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Sur-réaction sur le marché tunisien des actions : une investigation empirique
Trabelsi, Mohamed Ali - Volkswirtschaftliche Fakultät, … - 2008
, etc. putting in question the notion of market efficiency and thereafter the predictability of assets returns. In the same …
Persistent link: https://www.econbiz.de/10008728054
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Why African Stock Markets Should Formally Harmonise and Integrate their Operations
Ntim, Collins G - Volkswirtschaftliche Fakultät, … - 2012
remain highly fragmented, small, illiquid and technologically weak, severely affecting their informational efficiency …. Therefore, this study attempts to empirically ascertain whether African stock markets can improve their informational efficiency … of statistically significant weak form informational efficiency of the African continent-wide share price indices over …
Persistent link: https://www.econbiz.de/10011108992
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Pengaruh Variabel Fundamental terhadap Harga Saham Perusahaan Go-public di Bursa Efek Indonesia periode 2003-2006
Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2008
This study aimed to test five fundamental factors (growth, profitability, leverage, liquidity, and efficiency) and two …
Persistent link: https://www.econbiz.de/10009651400
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Testing Efficiency Performance of an Underdeveloped Stock Market
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2007
employed to assess the weak-form efficiency of Khartoum Stock Exchange (KSE) market. The finding of the paper indicates the …
Persistent link: https://www.econbiz.de/10005105676
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Market characteristics and chaos dynamics in stock markets: an international comparison
Mattarocci, Gianluca - Volkswirtschaftliche Fakultät, … - 2006
The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series. In fact, the Fractal Market Hypothesis assumes that the returns dynamics are not independent of the investors’ attitudes and represent the...
Persistent link: https://www.econbiz.de/10005835468
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A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors
Marcello, Pericoli; Marco, Taboga - Volkswirtschaftliche Fakultät, … - 2005
We derive a canonical representation for the no-arbitrage discrete-time term structure models with both observable and unobservable state variables, popularized by Ang and Piazzesi (2003). We conduct a specification analysis based on this canonical representation. We show that some of the...
Persistent link: https://www.econbiz.de/10005835484
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Stock market volatiltity around national elections
Bialkowski, Jedrzej; Gottschalk, Katrin; Wisniewski, Tomasz - Volkswirtschaftliche Fakultät, … - 2006
This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the country-specific component of index return variance can easily double during the week around an Election Day, which shows that investors are...
Persistent link: https://www.econbiz.de/10005835600
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Fixed-income instrument pricing.
ilya, gikhman - Volkswirtschaftliche Fakultät, … - 2006
In this article we discuss the fundamentals of pricing of the popular financial instruments. The basic point of our approach is to extend the present value benchmark concept. The present value valuation approach plays the similar role as The Newton Laws in the Classic Mechanics. Thus our primary...
Persistent link: https://www.econbiz.de/10005835618
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Day-of-the-week effects in selected East Asian stock markets
Chia, Ricky Chee-Jiun; Liew, Venus Khim-Sen; Wafa, Syed … - Volkswirtschaftliche Fakultät, … - 2007
This study examines the day-of-the-week effects in the Taiwan, Singapore, Hong Kong and South Korea stock markets. Various significant day-of-the-week effects, including the typical negative Monday and positive Friday effects are detected in the stock markets Taiwan, Singapore and Hong Kong....
Persistent link: https://www.econbiz.de/10005835645
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Information Exchange and the Limits of Arbitrage
Gray, Wesley - Volkswirtschaftliche Fakultät, … - 2008
Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...
Persistent link: https://www.econbiz.de/10005835710