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Time evolution of market efficiency and multifractality of the Japanese stock market

Takaishi, Tetsuya - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-12

This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their...

Persistent link: https://www.econbiz.de/10013201335

True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence

Liu, Ruipeng; Di Matteo, Tiziana; Lux, Thomas - 2007

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov- switching multifractal model (MSM). In order to see how well...

Persistent link: https://www.econbiz.de/10010295148

Log-periodic power law and genelized hurst exponent analysis in estimating an asset bubble bursting time

Wątorek, Marcin; Stawiarski, Bartosz - In: e-Finanse: Financial Internet Quarterly 12 (2016) 3, pp. 49-58

We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble...

Persistent link: https://www.econbiz.de/10012011871

Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market

Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - 2012

Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2,942 ten-minute closing prices, we find that the Chinese stock index...

Persistent link: https://www.econbiz.de/10012624236

Causality between economic policy uncertainty and real housing returns in emerging economies: A cross-sample validation approach

Aye, Goodness C. - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-16

This paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses...

Persistent link: https://www.econbiz.de/10011988855

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011996648

Return differences between DAX ETFs and the benchmark DAX

Schmidhammer, Christoph - 2021

For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...

Persistent link: https://www.econbiz.de/10012613061

Ten Years after: Achievements and Challenges of the Euro-Mediterranean Economic and Financial Partnership

Brach, Juliane - 2006

EU and twelve countries of the Middle East and North Africa (MENA) engaged in 1995 in the Euro … development in the MENA region. Against this background, this paper reviews the situation in the MENA partner countries and the …

Persistent link: https://www.econbiz.de/10010293513

Pollution, economic development and democracy: Evidence from the MENA countries

Farzanegan, Mohammad Reza; Markwardt, Gunther - 2012

The Middle East and North Africa (MENA) countries are among the world's top emitters of CO2 and SO2 in per capita terms … improvements in the democratic development of the MENA countries help to mitigate environmental problems. Our results clearly show … environmental issues in the MENA region. …

Persistent link: https://www.econbiz.de/10010294389

The Political Economy of Oil and the Crisis of the Arab State System

Atzori, Daniel - 2013

This paper argues that the so-called Arab spring is part of a tectonic shift which signals the frailty of the Arab state system as such. Countries benefitting from oil and gas rents have been more resilient, because of their potential to create systems of incentives and disincentives in order to...

Persistent link: https://www.econbiz.de/10010328676

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