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Testing For The Random Walk Hypothesis And Structural Breaks In International Stock Prices
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Book Synopsis Dependence in Probability and Statistics by : Paul Doukhan
Download or read book Dependence in Probability and Statistics written by Paul Doukhan and published by Springer Science & Business Media. This book was released on 2010-07-23 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This account of recent works on weakly dependent, long memory and multifractal processes introduces new dependence measures for studying complex stochastic systems and includes other topics such as the dependence structure of max-stable processes.
Author :Gourishankar S. Hiremath Publisher :Springer Science & Business Media ISBN 13 :8132215907 Total Pages :135 pages Book Rating :4.1/5 (322 download)
Book Synopsis Indian Stock Market by : Gourishankar S. Hiremath
Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.
Book Synopsis Handbook of Research on Managerial Thinking in Global Business Economics by : Dinçer, Hasan
Download or read book Handbook of Research on Managerial Thinking in Global Business Economics written by Dinçer, Hasan and published by IGI Global. This book was released on 2018-12-07 with total page 671 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a highly competitive global market, companies need to equip themselves with best practices and strategies to survive. Strategic management, innovative managerial thinking, and a clear decision-making process must be utilized to boost company performance and ultimately drive the company’s success. The Handbook of Research on Managerial Thinking in Global Business Economics identifies the importance of strategic decision making in competitive environments and analyzes the impacts of managerial thinking on global financial economics. The content within this publication examines globalization, consumer behavior, and risk management. It is designed for researchers, academicians, policymakers, government officials, and managers, and covers topics centered on innovation and development within organizations.
Book Synopsis Information Efficiency and Anomalies in Asian Equity Markets by : Qaiser Munir
Download or read book Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Routledge. This book was released on 2016-10-04 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Book Synopsis Detecting Multiple Breaks in Long Memory by : Uwe Hassler
Download or read book Detecting Multiple Breaks in Long Memory written by Uwe Hassler and published by . This book was released on 2016 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multiple structural change tests by Bei and Perron (1998) are applied to the regression by Demetrescu, Kuzin and Hassler (2008) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation persistence as an important issue for monetary policy. We determine not only the location and significance of breaks in persistence, but also the number of breaks. Only one significant break in U.S. inflation persistence (measured by the long-memory parameter) is found to have taken place in 1973, while a second break in 1980 is not significant.
Author :Dr Anthony Buckley Publisher :Academic Conferences and publishing limited ISBN 13 :1911218417 Total Pages :514 pages Book Rating :4.9/5 (112 download)
Book Synopsis ECRM 2017 16th European Conference on Research Methods in Business and Management by : Dr Anthony Buckley
Download or read book ECRM 2017 16th European Conference on Research Methods in Business and Management written by Dr Anthony Buckley and published by Academic Conferences and publishing limited. This book was released on 2017 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of High Frequency Trading by : Greg N. Gregoriou
Download or read book Handbook of High Frequency Trading written by Greg N. Gregoriou and published by Academic Press. This book was released on 2015-02-05 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive examination of high frequency trading looks beyond mathematical models, which are the subject of most HFT books, to the mechanics of the marketplace. In 25 chapters, researchers probe the intricate nature of high frequency market dynamics, market structure, back-office processes, and regulation. They look deeply into computing infrastructure, describing data sources, formats, and required processing rates as well as software architecture and current technologies. They also create contexts, explaining the historical rise of automated trading systems, corresponding technological advances in hardware and software, and the evolution of the trading landscape. Developed for students and professionals who want more than discussions on the econometrics of the modelling process, The Handbook of High Frequency Trading explains the entirety of this controversial trading strategy. - Answers all questions about high frequency trading without being limited to mathematical modelling - Illuminates market dynamics, processes, and regulations - Explains how high frequency trading evolved and predicts its future developments
Book Synopsis A Non-Random Walk Down Wall Street by : Andrew W. Lo
Download or read book A Non-Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Book Synopsis Econometrics of Structural Change by : Walter Krämer
Download or read book Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Book Synopsis Handbook of Research on Reinventing Economies and Organizations Following a Global Health Crisis by : Costa, Teresa Gomes da
Download or read book Handbook of Research on Reinventing Economies and Organizations Following a Global Health Crisis written by Costa, Teresa Gomes da and published by IGI Global. This book was released on 2021-06-11 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: Due to the global health crisis, economies had to adapt to combat pandemic situations. In the present pandemic crisis, new legislation, methods, labor approaches, values, and social behaviors have emerged with a huge impact in all organizations. However, countries have applied different solutions, procedures, and rules to deal with crises. Therefore, the impact has been different per country. Organizations need to understand their customers and businesses not only to increase operational efficiency but also to increase stakeholder’s satisfaction and their competitiveness in a sustainable way. Customers are becoming more exigent and markets more complex, calling for the need for higher differentiation. This was enhanced in this pandemic situation, and to survive, organizations needed to change and adapt to the new normal. The Handbook of Research on Reinventing Economies and Organizations Following a Global Health Crisis deals with management and economic issues, particularly with the reinvention of businesses and economies due to the pandemic situation and the relevance of entrepreneurship, innovation, and intensive knowledge used to deal with these changes. This book emphasizes the challenges, difficulties, and opportunities for the success of businesses and economies in periods of crisis and provides information for dealing with entrepreneurship and innovation, networks, and complementarities to recover businesses. The chapters also point out possible opportunities, challenges, and risks in the process of recovery highlighting innovation, internationalization, technology, and intensive knowledge in promoting economies and companies’ competitiveness. This book is ideal for entrepreneurs, managers, economists, directors, shareholders, researchers, academicians, and students interested in how businesses reinvent and recover following a global health crisis.
