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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
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Forecasting Indian Stock Market Index Using Singular Spectrum Analysis : A Comparison with ARIMA and Artificial Neural Network
Shukla, Suwarna - 2017
In this paper we focus on analyzing the predictive accuracy of three different types of forecasting techniques, Autoregressive Integrated Moving Average (ARIMA), Artificial Neural Network (ANN), and Singular Spectral Analysis (SSA), used for predicting chaotic time series data. These techniques...
Persistent link: https://www.econbiz.de/10012947889
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Liquidity Shocks and Stock Bubbles
Nneji, Ogonna - 2014
market bubbles. Three key findings emerge from this research. First, negative market and funding liquidity shocks increase … the probability of stock market bubbles collapsing. Second, market liquidity has a more prevalent effect on stock bubbles …
Persistent link: https://www.econbiz.de/10013063524
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An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market
Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...
Persistent link: https://www.econbiz.de/10011843494
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
Persistent link: https://www.econbiz.de/10011455529
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On the Predictability of Stock Market Bubbles : Evidence from LPPLS ConfidenceTM Multi-Scale Indicators
Demirer, Riza - 2018
We examine the predictive power of market-based indicators over the positive and negative stock market bubbles via an … successfully capture, ex-ante, some of the prominent bubbles across different time scales, such as the Black Monday, Dot-com, and … bubbles across both short and long time horizons, in line with the previous studies suggesting that short sellers have …
Persistent link: https://www.econbiz.de/10012931948
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Sup-ADF-style bubble-detection methods under test
Monschang, Verena; Wilfling, Bernd - 2019
and date-stamping financial bubbles. In Monte Carlo simulations, we show that the SADF and GSADF tests may reveal …). Simulating stock-price trajectories that contain these parametric bubbles, we demonstrate that the SADF and GSADF tests can have …
Persistent link: https://www.econbiz.de/10012287533
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On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations
Schmitt, Noemi; Westerhoff, Frank H. - 2017
After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...
Persistent link: https://www.econbiz.de/10011595441
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Testing the stochastic disorder model on stock markets
Sokko, Anastasiia - 2017
This paper examines real-time applications of quickest disorder detection techniques for timing stock markets. The focus is on the stochastic disorder model by Shiryaev, Zhitlukhin, and Ziemba (2014, 2015), Zhitlukhin and Ziemba (2016) and their optimal stopping rule. The model uses sequential...
Persistent link: https://www.econbiz.de/10011875860
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Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Lux, Thomas - 2020
Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...
Persistent link: https://www.econbiz.de/10012214509