MathematicsThis study explores market efficiency and behavior by integrating key theories such as the Efficient Market Hypothesis (EMH), Adaptive Market Hypothesis (AMH), Informational Efficiency and Random Walk theory.
Darko B. Vuković +4 more
doaj +1 more source
Systematic risk factors in stock pricing modeling: A new theoretical conceptualization. [PDF]
, 2014 Stock pricing modeling in both modern- and behavioral finance paradigms are remain divided, still incomplete and have been criticized for some philosophical, theoretical and model limitations.
Ahmad, Zamri, Tuyon, Jasman
core
Profitability of the moving average strategy and the episodic dependencies : empirical evidence from European stock markets [PDF]
, 2009 Numerous recent studies are emphasizing the existence of different stock price behaviors, namely long random walk sub periods alternating with short ones characterized by strong linear and/or nonlinear correlations.
Filip, Angela-Maria +2 more
core
On long memory behaviour and predictability of financial markets
, 2014 An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy.
Roberts, Leigh, Vo, Long H.
core +1 more source
The adaptive markets hypothesis: evidence from the foreign exchange market [PDF]
We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules.
Christopher J. Neely +2 more
core
Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data? [PDF]
, 2008 This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been ...
Schulmeister, Stephan
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Do stock markets exhibit cyclical market efficiency? Emerging markets’ perspective
Cogent Economics & FinanceThis article assesses cyclical market efficiency under different market conditions. We examine the cyclical return predictability, the time-varying effectiveness of trading strategies and their profitability, along with the relationships between volume ...
T. Mallikarjunappa +2 more
doaj +1 more source
Sentiment and returns: Analysis of investor sentiment in the South African market [PDF]
, 2014 Modern financial theory generally has no room for investor sentiment. The standard argument is that in highly competitive financial markets, suboptimal trading behaviour such as paying attention to sentiment signals unrelated to fundamental value will ...
Dalika, Naeem K
core
The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis. [PDF]
Financ Innov, 2023 Erer D, Erer E, Güngör S.
europepmc +1 more source
Financial Performance in Upstream, Downstream, and Integrated Oil Companies in Response to Oil Price Volatility [PDF]
, 2016 This paper investigates the relation between crude oil price volatility and stock returns among oil companies using a three-part methodology, by using the West Texas Intermediate (WTI) as oil price benchmark.
Garcia, Jonathan P
core +1 more source