Random walk and modelling stock return

Stock Index Pricing with Random Walk and Agent-based Models

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...

The 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 ...

A 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...

Advertising 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...