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Full-Text Articles in Business
The Efficiency Of Emerging Stock Markets: Empirical Evidence From The South Asian Region, Arusha V. Cooray, G. Wickramasighe
The Efficiency Of Emerging Stock Markets: Empirical Evidence From The South Asian Region, Arusha V. Cooray, G. Wickramasighe
Faculty of Commerce - Papers (Archive)
This paper examines the efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh. The Augmented Dickey Fuller (ADF-1979, 1981), the Phillips-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS-1996) and Elliot-Rothenberg-Stock (ERS – 1996) tests are used to examine weak form stock market efficiency. Weak form efficiency is supported by the classical unit root tests. However, it is not strongly supported for Bangladesh under the DF-GLS and ERS tests. Cointegration and Granger causality tests are used to examine semi-strong form efficiency. Semi-strong form efficiency is not supported as these tests indicate a high degree of interdependence among the …
Periodically Collapsing Bubbles In The Asian Emerging Stock Markets, Ako Doffou
Periodically Collapsing Bubbles In The Asian Emerging Stock Markets, Ako Doffou
WCBT Faculty Publications
This paper investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders-Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble driven run-ups in stock prices followed by a crash in a non- cointegration framework with asymmetric adjustment. This technique offers a more potent insight in the stock prices behavior than can possibly be obtained using conventional non-cointegration tests. The empirical findings for ten Asian emerging stock markets from 1993 to 2005 refute the bubble hypothesis.
Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu
Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu
Theses and Dissertations in Business Administration
This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan's (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China's B share …