Download or read book Stock Markets Efficiency and Volatility Tests written by Chien-Te Hsu and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Relationship Between Regression and Volatility Tests of Market Efficiency written by Jeffrey A. Frankel and published by . This book was released on 1983 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Market Efficiency Tests written by Tim Bollerslev and published by . This book was released on 1992 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a selective survey of the voluminous literature on tests for market efficiency. The ideas discussed include standard autocorrelation tests, multi-period regression tests and volatility tests. The formulation and estimation of models for time-varying volatility are also considered. Dependence in second-order moments plays an important role in implementing and understanding tests for market efficiency. All of the reported test statistics and model estimates are calculated with monthly data on value-weighted NYSE stock prices and dividends. The distributions of the test statistics under various alternatives, including fads and bubbles, are illustrated through the use of Monte Carlo methods. In addition to the standard constant discount rate present value model, we postulate and simulate a new fundamental price relationship that accounts for the time-varying uncertainty in the monthly dividend growth rates. Allowing the discount rate to be a function of the time-varying uncertainty in the dividend process results in a simulated fundamental price series that is broadly consistent with most of the sample statistics of the actual data.
Download or read book The Use of Volatility Measures in Assessing Market Efficiency written by Robert J. Shiller and published by . This book was released on 1981 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: My initial motivation for considering volatility measures in the efficient markets models was to clarify the basic smoothing properties of the models to allow an understanding of the assumptions which are implicit in the notion of market efficiency. The efficient markets models, which are described in section II below , relate a price today to the expected present value of a path of future variables. Since present values are long weighted moving averages, it would seem that price data should be very stable and smooth. These impressions can be formalized in terms of inequalities describing certain variances (section III). The results ought to be of interest whether or not the data satisfy these inequalities, and the procedures ought not to be regarded as just "another test" of market efficiency. Our confidence of our understanding of empirical phenomena is enhanced when we learn how such an obvious property of data as its "smoothness" relates to the model, and to alternative models (section IV below).On further examination of the volatility inequalities, it became clear that the inequalities may also suggest formal tests of market efficiency that have distinct advantages over conventional tests. These advantages take the form of greater power in certain circumstances of robustness to data errors such as misalignment and of simplicity and understandability. An interpretation of volatility tests versus regression tests in terms of the likelihood principle is offered in section V
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Download or read book Market Volatility Market Efficiency and Variance Bounds Tests written by Robert Melvin Peevey and published by . This book was released on 1991 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing Stock Market Efficiency with Volatility Statistics written by Gary S. Shea and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Market Efficiency Tests written by Tim Bollerslev and published by . This book was released on 2004 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a selective survey of the voluminous literature on tests for market efficiency. The ideas discussed include standard autocorrelation tests, multi-period regression tests and volatility tests. The formulation and estimation of models for time-varying volatility are also considered. Dependence in second-order moments plays an important role in implementing and understanding tests for market efficiency. All of the reported test statistics and model estimates are calculated with monthly data on value-weighted NYSE stock prices and dividends. The distributions of the test statistics under various alternatives, including fads and bubbles, are illustrated through the use of Monte Carlo methods. In addition to the standard constant discount rate present value model, we postulate and simulate a new fundamental price relationship that accounts for the time-varying uncertainty in the monthly dividend growth rates. Allowing the discount rate to be a function of the time-varying uncertainty in the dividend process results in a simulated fundamental price series that is broadly consistent with most of the sample statistics of the actual data.
Download or read book The Egyptian Stock Market written by Mr.Mauro Mecagni and published by International Monetary Fund. This book was released on 1999-04-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the four best known daily indices indicate significant departures from the efficient market hypothesis; the tendency for returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly affected during the market downturn that followed the introduction of circuit breakers in the form of symmetric price limits on individual shares.
