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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

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

The role of foreign aid in the transformation of Iraq's society and economy

Jaber, Hadi - In: International Journal of Management and Economics 58 (2022) 2, pp. 218-232

Foreign aid helps in transforming nations and ensuring that they attain economic development. Foreign aid levels in Iraq are higher than those of its oil-producing neighbors due to numerous factors that are discussed in the present study. Iraq is the second largest oil producer in the Middle...

Persistent link: https://www.econbiz.de/10015192193

How Economic, Political and Institutional Factors Influence the Choice of Exchange Rate Regimes? New Evidence from Selected Countries of the MENA Region

Maraoui, Najia; Hadj Amor, Thouraya; Khefacha, Islem; … - 2022

regimes, using data on eight MENA (Middle East and North Africa) countries over the 1984-2016 period. Specifically, we run … role in determining the exchange rate regime in MENA countries: a democratic political regime and a low level of corruption … implications for policy makers in MENA countries. …

Persistent link: https://www.econbiz.de/10013351773