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Common Persistence in Conditional Variances
Bollerslev, Tim; Engle, Robert F. - 1994
-persistence to occur in the multivariate linear GARCH model are presented. These conditions parallel the conditions for linear co …
Persistent link: https://www.econbiz.de/10009475524
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Commodity futures and momentum trading: implications for behavioural finance
Calder, Dan; O'Grady, Thomas - 2009
The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre and Rallis (2007). This study identifies one...
Persistent link: https://www.econbiz.de/10009434769
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The low P/E effect and abnormal returns for Australian industrial firms
Kelly, Simone; McClean, Jenna; McNamara, Ray - 2008
While the low P/E effect has been examined rather extensively in international markets particularly in the US, there is a notable absence of Australian market-based P/E studies. This research examines the relationship between the investment performance of Australian Industrial common stock and...
Persistent link: https://www.econbiz.de/10009441755
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Price efficiency and speculative trading in cocoa futures markets
Nardella, Michele - 2007
distorting prices and exacerbating volatility. The smoking gun of theseallegations is the empirical observation that speculative … volatility) at the least for the NYBOT. This evidencesupports the hypothesis that successful speculators are reacting quicker …
Persistent link: https://www.econbiz.de/10009445112
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Scaling properties of financial time series
Schreier, David - 2007
This thesis will first criticize standard financial theory. The focus will be on return distributions, efficient market hypothesis and the independence of returns. Part two gives the intuition to look at markets in a different view. Namely the one proposed by B. Mandelbrot who has shown that...
Persistent link: https://www.econbiz.de/10009467109
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Evaluation of Baltic Stock Exchanges' Efficiency
Repečkaitė, Gerda - 2010
In this Master‘s Thesis the Baltic Stock Exchange’s (Lithuanian, Latvian and Estonian) efficiency is valued for the period of 2004-2009. This thesis aims to evaluate the reaction of Baltic stock exchange to quarterly financial statement announcements. To reach this aim the concept of market...
Persistent link: https://www.econbiz.de/10009478248
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Silpnos formos efektyvumo tyrimas Baltijos šalių akcijų rinkose
Meškauskaitė, Viltė - 2010
Tyrimo objektas – silpnos formos efektyvumas Baltijos šalių akcijų rinkose.Tyrimo tikslas – įvertinti silpnos formos efektyvumo pasireiškimą Baltijos šalių akcijų rinkose.Tyrimo uždaviniai:1. Atskleisti efektyvios rinkos hipotezės sampratą;2. Apibūdinti efektyvios rinkos formas...
Persistent link: https://www.econbiz.de/10009478700
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Superior investment returns : the role of value-based investment / R.A. Janse van Rensburg.
Janse Van Rensburg, Roedolf Arnoldus - 2009
The strong form of the efficient market hypothesis (EMH) puts forward that it is impossible to achieve better than market results. Yet there are very famous investors, particularly a famous value based investor named Warren Buffett that have achieved better than market returns. The primary...
Persistent link: https://www.econbiz.de/10009455929
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The efficient market hypothesis through the eyes of an artificial technical analyst
Timur Yusupov - 2007
The academic literature has been reluctant to accept technical analysis as a rational strategy of traders in financial markets. In practice traders and analysts heavily use technical analysis to make investment decisions. To resolve this incongruence the aim of this study is to translate...
Persistent link: https://www.econbiz.de/10009428999
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The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market
Worthington, Andrew C.; Higgs, Helen - 2004
conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … large number of significant innovation and volatility spillovers between the futures and spot markets indicates the presence … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …
Persistent link: https://www.econbiz.de/10009437450