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Adaptive market hypothesis : evidence from the Ghanaian stock market

Gyamfi, Emmanuel Numapau - In: Journal of African business 19 (2018) 2, pp. 195-209

Persistent link: https://www.econbiz.de/10011930385

The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods

Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

Persistent link: https://www.econbiz.de/10012039605

The behaviour of betting and currency markets on the night of the EU referendum

Auld, Tom; Linton, Oliver - 2018

We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results. We employ a Bayesian updating methodology to...

Persistent link: https://www.econbiz.de/10011775074

Fiscal policy and stock market efficiency : an ARDL Bounds Testing approach

Stoian, Andreea; Iorgulescu, Filip - In: Economic modelling 90 (2020), pp. 406-416

Persistent link: https://www.econbiz.de/10012428935

How the removal of a market barrier enhanced market efficiency : the case of WTI and Brent crude oil prices

Rushlow, Jennifer; Bauer, Paul William - In: Atlantic economic journal : AEJ 49 (2021) 1, pp. 87-96

Persistent link: https://www.econbiz.de/10012542789

An empirical examination of the efficiency of commodity markets in India

Rao, Ullas; Charles, Vincent - In: International journal of banking, accounting and … 12 (2021) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10012505132

Examining rational bubbles in global natural gas prices : evidence from frequency domain estimates

Lawal, Adedoyin Isola; Oseni, Ezekiel; Lawal-Adedoyin, … - In: Energy strategy reviews 44 (2022), pp. 1-7

employing Fourier unit root tests and a nonparametric rank test for cointegration. Data comprises monthly data on the three …

Persistent link: https://www.econbiz.de/10014514550

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …

Persistent link: https://www.econbiz.de/10014183200

Foreign Exchange Market Efficiency : Fractional Cointegration Approach

Belkacem, Lotfi; El Meddeb, Zahra; Boubaker, Heni - 2005

market. For this aim, we use fractional cointegration tests based essentially on estimation of an error correction bivariate … ARFIMA model. The cointegration tests are conducted using spot and 1- month forward daily exchange rate of the Tunisian Dinar … fractional cointegration between the one-month forward rate and the spot rate relative to these parities (TND/USD) and (TND/Euro) …

Persistent link: https://www.econbiz.de/10014063076

Dividend yields for forecasting stock market returns

Belke, Ansgar; Polleit, Thorsten - 2004

Persistent link: https://www.econbiz.de/10013439386