This paper presents investigation on the efficient market hypothesis of extreme stock return
based on peaks over threshold method, by application of 10% Value at risk (VaR) quantile …

The efficient market hypothesis (EMH) states that security prices reflect all available
information and investors cannot earn excess return by trading on the basis of this …

Could the COVID‐19 related market crash and subsequent rebound be explained as a
rational response to evolving conditions? Our results using multiple forward‐looking …

This study tries to determine whether the Indian stock market is efficient by examining if the
stock returns follow a random walk. Following previous studies, we use autocorrelation, the …

As long as financial markets are concerned, for many years' economists, statisticians and
financial analyst have been interested in developing and testing models of stock price …

The market volatility is one of the most pioneering topics in financial literature. If any
potential investor understands the pattern of volatility, the prediction becomes easier and …

Contemporary empirical literature is rich in studies that have modelled and forecasted the
nature and behavior of volatility of equity returns in both emerging and advanced stock …

Futures markets, through carrying considerable impact on the spot market, serving such
functions as price discovery and risk reduction for all market participants, and providing …

Abstract The Fama (1970) market-form hypothesis has been subjected to empirical tests in
various capital markets worldwide. G ARCH analysis of stock prices of twenty sampled firms …

The article is devoted to the issue of the application of econometric concept of cointegration
and error correction models (VECM) to study the relationship between futures prices and …