Asymmetric mean reversion in low liquid markets : evidence from BRVM
Year of publication: |
2019
|
---|---|
Authors: | Gbenro, Nathaniel ; Moussa, Richard Kouamé |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 12.2019, 1/38, p. 1-19
|
Subject: | stock market efficiency | mean reversion | half-life | asymmetry | rolling regression | Effizienzmarkthypothese | Efficient market hypothesis | Mean Reversion | Mean reversion | Aktienmarkt | Stock market | Schätzung | Estimation | Börsenkurs | Share price |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm12010038 [DOI] hdl:10419/239019 [Handle] |
Classification: | c58 ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Are Korean industry-sorted portfolios mean reverting?
Moon, Seongman, (2016)
-
Asymmetric mean reversion in low liquid markets: Evidence from BRVM
Gbenro, Nathaniel, (2019)
-
Mean Reversion in International Stock Markets : An Empirical Analysis of the 20th Century
Spierdijk, Laura, (2012)
- More ...
-
Asymmetric mean reversion in low liquid markets: Evidence from BRVM
Gbenro, Nathaniel, (2019)
-
Heteroskedasticity in one-way error component probit models
Moussa, Richard Kouamé, (2019)
-
Heteroskedasticity in one-way error component probit models
Moussa, Richard Kouamé, (2019)
- More ...