相关论文: Evolving efficiency of the BRICS markets

This paper explores a time-varying version of weak-form market efficiency that is a key component of the so-called Adaptive Market Hypothesis (AMH). One of the most common methodologies used for modeling and estimating a degree of market…

Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are investing in global emerging markets. This…

A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading…

In this study, we utilize the Kalman-Filter analysis to assess market efficiency in major stock markets. The Kalman-Filter operates in two stages, assuming that the data contains a consistent trendline representing the true market value…

The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…

This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and the memory parameter of a fractional L\'evy-stable motion.…

This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it…

The efficiency of the stock market has a significant impact on the potential return on investment. An efficient market eliminates the possibility of arbitrage and unexploited profit opportunities. This study analyzes the weak form…

This study examines whether exporting enhances efficiency and favors specific inputs. We develop a production function model within a dynamic exporting and investment framework, capturing factor-biased technical changes. Using Kalman…

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of ten pairwise combinations of the five BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily…

COVID-19 has impacted the economy of almost every country in the world. Of particular interest are the responses of the economic indicators of developing nations (such as BRICS) to the COVID-19 shock. As an extension to our earlier work on…

Most empirical microstructure research assumes that order flow--return parameters are constant, yet these relationships shift substantially across market regimes. Combining adaptive Kalman filtering, Markov-switching regime identification,…

This study aims to examine the intricate dynamics between BRICS traditional stock assets and the evolving landscape of cryptocurrencies. Using a time-varying parameter vector autoregression model (TVP-VAR), we have analyzed data from the…

This study examines the dynamic asset market linkages under the COVID-19 global pandemic based on market efficiency, in the sense of Fama (1970). Particularly, we estimate the joint degree of market efficiency by applying Ito et al.'s…

We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We further put forward a strict statistical test in the spirit of…

This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…

This paper investigates the relationship between the spread of the COVID-19 pandemic, the state of community activity, and the financial index performance across 20 countries. First, we analyze which countries behaved similarly in 2020 with…

We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency…

We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during…

The COVID-19 recession that started in March 2020 led to an unprecedented decline in economic activity across the globe. To fight this recession, policy makers in central banks engaged in expansionary monetary policy. This paper asks…