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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

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

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

Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of Banking and Financial Economics (JBFE) (2023) 20, pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10015330025

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

Institutional reforms debate and FDI flows to MENA region: Does one 'best' fit all?

Mina, Wasseem Michel - 2011

examines it in the context of FDI flows to the Middle East and Northern Africa region (MENA).Using panel data on 11 MENA … positive influence of improvement in the risk of investment expropriationin non-Gulf Cooperation Council (GCC) MENA countries … BITs is positive in specifications containing investment expropriation risk and government stability in non-GCC MENA …

Persistent link: https://www.econbiz.de/10010280152

Determinants of educational attainment in MENA

Badr, Menshawy; Morrissey, Oliver; Appleton, Simon - 2012

This study examines the determinants of educational outcome in eight selected MENA countries. The complicated structure … influence students' performance negatively in six MENA countries. Only Turkey and Iran had a significant positive effect of …

Persistent link: https://www.econbiz.de/10010288517