Australian Stock Indexes and the Four-Factor Model

The four-factor asset pricing model on the Polish stock market

Fractional integration in daily stock market indexes

I use parametric and semiparametric methods to test for the order of integration in stock market indexes. The results, which are based on the EOE (Amsterdam), DAX (Frankfurt), Hang Seng (Hong Kong), FTSE100 (London), S&P500 (New York), CAC40 (Paris), Singapore All Shares, and the Japanese Nikkei, show that in almost all of the series the unit root hypothesis cannot be rejected. The Hang Seng an...

Multifractality in stock indexes: Fact or fiction?

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent τ(q) is linear and the singularity α(q) is close to 1 for all trading days and all index...

A threshold model for Australian Stock Exchange equities

In this paper we present a threshold model to describe the phenomena of zero return enhancement that is present in Australian Stock Exchange data. We examine the intraday behaviour of the ASX data and construct a new measure for the market activity using principal component analysis. We use this measure to create a business time scale that keeps the level of zero return enhancement constant thr...

Excess Volatility? The Australian Stock Market

Are share markets too volatile? While it is difficult to ignore share market volatility it is important to determine whether volatility is excessive. This paper replicates the Shiller (1981) test as well as applying standard time series analysis to annual Australian stock market data for the period 1883 to 1999. While Shiller’s test suggests the possibility of excess volatility, time series ana...