Return predictability may be hidden from view if the same information has different meanings at different times, especially if information is good news in one state but bad news in another. We illustrate, using price changes in industrial metals, how conclusions on stock market return predictability vary with the number of expansions and contractions in our sample. We also show how state-switch...

The presence of stock market efficiency is a distinctive characteristic of the effectively functioning market economy. Investigation of the market efficiency of seven emerging East-European stock exchanges is carried out as their major stock indices (BELEX15, BET, CROBEX, ISE100, PFTS, RTSI, SOFIX) are studied in respect of long-range dependence (LRD), persistency, and forecasting possibili...

according to the importance of careful review of crude oil market fluctuations on the iranian economy, in this paper a multivariate model of markov switching vector error correction model (have been used). variables such as real gross domestic product in industrial sector, real effective exchange rate, real governmental expenditure, real import, inflation rate and real crude oil price is used t...

How does competition in a firm's product market affect the behavior of its stock? We examine this question in a noisy rational expectations economy in which firms operate under monopolistic competition. Production is subject to productivity shocks and requires capital, raised on a perfectly competitive equity market. Investors observe firms' past profits and collect private information about th...

This paper analyses the validity of the weak-form market efficiency, using the random-walk hypothesis for the six industrial base metals copper, aluminium, zinc, nickel, tin and lead traded at the London Metal Exchange. I analyse the behaviour of daily and weekly prices of the daily rolling three-month futures contracts, as these contracts exhibit the highest level of trading activity. In contr...

In this paper we introduce a new methodology to test market efficiency and to assess the performance of the most widely accepted asset pricing models. We use this methodology to test the semi-strong form of market efficiency in the context of publicly available accounting information. Instead of testing for a single accounting-based firm characteristic that can generate abnormal excess returns ...

in this paper, we have estimated the memory of thetehran stock exchange indices. the estimation of fractional differencing parameter is carried out by various methods such as mle, nls, hurst exponent, gph, lo, whittle and wavelet. the estimation results of whittle, wavelet, hurst, and lo methods allow us to conclude that the returns on stock indices (tepix, tedpix, tedix, financial index and in...