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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

This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...

Persistent link: https://www.econbiz.de/10011113081

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

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 Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...

Persistent link: https://www.econbiz.de/10011113811

Econometric analysis of present value models when the discount factor is near one

West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97

This paper develops asymptotic econometric theory to help understand data generated by a present value model with a … discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that … theory is quantitatively congruent with the modest departures from random walk behavior that are typically found and with …

Persistent link: https://www.econbiz.de/10010594955

Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model

Banerjee, Anurag N.; Chevillon, Guillaume; Kratz, Marie - ESSEC Business School - 2013

the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … theory to analyze ordinary least-squares (OLS) estimation. One important theoretical observation is that the estimator … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …

Persistent link: https://www.econbiz.de/10010699644

An ARCH model without intercept

Hafner, Christian M.; Preminger, Arie - In: Economics Letters 129 (2015) C, pp. 13-17

While theory of autoregressive conditional heteroskedasticity (ARCH) models is well understood for strictly stationary … without intercept, the paper derives asymptotic theory of the maximum likelihood estimator and proposes a test of the …

Persistent link: https://www.econbiz.de/10011263447

Financial bubbles and recent behaviour of the Latin American stock markets

Uribe, Jorge; Fernández, Julián - In: Lecturas de Economía (2014) 81, pp. 57-90

Financial bubbles and recent behaviour of the Latin American stock markets …

Persistent link: https://www.econbiz.de/10010797415

The Meiselman forward interest rate revision regression as an Affine Term Structure Model

Golinski, Adam; Spencer, Peter - Department of Economics and Related Studies, University … - 2012

We adapt the Meiselman (1962) OLS forward rate revision framework to obtain the discrete time analogue of the Heath, Jarrow and Morton (1992) specification and use it for estimating and testing term structure models. Our framework is based upon the Wold representation of the factor dynamics and...

Persistent link: https://www.econbiz.de/10011133567

Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach

Benlagha, Noureddine - In: Review of Economics & Finance 4 (2014) November, pp. 49-60

This paper investigates the behavior of volatility linkage between nominal and indexlinked bond returns using a multivariate BEKK-GARCH approach. Based on daily return data for French bonds with different maturity dates and different reference indices, our analysis reveals two empirical...

Persistent link: https://www.econbiz.de/10011096968

The Economics of Bitcoins - Market Characteristics and Price Jumps

Gronwald, Marc - CESifo - 2014

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10011099050