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1 – 10 of over 6000MITCHELL RATNER, GULSER MERIC and ILHAN MERIC
This study examines the cross‐autocorrelation of size‐based portfolio returns in a sample of 15 major European markets using daily data from January 1990 through December 1999…
Abstract
This study examines the cross‐autocorrelation of size‐based portfolio returns in a sample of 15 major European markets using daily data from January 1990 through December 1999. Previous studies have primarily used U.S. data. This study extends previous research by considering results in multiple European exchanges. We examine whether a difference in size‐based portfolios exists by testing cross‐autocorrelation, granger‐causality, and asymmetric responses in the European markets. The results confirm that large stock portfolio returns lead small stock portfolio returns in most European countries, and that cross‐autocorrelation is present both within and between European financial markets.
Stefan Prigge and Lars Tegtmeier
The purpose of this paper is to test the weak-form efficiency of listed European football stocks in the sample period 2012–2020.
Abstract
Purpose
The purpose of this paper is to test the weak-form efficiency of listed European football stocks in the sample period 2012–2020.
Design/methodology/approach
Three powerful tests for randomness are performed, that is, autocorrelation of returns analysis via the Ljung and Box (1978) test, variance ratio test by Lo and MacKinlay (1988) and runs test (Wald and Wolfowitz, 1940).
Findings
Results are mixed. Autocorrelation analysis and variance ratio test reject the random walk hypothesis and are, therefore, in line with the findings of Ferreira et al. (2017). In contrast, the runs test only leads to rejection of the random walk hypothesis for five out of 20 football stocks. Interestingly, this applies to shares with the lowest trading volume.
Practical implications
The market for stakes in football clubs can be expected to continue to grow in the future. Thus, the issue whether the price signals derived from listed football clubs are reliable inputs when negotiating the price for a football club stake in a private transaction is of increasing importance.
Originality/value
This study complements, and partly challenges, the results of Ferreira et al. (2017), the only other study in this field, by applying other methods and analyzing a more recent sample period.
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Rajesh Elangovan, Francis Gnanasekar Irudayasamy and Satyanarayana Parayitam
Despite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some…
Abstract
Purpose
Despite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.
Design/methodology/approach
For analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.
Findings
The empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.
Research limitations/implications
The findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers.
Practical implications
Investment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected.
Social implications
As economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy.
Originality/value
Amid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.
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Suk-Joong Kim and Michael D. McKenzie
This chapter considers the relationship between stock market autocorrelation and (i) the presence of international investors which is proxied by the level of capital market…
Abstract
This chapter considers the relationship between stock market autocorrelation and (i) the presence of international investors which is proxied by the level of capital market integration and (ii) stock market volatility. Drawing from a sample of nine Asia-Pacific stock indices, significant evidence of a relationship between the presence of international investors and the level of stock market autocorrelation is found. This evidence is consistent with the view that international investors are positive feedback traders. Robustness testing of this model suggests that the trading strategy of international investors changed as a result of the Asian currency crisis. The evidence for the role of volatility in explaining autocorrelation is, however, is generally weak and varies across the sample countries.
Said Sami Al Hallaq, Mohamad M. Ajlouni and Ahmed Shakir Al-Douri
With reference to the methodology of Prof Choudhry in his book “Tawhidi Epistemology and its Applications: Economics, Finance, Science, and Society” in 2014, in a different…
Abstract
Purpose
With reference to the methodology of Prof Choudhry in his book “Tawhidi Epistemology and its Applications: Economics, Finance, Science, and Society” in 2014, in a different context, this study aims to present the conceptual fundamental of Islamic finance investment, where investment decisions are governed by Divine law and Islamic jurisprudence, followed by the empirical nature of real-world issues where investment decisions are governed by only financial indicators, using the Amman Stock Exchange as a case study.
