Related papers: Evolving efficiency of the BRICS markets
Following the value relevance literature, this study verifies whether the marketplace differentiates companies of high, medium, and low long-term operational performance, measured by accounting information on profitability, sales variation…
This paper investigates the time-varying structure of Fama and French's (1993; 2015) multi-factor models using Fama and MacBeth's (1973) two-step estimation based on the rolling window method. In particular, we employ the generalized GRS…
The study and measurement of economic resilience is ruled by high level of complexity related to the diverse structure, functionality, spatiality, and dynamics describing economic systems. Towards serving the demand of integration, this…
Globalization processes interweave economic structures at a worldwide scale, trade playing a central role as one of the elemental channels of interaction among countries. Despite the significance of such phenomena, measuring economic…
The study of the critical dynamics in complex systems is always interesting yet challenging. Here, we choose financial market as an example of a complex system, and do a comparative analyses of two stock markets - the S&P 500 (USA) and…
Estimating success rates for programmes aiming to reintegrate theunemployed into the workforce is essential for good stewardship of publicfinances. At the current moment, the methods used for this task arebased on the historical performance…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…
This study investigates the relationship between bank efficiency and stock market valuation using an unbalanced panel dataset of 42 listed banks in China from 2006 to 2023. We employ a non-radial and non-oriented slack based…
This paper focuses on the operation of an electricity market that accounts for participants that bid at a sub-minute timescale. To that end, we model the market-clearing process as a dynamical system, called market dynamics, which is…
This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks…
This paper investigates how market competition influences poverty dynamics using a functional econometric framework that captures both contemporaneous and lagged effects. Using annual data for 48 countries from 1991-2017, we estimate…
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective. Prices are pressured from exogenous trading actions of…
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of…
We propose the use of a dynamical window to investigate the real-time evolution of quantum many-body systems in a one-dimensional lattice. In a recent paper [H. Phien et al, arxiv:????.????], we introduced infinite boundary conditions (IBC)…
This study examines the impact of the coronavirus disease 2019 (COVID-19) pandemic on market efficiency by analyzing three time series -- price returns, absolute returns, and volatility increments -- in stock (Deutscher Aktienindex, Nikkei…
The COVID-19 pandemic significantly disrupted household consumption, savings, and income across Europe, particularly affecting countries like Hungary, Slovenia, and the Czech Republic. This study investigates the effectiveness of fiscal…
One of the main challenges in identifying structural changes in stochastic processes is to carry out analysis for time series with dependency structure in a computationally tractable way. Another challenge is that the number of true change…
We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…
We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study…