Do MENA stock market returns follow a random walk process?
نویسندگان
چکیده
منابع مشابه
A Historical Analysis of Market Efficiency: Do Historical Returns Follow a Random Walk?
This study examines the degree of random walk in daily stock prices for all stocks listed on the NYSE from February 1885 through July 1962. Modern day anomalies are examined in conjunction with historical data in an attempt to explain the return series. While many regularly observed patterns occurred before 1962, they were unable to aid in the prediction of future stock price movements. The res...
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In this paper we propose a test statistic to discriminate between models with nite variance and models with in nite variance. The test statistic is the ratio of the sample standard deviation and the sample interquartile range. Both asymptotic and nite sample properties of the test statistic are discussed. We show that the test has good power properties against in nite-variance distributions and...
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This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random walk hypothesis. We find that unit root tests that allow for two structural breaks alone are not able ...
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This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...
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ژورنال
عنوان ژورنال: International Journal of Industrial Engineering Computations
سال: 2013
ISSN: 1923-2926,1923-2934
DOI: 10.5267/j.ijiec.2012.11.005