Efficient market hypothesis for Malaysian extreme stock return: Peaks over a threshold method
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 …
based on peaks over threshold method, by application of 10% Value at risk (VaR) quantile …
Does the Indian Stock Market Exhibit Random Walk?
JJ Dsouza, T Mallikarjunappa - Paradigm, 2015 - journals.sagepub.com
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 …
information and investors cannot earn excess return by trading on the basis of this …
Rational repricing of risk during COVID‐19: Evidence from Indian single stock options market
SK Agarwalla, JR Varma… - Journal of Futures Markets, 2021 - Wiley Online Library
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 …
rational response to evolving conditions? Our results using multiple forward‐looking …
Examining market efficiency in India: An empirical analysis of the random walk hypothesis
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 …
stock returns follow a random walk. Following previous studies, we use autocorrelation, the …
Market efficiency in India: an empirical study of random walk hypothesis of Indian stock market–NSE midcap
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 …
financial analyst have been interested in developing and testing models of stock price …
Dynamics of Indian stock market volatility
I Narula - International Journal of Innovation and …, 2022 - inderscienceonline.com
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 …
potential investor understands the pattern of volatility, the prediction becomes easier and …
Modeling South African Stock Market Volatility Using Univariate Symmetric and Asymmetric GARCH Models
W Rusere, F Kaseke - Indian Journal of Finance and Banking, 2021 - cribfb.com
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 …
nature and behavior of volatility of equity returns in both emerging and advanced stock …
[PDF][PDF] A nonlinear analysis of weak form efficiency of stock index futures markets in CEE emerging economies
EC Karadagli, MG Donmez - International research journal of …, 2012 - researchgate.net
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 …
functions as price discovery and risk reduction for all market participants, and providing …
Capital market efficiency. An empirical test of the weak-form in the nigerian capital market
BM Nwidobie, JB Adesina - Journal of Advanced Studies in …, 2014 - search.proquest.com
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 …
various capital markets worldwide. G ARCH analysis of stock prices of twenty sampled firms …
[PDF][PDF] Some aspects of application of VECM analysis for modeling causal relationships between spot and futures prices
E Marcinkiewicz - Optimum. Economic Studies, 2014 - bibliotekanauki.pl
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 …
and error correction models (VECM) to study the relationship between futures prices and …