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Article
Publication date: 25 January 2008

Batool Asiri

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…

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.

Details

International Journal of Emerging Markets, vol. 3 no. 1
Type: Research Article
ISSN: 1746-8809

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Article
Publication date: 1 May 2003

Claire G. Gilmore and Ginette M. McManus

The existence of weak‐form efficiency in the equity markets of the three main Central European transition economies (the Czech Republic, Hungary, and Poland) is examined…

Abstract

The existence of weak‐form efficiency in the equity markets of the three main Central European transition economies (the Czech Republic, Hungary, and Poland) is examined for the period July 1995 through September 2000, using weekly Investable and Comprehensive indexes developed by the International Finance Corporation. Several different approaches are used. Univariate and multivariate tests provide some evidence that stock prices in these exchanges exhibit a random walk, which constitutes evidence for weakform efficiency. This differs in some cases from studies using data for the initial years of these markets. The variance ratio test (VR) of Lo and MacKinlay (1988) yields somewhat mixed results concerning the randomwalk properties of the indexes. A modelcomparison test compares forecasts from a NAÏVE model with ARIMA and GARCH alternatives. Results from the model‐comparison approach are consistent in rejecting the randomwalk hypothesis for the three Central European equity markets.

Details

Managerial Finance, vol. 29 no. 4
Type: Research Article
ISSN: 0307-4358

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Abstract

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Nonlinear Time Series Analysis of Business Cycles
Type: Book
ISBN: 978-0-44451-838-5

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Article
Publication date: 1 August 2016

Marija Vištica, Ani Grubišic and Branko Žitko

In order to initialize a student model in intelligent tutoring systems, some form of initial knowledge test should be given to a student. Since the authors cannot include…

Abstract

Purpose

In order to initialize a student model in intelligent tutoring systems, some form of initial knowledge test should be given to a student. Since the authors cannot include all domain knowledge in that initial test, a domain knowledge subset should be selected. The paper aims to discuss this issue.

Design/methodology/approach

In order to generate a knowledge sample that represents truly a certain domain knowledge, the authors can use sampling algorithms. In this paper, the authors present five sampling algorithms (Random Walk, Metropolis-Hastings Random Walk, Forest Fire, Snowball and Represent algorithm) and investigate which structural properties of the domain knowledge sample are preserved after sampling process is conducted.

Findings

The samples that the authors got using these algorithms are compared and the authors have compared their cumulative node degree distributions, clustering coefficients and the length of the shortest paths in a sampled graph in order to find the best one.

Originality/value

This approach is original as the authors could not find any similar work that uses graph sampling methods for student modeling.

Details

The International Journal of Information and Learning Technology, vol. 33 no. 4
Type: Research Article
ISSN: 2056-4880

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Article
Publication date: 19 July 2019

Islam A. ElShaarawy, Essam H. Houssein, Fatma Helmy Ismail and Aboul Ella Hassanien

The purpose of this paper is to propose an enhanced elephant herding optimization (EEHO) algorithm by improving the exploration phase to overcome the fast-unjustified…

Abstract

Purpose

The purpose of this paper is to propose an enhanced elephant herding optimization (EEHO) algorithm by improving the exploration phase to overcome the fast-unjustified convergence toward the origin of the native EHO. The exploration and exploitation of the proposed EEHO are achieved by updating both clan and separation operators.

Design/methodology/approach

The original EHO shows fast unjustified convergence toward the origin specifically, a constant function is used as a benchmark for inspecting the biased convergence of evolutionary algorithms. Furthermore, the star discrepancy measure is adopted to quantify the quality of the exploration phase of evolutionary algorithms in general.

Findings

In experiments, EEHO has shown a better performance of convergence rate compared with the original EHO. Reasons behind this performance are: EEHO proposes a more exploitative search method than the one used in EHO and the balanced control of exploration and exploitation based on fixing clan updating operator and separating operator. Operator γ is added to EEHO assists to escape from local optima, which commonly exist in the search space. The proposed EEHO controls the convergence rate and the random walk independently. Eventually, the quantitative and qualitative results revealed that the proposed EEHO outperforms the original EHO.

Research limitations/implications

Therefore, the pros and cons are reported as follows: pros of EEHO compared to EHO – 1) unbiased exploration of the whole search space thanks to the proposed update operator that fixed the unjustified convergence of the EHO toward the origin and the proposed separating operator that fixed the tendency of EHO to introduce new elephants at the boundary of the search space; and 2) the ability to control exploration–exploitation trade-off by independently controverting the convergence rate and the random walk using different parameters – cons EEHO compared to EHO: 1) suitable values for three parameters (rather than two only) have to be found to use EEHO.

