Results 11 to 20 of about 4,922,677 (379)
Speed of mean reversion: an empirical analysis of KSE, LSE and ISE indices
Technological and Economic Development of Economy, 2018 The purpose of this study is to determine the presence of mean reversion in the stock markets indices of Pakistan, moreover, to measure, and compare the speed of mean reversion of the stock markets indices across Pakistan.
Rana Imroze Palwasha +4 more
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Expected lifetime range ratio to find mean reversion: Evidence from Indian stock market
Cogent Economics & Finance, 2018 We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns.
Muneer Shaik, S. Maheswaran
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Testing mean-reversion in agricultural commodity prices: Evidence from wavelet analysis
Journal of International Studies, 2019 This study examines the validity of the random walk hypothesis for some selected soft agricultural commodity prices within the context of heterogeneous market hypothesis and mean reversion hypothesis.
Adedoyin Isola Lawal +3 more
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Mean reversion: an investigation from Karachi stock exchange sectors
Technological and Economic Development of Economy, 2016 This article analyses the sectors of Karachi stock exchange in order to determine if there is any presence of mean reversion phenomenon in the stock market sectors and also an attempt to determine the pace of mean reversion.
Jolita Vveinhardt +4 more
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Mean Reversion in Equilibrium Asset Prices [PDF]
American Economic Review, 1988 Recent empirical studies have found that stock returns contain substantial negative serial correlation at long horizons. We examine this finding with a series of Monte Carlo simulations in order to demonstrate that it is consistent with an equilibrium ...
Nelson C. Mark +2 more
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Stock returns, volatility and mean reversion in emerging and developed financial markets
Technological and Economic Development of Economy, 2018 The objective of this research is to measure and examine volatilities between important emerging and developed stock markets and to ascertain a relationship between volatilities and stock returns.
Rizwan Raheem Ahmed +4 more
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The mechanical mean reversion of leverage ratios, earning acceleration strategy and price acceleration returns [PDF]
فصلنامه بورس اوراق بهادار, 2022 Returning the leverage to the mean despite the decisions to adjust the company's financial leverage is an obstacle to achieving the right choice of the optimal leverage, which can affect the future earning ability growth and prices of companies ...
Rasoul Naderi Dehnavi +3 more
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The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide
Equilibrium, 2023 Research background: The globalization trend has inevitably enhanced the connectivity of global financial markets, making the cyclicality of financial activities and the spread of market imbalances have received widespread attention, especially after the
Shengnan Lv +4 more
semanticscholar +1 more source
Further evidence of mean reversion in CO2 emissions
World Development Sustainability, 2022 Sephton (2020) demonstrated that nearly all national and relative CO2 emissions in a group of 33 nations were mean-reverting after making allowance for non-linear deterministics and first-order autocorrelation.
Peter S. Sephton
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