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...

The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery...

Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is...

Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...

The promotion of financial stability is the mission of central banks and market authorities. This mission is more difficult to accomplish when trading activity is associated with financial instability in the form of intraday price jumps. While the literature has widely shown that exogenous news...

Die vorliegende Arbeit untersucht den Zusammenhang zwischen politischen Zyklen und Aktienrenditen in Deutschland. Während sich die bis dato verfügbaren Studien über politisch bedingte Aktienmarktanomalien auf die USA konzentrieren, analysieren wir deren Existenz in deutschen Aktienrenditen....

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the...

This paper applies the MV criterion, CAPM statistics, and the modified stochastic dominance tests to examine the stochastic dominance (SD) relationship between the spot and futures markets in Malaysia and investigates the preference of these markets for risk averters and risk seekers before...

This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...

We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not...