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Efficient market hypothesis in European stock markets

Borges, Maria Rosa - In: The European Journal of Finance 16 (2010) 7, pp. 711-726

that these two countries have been approaching a martingale behavior after 2003. France and UK data rejects EMH, due to the …

Persistent link: https://www.econbiz.de/10008674489

Martingale effect of conventional vs. Islamic stock indices : evidence from the UAE

Marashdeh, Hazem; Ashraf, Sania - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 3, pp. 279-290

Persistent link: https://www.econbiz.de/10013326345

Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test

Kim, Jae H. - Econometric Society - 2004

This paper tests for the martingale (or random walk) hypothesis in the stock prices of a group of Asian countries. The … martingale hypothesis is conducted with moving-subsample windows, to control the sensitivity of the results to the particular … sample periods. Overall, it is found that the stock prices of Japan, Korea, and Hong Kong are found to follow the martingale …

Persistent link: https://www.econbiz.de/10005063663

THE EFFICIENCY OF EMERGING STOCK MARKETS: EVIDENCE FROM ASIA AND AFRICA

Youssef, Abdelmoneim; Galloppo, Giuseppe - In: Global Journal of Business Research 7 (2013) 4, pp. 1-17

This paper examines the efficiency in pricing securities as well as the relation between exchange rate and dynamics of equity returns in a number of emerging stock markets from Africa and Asia,. This study utilizes methodologies based on Single variance ratio test of Lo and Mackinlay (1988),...

Persistent link: https://www.econbiz.de/10011205803

Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, Robert - In: Econometric reviews 38 (2019) 5, pp. 509-532

Persistent link: https://www.econbiz.de/10012181330

Bulgarian stock market relative predictability : BSE-Sofia stocks and South East European markets

Dyakova, Aneta; Smith, Graham - In: Applied financial economics 23 (2013) 13/15, pp. 1257-1271

Persistent link: https://www.econbiz.de/10010204739

GLOBAL FINANCIAL CRISIS AND UNIT-LINKED INSURANCE MARKETS EFFICIENCY: EMPIRICAL EVIDENCE FROM CENTRAL AND EASTERN EUROPEAN COUNTRIES

Cristina, Ciumas; Diana-Maria, Chis; Mircea, Botos Horia - In: Annals of Faculty of Economics 1 (2012) 2, pp. 443-448

This paper empirically investigates the impact of the Global financial crisis on the efficiency of four Central and Eastern European emerging unit-linked insurance markets, applying the automatic variance ratio (AVR) test of Kim (2009) and variance ratio tests using ranks and signs by Wright...

Persistent link: https://www.econbiz.de/10010617367

Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility

Lee, Chung Eun; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 80-92

Persistent link: https://www.econbiz.de/10012179517

Martingales in Daily Foreign Exchange Rates: Evidence from Six Currencies against the Lebanese Pound

Azar, Samih Antoine - In: Applied Economics and Finance 1 (2014) 1, pp. 55-64

describe a statistical behavior known as a martingale. All five conditions are found to apply to the six data series. Non … exchange rates are features that are present in the data but that do not invalidate the general designation of a martingale …

Persistent link: https://www.econbiz.de/10010757737

Are major global stock markets efficient? : an application of the martingale difference hypothesis with wild bootstrap

Kumar, Dilip; Maheswaran, Srinivasan - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 217-233

Persistent link: https://www.econbiz.de/10010403610

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