This paper investigates the question of market efficiency in a sample of thirty-four emerging markets with different legal systems. We use both dollar and local currency returns to examine whether exchange rate effects can improve our understanding of the information flows in these capital...

Market efficiency has been analyzed through many studies using different linear methods. However, studies on financial econometrics reveal that financial time series exhibit nonlinear patterns because of various reasons. This paper examines market efficiency at Borsa Istanbul using a smooth...

We develop an agent-based financial market model in which agents follow technical and fundamental trading rules to determine their speculative investment positions. A central feature of our model is that we consider direct interactions between speculators due to which they may decide to change...

We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk...

Market efficiency is measured by arbitrage proximity. The magnitude of probability distortion necessary to remove drift calibrates the efficiency. Simulations of bilateral gamma models estimated on a year's past returns yield empirical acceptability indices for each day for each asset. The...

Most markets that choose settlement day following expiration day select opening price rather than closing price as final settlement price (FSP) when index derivatives expire, while most markets that choose settlement day the same as expiration day select an average price rather than a single...

This paper propose a new panel stochastic dominance (SD) test-PDD test, the asymptotic properties are derived, which extends Davidson and Duclos (DD) SD test to a panel context. The PDD test also contributes to settle one of the demerits while working with financial derivatives time series: that...

Relying on the Stambaugh, Yu, and Yuan (2015) mispricing score and on 45 countries between 1994 and 2013, I document economically meaningful and statistically significant cross-sectional stock return predictability around the globe. In contrast to the widely held belief, mispricing associated...

Is there an informational gain by training a Deep Reinforcement Learning agent for automated stock trading using other time series than the one to be traded? In this work, we implement a DRL algorithm in a solid framework within a model-free and actor-critic approach and learn it with 21 global...

I present a model that provides a theoretical solution to the Lucas Puzzle using Financial Efficiency, which is a time-varying component of TFP. The model predicts that a financially underdeveloped economy is to benefit from financial integration through FDI capital inflow only if it experiences...