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Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 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/10011113081
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Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2013
Indian stock market using daily values of Sensex and Nifty, the two major indices of India from January 1991 to April 2013 …
Persistent link: https://www.econbiz.de/10011113613
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Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index.
Akber, Ushna; Muhammad, Nabeel - Volkswirtschaftliche Fakultät, … - 2013
Parametric tests (Auto-correlation test, Box-Pierce (Q) statistic test, Ljung and Box (Q) Statistic test, Augmented Dickey …
Persistent link: https://www.econbiz.de/10011108398
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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
returns. This implies violation of efficient market hypothesis in India. The endogenously searched significant structural …
Persistent link: https://www.econbiz.de/10011113266
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Structural Breaks and Testing for the Random Walk Hypothesis in International Stock Prices
Chancharat, Surachai; Valadkhani, Abbas - Volkswirtschaftliche Fakultät, … - 2007
This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...
Persistent link: https://www.econbiz.de/10011107635
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay …
Persistent link: https://www.econbiz.de/10011113811
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The Structural Relationship Between Current and Capital Account Balance in India : A Time Series Analysis
Chakraborty, Debashis; Mukherjee, Jaydeep; Sinha, Tanaya - 2010
aftermath of the Southeast Asian crisis, the limitation of the liberal capital regime for a developing country like India is … often highlighted in the literature. However, the probable impact of introducing KAC on CAB in India generally is discussed … theoretically. Though some of the existing studies in India have earlier focused on this research question, they have done so by …
Persistent link: https://www.econbiz.de/10014194754
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Business Cycle Synchronisation in EU : A Time-Varying Approach
Degiannakis, Stavros Antonios - 2018
This paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2012. The paper provides evidence that changes in the business cycle...
Persistent link: https://www.econbiz.de/10012910120
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‘Williamson's Fallacy’ in Estimation of Inter-Regional Inequality
Gluschenko, Konstantin - 2017
When estimating regional inequality, many economists use inequality indices weighted by the regions' shares in the national population. Although this approach is widespread, its adequacy has not received attention in the regional science literature. This paper proves that such approach is...
Persistent link: https://www.econbiz.de/10012943787
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Modelling and forecasting the volatility of the portuguese stock index PSI-20
Caiado, Jorge - Volkswirtschaftliche Fakultät, … - 2004
Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …
Persistent link: https://www.econbiz.de/10005790340