Showing 1 - 10 of 58
Land is a key factor for any economic activity. Land market transactions play an important role in the process of economic transformation and development. Conventionally land is considered as a factor of production. However, it is increasingly becoming a speculative asset. It is in this context...
Persistent link: https://www.econbiz.de/10008577631
In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether the Stock Exchange of Thailand is an efficient market. Using monthly market index during January 1987 and December 2006, the variance-ratio test shows that the market index follows a random walk process, and...
Persistent link: https://www.econbiz.de/10011107495
This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities rather than the daily price movements. We demonstrate that the effects of short selling activity changes during the two sessions of the day and...
Persistent link: https://www.econbiz.de/10011107632
This paper examines the impact of international soccer matches on the Turkish stock market using firm level and sorted portfolio data, i.e. microeconomic evidence. Applying the Edmans et al. (2007) estimation method, we find a significant negative loss effect. However, once using panel data...
Persistent link: https://www.econbiz.de/10011108621
The paper investigates the issue of behaviour of stock returns in India. A non-parametric variance ratio test is used to examine the issue. Largely the results indicate non-random walk behaviour of Indian stock market. However, the sub-sample analysis of stock returns based on structural breaks...
Persistent link: https://www.econbiz.de/10011108985
The ultimate objective of the present paper is to empirically investigate the effectiveness of competition policy in developed and developing countries. Although its importance is continuously increasing, the effectiveness of competition policy still seems to lack the attention that it would...
Persistent link: https://www.econbiz.de/10011109090
There has been tremendous growth in interest rate futures markets since their beginning in 1975, both in terms of trading volume and the proliferation of new types of contracts. This paper focuses on the Treasury bill futures market and uses a descriptive statistic which was devised by Holbrook...
Persistent link: https://www.econbiz.de/10011110168
This article is a supplement to previously published paper [1]. It represents a theoretical example that demonstrates a strategy based on exploiting of found market inefficiency. It is fundamental. Thus, what markets without this inefficiency should be is an open question. It is connected to...
Persistent link: https://www.econbiz.de/10011110254
As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio...
Persistent link: https://www.econbiz.de/10011110273
We propose that owing to limited investor attention and skepticism of complexity, firms with greater innovative originality (IO) will be undervalued, especially for firms with higher valuation uncertainty, lower attention, and greater sensitivity of future profitability to IO. We find that IO...
Persistent link: https://www.econbiz.de/10011111668