Originality/value

As the original EHO shows fast unjustified convergence toward the origin specifically, the search method adopted in EEHO is more exploitative than the one used in EHO because of the balanced control of exploration and exploitation based on fixing clan updating operator and separating operator. Further, the star discrepancy measure is adopted to quantify the quality of exploration phase of evolutionary algorithms in general. Operator γ that added EEHO allows the successive local and global searching (exploration and exploitation) and helps escaping from local minima that commonly exist in the search space.

Details

Engineering Computations, vol. 36 no. 9
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 1 July 2002

Andrew Adamatzky and Owen Holland

Attempts to characterise some aspects of the new wave of reaction‐diffusion and ant based computation, and to discuss their place in the class of fully distributed…

Abstract

Attempts to characterise some aspects of the new wave of reaction‐diffusion and ant based computation, and to discuss their place in the class of fully distributed load‐balancing algorithms that solve the dynamic load‐balancing problem of communication networks. The main question of the paper states: what are the advantages of the intellectualisation of the control agents and what are the costs of smartness? We start our investigation with random walk techniques and the electricity paradigm, carry on with the reaction‐diffusion approach, and finish the construction of the computational hierarchy with the ant paradigm and smart agents.

Details

Kybernetes, vol. 31 no. 5
Type: Research Article
ISSN: 0368-492X

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Article
Publication date: 1 October 2002

Alexander M. Goulielmos, Constantine Giziakis and Michalis Pasarzis

The purpose of this article is really to provide an answer to the question: Why have marine accidents that result in ships lost have, over the years, been concentrated in…

Abstract

The purpose of this article is really to provide an answer to the question: Why have marine accidents that result in ships lost have, over the years, been concentrated in two main areas by numbers? Indeed in the British Isles/North Sea/E. Channel‐Biscay Bay 367 ships were lost between 1992‐1999 and in S. China and E. Indies 433 ships also were lost. In contrast, in Cape Horn and in the Panama Canal only five ships were lost over the same period. This strange “attraction” of accidents to only two sea areas has induced us to assume that this phenomenon cannot probably be explained by random walk statistical/ mathematical methods, but by non‐linear chaotic methods and especially that of Hurst Rescale Range Analysis and Spectrum Analysis. Our numerical results – on rather limited data – have shown that in these ships lost a non‐random factor or factors have acted that further investigation may reveal. We consider this as an important fact with wide applications, e.g. in accidents in national highways that strangely enough the majority of road accidents occur mainly in certain locations! Another important conclusion is that man cannot and wishes not to interfere with “randomness” and simply accepts it doing nothing, transferring responsibility from his shoulders over to destiny. Things that are not random must be prevented. If they are random or not chaos/complexity theory helps us to see. Our analysis, we believe, is of special interest to the marine insurance companies.

Details

Disaster Prevention and Management: An International Journal, vol. 11 no. 4
Type: Research Article
ISSN: 0965-3562

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Book part
Publication date: 30 May 2013

Andreas Schwab and William H. Starbuck

This chapter reports on a rapidly growing trend in data analysis – analytic comparisons between baseline models and explanatory models. Baseline models estimate values for…

Abstract

This chapter reports on a rapidly growing trend in data analysis – analytic comparisons between baseline models and explanatory models. Baseline models estimate values for the dependent variable in the absence of hypothesized causal effects. Thus, the baseline models discussed in this chapter differ from the baseline models commonly used in sequential regression analyses.Baseline modelling entails iteration: (1) Researchers develop baseline models to capture key patterns in the empirical data that are independent of the hypothesized effects. (2) They compare these patterns with the patterns implied by their explanatory models. (3) They use the derived insights to improve their explanatory models. (4) They iterate by comparing their improved explanatory models with modified baseline models.The chapter draws on methodological literature in economics, applied psychology, and the philosophy of science to point out fundamental features of baseline modelling. Examples come from research in international business and management, emerging market economies and developing countries.Baseline modelling offers substantial advantages for theory development. Although analytic comparisons with baseline models originated in some research fields as early as the 1960s, they have not been widely discussed or applied in international management. Baseline modelling takes a more inductive and iterative approach to modelling and theory development. Because baseline modelling holds substantial potential, international-management scholars should explore its opportunities for advancing scientific progress.

