Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions
J Wang, D Zhang, J Zhang - International Review of Economics & Finance, 2015 - Elsevier
This paper investigates whether stock prices in seven Asian stock markets can be
characterized as random walk or mean reversion processes over the period December 1990 …
characterized as random walk or mean reversion processes over the period December 1990 …
Do stock markets follow a random walk? New evidence for an old question
This paper re-examines whether the stock markets are efficient or not by focusing the role of
cross-sectional dependency and structural breaks with newly developed panel unit root tests …
cross-sectional dependency and structural breaks with newly developed panel unit root tests …
Non‐Linear Predictability in G7 Stock Index Returns
This paper re‐examines the persistence and source of non‐linear predictability in the stock
markets of G7 countries. Applying the Brock–Dechert–Scheinkman (BDS) test on …
markets of G7 countries. Applying the Brock–Dechert–Scheinkman (BDS) test on …
Using of gene expression programming and climatic data for forecasting flow discharge by considering trend, normality, and stationarity analysis
A Adib, MMK Kalaee, MM Shoushtari… - Arabian Journal of …, 2017 - Springer
In this research, the main hydrological characteristics (such as trend, stationarity, and
normalization of hydrological data) of the Kasilian watershed are considered from 1970 to …
normalization of hydrological data) of the Kasilian watershed are considered from 1970 to …
Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests
GV Nartea, HGA Valera, MLG Valera - International Review of Economics & …, 2021 - Elsevier
We investigate the stationarity of the daily real stock prices in 12 Asia-Pacific countries over
the period 1991–2020. The methodology employed is driven by the need to address three …
the period 1991–2020. The methodology employed is driven by the need to address three …
G-8 Ülkelerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier Kırılmalı Birim Kök Testlerinden Yeni Kanıtlar
Bu çalışmanın amacı G-8 ülkelerinde yer alan borsa endeksleri için (ABD, Almanya, Fransa,
İngiltere, İtalya, Japonya, Kanada ve Rusya) etkin piyasa hipotezinin geçerliliğini test …
İngiltere, İtalya, Japonya, Kanada ve Rusya) etkin piyasa hipotezinin geçerliliğini test …
Analysis of symmetric and asymmetric nonlinear causal relationship between stock prices and exchange rates for selected emerging market economies
This study investigates the symmetric and the asymmetric nonlinear causal relationship
between exchange rates and stock prices in BRICS and Turkey. To this end, the Mackey …
between exchange rates and stock prices in BRICS and Turkey. To this end, the Mackey …
[HTML][HTML] The Possibility or Impossibility of Stock Price Prediction: Evidence from the Petrochemical Industry
M Alizadeh Chamazkoti, M Fathabadi… - Financial Research …, 2024 - jfr.ut.ac.ir
Objective Fama (1970) showed that stock markets have weak efficiency and follow the
random walk model, so investors cannot achieve abnormal returns by using historical data. It …
random walk model, so investors cannot achieve abnormal returns by using historical data. It …
Borsa İstanbul elektrik endeksi pay senetlerinde etkin piyasalar hipotezi: gelişmiş fonksiyonlu birim kök testlerinden ampirik kanitlar
Yenilenebilir enerji sektöründeki gelişmeler, sermaye piyasalarında yüksek getiri
arayışındaki yatırımcılar açısından elektrik firmalarının konumunu bugünden …
arayışındaki yatırımcılar açısından elektrik firmalarının konumunu bugünden …
Estimating structural credit risk models when market prices are contaminated with noise
TY Kwon*, Y Lee - Applied Stochastic Models in Business and …, 2016 - Wiley Online Library
In this paper, sequential estimation on hidden asset value and model parameter estimation
is implemented under the Black–Cox model. To capture short‐term autocorrelation in the …
is implemented under the Black–Cox model. To capture short‐term autocorrelation in the …