Search Results - subject:"weak form"

Tests for weak form market efficiency in stock prices: Monte Carlo evidence

Khaled, Mohammed S; Keef, Stephen P - School of Economics and Finance, Victoria Business School - 2011

Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the implication of these test results when they seem to disagree. We distinguish...

Persistent link: https://www.econbiz.de/10009647773

Analyzing Fixed-event Forecast Revisions

Franses, Philip Hans; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2011

one-period lagged revisions. Under weak-form efficiency, the correlation between the current and one-period lagged …

Persistent link: https://www.econbiz.de/10010732588

The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets

Dritsaki, Chaido - In: Romanian Economic Journal 14 (2011) 40, pp. 25-56

weak form. By employing cointegration and causality tests, we investigate the long-run and short-run relationships among …

Persistent link: https://www.econbiz.de/10009189905

Hurst's exponent behaviour, weak-form stock market efficiency and financial liberalization: the Tunisian case

Aloui, Chaker; Hela, Ben hamida - In: Economics Bulletin 31 (2011) 1, pp. 830-843

In this paper, we test the weak-form stock market efficiency for the Tunisian stock market (TSE). Our empirical …

Persistent link: https://www.econbiz.de/10008867367

Analyzing Fixed-event Forecast Revisions

Franses, Philip Hans; Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011

one-period lagged revisions. Under weak-form efficiency, the correlation between the current and one-period lagged …

Persistent link: https://www.econbiz.de/10009141354

Analyzing Fixed-event Forecast Revisions

McAleer, Michael; Franses, Philip Hans; Chang, Chia-Lin - Institute of Economic Research, Kyoto University - 2011

one-period lagged revisions. Under weak-form efficiency, the correlation between the current and one-period lagged …

Persistent link: https://www.econbiz.de/10009141596

Exploring efficiency, co-integration, causality and volatility clustering in unrestricted and Islamic portfolios

Shaikh, Salman Ahmed; Muhammad Hakimi Mohd. Shafiai; … - In: Islamic capital markets : volatility, performance and …, (pp. 101-122). 2016

Persistent link: https://www.econbiz.de/10011533476

Testing weak form efficiency on the capital markets in Serbia

Kršikapa-Rašajski, Jovana; Rankov, Siniša G. - In: Megatrend revija 13 (2016) 1, pp. 265-277

Persistent link: https://www.econbiz.de/10011540924

MENA stock market volatility persistence : evidence before and after the financial crisis of 2008

Assaf, Ata - In: Research in international business and finance 36 (2016), pp. 222-240

Persistent link: https://www.econbiz.de/10011594406

An empirical analysis of behaviour of stock market indices : evidences from selected developed and developing countries

Bajaj, Sushil; Sethi, Naman - In: Paradigm : the journal of Institute of Management Technology 20 (2016) 2, pp. 216-235

Persistent link: https://www.econbiz.de/10011803846