The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...

Purpose - The economic and administrative conditions of countries normatively have an effect on the economy and level of market development. Moreover, it is of great importance for a healthy economy whether the public institutions and organizations are transparent and functioning in accordance...

This study investigates how the Global Financial Crisis has affected the weak-form Efficient Market Hypothesis (EMH) on the stock prices of sixteen nations throughout the globe based on a suite of Fourier unit root tests. Considering the smooth structural breaks, we employed the Fourier-based...

Previous research indicates that performance and volatility of small and regional stock markets can be influenced by the performance of major world exchanges such as New York, Frankfurt or Tokyo stock exchange. This research analyses weekly composite index data for SASE (Sarajevo Stock...

Financial integration is one of the buzz words in financial world. The co movement of share prices across the stock markets in the world is a frequently experienced phenomenon. Especially during the times of crisis it is observed that the stock markets crash together. The oil crisis of 1973, the...

Following the recent financial crisis, increasing the transparency of credit default swap (CDS) markets has been a popular goal among regulators. We examine how changes in the transparency of the CDS market can impact liquidity in the corresponding equity market. We first extend a model of...

This paper examines how gambling-motivated trading affects aggregate financial market outcomes. Using a unique global gambling data set covering 39 countries, we show that the dollar volume of stock market gambling is at least 3.5 times the combined volume of “traditional” gambling outlets...

Efficiency in stock markets is essential for economic stability and growth. This study investigates the efficiency and herding behavior of the stock markets from the top economies of the world (known as G20 countries). We classify stock market indices using MSCI classification for the developed...

This paper shows that analyst recommendations aggregated at the country level predict international stock market returns. A trading strategy based on past country-level recommendations yields an abnormal return of around 0.9 percent per month. Aggregate analyst recommendations also predict...

This paper analyzes mean reversion in international stock markets during the years 1900 – 2009, using annual data. Our panel of stock indices in 18 OECD countries allows us to analyze in detail the dynamics of the mean-reversion process. In the period 1900 – 2009 it takes stock prices about...