An Empirical Investigation of the Distribution of Stock-market Prices and Weak-form Efficiency of the Brussels Stock Exchange PDF Download
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Author: Baldomero V. Regidor
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 546
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Author: Baldomero V. Regidor
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 546
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Book Description
Author: Baldomero V. Regidor
Publisher:
ISBN:
Category :
Languages : en
Pages : 214
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Author: Baldomero V. Regidor
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Baldomero V. Regidor
Publisher:
ISBN:
Category :
Languages : en
Pages : 428
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Author: Sebastian Harder
Publisher: GRIN Verlag
ISBN: 3640743768
Category : Business & Economics
Languages : en
Pages : 65
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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.
Author: Shigeyuki Hamori
Publisher: Springer Science & Business Media
ISBN: 1441992081
Category : Business & Economics
Languages : en
Pages : 140
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An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.
Author: B. Regidor
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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The main objective of this thesis is to show that additional insights, beyond the verdict of market efficiency/inefficiency, can be obtained from those existing statistical tests of the weak-form efficient markets hypothesis (EMH). As an introduction, Chapter 1 provides the background and outline of this thesis. Chapter 2 then surveys the relevant literature and discusses the motivations behind the development of the three key research questions addressed in Chapter 3 through 5, respectively. Chapter 3 examines the association between trade liberalization and the weak-form efficiency of stock market, motivated by the production-based asset pricing model of Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92]. Using data from 23 developing countries over the sample period of 1992-2006, we find that a greater level of de facto trade openness is associated with a higher degree of informational efficiency in these emerging stock markets, even after controlling for trading volume and market return volatility. Further analyses find no significant association between the extent of financial openness and the degree of informational efficiency. While Chapter 3 provides novel evidence on the association between trade openness and stock market efficiency, our empirical work can also be viewed as addressing the issue of whether the existing theoretical determinants (i.e. trading volume, return volatility, trade liberalization and financial openness) are capable of explaining the variations of index return autocorrelations across countries and over time. Chapter 4 employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of 50 countries over the common sample period of 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high incom.
Author: Gabriel A. Hawawini
Publisher: Facsimiles-Garl
ISBN:
Category : Capital market
Languages : en
Pages : 496
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Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 816
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