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Hülya Yilmaz,Bülent Ilhan
Pág. 26 - 38
This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to Marc...
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Henri Siro Evrard,June Alisson Westarb Cruz
Pág. 59 - 92
The present work aims to verify the efficiency of factors of return in predicting stocks? returns traded in BM&FBovespa. Have been tested 39 models, grouping 16 variables in their totality, in families and in isolation. All the models have been tested us...
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ANI STOITSOVA-STOYKOVA, Vladimir Tsenkov
Pág. 31 - 56
The study uses the GARCH models to estimate market efficiency of eleven stock markets from South East Europe (SEE) - Bulgaria, , Croatia, Greece, Serbia, Slovenia, Turkey, Romania, Montenegro, Macedonia, Banja Luka and Sarajevo (Bosnia and Herzegovina) o...
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Glener de Almeida Dourado,Benjamin Miranda Tabak
Pág. 517?553
The goal of this paper is to evaluate Brazilian stock market efficiency using daily data for the Sao Paulo Stock Exchange Index from January 1995 to December 2012. We employ a variance ratio statistic with wild bootstrap, developed to test linear depende...
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José Carneiro da Cunha Oliveira Neto,Otávio Ribeiro de Medeiros,Thiago Bergmann de Queiroz
Pág. 149 - 172
Based on intraday data with a frequency of 15 minutes, the present study investigates the relationship between the high corporate governance market (IGC) and the traditional market (IBrX). The hypothesis tested is that a higher level of corporate governa...
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Regis Augusto Ely
Pág. 571 - 584
This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates th...
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Antonio Zoratto Sanvicente,Renato Teles Delgado
Pág. 113 - 139
This paper tested the Pástor and Veronesi (2003) hypothesis that the market-to-book ratio (M/B) is negatively related to the number of years (age) during which a firm has had its stock traded on an Exchange. The predicted decline takes place as a result ...
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Evangelos Vasileiou
Pág. 45 - 63
This paper examines how the largest stock market of the world, the U.S., and particularly the S&P500 index, reacted during the COVID-19 outbreak (02.01.2020-30.04.2020). Using simple financial and corporate analysis (adopting Constant Growth Model) proce...
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Evangelos Vasileiou
This paper examines how the largest stock market of the world, the U.S., and particularly the S&P500 index, reacted during the COVID-19 outbreak (02.01.2020-30.04.2020). Using simple financial and corporate analysis (adopting Constant Growth Model) proce...
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J. F. Affleck-Graves,A. H. Money,K. Miedema
AbstractBetting on the racetrack and investing in the stockmarket have many characteristics in common. These similarities are discussed in this paper and the applicability of efficient markets theory to the market for horse racing bets in South Africa is...
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Hany Fahmy
Pág. 169 - 184
The issue of market e¢ ciency attracted the attention of academicians since the existence of financial markets. Over time, two schools of thoughts were established: the efficient markets school and the behavioral finance school. Proponents of the former ...
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Elmar Grater,Jean Struweg
AbstractThis paper furthers the work on efficiency of developing markets with specific focus on the JSE Limited. Empirical work on the efficiency of the JSE has been mixed; evidence both in favour of and against weak form efficiency is prominent. If mark...
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Sanjiv R. Das, Karthik Mokashi and Robbie Culkin
We examine the use of deep learning (neural networks) to predict the movement of the S&P 500 Index using past returns of all the stocks in the index. Our analysis finds that the future direction of the S&P 500 index can be weakly predicted by the...
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Lya Paola Sierra,Luis Eduardo Girón,Carolina Osorio
Pág. 15 - 22
This article evaluates the hypothesis that returns of metal prices are unpredictable (i.e under the weak form Efficient Market Hypothesis). The possible effect that financialization in the commodity market has had in the predictability of this is also ev...
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This paper examined the Efficient Market Hypothesis (EMH) for seven financial markets located in the Gulf Cooperative Council (GCC) countries; Bahrain Securities Market (BSE), Qatar?s Doha Financial Market (DFM), Kuwait Securities Market (KSE) , Oman?s M...
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Faheem Aslam, Wahbeeah Mohti and Paulo Ferreira
This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by a...
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Mishelle Doorasamy,Prince Kwasi Sarpong
Pág. 93 - 100
Peters (1994) proposed the fractal market hypothesis (FMH) as an alternative to the efficient market hypothesis, following his criticism of the EMH. In this study, we analyse whether the fractal nature of a financial market determines its riskiness and d...
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Mydhili Virigineni,M. Bhaskara Rao
Pág. 448 - 459
Investors need not be rational for markets to be efficient. The axiom of efficient market hypothesis that it is not possible to earn excess profits because the available information gets factored in instantaneously fell flat due to influence of human beh...
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Mariya Georgieva Paskaleva,Ani Stoitsova-Stoykova
Pág. 172 - 179
We examine the market efficiency and the linkages between financial market dynamics and iTraxx Europe of the equity markets of South East Europe (SEE). Therefore, this study aims to answer whether there exists a difference between the stock market perfor...
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Bilal Farooq, Eric J. Miller, Franco Chingcuanco, Martin Giroux-Cook
Pág. 41 - 51
In the context of integrated transportation and other urban engineering infrastructure systems, there are many examples of markets, where consumers exhibit price-taking behavior. While this behavior is ubiquitous, the underlying mechanism can be captured...
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