-19 outbreak on the returns of SR fund is also a contributing factor of the present study. Findings are useful for individual investors, institutional investors and fund managers, as they can launch more SR funds on similar terms. Findings are useful for regulators and policymakers for framing new rules and regulations for boosting ESG adoption by the companies.","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":1.7,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141173356","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK 现货和期货指数价格之间的动态联系和时间关系：使用非线性 GARCH-BEKK 的印度经验证据

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-05-22 DOI: 10.1007/s10690-024-09464-9

Khalid Ul Islam, Umer Mushtaq Lone, Younis Ahmed Gulam, S. Bhat

引用次数: 0

Corporate Governance and Stock Price Crash Risk: Insights from an Emerging Market 公司治理与股价暴跌风险：来自新兴市场的启示

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-05-20 DOI: 10.1007/s10690-024-09467-6

Muhammad Shahid Rasheed, S. Kouser, Zhang Ling

引用次数: 0

Price Gap Anomaly: Empirical Study of Opening Price Gaps and Price Disparities in Chinese Stock Indices 价格差距异常：中国股票指数开盘价差距和价格差异的实证研究

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-05-17 DOI: 10.1007/s10690-024-09461-y

Y. Si, Saralees Nadarajah

引用次数: 0

Relation Between Digital Currencies and Other Financial Markets: A Non-Linear and Multivariate Analysis 数字货币与其他金融市场的关系：非线性和多元分析

IF 1.7

Asia-Pacific Financial Markets Pub Date : 2024-05-16 DOI: 10.1007/s10690-024-09466-7

Abhishek Sah, Biswajit Patra

引用次数: 0