Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions [PDF]
This paper examines the empirical evidence that official interventions are associated with periods of high predictability in exchange rate markets. We employ a block bootstrap methodology to build critical values for the Variance Ratio statistics and ...
Benjamin Miranda Tabak +1 more
core
An analysis of the efficiency of the foreign exchange market in Kenya [PDF]
This study examined the Efficiency Market hypothesis in its weak form using run tests, unit root tests and the Ljung-Box Q-statistics. The motivation was to determine whether foreign exchange rate returns follow a random walk. The data covered the period
Ngugi W. Rose +3 more
core
Further evidence on the (in-) efficiency of the U.S. housing market [PDF]
, 2010 Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further ...
*** +65 more
core +3 more sources
Testing for a Random Walk Structure in the Frequency Evolution of a Tone in Noise. [PDF]
Sensors (Basel), 2022 Abramson S, Moran W, Evans R, Melatos A.
europepmc +1 more source
Testing the weak-form market efficiency and the day of the week effects of some African countries. [PDF]
The aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that
Batuo Enowbi, Michael +2 more
core +1 more source
The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case [PDF]
In this paper the random walk hypothesis is tested for a set of daily Brazilian stock data given by the São Paulo Stock Exchange Index (IBOVESPA) in the period of 1986-1998.
Benjamin Miranda Tabak
core
Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market [PDF]
Romanian currency market considering the episodic character of linear and/or nonlinear dependencies, between 1999 and 2008. The main conclusion is that profitability of moving average strategies is not constant over time and that is mainly due to linear ...
Todea, Alexandru, Zoicas Ienciu, Adrian
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
The Effects of the Brazilian ADRs Program on Domestic Market Efficiency [PDF]
This paper examines the impact on Brazilian stocks following American Depositary Receipts (ADRs) listing in the U.S. stock markets. Evidence suggests that a systematic change has taken place in the post-listing period as the multivariate variance ratio ...
Benjamin Miranda Tabak +1 more
core
Toward a Theory of Marginally Efficient Markets
, 1999 Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it favorable games}
Challet +7 more
core +1 more source