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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

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

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10011605091

Lessons from a small country in a financial crisis or Dr. Minsky and Mr. Ponzi in Iceland

Magnusson, Gylfi - 2010

Persistent link: https://www.econbiz.de/10014306488

Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns

Manera, Matteo; Lanza, Alessandro; McAleer, Michael - 2004

This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether...

Persistent link: https://www.econbiz.de/10011324947

Merger Performance under Uncertain Efficiency Gains

Xue, Licun; Amir, Rabah; Diamantoudi, Effrosyni - 2004

In view of the uncertainty over the ability of merging firms to achieve efficiency gains, we model the post-merger situation as a Cournot oligopoly wherein the outsiders face uncertainty about the merged entity's final cost. At the Bayesian equilibrium, a bilateral merger is profitable provided...

Persistent link: https://www.econbiz.de/10011324950

Consideraciones sobre la eficiencia del mercado de capitales argentino

Zablotsky, Edgardo E. - 2002

Persistent link: https://www.econbiz.de/10010323162

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