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Information Flow between Price Change and Trading Volume in Gold Futures Contracts
Bhar, Ramaprasad; Hamori, Shigeyuki - In: International Journal of Business and Economics 3 (2004) 1, pp. 45-56
and Ng (1996) to detect the causality in variance. We find evidence of strong contemporaneous causality that is indicative … of the mixture of distribution hypothesis of information flow. We also detect, although not as strong, lagged causality … futures, where bi-directional causality has been reported. We hypothesize that this is probably due to the special nature of …
Persistent link: https://www.econbiz.de/10010600170
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies 8 (2020) 1, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10013199649
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The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey
Cevik, Serhan; Charap, Joshua - In: International Journal of Economics and Financial Issues 5 (2015) 1, pp. 111-124
multivariate causality tests show that conventional bank deposit rates Granger cause returns on PLS accounts. These findings have …
Persistent link: https://www.econbiz.de/10011268804
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Interactions between Markets and Dually Listed Stocks: The Case of the Czech Republic
Podpiera, Richard - In: Czech Journal of Economics and Finance (Finance a uver) 51 (2001) 3, pp. 166-181
. The models used include Granger causality, cointegration, and error-correction models. The results demonstrate that the … deviations from the parity. As this error-correction mechanism appears to be rather symmetric, and as the Granger causality tests … suggest different causality patterns for individual stocks, none of the two markets emerges as the dominant one. A variety of …
Persistent link: https://www.econbiz.de/10008495740
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Czech Money Market: Emerging Links Among Interest Rates
Hanousek, Jan; Kocenda, Evzen - William Davidson Institute, University of Michigan - 1997
The goal of this paper is to assess the money market in the Czech Republic from 1993 to 1997. The specific interest is in interactions between short and long interest rates, and between exchange and interest rates. During the financial crisis of 1997 the prevailing links among monetary variables...
Persistent link: https://www.econbiz.de/10005677599
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Analysis of the Lead-Lag Relationship on South Africa capital market
Rešovský, Marcel; Gróf, Marek; Horváth, Denis; … - Volkswirtschaftliche Fakultät, … - 2014
traditional methods of using cross correlations, partial correlation and Toda-Yamamoto causality tests, we also analysed the speed …
Persistent link: https://www.econbiz.de/10011109937
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The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey
Cevik, Serhan; Charap, Joshua - In: International Journal of Economics and Financial Issues 5 (2015) 1, pp. 111-124
multivariate causality tests show that conventional bank deposit rates Granger cause returns on PLS accounts. These findings have …
Persistent link: https://www.econbiz.de/10011167167
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An investigation of Price – Volume intraday patterns under “Bull” and “Bear” market conditions.
Alexakis, Christos; Alexakis, Panayotis; Xanthakis, Manolis - In: European Research Studies Journal VI (2003) 3-4, pp. 53-66
There has been a common belief among stock market practitioners that stock prices move along with trading volume creating certain patterns in price and volume formation. Nevertheless, the above argument was hardly recognised by the academic community since for a number of years statistical...
Persistent link: https://www.econbiz.de/10008487500
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
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Testing for Causality in Variance using Multivariate GARCH Models
Hafner, Christian M.; Herwartz, Helmut - 2004
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated … GARCH (or BEKK), and construct a Wald test on noncausality in variance. We compare both approaches to testing causality in …
Persistent link: https://www.econbiz.de/10010296228