This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also...

We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence that time-varying return predictability is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis. During market crashes, no...

Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...

On several occasions technical analysis rules have been shown to have predictive power. The main purpose of this work is to decompose the predictive power of the moving average trading rule and isolate the portion that could be attributed to the possible exploitation of linear and non linear...

This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM,...

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...