Author :Evžen Kočenda Publisher :Charles University in Prague, Karolinum Press ISBN 13 :8024631997 Total Pages :220 pages Book Rating :4.0/5 (246 download)
Book Synopsis Elements of Time Series Econometrics: an Applied Approach by : Evžen Kočenda
Download or read book Elements of Time Series Econometrics: an Applied Approach written by Evžen Kočenda and published by Charles University in Prague, Karolinum Press. This book was released on 2015-12-01 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into five major sections. The first section, “The Nature of Time Series”, gives an introduction to time series analysis. The second section, “Difference Equations”, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, “Univariate Time Series”, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, “Multiple Time Series”, deals with time series models of multiple interrelated variables. The fifth section “Panel Data and Unit Root Tests”, deals with methods known as panel unit root tests that are relevant to issues of convergence. Appendices contain an introduction to simulation techniques and statistical tables. Kniha přináší soubor základních i pokročilých technik a postupů používaných v ekonometrické analýze časových řad. Kniha klade důraz na umožnění efektivního použití popsaných technik v aplikovaném ekonomickém výzkumu. Toho je dosaženo tím, že teoretické základy popsané ekonometrie jsou prezentovány spolu s intuitivním vysvětlením problematiky a jednotlivé techniky jsou ilustrovány na výsledcích současného výzkumu a to především v kontextu procesu nedávné ekonomické transformace a současné evropské integrace. Toto pojetí z knihy činí nejen učebnici v klasickém smyslu, ale také užitečný referenční zdroj neboť odkazy v knize spojují klasickou i moderní ekonometrickou literaturu se soudobými aplikacemi, na nichž je použití jednotlivých technik jasně pochopitelné. Mnohá použití vycházejí z bohaté předchozí práce autorů v oboru. Text knihy je rozdělen do pěti hlavních částí. První část, “The Nature of Time Series”, přináší úvod do analýzy časových řad a popis jejich nejdůležitějších charakteristik, vlastností a procesů. Druhá část, “Difference Equations”, stručně popisuje teorii diferenciálních rovnic s důrazem na aspekty, které jsou klíčové v ekonometrii časových řad. Třetí část, “Univariate Time Series”, poměrně rozsáhle popisuje techniky, které se používají při analýze jednotlivých časových řad bez jejich vzájemené interakce a zahrnuje jak lineární tak nelineární modelované struktury. Čtvrtá část, “Multiple Time Series”, popisuje modely které umožňují analýzu několika časových řad a jejich vzájemných interakcí. Pátá část “Panel Data and Unit Root Tests”, zahrnuje některé techniky postavené na panelových datech, jež k průřezovým datům přidávají časovou dimenzi a vztahují se k analýze konvergence. Závěr knihy je doplněn o úvod do simulační techniky a statistické tabulky
Book Synopsis Proceedings of the 3rd International Conference: Quantitative and Qualitative Methodologies in the Economic & Administrative Sciences (QMEAS 2013) by : Christos Frangos
Download or read book Proceedings of the 3rd International Conference: Quantitative and Qualitative Methodologies in the Economic & Administrative Sciences (QMEAS 2013) written by Christos Frangos and published by Christos Frangos. This book was released on with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficiency in Business and Economics by : Tadeusz Dudycz
Download or read book Efficiency in Business and Economics written by Tadeusz Dudycz and published by Springer. This book was released on 2017-12-29 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume offers a collection of studies on problem of organization’s efficiency, criteria for evaluating the efficiency, tools and methods for measuring the efficiency. The articles included present an interdisciplinary look at efficiency, its essence and the principles of its measurement. The contributions also identify a broad spectrum of conditions for achieving efficiency in various types of organizations and systems (e.g. public institution, non-profit organizations), representing various industries. The book collects selected papers presented at the 7th International Conference "Efficiency as a Source of the Wealth of Nations", held in Wrocław, Poland, in May 2017.
Book Synopsis Structural Breaks and Long-run Trends in Commodity Prices by : Javier León
Download or read book Structural Breaks and Long-run Trends in Commodity Prices written by Javier León and published by World Bank Publications. This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advanced Macroeconomics by : Patrick Minford
Download or read book Advanced Macroeconomics written by Patrick Minford and published by Edward Elgar Publishing. This book was released on 2019 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a newly revised second edition of a key macroeconomic textbook. After explaining the historical development of the subject, they show how rational expectations are handled in macro models. The importance of structural micro-founded models is explained, with key examples of such structural models examined in detail and with extensions to the open economy; policy implications are highlighted throughout. Methods for testing these models against macro data behaviour are explained, detailing the latest evidence on these models' success.
Book Synopsis Advances in Financial Planning and Forecasting (New Series) Vol．5 by : Cheng F. Lee
Download or read book Advances in Financial Planning and Forecasting (New Series) Vol．5 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2012-12-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Financial Planning and Froecasting (New Series) is an annual publication designed to disseminate developments in the area of financial analysis, planning, and forecasting. The publication is a froum for statistical, quantitative, and accounting analyses of issues in financial analysis and planning in terms of finance, accounting, and economic data.
Book Synopsis The Impacts of Monetary Policy in the 21st Century by : Ramesh Chandra Das
Download or read book The Impacts of Monetary Policy in the 21st Century written by Ramesh Chandra Das and published by Emerald Group Publishing. This book was released on 2019-09-02 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Impacts of Monetary Policy in the 21st Century illustrates the effect of financial policies upon global economic indicators, with special reference made to issues effecting East Asian nations generally and with a particular focus on Indian economic development since 2000.
