Random walk and modelling stock return
نویسندگان
چکیده
The debate on whether stock prices follow a random walk continues, becoming the foundation of modern portfolio theory. Supporters theory still believe that modeling is wasteful exercise. However, evidence from momentum pricing strategy and price reversals suggests otherwise. This study aimed to empirically explore in five international markets before during Covid-19 pandemic June 30, 2017, 2019, January 1, 2020, December 31, 2021. A multivariate runs test generalised distribution function was applied investigate results revealed no significant difference between observed S-statistics expected ones, concluding it not common observe walks financial consistently. Hence changes are significantly affected only based new information investors’ expectations but also by irrationalities exist among market participants. These can be modeled using produce patterns.
منابع مشابه
A Fuzzy Random Walk Technique to Forecasting Volatility of Iran Stock Exchange Index
Study of volatility has been considered by the academics and decision makers dur-ing two last decades. First since the volatility has been a risk criterion it has been used by many decision makers and activists in capital market. Over the years it has been of more importance because of the effect of volatility on economy and capital markets stability for stocks, bonds, and foreign exchange mark...
متن کاملThe Random-Walk Hypothesis on the Indian Stock Market
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 ...
متن کاملA Random Walk with Exponential Travel Times
Consider the random walk among N places with N(N - 1)/2 transports. We attach an exponential random variable Xij to each transport between places Pi and Pj and take these random variables mutually independent. If transports are possible or impossible independently with probability p and 1-p, respectively, then we give a lower bound for the distribution function of the smallest path at point log...
متن کاملAdvertising Spending and Stock Return
The paper investigates one important aspect of long-term investor response to marketing actions, namely, the relationship between advertising spending and stock return. We hypothesize that advertising can have a direct effect on valuation, i.e. an effect over and above its known impact on revenue and profit response. The empirical results in two industries support our hypothesis and quantify th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Research In Business and Social Science
سال: 2023
ISSN: ['2147-4478']
DOI: https://doi.org/10.20525/ijrbs.v12i3.2443