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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability

Vogl, Markus; Roetzel, Peter Gordon - 2021

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...

Persistent link: https://www.econbiz.de/10013229642

The Profitability of Lead-Lag Arbitrage at High-Frequency

Poutré, Cédric; Dionne, Georges; yergeau, gabriel - 2022

Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead-lag indicators to uncover the origin of price discovery...

Persistent link: https://www.econbiz.de/10014239339

Cross-Firm Information Flows and the Predictability of Stock Returns

Scherbina, Anna - 2016

We identify all return leader-follower pairs among individual stocks using Granger causality regressions. Thus-identified leaders can reliably predict their followers' returns out of sample, and the return predictability works at the level of individual stocks rather than industries. Our results...

Persistent link: https://www.econbiz.de/10013007526

Testing market efficiency with nonlinear methods: Evidence from Borsa Istanbul

Aliyev, Fuzuli - In: International Journal of Financial Studies 7 (2019) 2, pp. 1-11

efficiency at Borsa Istanbul using a smooth transition autoregressive (STAR) type nonlinear model. I develop nonlinear ARCH and … STAR models, a linear AR model and random walk model for 10 years' weekly data and then out-of-sample forecast next 12 … weeks' return. Comparing forecast performance powers, I find that the STAR model outperforms random walk, that is Borsa …

Persistent link: https://www.econbiz.de/10013200205

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

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

Heteroeneous forecasters and nonlinear expectation formation in US stock market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...

Persistent link: https://www.econbiz.de/10010479018

How to compare market efficiency? : the Sharpe ratio based on the ARMA-GARCH forecast

Liu, Lin; Chen, Qiguang - In: Financial innovation : FIN 6 (2020) 38, pp. 1-21

This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process. For...

Persistent link: https://www.econbiz.de/10012296006

Upper Bounds on Return Predictability

Huang, Dashan - 2017

Can the degree of predictability found in the data be explained by existing asset pricing models? We provide two theoretical upper bounds on the R-squares of predictive regressions. Using data on the market and component portfolios, we find that the empirical R-squares are significantly greater...

Persistent link: https://www.econbiz.de/10012973313

Economic Linkages Inferred from News Stories and the Predictability of Stock Returns

Scherbina, Anna - 2015

We show that news stories contain information about economic linkages between firms and document that information diffuses slowly across linked stocks. Specifically, we identify linked stocks from co-mentions in news stories and find that linked stocks cross-predict one another's returns in the...

Persistent link: https://www.econbiz.de/10013034618

Can Return Forecasts Enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach

Chondrogiannis, Ilias; Vivian, Andrew; Wohar, Mark E. - 2022

We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...

Persistent link: https://www.econbiz.de/10013403620

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