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Long Term Trend Analysis in the Capital Market – The Case of Serbia

Radukić, Snežana; Radović, Milica - In: Journal of Central Banking Theory and Practice 3 (2014) 3, pp. 5-18

The paper explores the possibility of making investment decisions in emerging markets by using the trend analysis … (MACD): an intermediate term of 50 days and a long-term one of 100 days. The above mentioned moving averages identify the … establishment of a trend, the cessation of the existing one, a change and an establishment of the new one. The capital market in …

Persistent link: https://www.econbiz.de/10010930546

Modelling stock returns in Africa’s emerging equity markets.

Alagidede, Paul; Panagiotidis, Theodore - 2009

We investigate the behaviour of stock returns in Africa’s largest markets namely, Egypt, Kenya, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe. The validity of the random walk hypothesis is examined and rejected by employing a battery of tests. Secondly we employ smooth transition and...

Persistent link: https://www.econbiz.de/10005518402

Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange.

Alagidede, Paul; Panagiotidis, Theodore - School of Business and Economics, Loughborough University - 2006

This paper investigates two calendar anomalies in an emerging African market. Both the day of the week and month of the year effects are examined for Ghana. The latter is an interesting case because i) it operates for only three days per week during the sample period and ii) the increased focus...

Persistent link: https://www.econbiz.de/10005423019

Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices

Brännäs, Kurt; Soultanaeva, Albina - Institutionen för Nationalekonomi, Umeå Universitet - 2006

The impact of news of the Moscow and New York stock market exchanges on the returns and volatilities of the Baltic state stock market indices is studied using daily return data for the period of 2000-2005. A nonlinear time series model that accounts for asymmetries in the conditional mean and...

Persistent link: https://www.econbiz.de/10005424050

Market Efficiency and the Euro: The case of the Athens Stock Exchange

Panagiotidis, Theodore - EconWPA - 2005

The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the...

Persistent link: https://www.econbiz.de/10005413222

Precious Metals Under the Microscope: A High-Frequency Analysis

Caporin, Massimiliano; Ranaldo, Angelo; Velo, Gabriel G. - School of Finance, Universität St. Gallen - 2014

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find...

Persistent link: https://www.econbiz.de/10011154569

Outlier Detection in GARCH Models

Doornik, Jurgen A.; Ooms, Marius - Tinbergen Instituut - 2005

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second...

Persistent link: https://www.econbiz.de/10011257361

Calendar Anomalies in the Ghana Stock Exchange

Alagidede, Paul; Panagiotidis, Theodore - In: Journal of Emerging Market Finance 8 (2009) 1, pp. 1-23

Both the day of the week and the month of the year effects are examined for the Ghana Stock Exchange. The latter is an interesting case because (a) it operates for only 3 days per week during the sample period and (b) the increased focus that African stock markets have received lately from both...

Persistent link: https://www.econbiz.de/10010772791

Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

This paper proposes a model that simultaneously captures long memory and structural breaks. We model structural breaks through irreversible Markov switching or so-called change-point dynamics. The parameters subject to structural breaks and the unobserved states which determine the position of...

Persistent link: https://www.econbiz.de/10010851215

The Montenegrin Capital Market: Calendar Anomalies

Karadžic, Vesna; Vulic, Tamara Backovic - In: Economic Annals 56 (2011) 191, pp. 107-107

Many researchers have shown that capital markets in CEE countries are weakly efficient in terms of calendar anomalies. The goal of this paper is to investigate whether the capital market in Montenegro is efficient regarding some of these anomalies. The main characteristics of the Montenegrin...

Persistent link: https://www.econbiz.de/10011039135