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Efficiency of South Asian capital markets: An empirical analysis
Mishra, P. K. - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 27-34
In recent years, especially in the aftermath of the global financial meltdown, the performance of South Asia capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown provides the impetus to examine the efficient market hypothesis in these...
Persistent link: https://www.econbiz.de/10011938297
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On the efficiency of stock markets: A case of selected OPEC member countries
Olubiyi, Ebenezer A.; Olopade, Peter O. - In: CBN Journal of Applied Statistics 09 (2018) 2, pp. 75-101
hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric …-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most … volatile and shocks to volatility of stock returns are asymmetric. The implications of this are that: first, investors should …
Persistent link: https://www.econbiz.de/10012229197
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Have bull and bear markets changed over time? Empirical evidence from the US-stock market
Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171
This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state probabilities are used to estimate a dummy...
Persistent link: https://www.econbiz.de/10010286823
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Foreign exchange market efficiency: Empirical results for the USD/EUR market
Czech, Katarzyna Anna; Waszkowski, Adam - In: e-Finanse: Financial Internet Quarterly 8 (2012) 3, pp. 1-9
The aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial...
Persistent link: https://www.econbiz.de/10011551371
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Influence of Frontier Capital Markets Interdependence and Efficiency on Shaping Investment Strategy Under the Financial Crisis Conditions
Becirovic, Damir; Kozarevic, Emira - In: Economic Review: Journal of Economics and Business 16 (2018) 1, pp. 83-96
This research analyzes interdependence and low efficiency of the selected capital markets in the period before and after the escalation of the global financial crisis. The aim is to show, based on the obtained results, the position that can be taken by potential investors in frontier capital...
Persistent link: https://www.econbiz.de/10011985139
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Insider Trading in the Swiss Stock Market
Zingg, Andreas; Lang, Sebastian; Wyttenbach, Daniela - In: Swiss Journal of Economics and Statistics 143 (2007) 3, pp. 331-362
Many studies on insider trading are based on data of the U.S. market and conclude that insiders can earn abnormal profits. This paper examines for the Swiss stock market whether insiders can earn abnormal profits and whether outsiders can make abnormal profits by mimicking the transactions of...
Persistent link: https://www.econbiz.de/10011933159
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Modern Financial Market Theory – A Critique Based on the Logic of Human Action
Polleit, Thorsten - In: Credit and Capital Markets – Kredit und Kapital 54 (2021) 3, pp. 447-467
The modern financial market theory (MFMT) – based on the efficient market hypothesis, rational expectation theory, and modern portfolio theory – has become the standard approach in financial market economics. In this article, the MFMT will be critically ­reviewed using the logic of human...
Persistent link: https://www.econbiz.de/10014524457
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The effects of relative strength of USD and overnight policy rate on performance of Malaysian stock market: Evidence from 1980 through 2015
Khudhair, Harith Yas; Bin Jusoh, Ahmad; Mardani, Abbas - In: Contemporary Economics 13 (2019) 2, pp. 175-186
The study is carried out with the objective of testing the efficient market hypothesis (EMH) at the semistrong form level. As such, the study employs two publicly available data variables - the exchange rate (RM/USD) and short-term interest rate as proxied by the overnight policy rate (OPR). The...
Persistent link: https://www.econbiz.de/10014544539
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Regime-switching determinants of mutual fund performance in South Africa
Apau, Richard; Moores-Pitt, Peter; Muzindutsi, Paul-Francois - In: Economies 9 (2021) 4, pp. 1-20
This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...
Persistent link: https://www.econbiz.de/10013199899
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S&P BSE Sensex and S&P BSE IT return forecasting using ARIMA
Challa, Madhavi Latha; Malepati, Venkataramanaiah; … - In: Financial Innovation 6 (2020) 1, pp. 1-19
This study forecasts the return and volatility dynamics of S&P BSE Sensex and S&P BSE IT indices of the Bombay Stock …
Persistent link: https://www.econbiz.de/10012602876