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Long-Term Prior Return Patterns in Stock Returns : Evidence from Emerging Markets
Sehgal, Sanjay - 2013
In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South … momentum behavior, India, China and South Korea exhibit contrarian patterns for long-term prior return (24-60 months) as well … doesn't explain abnormal returns on these trading strategies for India and South Korea. It works well for other markets only …
Persistent link: https://www.econbiz.de/10013090123
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Prior Return Effect in Indian Stock Market : An Intra-Day Analysis
Tripathi, Vanita - 2015
In a first of this kind, this paper examines the issue of prior return effect in Indian stock market in intra-day analysis using high frequency data. We document that in Indian stock market, security returns exhibit a reversal in their direction within few minutes of extreme price rises as well...
Persistent link: https://www.econbiz.de/10013022465
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Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets : Evidence from India
Hiremath, Gourishankar S. - 2014
behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically …
Persistent link: https://www.econbiz.de/10013047873
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Speculative Trading and Stock Returns
Pan, Li - 2014
Making use of the excessively speculative Chinese stock market, we test the effect of speculative trading on stock returns. We find a significantly negative relationship between abnormal turnover and future returns. In contrast, past average turnover does not predict returns. The effect of...
Persistent link: https://www.econbiz.de/10013052812
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Rational Speculative Bubbles : Evidence from Asian Stock Markets
Szulczyk, Kenneth - 2019
We scrutinize China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, South Korea, Taiwan, and Thailand for the presence of rational bubbles by employing several tests on a large dataset that includes three bubble episodes. We also convert most tests into recursive to overcome structural...
Persistent link: https://www.econbiz.de/10012900323
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High and low frequency correlations in global equity markets
Engle, Robert F.; Rangel, José Gonzalo - 2009
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008. These two types of variations are modeled following the semi-parametric Factor-Spline-GARCH...
Persistent link: https://www.econbiz.de/10003909596
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High and Low Frequency Correlations in Global Equity Markets
Engle, Robert F. - 2011
We model high and low frequency variation in global equity correlations using a sample of 43 countries, including developed and emerging markets during the period 1995-2008. Such variations are characterized by a multifactor asset pricing structure with second-moments dynamics leading to high...
Persistent link: https://www.econbiz.de/10013130349
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Expected Returns and Volatility of Fama-French Factors
Chabi-Yo, Fousseni - 2010
In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the time-series variation in post-1990 aggregate stock market returns. This predictability is particularly...
Persistent link: https://www.econbiz.de/10013150662
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Volatility in Equilibrium : Asymmetries and Dynamic Dependencies
Bollerslev, Tim - 2010
Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...
Persistent link: https://www.econbiz.de/10013144799
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Volatility in Equilibrium : Asymmetries and Dynamic Dependencies
Bollerslev, Tim; Tauchen, George; Sizova, Natalia - 2010
Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...
Persistent link: https://www.econbiz.de/10014190565