Design/methodology/approach
As pointed out by Raderbauer (2011), research and industry initiatives mainly focus on environmental measures while ignoring the economic and socio-cultural dimension of sustainability. Recognizing the importance of a holistic understanding to define sustainable business practices for the accommodation industry. Financial markets are no exception; moral and values either coming from secular or religious understanding help to examine relationships between attitudes and actions, as well as differences in attitudes and actions related to the business’ characteristics. In business, ethical considerations apply to a broad list of virtues that companies, their managers and employees customarily seek to adopt. These include, but are not limited to, the encouragement of honesty, integrity and efficiency, as well as diversity and communication skills. One of the most common sources of ethical considerations is religion. In these cases, religious doctrine imparts a sense of applied ethics, where one considers what right conduct is, how to live a life pleasing to the Divine and how one should treat him/herself and others in accordance with those teachings. Again, as ethical considerations is a broad philosophical concept, it can apply to any situation where the person ponders the nature of right and wrong, how to recognize the difference and the meaning those conclusions carry for everyday life.
Findings
It can be concluded that the overall the quantitative and qualitative statistics showed that accommodation business manager’s decision has had a very little positive attitude toward sustainability and the implementation of sustainable business practices in ASE financial transaction, no matter what classification, type of business, ownership or size of business. Only rules and regulations govern the attitude and behavior when making financial transactions with profit is the main target. Moral indicators could not be seen throughout the analysis and test used to achieve objectives of the study at hand. One can imagine that the combined two factors together “Moral-Material” in implementing financial transactions will produce a more beneficial outcome. Achieving a material and holistic objective will produce an optimum situation, which can contribute positively to sustainable development.
Originality/value
Islamic alternatives to traditional investment tools have been driven by the fact that such tools do not conform to the Islamic general principles of the Shari’ah (Usmani, 2002). There has been a growing desire to have funds in which profits are not based on riba or interest, which is prohibited in Islam. Muslims deem that profit should come because of efforts; this is not the case in interest-dominated investments. In addition, there is a desire to have investment portfolios, which are morally purified. Thus, investments in companies that are not in compliance with the Shari’ah are not permitted and are eliminated from the portfolio. To ensure compliance with the forgoing condition, Shari’ah advisory boards whose role is mainly to give assurance that money is managed within the framework of Islamic laws govern Islamic mutual funds (Hassan, 2001; Hassan, 2002). On the other hand, dealing with the applied part, the paper will deal with a case study from Jordan (Amman Stock Exchange), where, code of ethics is issued by virtue of the provisions of Article 26 (e) of the Securities Law No. 23 of 1997. The Amman Stock Exchange operates as an exchange for the trading of securities. The company lists securities such as equities and bonds. Its activities include providing enterprises with a means of raising capital by listing on the exchange; encouraging an active market in listed securities based on the determination of prices and trading; providing facilities and equipment for trading the recoding of trades and publication of prices; monitoring and regulating market trading; and coordinating with the Jordan Securities Commission as necessary. The company’s activities also include ensuring compliance with the law, fair market and investor protection; setting out and enforcing a professional code of ethics.
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This study seeks to measure the behaviour of stock prices in the Bahrain Stock Exchange (BSE), which is expected to follow a random walk. The aim of the study is to measure the…
Abstract
Purpose
This study seeks to measure the behaviour of stock prices in the Bahrain Stock Exchange (BSE), which is expected to follow a random walk. The aim of the study is to measure the weak‐form efficiency.
Design/methodology/approach
Random walk models such as unit root and Dickey‐Fuller tests are used as basic stochastic tests for a non‐stationarity of the daily prices for all the listed companies in the BSE. In addition, autoregressive integrated moving average (ARIMA) and exponential smoothing methods are also used. Cross‐sectional‐time‐series is used for the 40 listed companies over the period 1 June 1990 up until 31 December 2000.
Findings
Random walk with no drift and trend is confirmed for all daily stock prices and each individual sector. Other tests, such as ARIMA (AR1), autocorrelation tests and exponential smoothing tests also supported the efficiency of the BSE in the weak‐form.
Practical implications
The finding of the study is a necessary piece of information for all investors whether in Bahrain or dealing with Bahrain stock market. Listed firms could also benefit from the findings by seeing the true picture of their stock price. Since, Bahrain is considered as an emerging market, the new methodologies used could be replicated for all other emerging markets. In addition, the finding is used as a base for testing the market efficiency in the semi‐strong form, which has not yet been tested by any researcher.
