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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

test the weak form efficiency of select South Asian capital markets (India, Sri Lanka, Pakistan, Bangladesh, and Mauritius …

Persistent link: https://www.econbiz.de/10011938297

Market efficiency in the emerging securitized real estate markets

Schindler, Felix - 2010

process, which is of significant relevance for emerging markets in particular. The analysis is based on autocorrelation tests …

Persistent link: https://www.econbiz.de/10010300506

Random walks with drift : a sequential approach

Steland, Ansgar - 2004

In this paper sequential monitoring schemes to detect nonparametric drifts are studied for the random walk case. The procedure is based on a kernel smoother. As a by-product we obtain the asymptotics of the Nadaraya-Watson estimator and its associated sequential partial sum process under...

Persistent link: https://www.econbiz.de/10010296634

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

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

Further evidence on the (in-) efficiency of the U.S. housing market

Schindler, Felix - 2010

obtain excess returns from both autocorrelation- and moving average-based trading strategies compared to a buy …

Persistent link: https://www.econbiz.de/10010299929

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

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

Testing for unit roots in the context of misspecified logarithmic random walks

Krämer, Walter; Davies, Laurie - 2000

Testing for unit roots has been among the most heavily researched topics in Econometrics for the last quarter of a century. Much less researched is the equally important issue of the appropriate transformation if any of the variable of interest which should preceed any such testing. In...

Persistent link: https://www.econbiz.de/10010316510

The Dickey-Fuller-test for exponential random walks

Davies, Laurie; Krämer, Walter - 2000

We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the true random walk is in the logs.

Persistent link: https://www.econbiz.de/10010316528

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