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Can adaptive market hypothesis explain the existence of seasonal anomalies? : evidence from Dhaka Stock Exchange, Bangladesh
Akhter, Tahmina; Othman Yong - In: Contemporary economics 15 (2021) 2, pp. 198-223
This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example:...
Persistent link: https://www.econbiz.de/10012544342
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The turn-of-the-month effect in Pakistani stock market
Irtiza, Muhammad Sarmad; Khan, Shahbaz; Baig, Nida; … - In: Future Business Journal 7 (2021), pp. 1-11
This research intends to explore the presence of the "turn-of-the-month-effect (TOME)" in the Pakistani stock market. The TOME is the temporary increase in prices of registered shares on the last operating day of the month and the initial 3-4 days of the following month. The selection...
Persistent link: https://www.econbiz.de/10012667593
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Can Adaptive Market Hypothesis Explain the Existence of Seasonal Anomalies? Evidence from Dhaka Stock Exchange, Bangladesh
Akhter, Tahmina; Yong, Othman - 2021
This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example:...
Persistent link: https://www.econbiz.de/10013227108
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - 2002
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …
Persistent link: https://www.econbiz.de/10009767118
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The micro dynamics of macro announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013
response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …
Persistent link: https://www.econbiz.de/10010190208
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Testing weak form of stock market efficiency at the Macedonian stock exchange
Angelovska, Julijana - In: UTMS journal of economics / University of Tourism and … 9 (2018) 2, pp. 133-144
The efficient market research to date has focused mostly on the developed stock markets. To be efficient the market needs to be large and liquid, transaction costs should be cheaper than the expected investment strategy profits and Macedonian capital market as a developing market is...
Persistent link: https://www.econbiz.de/10012178440
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Systematic mispricing in European equity prices?
Berneburg, Marian (contributor) - 2007
Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably … cashflow ; excess volatility ; variance bound test ; rational expectations …
Persistent link: https://www.econbiz.de/10003482498
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Abnormal Stock Returns, for the Event Firm and Its Rivals, Following the Event Firm's Large One-Day Stock Price Drop
Yu, Susana - 2011
We find intra-industry contagion and the following other potential violations of the efficient market hypothesis following large one-day individual stock price decline events. On average, after an event, the event stock experiences a positive three-day abnormal return (S&P 600 stocks) followed...
Persistent link: https://www.econbiz.de/10013131645
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Piety and Profits : Stock Market Anomaly During the Muslim Holy Month
Bialkowski, Jedrzej Pawel - 2011
Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are significantly higher...
Persistent link: https://www.econbiz.de/10013134379
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Impact of the Introduction of Call Auction on Price Discovery : Evidence from the Indian Stock Market Using High-Frequency Data
Agarwalla, Sobhesh Kumar - 2012
call auction on market quality at phases with high volatility or information asymmetry. The results suggest that the … intraday pattern of volume and volatility in the continuous market remains unchanged even after the introduction of the call …. The volatility and volume still take about 30 minutes to stabilize and the auction attracts very little volume. There is …
Persistent link: https://www.econbiz.de/10013096649