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Liquidity and Market Efficiency in the World’s Largest Carbon Market
Ibikunle, Gbenga - 2016
-horizon return predictability as an inverse indicator of market efficiency. We find a strong relationship between liquidity and … trading carbon futures and during periods of low liquidity. Since the start of trading in Phase II of the EU Emissions Trading …
Persistent link: https://www.econbiz.de/10013008319
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Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index
Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13
Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...
Persistent link: https://www.econbiz.de/10014284076
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Testing the predictability and efficiency of securitized real estate markets
Schindler, Felix; Rottke, Nico; Füss, Roland - 2009
This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...
Persistent link: https://www.econbiz.de/10003881575
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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10003983206
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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10003985756
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Only Gamble in Town : Stock Market Gambling Around the World and Market Efficiency
Kumar, Alok - 2020
market gambling increases liquidity and consequently improves the informational efficiency of prices …
Persistent link: https://www.econbiz.de/10012823949
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Market Efficiency in G-20 Countries : The Paradox of Financial Crisis
Vieito, Joao Paulo Torre - 2014
This paper is amongst the first to investigate weak-form efficiency of the most developed (G-20) countries in the world. It also measures the impact of the 2007 financial crisis on the stock markets of these countries, in terms of their efficiency. Serial correlation test, ADF unit root test, Lo...
Persistent link: https://www.econbiz.de/10013058562
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Short-selling bans around the world : evidence from the 2007 - 09 crisis
Beber, Alessandro; Pagano, Marco - 2010
liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …
Persistent link: https://www.econbiz.de/10011382070
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Investigating the Role of Illiquidity in Explaining the UK Closed-End Country Fund Discount
Davies, John Richard (Dick) - 2013
In this paper we examine whether the UK closed-end country fund discounts are related to the illiquidity of the UK fund or the illiquidity of the country the fund invests in. We also consider whether emerging market country funds behave differently in terms of their discount and illiquidity to...
Persistent link: https://www.econbiz.de/10013090792
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Asset Liquidity and Stock Liquidity : International Evidence
Charoenwong, Charlie - 2013
This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the … valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More … importantly, our study shows that asset liquidity plays a more significant role in resolving valuation uncertainty in countries …
Persistent link: https://www.econbiz.de/10013071686