The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

Bing, Tao; Hu, Fei; Ma, Hongkun

doi:10.1155/2021/6541902

Cited by 2 publications

(1 citation statement)

References 48 publications

(48 reference statements)

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“…This in-depth examination aims to enrich our conceptual grasp of the intricacies inherent in these markets, thereby contributing to the broader discourse on financial economics. This research investigates the intricate relationship between foreign investment flows and market volatility, which warrants extensive investigation (Bing et al, 2021). Exploring this interrelation uncovers a complex, intertwined pattern, as each aspect significantly influences the other (Gazioglu, 2008).…”

Section: Introductionmentioning

confidence: 99%

Analysis of the Relationship Between Cross Capital Flows and Stock Exchange Index with Machine Learning

Akusta

2024

Abant Sosyal Bilimler Dergisi

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This paper investigates forecasting the BIST100 stock index using cross-capital flow analysis. It employs feature engineering and the Orthogonal Matching Pursuit (OMP) model to navigate the intricacies of financial time series prediction. The study meticulously selects features such as lagged values, moving averages, and volatility metrics, normalized to ensure unbiased model impact. The OMP model is carefully optimized to handle the dimensionality of financial data, avoiding overfitting through a sparsity constraint. This approach yields an R-squared score of 0.88, indicating a solid capability to capture index variance. Visual comparisons between actual and predicted values further validate the model's accuracy. The paper highlights the importance of methodological precision in developing models capable of discerning complex patterns, offering valuable insights for investment strategies. Implications of the study show that cross-capital movements and macroeconomic variables are a good fit with ML to predict the Stock Market despite the complexity of financial markets.

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Section: Introductionmentioning

confidence: 99%

Analysis of the Relationship Between Cross Capital Flows and Stock Exchange Index with Machine Learning

Akusta

2024

Abant Sosyal Bilimler Dergisi

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Islamic vs. Conventional Equity Markets: A Multifractal Cross-Correlation Analysis with Economic Policy Uncertainty

et al. 2023

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There is ample evidence that Islamic stock markets perform differently from conventional stock markets, particularly when economic policy uncertainty (EPU) or any other uncertainty such as geopolitical uncertainty is present. Considering this context, this paper examines the US EPU’s cross-correlation with both conventional and Islamic stock markets from the perspective of multifractality. Daily stock market prices of five main countries are considered: US, Thailand, Indonesia, Pakistan, and India. Using the multifractal detrended cross-correlation analysis (MF-DCCA), we validate the existence of long-range cross-correlation between US EPU and all the stock markets considered, demonstrating that all pairs of US EPU have strong power law and multifractal characteristics. Furthermore, all pairs display varying levels of multifractal strength, with the US EPU and US conventional stock market exhibiting the strongest multifractal patterns. Additionally, a cross-correlation between US EPU and the different stock markets is found to be persistent. The results of this study are pertinent to the various market participants in both conventional and Islamic markets, particularly investors, who may be able to draw useful conclusions from them for purposes such as portfolio diversification.

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The Cross-Correlations between Foreign Flows in Chinese A-Share Markets and Uncertainties in Home Markets

Cited by 2 publications

References 48 publications

Analysis of the Relationship Between Cross Capital Flows and Stock Exchange Index with Machine Learning

Analysis of the Relationship Between Cross Capital Flows and Stock Exchange Index with Machine Learning

Islamic vs. Conventional Equity Markets: A Multifractal Cross-Correlation Analysis with Economic Policy Uncertainty

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