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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

Market efficiency and international linkage of stock prices: An analysis with high-frequency data

Tsutsui, Yoshiro; Hirayama, Kenjiro - 2004

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

Persistent link: https://www.econbiz.de/10010332406

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010305454

Equity capital, bankruptcy risk and the liquidity trap

Levintal, Oren - 2011

This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links equity capital to the risk-free interest rate. When...

Persistent link: https://www.econbiz.de/10010335985

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

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

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

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

The Forward Premium Puzzle only emerges gradually

Bernoth, Kerstin; von Hagen, Jürgen; de Vries, Casper G. - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10010325480

Derivatives and Default Risk

Scholz, Sebastian - 2010

Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...

Persistent link: https://www.econbiz.de/10010427577

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