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Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...
Persistent link: https://www.econbiz.de/10010272747
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Determinanten der Replikationsgüte von Exchange Traded Funds
Cox, Philipp; Lehrbass, Frank; FOM Hochschule für … - 2018
Anlageprodukten auf Basis der Theorie der Kapitalmarkteffizienz. - Im Rahmen einer empirischen Untersuchung erfolgt die Identifikation …
Persistent link: https://www.econbiz.de/10012819796
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Isobars and the efficient market hypothesis
Ivanková, Kristýna - 2010
Isobar surfaces, a method for describing the overall shape of multidimensional data, are estimated by nonparametric regression and used to evaluate the efficiency of selected markets based on returns of their stock market indices.
Persistent link: https://www.econbiz.de/10010322194
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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 since 1997/98, which implies there is an arbitrage opportunity. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the...
Persistent link: https://www.econbiz.de/10010332467
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Efficiency of South Asian capital markets: An empirical analysis
Mishra, P. K. - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 27-34
In recent years, especially in the aftermath of the global financial meltdown, the performance of South Asia capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown provides the impetus to examine the efficient market hypothesis in these...
Persistent link: https://www.econbiz.de/10011938297
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Eine kurze Ideengeschichte der Kapitalmarkttheorie: Fundamentaldatenanalyse, Effizienzmarkthypothese und Behavioral Finance
Will, Matthias Georg - 2012
Dieser Beitrag beschäftigt sich mit den Theoriebeiträgen der Fundamentaldatenanalyse, der Effizienzmarkthypothese und … auf volatilen Märkten ihre Spielzüge optimieren können. Die Effizienzmarkthypothese versucht stattdessen, den … die Effizienzmarkthypothese trotz realitätsferner Annahmen die Behavioral Finance nicht nur hinsichtlich des Grades der …
Persistent link: https://www.econbiz.de/10011733818
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Inefficient markets
Goeree, Jacob K.; Zhang, Jingjing - 2012
Traders' values and information typically consist of both private and common-value elements. In such environments, full allocative efficiency is impossible when the private rate of information substitution differs from the social rate (Jehiel and Moldovanu, 2001). We link this impossibility...
Persistent link: https://www.econbiz.de/10010316881
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Effizienz und Stabilität von Finanzmärkten: Stehen wir vor einem Paradigmenwechsel?
Lux, Thomas - In: Wirtschaftsdienst 93 (2013) Sonderheft, pp. 16-22
The paper discusses the impact of the financial crisis on macroeconomics and on research into financial markets. The cornerstones of the economic mainstream were made obsolete by actual developments in recent years, and there are now signs that a fundamental paradigm shift is possible. After the...
Persistent link: https://www.econbiz.de/10010292910
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Financial Market Integration in a Wider European Union
Stirbu, Corneliu - 2004
EU enlargement rests on the proven success of European unification. European monetary integration and the introduction of euro are probably the best examples of integration. The EU financial sector has been going through a large restructuring program in the last decades. There was a continuous...
Persistent link: https://www.econbiz.de/10010295430
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Market efficiency and international linkage of stock prices: An analysis with high-frequency data
Tsutsui, Yoshiro; Hirayama, Kenjiro - 2004
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10010332406