Download or read book Weak Form Efficiency Tests written by Björn Schubert and published by GRIN Verlag. This book was released on 2009-07-20 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2009 in the subject Business economics - Investment and Finance, grade: 2,3, University of Edinburgh, language: English, abstract: While using standard tests of weak form market efficiency along with the more recent DELAY test, this report examines if the returns of six selected stocks and two decile indices follow a random walk which would evidence the non-predictability of future stock returns by historical prices which is a necessary condition for the weakest form of market efficiency. The evidence of four different measurement tests suggests that except of one stock all stocks and indices drift away from the weak form market efficiency hypothesis.
Download or read book The Efficient Market Hypothesis and its Application to Stock Markets written by Sebastian Harder and published by GRIN Verlag. This book was released on 2010-11-08 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.
Download or read book Market Volatility written by Robert J. Shiller and published by MIT Press. This book was released on 1992-01-30 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Download or read book Regression Vs Volatility Tests of the Efficiency of Foreign Exchange Markets written by Jeffrey A. Frankel and published by . This book was released on 1987 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Efficiency written by Andrew Wen-Chuan Lo and published by . This book was released on 1997 with total page 746 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Choosing Leadership written by Linda Ginzel and published by Agate Publishing. This book was released on 2018-10-16 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Choosing Leadership is a new take on executive development that gives everyone the tools to develop their leadership skills. In this workbook, Dr. Linda Ginzel, a clinical professor at the University of Chicago’s Booth School of Business and a social psychologist, debunks common myths about leaders and encourages you to follow a personalized path to decide when to manage and when to lead. Thoughtful exercises and activities help you mine your own experiences, learn to recognize behavior patterns, and make better choices so that you can create better futures. You’ll learn how to: Define leadership for yourself and move beyond stereotypes Distinguish between leadership and management and when to use each skill Recognize the gist of a situation and effectively communicate it with others Learn from the experience of others as well as your own Identify your “default settings” and become your own coach And much more Dr. Linda Ginzel is a clinical professor of managerial psychology at the University of Chicago’s Booth School of Business and the founder of its customized executive education program. For three decades, she has developed and taught MBA and executive education courses in negotiation, leadership capital, managerial psychology, and more. She has also taught MBA and PhD students at Northwestern and Stanford, as well as designed customized educational programs for a number of Fortune 500 companies. Ginzel has received numerous teaching awards for excellence in MBA education, as well as the President’s Service Award for her work with the nonprofit Kids In Danger. She lives in Chicago with her family.
Download or read book Efficiency and Volatility Dynamics of Bangladesh s Stock Market written by Md Abu Hasan and published by Cambridge Scholars Publishing. This book was released on 2024-02-06 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to empirical finance by comprehensively analysing an emerging stock market, employing modern econometric techniques. The most central and fascinating area of financial economics is probably the efficiency and volatility of the stock market – however, studies of emerging economies are relatively limited in this area. The rising importance of stock market globalisation has increased interest in emerging markets. This book leads the way for an emerging market perspective, as it explores the issue of efficiency and volatility of the stock market in Bangladesh by employing both univariate and multivariate models, using daily data of past share prices and monthly data of macroeconomic variables and the stock index, respectively. This book offers an understanding of the crucial issues facing developing economies, particularly emerging stock markets with similar characteristics to those of Bangladesh. This book undoubtedly provides valuable information for investors in the stock market, graduate, post-graduate, and PhD students in quantitative financial economics, academics in economics and finance, and policymakers in developing economies.
Download or read book Stock Market Equilibrium and Macroeconomic Fundamentals written by Mr.Lamin Leigh and published by International Monetary Fund. This book was released on 1997-01-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper establishes that the Singapore stock market is both “weakly” and “semi-strongly” efficient in asset-pricing terms but not “strongly” efficient. Granger causality tests based on the efficiency test results indicate that developments in the stock market appear to be systematically related to the overall economy in Singapore and can thus serve as a leading indicator of its intertemporal behavior.
