This study seeks evidence on whether the return series on Bangladesh's Dhaka Stock Exchange (DSE) is independent and follows the random walk model. The study focuses on assessing if the DSE deviates from idealised efficiency. The sample primarily includes all the listed companies on the DSE...

We implement an agent-based financial market model simulation in which agents follow technical and fundamental trading rules to determine their speculative investment positions. We consider direct interactions between speculators due to which they may decide to change their trading behaviour....

This study features the impact of takeovers on the event firms traded on the Stock Exchange of Thailand (SET). The study investigates a long-window abnormal return, or during a period of twelve months before and after the announcements using several metrics. The traditional models and the latest...

El presente trabajo tiene como objetivo comprobar la eficiencia débil en los 5 principales mercados bursátiles de Latinoamérica, usando 2 enfoques; primero se evalúa la normalidad de las series mediante las estadísticas básicas, el test Jarque-Bera y la prueba de bondad de ajuste de la...

We conduct an extensive examination of profitability of technical analysis in ten emerging foreign exchange markets. Studying 25988 trading strategies for emerging foreign exchange markets, we find that best rules can sometimes generate an annually mean excess return of more than 30%. Based on...

Major stock indexes are developed on the market capitalization or price weighted indexation method. The Australian Stock Exchange 50 (ASX50) index is a market capitalization index of the top 50 Australian stocks. Fundamental indexation, equal weighted index and risk weighted index methods have...

This study explores the dynamic relationship between the sentiment of institutional investors and market returns in the futures market. Using data from the Taiwan futures market, the empirical results show that the dynamic relationship between the sentiment of foreign institutional investors and...

This paper examines the time-varying levels of weak-form efficiency and the presence of structural breaks for two worldwide crude oil benchmarks over the period spanning from January 2, 1990, through September 18, 2012. We use two different econophysics approaches for comparison purposes. The...

In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are...

Short-termism need not breed informational price inefficiency even when generating Beauty Contests. We demonstrate this claim in a two-period market with persistent liquidity trading and risk-averse, privately informed, short-term investors and find that prices reect average expectations about...