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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
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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
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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
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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
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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
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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
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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
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The effect of political risk and corporate governance on bank stability in the MENA region: Did the Arab Spring uprisings matter?
Diab, Ahmed; Marie, Mohamed; Elgharbawy, Adel; … - In: Cogent Business & Management 10 (2023) 1, pp. 1-27
research problem was addressed using a sample of 954 bank-year observations from 14 Middle East and North Africa (MENA …) countries during the period 2010-2018 to take into account the effect of the recent uprisings that broke out in the MENA region …
Persistent link: https://www.econbiz.de/10014527688
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Do Corporate Governance Mechanisms Matter to the Reputation of Financial Firms? Evidence of Emerging Markets
Eriqat, Ibrahim O.A; Tahir, Muhammad; Zulkafli, Abdul Hadi - In: Cogent Business & Management 10 (2023) 1, pp. 1-21
corporate governance on the reputation of listed financial firms in the countries of MENA region. Using a sample of 96 financial … companies listed on the stock exchanges of four countries in the MENA region: Jordan, Palestine, Qatar, and Kuwait over a period … study contributes to filling the research gap on corporate reputation within the MENA region. Furthermore, the study …
Persistent link: https://www.econbiz.de/10014527710
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Which kind of perceived organisational support fosters self-initiated expatriate engineers’ creativity in high-adversity contexts? The moderating role of cross-cultural resilience...
Amari, Amina - In: Cogent Business & Management 10 (2023) 3, pp. 1-18
and North Africa (MENA) countries working in Saudi Arabia during the COVID-19 pandemic. The results were analysed by …
Persistent link: https://www.econbiz.de/10014527747