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Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.
Berg, Lennart - 2000
seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …
Persistent link: https://www.econbiz.de/10010321733
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Deterministic seasonal volatility in a small and integrated stock market : the case of Sweden
Berg, Lennart - 2000
Persistent link: https://www.econbiz.de/10001512197
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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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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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The twilight zone : OTC regulatory regimes and market quality
Brüggemann, Ulf; Kaul, Aditya; Leuz, Christian; … - 2013 - Rev.
We analyze a comprehensive sample of more than 10,000 U.S. OTC stocks. We first show that the OTC market is a large, diverse, and dynamic trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We then exploit this...
Persistent link: https://www.econbiz.de/10009782418
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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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CDS Market Transparency and Equity Market Quality
Haas, Marlene - 2020
Following the recent financial crisis, increasing the transparency of credit default swap (CDS) markets has been a popular goal among regulators. We examine how changes in the transparency of the CDS market can impact liquidity in the corresponding equity market. We first extend a model of...
Persistent link: https://www.econbiz.de/10012856221