This study seeks evidence on whether the return series on Bangladesh's Dhaka Stock Exchange (DSE) is independent and follows the random walk model. The study focuses on assessing if the DSE deviates from idealised efficiency. The sample primarily includes all the listed companies on the DSE...

Securities Transaction Taxes have received much attention over the last few years with countries and global organizations trying to control the level of speculations, especially since the Global Financial Crisis. This study examines the impact of an increase in the level of securities...

This paper addresses the linkages between the monetary policy and the stock market in Pakistan. The estimation technique employed includes Engle Granger two step procedure and the bivariate EGARCH method. The results indicate that any change in the monetary policy stance have a significant...

We develop a simple behavioral macro model to study interactions between the real economy and the stock market. The real economy is represented by a Keynesian goods market approach while the setup for the stock market includes heterogeneous speculators. Using a mixture of analytical and...

In this paper we demonstrate that the gradual diffusion of technology causes the stock market to exhibit a cyclical behavior. More importantly, we attribute sharp declines and increases in the stock market such as the ones that occurred in the early 1970s and mid 1990s in the United States to...

The investment decision is part of a companies’ investment strategy. Defined as a logical set of technical and economic information, the investment strategy determines the main objectives of the firm regarding its investments, based on studies, analysis and simulations. It also establishes the...

This paper examines the random walk hypothesis in the Visegrad Countries stock market as emerging stock markets. The results both from autocorrelation analysis and unit root tests imply that monthly stock price indices of the Visegrad Countries follow the random walk process. This means that the...

Purpose – This paper aims to analyze the statistical characteristics of changes in property forward prices. As highlighted in a survey conducted at the MIT Center for Real Estate in 2006, the relatively weak understanding in their prices is one of the most important barriers in their use. In...

This study seeks to evaluate the effectiveness that variables like firm size and book-to-market ratio—present in the model of Fama and French—have to capture the average expected return on assets, as compared to macroeconomic fundamentals or the market index. For this purpose, we used an...

Despite widespread media interest in bull and bear markets, academic research that seeks to formally define bull markets is almost non-existent. This paper defines bull and bear markets in relation to a simple model of mean return regimes, and implements the definition using two formal turning...