Details

Philosophy of Science and Meta-Knowledge in International Business and Management
Type: Book
ISBN: 978-1-78190-713-9

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Article
Publication date: 29 March 2013

Muhammad Awais Azam and Jonathan Loo

The aim of the research work presented in this paper is to investigate a mechanism that can recognise high level activities (for example, going for a walk, travelling on…

Abstract

Purpose

The aim of the research work presented in this paper is to investigate a mechanism that can recognise high level activities (for example, going for a walk, travelling on the bus, doing evening activity, etc.) and behaviour of low entropy people (people with regular daily life routines, e.g. elderly people with dementia, patients with regular routines) in order to help them improve their health related daily life activities by using wireless proximity data (e.g. Bluetooth, Wi‐Fi).

Design/methodology/approach

The paper adopted a tiered approach to recognise activities and behaviour. Higher level activities are divided into sub‐activities and tasks. Separating the tasks from the raw wireless proximity data is achieved by designing task separator (TASE) algorithm. TASE takes wireless proximity data as an input and separates it into different tasks. These detected tasks and the high level daily activity plans that are made in a planning language Asbru, are then fed into the activity recogniser that compares the detected tasks with the plans and recognises the high level activities that the user is performing.

Findings

The paper provides an insight to how only wireless proximity data can be utilised to recognise high level activities and behaviour of individuals. A number of scenarios and experiments are designed to prove the validity of the proposed methodology.

Research limitations/implications

This paper focussed on relatively low entropy individuals with regular routines and behavioural patterns which can be improved by increasing the level of entropies in behavioural routines.

Practical implications

The paper includes implications for the utilisation in health care environments for elderly people and physically impaired individuals.

Originality/value

This paper provides a detailed and original study of algorithms and techniques that can be used to recognise high level activities and behaviour of individuals by using only wireless proximity data.

Details

International Journal of Pervasive Computing and Communications, vol. 9 no. 1
Type: Research Article
ISSN: 1742-7371

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Article
Publication date: 31 August 2010

Abu Taher Mollik and M. Khokan Bepari

The purpose of this paper is to examine the nature and extent of instability of capital asset pricing model (CAPM) beta in a small emerging capital market.

Abstract

Purpose

The purpose of this paper is to examine the nature and extent of instability of capital asset pricing model (CAPM) beta in a small emerging capital market.

Design/methodology/approach

Inter‐period as well as intra beta instability are examined. Inter‐period instability is examined by Mann‐Whitney z‐scores and Blume's regressions. Intra‐period beta instability is examined using Bruesch‐Pagan LM test and Chow break point test. Robustness tests are performed applying time‐varying parameter models.

Findings

Beta instability increases with increase in holding (sample) periods. There is evidence of inter‐period as well as intra‐period beta instability. Analysis of the full eight‐year interval reveals a very high incidence of beta instability, namely, about 26 per cent of the individual stocks tested and about 31 per cent of individual stocks have structural break. The extent of beta instability does not significantly decline when corrected for non‐synchronous trading and thin trading as represented by Dimson beta. However, the extent of beta instability is similar to that of developed market. Time‐varying parameter model under Kalman filter approach using AR(1) specification performs better than any other models in terms of in‐sample forecast errors. Dominance of AR(1) approach suggests that stock betas in DSE are time varying, and shocks to the conditional beta have some degree of persistence which ultimately reverts to a mean. This result is in contrast to the findings of Faff et al. revealing the dominance of Random Walk specification in Australian market, suggesting that shocks to stock beta in Australian market persist indefinitely into the future. These contrasting findings may indicate that beta instability in different markets and for different stocks in the same market are of different nature and different models may be suitable for different markets and different stocks in the same market in capturing the time‐varying nature of beta coefficients.

Research limitations/implications

This study covers only 110 stocks of Dhaka Stock Exchange. It can be extended to include more stocks. The study can also be done in other developing markets.

Originality/value

While the issues of beta instability have been extensively explored for developed markets, evidence for emerging markets is less readily available. The present study contributes to the emerging market literature on beta instability by investigating the extent of beta instability and its time‐varying properties in Dhaka Stock Exchange (DSE), Bangladesh. Understanding the systematic risk behaviour of individual stocks in DSE is important for both local and international investors. With the saturation of investment opportunities in developed markets due to their high integration, and with the enhanced deregulation and liberalization of emerging economies, emerging financial markets like DSE provide suitable and a relatively safe investment environment for international investors and fund managers seeking global diversification for better risk‐return trade‐offs. When most of the world markets declined during the recent global financial crisis, stock prices in DSE experienced a continuous rise. This makes it more interesting as an emerging market to study beta instability.

Details

Managerial Finance, vol. 36 no. 10
Type: Research Article
ISSN: 0307-4358

Keywords

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