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Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market Hypothesis
Berneburg, Marian - 2004
The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is shown that a random walk in European equity...
Persistent link: https://www.econbiz.de/10010263473
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Can we make money with fifth-order autocorrelation in Japanese stock prices?
Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005
We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals … jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …
Persistent link: https://www.econbiz.de/10010332467
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The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study
Eberts, Elke - 2003
run. Thus, the estimation period shows that with increasing forecasting horizon predictability of simple real returns of …
Persistent link: https://www.econbiz.de/10010297288
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Comportamiento de los precios de las acciones en el mercado bursátil argentino (Un estudio comparativo )
Delfiner, Miguel T. - 2002
Se estudió el comportamiento de los activos del mercado argentino en relación al mercado estadounidense (probablemente el más desarrollado del mundo en cuanto a legislación, volumen y liquidez). Se llega a la conclusión de que los retornos de los activos no se distribuyen normamente. Para...
Persistent link: https://www.econbiz.de/10010323188
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011
This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...
Persistent link: https://www.econbiz.de/10010330249
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Why Are Asset Returns Predictable?
Lüders, Erik - 2002
assumptions needed for empirical estimation. …
Persistent link: https://www.econbiz.de/10010297953
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Interdependence between foreign exchange markets and stock markets in selected European countries
Islami, Mevlud - 2008
In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland,...
Persistent link: https://www.econbiz.de/10010291121
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A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications
Fischer, Christoph; Porath, Daniel - 2006
Panel unit root tests of real exchange rates - as opposed to univariate tests - usually reject non-stationarity. These tests, however, could be biased if the real exchange rate contained MA roots. Indeed, two independent arguments claim that the real exchange rate, being a sum of a stationary...
Persistent link: https://www.econbiz.de/10010295811
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Panel Tests for Unit Roots in Hours Worked
Kappler, Marcus - 2006
Hours worked is a time series of interest in many empirical investigations of the macroeconomy. Estimates of macro elasticities of labour supply, for example, build on this variable. Other empirical applications investigate the response of hours worked to a shock to technology on the basis of...
Persistent link: https://www.econbiz.de/10010297530
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Panel Seasonal Unit Root Test With An Application for Unemployment Data
Reimers, Hans-Eggert; Dreger, Christian - 2004
In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests...
Persistent link: https://www.econbiz.de/10010263471