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Random Walks in Dividend Yields and Bubbles
Bidian, Florin - 2014
A nonstationary dividend yield, having a unit root, is seen as proof of bubbles (Craine 1993). This inference is not … valid. A sufficient condition for the absence, respectively presence of bubbles is the uniform divergence, respectively … equilibrium dividend yield is a random walk without a deterministic trend or drift, but bubbles are still absent …
Persistent link: https://www.econbiz.de/10013058778
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Forecasting Nigerian stock market returns using ARIMA and artificial neural network models
Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 5 (2014) 2, pp. 25-48
The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock market returns. The Nigerian stock market logarithmic returns time series was tested for the presence of memory using the Hurst coefficient before the models were trained. The...
Persistent link: https://www.econbiz.de/10011488820
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Modelling the paradox in stock markets by variance ratio volatility estimator that utilises extreme values of asset prices
Shaik, Muneer; Maheswaran, S. - In: Journal of emerging market finance 15 (2016) 3, pp. 333-361
Persistent link: https://www.econbiz.de/10011691166
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A hidden Markov Model inference approach to testing the random walk hypothesis : empirical evidence from the Nigerian stock market
Nkemnole, Edesiri - In: Journal of economic and financial sciences 9 (2016) 3, pp. 696-713
Persistent link: https://www.econbiz.de/10011658239
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Random walk and modelling stock return : evidence from international stock markets
Enow, Samuel Tabot - 2023
Persistent link: https://www.econbiz.de/10014323343
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A study on market efficiency using data from Shanghai stock exchange and Shenzhen stock exchange
Duan, Guoxi; Tanizaki, Hisashi - 2021
Persistent link: https://www.econbiz.de/10012799610
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A study on the level of market efficiency based on CSI 300 and 300 constituent stocks
Duan, Guoxi; Tanizaki, Hisashi - 2021
Persistent link: https://www.econbiz.de/10012799614
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The past, the present and the prospective future of efficient market hypothesis : a theoretical and empirical investigation of international stock markets
Pasricha, Laurel; Dhanda, Neelam - In: Theoretical and applied economics : GAER review 29 (2022) 2/631, pp. 89-106
Persistent link: https://www.econbiz.de/10014325361
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Is there long memory in Indian stock market returns? : an empirical search
Hiremath, Gourishankar S.; Kumari, Jyoti - In: Journal of Asia Pacific business 16 (2015) 2, pp. 128-145
Persistent link: https://www.econbiz.de/10011289921
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Two tales of return predictability : the case of Asia-Pacific equity markets
Shynkevich, Andrei - In: Journal of forecasting 36 (2017) 3, pp. 257-272
Persistent link: https://www.econbiz.de/10011729255