This article investigates the random walk behavior of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) foreign exchange rates against the US dollar using weekly data from February 2007 to April 2012. Using variance ratio tests, the results suggest that the nominal exchange...

We examine the evolving efficiency of UK stock market and currency (British Pound) during the last three centuries. Using both Automatic Variance Ratio (AVR) and Automatic Portmanteau (AQ) tests, we find evidence of time-varying degree of efficiency which supports the Adaptive Markets Hypothesis...

Events such as the European sovereign debt crisis, terrorism and Brexit cause more uncertainty and volatility in capital markets. This encourages us to use both conditional and unconditional forecasts (back-tests) for expected shortfall (ES) in 8 indices of listed European real estate securities...

We apply the sequential unit root tests of Phillips et al. (2015) for mildly explosive processes to identify and date-stamp bubbles in the emerging and frontier African stock markets. We find periods of explosive behavior in the price–dividend ratio in several markets which is indicative of...

This article examines the pricing efficiency of Bitcoin Investment Trust. We investigate the deviation between prices and net asset values and find that there is a significant and persistent premium with an average of 44%. Such evidence points to pricing inefficiency of the currently available...

I examine the return predictability of the Indonesian stock-market during 1984–2016, in rolling windows, using an automatic portmanteau test and an automatic variance ratio. I find that the market's efficiency and predictability vary over time — consistent with the adaptive market hypothesis...

Few number of days accounts for most of the returns delivered by precious metals (gold, silver, platinum and palladium). A passive buy and hold investment strategy in precious metals outperforms market timers who miss the best 5, 10 and 50 days by 51%, 71% and 98%, respectively. Likewise,...

This paper investigates the random walk behavior of real estate investment trust (REIT) sub-sectors using monthly return data from January 1994 to July 2015. Using variance ratio tests, we examine sub-sectors of lodging/ resorts and self-storage and find that they do not follow a random walk,...

The main objective of this study is to examine the performance of hotel stocks and lodging real estate investment trusts (REITs) by estimating the recent Fama-French five-factor model (including investment and profitability factors) with an additional momentum factor during the 2000–2015...

The purpose of this paper is to test for the presence of bubbles in the US lodging/hotel real estate investment trust (REIT) sub-sector from 1994 to 2016. It also compares the profitability of a buy-and-hold strategy with several technical trading rules when applied to lodging REITs. To...