Search Results - subject:"Variance Ratio"

Evolving efficiency of stock returns and market conditions : the case from Croatia

Bosnjak, Mile - In: Montenegrin journal of economics 19 (2023) 1, pp. 107-116

Persistent link: https://www.econbiz.de/10013479592

Do consumption-based asset pricing models explain own-history predictability in stock market returns?

Ashby, Michael F.; Linton, Oliver - 2022

Persistent link: https://www.econbiz.de/10013486082

Inference on the dimension of the nonstationary subspace in functional time series

Nielsen, Morten Ørregaard; Seo, Wonk-ki; Seong, Dakyung - 2022

Persistent link: https://www.econbiz.de/10012816384

Do short selling and margin trading affect price randomness?

Enkhzul, Mendee; Jun, Sang-Gyung - In: Global Business & Finance Review (GBFR) 26 (2021) 3, pp. 1-13

many equity markets since Lo and MacKinley (1988) work, which proposes the variance ratio test for the random walk …, Lo and MacKinley (1989) indicate that the variance ratio test is more reliable and more powerful than the two tests …. Ayadi and Pyun (1994) also acknowledge that the variance ratio test is more appealing than other traditional tests for the …

Persistent link: https://www.econbiz.de/10013185585

Do short selling and margin trading affect price randomness?

Enkhzul, Mendee; Jun, Sang-Gyung - In: Global business and finance review 26 (2021) 3, pp. 1-13

Persistent link: https://www.econbiz.de/10012695861

Testing for efficiency in the Saudi stock market : does corporate governance change matter?

Al-Faryan, Mamdouh Abdulaziz Saleh; Dockery, Everton - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 61-90

Persistent link: https://www.econbiz.de/10012549902

Role of early warning systems in predicting the stock price crisis : what we learnt from grasshopper and ants fable

Habibi, Reza - In: Financial studies 25 (2021) 2, pp. 6-20

Early warning systems are too important tools in predicting the crisis in financial institutions say banks and stock markets. A consequence of crashes in a specified stock or stock market is financial crisis. This paper considers designing an early warningsystem based on random walk theory and...

Persistent link: https://www.econbiz.de/10012664524

The short-term mean reversion of stock price and the change in trading volume

Jung, Woosung; Kang, Mhin - In: Journal of derivatives and quantitative studies : … 29 (2021) 3, pp. 190-214

in the Korean stock market. Through the variance ratio test, this paper finds that the market shows the mean reversion …

Persistent link: https://www.econbiz.de/10012658724

Testing for efficiency in the Saudi stock market: does corporate governance change matter?

Al-Faryan, Mamdouh Abdulaziz Saleh; Dockery, Everton - In: Review of Quantitative Finance and Accounting (2020) Latest Articles, pp. 1-30

, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole …

Persistent link: https://www.econbiz.de/10012306206

The existence of random walk in the Philippine stock market : evidence from unit root and variance-ratio tests

Camba, Abraham C. <Jr>; Camba, Aileen L. - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 10, pp. 523-530

Persistent link: https://www.econbiz.de/10012671436