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Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.
Berg, Lennart - Nationalekonomiska Institutionen, Uppsala Universitet - 2000
seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …
Persistent link: https://www.econbiz.de/10005190459
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On the importance of clean accounting measures for the tests of stock market efficiency
Hamberg, Mattias; Novak, Jiri - Institut ekonomických studií, Univerzita Karlova v Praze - 2007
Tests of the semi-strong form of the efficient market hypothesis (EMH) typically use earnings and book value of equity as benchmarks of fundamental value. Accounting earnings, however, are contaminated by noise due to their transient component and book value of equity tends to be biased...
Persistent link: https://www.econbiz.de/10005698741
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Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta
Novak, Jiri - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 2, pp. 167-190
We make two methodological modifications to the method of testing CAPM beta and we show that these significantly affect inferences about the association between CAPM beta and stock returns. While the conventional beta proxy is indeed largely unrelated to realized stock returns (in fact the...
Persistent link: https://www.econbiz.de/10011240299
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The consequences of online information dissemination on stock market liquidity and efficiency: Implications on African markets
Mlambo, Chipo; Biekpe, Nicholas - Volkswirtschaftliche Fakultät, … - 2003
From the Efficient Market Hypothesis, a market is efficient if security prices fully and correctly reflect all available information that is relevant for the stock’s pricing. This requires a medium of information dissemination and transaction ordering with both speed and accuracy. This paper...
Persistent link: https://www.econbiz.de/10008685524
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The Overreaction Hypothesis: The Case of Ukrainian Stock Market
Mynhardt, H. R.; Plastun, Alex - Volkswirtschaftliche Fakultät, … - 2013
This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis...
Persistent link: https://www.econbiz.de/10011113951
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New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach
Tiwari, Aviral Kumar; Kyophilavong, Phouphet - In: Economic Modelling 43 (2014) C, pp. 38-41
We examine the use of the random walk hypothesis on the BRICS stock indices. Our examination of the stock indices uses a recently developed wavelet-based unit root test by Fan and Gençay (2010) along with a battery of unit root tests. We also examine the sensitivity of the wavelet-based unit...
Persistent link: https://www.econbiz.de/10010939703
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The news model of asset price determination - An empirical examination of the Danish football club Brøndby IF
Jørgensen, Casper W.; Moritzen, Mark R.; Stadtmann, Georg - Institut for Virksomhedsledelse og Økonomi, Syddansk … - 2012
According to the news model of asset price determination, only the unexpected component of an information should drive the stock price. We use the Danish publicly listed football club Brøndby IF to analyze how match outcome impacts the stock price. To disentangle gross news from net news,...
Persistent link: https://www.econbiz.de/10009421710
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The news model of asset price determination: An empirical examination of the Danish football club Brøndby IF
Jørgensen, Casper W.; Moritzen, Mark R.; Stadtmann, Georg - Wirtschaftswissenschaftliche Fakultät, … - 2012
According to the news model of asset price determination, only the unexpected component of an information should drive the stock price. We use the Danish publicly listed football club Brøndby IF to analyze how match outcome impacts the stock price. To disentangle gross news from net news,...
Persistent link: https://www.econbiz.de/10009646620
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Performance-Effekte nach Directors' Dealings in Deutschland, Italien und den Niederlanden
Heidorn, Thomas; Meyer, Bernd; Pietrowiak, Alexander - Frankfurt School of Finance and Management - 2004
Directors' Dealings have been extensively analysed especially for U.S. and U.K. stock markets. This event study is meant to bridge the gap for Germany, Italy and the Netherlands. The question to be investigated is whether board members and other company insiders earn abnormal returns with market...
Persistent link: https://www.econbiz.de/10005027058
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Do Spanish Stock Market Prices Follow a Random Walk?
Peña, Javier De; Gil-Alana, Luis A. - School of Economics and Business Administration, … - 2002
In this article we test the random walk hypothesis in the Spanish daily stock market prices by means of using fractionally integrated techniques. We use a version of the tests of Robinson (1994) that permit us to test I(d) statistical models. The results show that though fractional degrees of...
Persistent link: https://www.econbiz.de/10005583134