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Common influences, spillover and integration in Chinese stock markets

Weber, Enzo; Zhang, Yanqun - 2008

The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...

Persistent link: https://www.econbiz.de/10010263757

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

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

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

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

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

Emerging capital markes in financial globalization

Pálosi-Németh, Balázs - 2007

-20% rise annually, emerging and transition markets increased over 50% a year in 2004 and 2005 (Figure 1, page 6). But does …

Persistent link: https://www.econbiz.de/10011470772

Stock markets and business cvycle comovement in Germany before World War I: Evidence from spectral analysis

Ritschl, Albrecht; Uebele, Martin - 2005

This paper examines the comovement of the stock market and of real activity in Germany before World War I under the efficient market hypothesis. We employ multivariate spectral analysis to compare rivaling national product estimates to stock market behavior in the frequency domain. Close...

Persistent link: https://www.econbiz.de/10010263613

Long-run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques, specifically a version of the tests of Robinson (1994a) which allows for unit (or fractional) roots both at the zero (long-run) and at the cyclical frequencies. We...

Persistent link: https://www.econbiz.de/10010293737

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2007

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10010298351

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