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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
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Fractional cointegration of voting and non-voting shares
Dittmann, Ingolf - 1998
Voting and non-voting shares of ten German companies are analyzed for fractional cointegration. It turns out that seven …
Persistent link: https://www.econbiz.de/10010316669
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Isobars and the efficient market hypothesis
Ivanková, Kristýna - 2010
Isobar surfaces, a method for describing the overall shape of multidimensional data, are estimated by nonparametric regression and used to evaluate the efficiency of selected markets based on returns of their stock market indices.
Persistent link: https://www.econbiz.de/10010322194
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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 since 1997/98, which implies there is an arbitrage opportunity. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the...
Persistent link: https://www.econbiz.de/10010332467
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Eine kurze Ideengeschichte der Kapitalmarkttheorie: Fundamentaldatenanalyse, Effizienzmarkthypothese und Behavioral Finance
Will, Matthias Georg - 2012
Dieser Beitrag beschäftigt sich mit den Theoriebeiträgen der Fundamentaldatenanalyse, der Effizienzmarkthypothese und … auf volatilen Märkten ihre Spielzüge optimieren können. Die Effizienzmarkthypothese versucht stattdessen, den … die Effizienzmarkthypothese trotz realitätsferner Annahmen die Behavioral Finance nicht nur hinsichtlich des Grades der …
Persistent link: https://www.econbiz.de/10011733818
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Inefficient markets
Goeree, Jacob K.; Zhang, Jingjing - 2012
Traders' values and information typically consist of both private and common-value elements. In such environments, full allocative efficiency is impossible when the private rate of information substitution differs from the social rate (Jehiel and Moldovanu, 2001). We link this impossibility...
Persistent link: https://www.econbiz.de/10010316881
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Structural vector autoregressions with nonnormal residuals
Lanne, Markku; Lütkepohl, Helmut - 2006
In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...
Persistent link: https://www.econbiz.de/10010261406
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The federal funds market and the overnight Eurodollar market
Lee, Yungsook - 1999
Overnight Federal funds and overnight Eurodollars are among the most liquid short-term assets that a bank can hold to acquire required reserves. They are traded overnight and denominated in U.S. dollars. They also have different characteristics: The Fed funds market and the Eurodollar market are...
Persistent link: https://www.econbiz.de/10010301761
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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