This article employs six techniques and tools such as chart analysis, chart recurrence, space temporary entropy, Hurst coefficient, Lyapunov exponent and dimension correlation on the copper, gold, oil, silver, zinc, aluminum, nickel, and lead return series to corroborate the existence of a...

The purpose of this research is to investigate the weak form of market efficiency of Asian four selected stock markets. We have taken a daily closing price of stock markets under the study from the 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and...

We investigate the effectiveness of several well-known parametric and nonparametric event study test statistics with security price data from the major Asia-Pacific security markets. Extensive Monte Carlo simulation experiments with actual daily security returns data reveal that the parametric...

This paper investigates which factors drive the prepayment of Peer-to-Peer (P2P) lending based on the data collected from Prosper.com. By using the lending data of 50,109 loans between July 2009 and August 2013, we find that higher interest rate and loan amount indicate lower probability that...

This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this question...

Based on a method developed by Laybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the Nasdaq stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...

In establishing the foundation for their investment process, investors typically set up the investment framework first by dividing their investment universes into different buckets along the combinations of multiple sensible dimensions such as geography and industry. As the framework is applied...

By exploiting momentum strategy; “buying winner portfolio and selling portfolio” this research papers investigates the evidence against the strong form of efficiency which claims that one cannot earn excess return with historical information and excess return if any, is mere compensation of...

The objective / contribution of this study is five-fold: 1) to propose a nonparametric test for seasonality studies, namely the Friedman's test; 2) to test for seasonality for major international indexes; 3) to find out if dividend yields cause seasonalities; 4) to determine if seasonality is...