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On the random walk characteristics of stock returns in India

Hiremath, Gourishankar S; Bandi, Kamaiah - 2009

An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...

Persistent link: https://www.econbiz.de/10015236788

Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test

Hiremath, Gourishankar S; Bandi, Kamaiah - 2010

This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...

Persistent link: https://www.econbiz.de/10015236791

Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India

Hiremath, Gourishankar S; Kumari, Jyoti - 2014

This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...

Persistent link: https://www.econbiz.de/10015244034

Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk

Senarathne, Chamil W; Jayasinghe, Prabhath - 2017

the rate of information arrival, in line with the observations of Lamoureux, and Lastrapes (1990). The linkage between … documented. Accordingly, the tendency of revision of expectation in the presence of new information flow whose frequency as … measured by ‘volume clock’ is observed. In the absence of new information arrival at the market, investors tend to follow the …

Persistent link: https://www.econbiz.de/10015255897

Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis

Hernández, Juan R. - 2014

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

Persistent link: https://www.econbiz.de/10015212259

Economics and the diffusion of communication and information technologies: Joseph Schumpeter and the self-organisation approach

Foster, J. - 1997

information technologies. The objective of this paper is to offer an economic approach which is better suited to understanding …

Persistent link: https://www.econbiz.de/10009448734

Sovereign bond and CDS market contagion: A story from the Eurozone crisis.

Bampinas, Georgios; Panagiotidis, Theodore; Politsidis, … - 2020

We examine the asymmetric and nonlinear nature of the cross- and intra-market linkages of eleven EMU sovereign bond and CDS markets during 2006-2018. By adopting the excess correlation concept of Bekaert et al. (2005) and the local Gaussian correlation approach of Tjøstheim and Hufthammer...

Persistent link: https://www.econbiz.de/10015218354

Financial Development and Economic Growth in Oil-Dependent Economy: The case of Bahrain

Naser, Hanan - 2018

This paper attempts to identify the relationship between energy consumption, oil prices, market shares, dividend yields and economic growth for the Kingdom of Bahrain from year 2006 to 2016. For this purpose, unit root test, Johansen cointegration techniques for analysing the long run...

Persistent link: https://www.econbiz.de/10015261947

Sovereign bond and CDS market contagion: A story from the Eurozone crisis.

Bampinas, Georgios; Panagiotidis, Theodore; Politsidis, … - 2020

Persistent link: https://www.econbiz.de/10015262361

Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange

Bonga, Wellington Garikai - 2019

different magnitude. This simply imply that investors on the Zimbabwean stock exchange react differently to information …

Persistent link: https://www.econbiz.de/10015264181