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Efficiency across Time: Evidence from the Nigerian Stock Exchange
Emenike, Kalu O. - Volkswirtschaftliche Fakultät, … - 2008
This paper examines the Weak-Form Efficient Market Hypothesis across time for the Nigerian Stock Exchange (NSE) by … hypothesizing Normal Distribution and Random walk in periodic return series. Monthly all share indices of the NSE are examined for … using the non-parametric Runs test. Results of the Normality tests show that returns from NSE do not follow normal …
Persistent link: https://www.econbiz.de/10008560049
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Modelling Stock Returns Volatility In Nigeria Using GARCH Models
Emenike, Kalu O. - Volkswirtschaftliche Fakultät, … - 2010
emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important … assuming the Generalized Error Distribution (GED). Monthly All Share Indices of the NSE from January 1999, to December 2008 … GARCH (1,1) model indicate evidence of volatility clustering in the NSE return series. Also, the results of the GJR-GARCH (1 …
Persistent link: https://www.econbiz.de/10008568630
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Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2012
, internet bubble burst, sub-prime crisis, global economic meltdown and political uncertainties. Rejection of random walk is …
Persistent link: https://www.econbiz.de/10011108985
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Long Memory in Stock Market Volatility:Evidence from India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
from both National Stock Exchange (NSE) and Bombay Stock Exchange (BSE) are used. The results of the study confirm presence …
Persistent link: https://www.econbiz.de/10011112536
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Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2011
The paper examines the long memory in stock returns of emerging markets. Unlike earlier studies, present study carries out a biased reduced semi-parametric test to detect long memory in mean process and uses diverse and updated data set. The test results finds no strong evidence of long memory...
Persistent link: https://www.econbiz.de/10011112752
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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...
Persistent link: https://www.econbiz.de/10011113266
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Some Further Evidence on the Behaviour of Stock Returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
Bombay Stock Exchange (BSE) and the National Stock Exchange (NSE), and relates to the period 02/06/1997 to 30/01/2009. The …
Persistent link: https://www.econbiz.de/10011113622
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during …
Persistent link: https://www.econbiz.de/10011113811
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Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options
Saurabha, Rritu; Tiwari, Manvendra - Volkswirtschaftliche Fakultät, … - 2007
The most popular model for pricing options, both in financial literature as well as in practice has been the Black-Scholes model. In spite of its wide spread use the model appears to be deficient in pricing deep in the money and deep out of the money options using statistical estimates of...
Persistent link: https://www.econbiz.de/10005790034
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Does Corporate Governance Effects Firm Performance in Case of Pakistani Market
Javid, Attiya Yasmin; Iqbal, Robina - Volkswirtschaftliche Fakultät, … - 2008
total Corporate Governance Index (CGI) and three sub-indices: board composition, shareholdings and ownership and disclosures … practices can not be covered with transparent disclosures and transparency standards. …
Persistent link: https://www.econbiz.de/10011257835