Narrow search
Showing 1 - 10 of 260,617
Cover Image
Long-Term Prior Return Patterns in Stock Returns : Evidence from Emerging Markets
Sehgal, Sanjay - 2013
In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South … momentum behavior, India, China and South Korea exhibit contrarian patterns for long-term prior return (24-60 months) as well … doesn't explain abnormal returns on these trading strategies for India and South Korea. It works well for other markets only …
Persistent link: https://www.econbiz.de/10013090123
Cover Image
Size Effect in Indian Stock Market : An Anomaly or a Methodological Artifact
Harshita - 2020
The paper tests if the documented size effect in the Indian stock market is an anomaly with respect to market efficiency or an artifact with respect to data or methodology employed. The study employs two related datasets (one being held constant through the study period, the other being revised...
Persistent link: https://www.econbiz.de/10012850319
Cover Image
Prior Return Effect in Indian Stock Market : An Intra-Day Analysis
Tripathi, Vanita - 2015
In a first of this kind, this paper examines the issue of prior return effect in Indian stock market in intra-day analysis using high frequency data. We document that in Indian stock market, security returns exhibit a reversal in their direction within few minutes of extreme price rises as well...
Persistent link: https://www.econbiz.de/10013022465
Cover Image
Stock Returns Predictability and the Adaptive Market Hypothesis in Emerging Markets : Evidence from India
Hiremath, Gourishankar S. - 2014
behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically …
Persistent link: https://www.econbiz.de/10013047873
Cover Image
Short-term momentum patterns in stock and sectoral returns : evidence from India
Sehgal, Sanjay; Jain, Sakshi - In: Journal of advances in management research : JAMR 8 (2011) 1, pp. 99-122
Persistent link: https://www.econbiz.de/10009260162
Cover Image
Speculative Trading and Stock Returns
Pan, Li - 2014
Making use of the excessively speculative Chinese stock market, we test the effect of speculative trading on stock returns. We find a significantly negative relationship between abnormal turnover and future returns. In contrast, past average turnover does not predict returns. The effect of...
Persistent link: https://www.econbiz.de/10013052812
Cover Image
Rational Speculative Bubbles : Evidence from Asian Stock Markets
Szulczyk, Kenneth - 2019
We scrutinize China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, South Korea, Taiwan, and Thailand for the presence of rational bubbles by employing several tests on a large dataset that includes three bubble episodes. We also convert most tests into recursive to overcome structural...
Persistent link: https://www.econbiz.de/10012900323
Cover Image
High and low frequency correlations in global equity markets
Engle, Robert F.; Rangel, José Gonzalo - 2009
This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008. These two types of variations are modeled following the semi-parametric Factor-Spline-GARCH...
Persistent link: https://www.econbiz.de/10003909596
Cover Image
High and Low Frequency Correlations in Global Equity Markets
Engle, Robert F. - 2011
We model high and low frequency variation in global equity correlations using a sample of 43 countries, including developed and emerging markets during the period 1995-2008. Such variations are characterized by a multifactor asset pricing structure with second-moments dynamics leading to high...
Persistent link: https://www.econbiz.de/10013130349
Cover Image
Expected Returns and Volatility of Fama-French Factors
Chabi-Yo, Fousseni - 2010
In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the time-series variation in post-1990 aggregate stock market returns. This predictability is particularly...
Persistent link: https://www.econbiz.de/10013150662