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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

Financial Bubbles, Common Knowledge and Alternative Accounting Regimes : An Experimental Analysis of Artificial Spot Security Markets. Accounting for or from the Market?

Bensimhon, Larry - 2014

formation of financial bubbles. They further have relevant effects on market allocative efficiency, and revenue and wealth …

Persistent link: https://www.econbiz.de/10013067359

Temporary stock market bubbles : further evidence from Germany

Humpe, Andreas; Zakrewski, Mario - In: Investment management and financial innovations 12 (2015) 2, pp. 33-40

Persistent link: https://www.econbiz.de/10011500140

Identifying spillover effect & bubble in Bangladeshi asset markets : an analysis of stock market and real estate

Rahman, Sisili; Das, Biplab; Farah, Tazrina - In: International journal of economics and financial issues … 8 (2018) 6, pp. 76-83

Persistent link: https://www.econbiz.de/10011995922

Asset price bubbles : existence, persistence and migration

Gómez González, José Eduardo; Ojeda-Joya, Jair N.; … - In: The South African journal of economics 85 (2017) 1, pp. 52-67

Persistent link: https://www.econbiz.de/10011667418

Uncertainty Shocks of Trump Election in an Interval Model of Stock Market

Sun, Yuying - 2018

This paper proposes a new class of nonlinear interval models for interval-valued time series (ITS). By matching the interval model with interval observations, we develop a nonlinearminimum-distance estimation method for the proposed models, and establish the asymptotictheory for the proposed...

Persistent link: https://www.econbiz.de/10012907882

Modelling Extreme Financial Returns of Global Equity Markets

Cotter, John - 2007

divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing …

Persistent link: https://www.econbiz.de/10014049088

Valuation of Stocks with Prospects of Dividend Growth

Haslem, John A. - 2012

The exhibits support several conclusions we can draw from use of the Williams and Brigham-Pappas dividend growth models. The particular model selected to describe a stock's dividend time path has a great impact on the stock's identified value. This may be seen in the large differences in stock...

Persistent link: https://www.econbiz.de/10014217463

Stock Market Volatility Dynamics : A Volume Filtered-GARCH Model

Bonelli, Maxime - 2016

We present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns variance. The model can explicitly account for the association between volatility and volume, as well as the persistence in equity variance. Unlike the standard "Mixture of...

Persistent link: https://www.econbiz.de/10012997324

The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes

Joe, Ho Yew - 2017

This paper traces the origin and development of the complex systems theory over the course of history, up to its latest … advancement in the study of stock market crashes. The trail of the theory's fuzzy evolution is expansive that covers the ground of … complex systems theory from another seemingly overlapping theory of the chaos systems. The paper recounts how researchers from …

Persistent link: https://www.econbiz.de/10012966774