Originality/value
This study will add value to the literature of market efficiency in emerging market since it is the only study which covers all the listed companies and over a long period of time. To confirm the weak‐form efficiency in Bahrain, the study is unique in using five different methods in the same paper which have not been found in the previous literature.
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A. George Assaf and Mike G. Tsionas
This paper aims to present several Bayesian specification tests for both in- and out-of-sample situations.
Abstract
Purpose
This paper aims to present several Bayesian specification tests for both in- and out-of-sample situations.
Design/methodology/approach
The authors focus on the Bayesian equivalents of the frequentist approach for testing heteroskedasticity, autocorrelation and functional form specification. For out-of-sample diagnostics, the authors consider several tests to evaluate the predictive ability of the model.
Findings
The authors demonstrate the performance of these tests using an application on the relationship between price and occupancy rate from the hotel industry. For purposes of comparison, the authors also provide evidence from traditional frequentist tests.
Research limitations/implications
There certainly exist other issues and diagnostic tests that are not covered in this paper. The issues that are addressed, however, are critically important and can be applied to most modeling situations.
Originality/value
With the increased use of the Bayesian approach in various modeling contexts, this paper serves as an important guide for diagnostic testing in Bayesian analysis. Diagnostic analysis is essential and should always accompany the estimation of regression models.
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Tayyaba Yousaf, Sadia Farooq and Ahmed Muneeb Mehta
The purpose of this study is to investigate whether the STOXX Europe Christian price index (SECI) follows the premise of efficient market hypothesis (EMH).
Abstract
Purpose
The purpose of this study is to investigate whether the STOXX Europe Christian price index (SECI) follows the premise of efficient market hypothesis (EMH).
Design/methodology/approach
The study used daily data of SECI for the period of 15 years as its launch date i.e. 31 December 2004 to 31 December 2019. Data are analyzed by taking a full-length sample and fixed-length subsample. For subsample, the data are divided into five subsamples of three years each. Subsample analysis is important for analyzing time varying efficiency of the series, as the market is said to follow EMH if it is being efficient throughout the sample. Both type of samples is examined through linear tests including autocorrelations test and variance ratio (VR) test.
Findings
Tests applied conclude that SECI is weak-form efficient, which means that the prices of the index include all the relevant past information and immediately react to new information. Hence, the investors cannot earn abnormal returns.
Originality/value
Religion-based indices grasped the attention of investors, policymakers and academic researchers because of increased concern over ethics in business. Though the impact of religion on the economy have been studied in many ways but the efficiency of religion-based indices have been less explored. The current study is primary in its nature as it analysis the efficiency of SECI. This index is important to explore because Christianity is the world’s top religion with 2.3 billion followers around the globe.
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Shanaka Herath and Gunther Maier
This study aims to examine the impact of relative importance of local characteristics, distance from the city centre and unobservable spatial relation in explaining values of…
Abstract
Purpose
This study aims to examine the impact of relative importance of local characteristics, distance from the city centre and unobservable spatial relation in explaining values of constant‐quality apartment units in Vienna.
Design/methodology/approach
Drawing on recent developments in spatial econometrics and spatial hedonic house price modelling, the rent gradient hypothesis is examined by means of hedonic regression and spatial hedonic regression. Spatial autocorrelation tests are applied in order to assess possible presence of spatial dependence. The authors borrow Florax et al.'s specification search strategy in order to choose the most appropriate spatial model specification.
Findings
This research shows that local characteristics – or particularities – proxied by district and distance from the city centre are important location variables with regard to the Viennese apartment market. The spatial analysis suggests that the apartment prices are spatially autocorrelated and the Viennese apartment market has a distance‐based neighbourhood structure. The main finding is, however, that residents are willing to bid more for constant‐quality apartment units that are close to the centre of the city.
Originality/value
Rent gradient hypothesis is usually tested within non‐spatial hedonic frameworks: this study estimates a spatial hedonic model additionally in order to allow for comparison of results. This is also the first article to apply recent developments in spatial econometrics to examine explicitly rent gradient theory in the context of the Viennese apartment market.
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