Narrow search
Showing 1 - 10 of 8,056
Cover Image
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
In recent years, especially in the aftermath of the global financial meltdown, the performance of South Asia capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown provides the impetus to examine the efficient market hypothesis in these...
Persistent link: https://www.econbiz.de/10011938297
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A runs test for stock-market prices with an unobserved trend
Herger, Nils - 2024
To analyze whether stock-market prices follow a random walk, the algebraic sign of their returns has been compared with a coin toss, which is a prominent example for a Bernoulli trial with equiprobable outcomes. Like coin tosses, signed returns lend themselves for a simple runs test for...
Persistent link: https://www.econbiz.de/10014476407
Cover Image
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