ESG vs conventional indices: Comparing efficiency in the Ukrainian stock market

Long Memory in the Ukrainian Stock Market

This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long memory and thus are predictable using historical data. Moreover, their volatility, measured as the abs...

Russian stock market in the aftermath of the Ukrainian crisis

This paper studies the dynamic relationship between returns in the Russian stock market and global equity markets in the aftermath of the 2014 Ukrainian crisis. We apply dynamic the Russian and global equity returns after the crisis outbreak. The Russian stock market clearly decoupled from both de veloped and emerging markets, as shown by a 30–50% decline in returns correlation. In view of dram...

Weak-Form Efficiency In The German Stock Market

Predicting stock market indices movements

This paper examines the extent to which the daily movements of three large emerging markets stock indices are predictable. Lagged technical indicators are used as explanatory variables. In the analysis we employed seven classification techniques and assessed the discriminatory power of the classifiers through the area under the receiver operating characteristic (ROC) curve. The results show tha...

Stock Market Efficiency in India

In the empirical literature on capital market efficiency, the hypothesis that futures price is an unbiased predictor of the future spot price has been one of the most controversial topics among the researchers, analysts and academicians. The study of the efficiency of the futures market is significant in an emerging market like India as futures market serves the most important functions of comp...