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Efficient Markets Hypothesis in Canada:‎ a comparative study between Islamic and Conventional stock markets ‎

neifar, malika - 2020

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data from 2004M08 to 2018M04 of stock prices by using linear and nonlinear (KSS 3 type, ‎Sollis and Kruse) unit root tests. The informational market efficiency is examined in the ‎Islamic and...

Persistent link: https://www.econbiz.de/10015219517

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

Bonga, Wellington Garikai - 2019

Understanding the pattern of stock market volatility is important to investors as well as for investment policy …. Volatility is directly associated with risks and returns, higher the volatility the more financial market is unstable. The … volatility of the Zimbabwean stock market is modeled using monthly return series consisting of 109 observations from January 2010 …

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

Analysis of HF data on the WSE in the context of EMH

Strawinski, Pawel; Slepaczuk, Robert - 2008

This paper focuses on one of the heavily tested issue in the contemporary finance, i.e. efficient market hypothesis (EMH). However, we try to find the answers to some fundamental questions basing on the analysis of high frequency (HF) data from the Warsaw Stock Exchange (WSE). We estimate model...

Persistent link: https://www.econbiz.de/10015264761

GFH validity for Canada, UK, and Suisse stock markets: Evidence ‎from univariate and panel ARDL models

NEIFAR, MALIKA; HACHICHA, Fatma - 2022

In this paper we propose a decision support tool for the investor in terms of asset allocation. ‎The key question is to know whether equities are perfect hedge against inflation if either we ‎invest in only one market or if we go to all the considered markets. We chose three democratic...

Persistent link: https://www.econbiz.de/10015268602

Macroeconomic Factors and UK Stock Market: Evidence through the Non-Linear ARDL model

NEIFAR, MALIKA - 2023

In this study, we examined the impact of some relevant UK macroeconomic factors, such as consumer price, interest rate, and exchange rates on UK stock price fluctuation by using the monthly data from 2008m01 to 2018m04. A general form of asymmetric Non-linear Auto-Regressive Distributed Lag...

Persistent link: https://www.econbiz.de/10015269462

Structural Breaks and Testing for the Random Walk Hypothesis in International Stock Prices

Chancharat, Surachai; Valadkhani, Abbas - 2007

This paper examines whether stock prices for 16 countries are trend stationary or follow a random walk process using the (Zivot and Andrews, 1992) and (Lumsdaine and Papell, 1997) tests and monthly data (1987:12-2005:12). With one structural break, the ZA test results provide evidence in favour...

Persistent link: https://www.econbiz.de/10015239030

Random Walk and Multiple Structural Breaks In Thai Stock Market

Chancharat, Surachai; Kamalian, Amin Reza; Valadkhani, Abbas - 2009

The Zivot and Andrews (1992) one-break and Lumsdaine and Papell (1997) two-break unit root tests are used to investigate the random walk hypothesis in Thai stock prices for the period December 1987 to December 2005. The results provide strong evidence that the Thai stock prices are characterized...

Persistent link: https://www.econbiz.de/10015239031

Volatility Spillovers in Emerging Markets During the Global Financial Crisis: Diagonal BEKK Approach

Erten, Irem; Tuncel, Murat B.; Okay, Nesrin - 2012

The fundamental aim of the paper is to analyze the presence and magnitude of the volatility transmissions in emerging … indicate that there exist significant volatility spillover effects for all five countries, though the spillovers are not …

Persistent link: https://www.econbiz.de/10015242692

Re-examining Turkey's trade deficit with structural breaks: Evidence from 1989-2011

Erten, Irem; Okay, Nesrin - 2012

The goal of this paper is to examine the sustainability of the trade deficit of Turkey with cointegration techniques allowing for structural breaks. We follow Husted (1992) model, which shows that if a country’s exports and imports are cointegrated, and if the cointegrating vector is (1,-1),...

Persistent link: https://www.econbiz.de/10015242693

Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods

Sehgal, Sanjay; Gupta, Priyanshi; Deisting, Florent - 2014

In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their...

Persistent link: https://www.econbiz.de/10015247462