Random Walk of Security Prices: Empirical Evidence from KSE, LSE, and ISE
نویسندگان
چکیده
منابع مشابه
Random Walk of Security Prices: Empirical Evidence from KSE, LSE, and ISE
Previously security market research had been focused mainly on developed economies with no attention paid to the security markets of developing countries of South East Asia. In an attempt to fill this gap in the literature, this paper conducts an empirical investigation of the random walk of security prices in Pakistani stock markets. The Augmented Dickey fuller test, Ljung Box Q test, Variance...
متن کاملDoes the London Metal Exchange Follow a Random Walk? Evidence from the Predictability of Futures Prices
This paper analyses the validity of the weak-form market efficiency, using the random-walk hypothesis for the six industrial base metals copper, aluminium, zinc, nickel, tin and lead traded at the London Metal Exchange. I analyse the behaviour of daily and weekly prices of the daily rolling three-month futures contracts, as these contracts exhibit the highest level of trading activity. In contr...
متن کاملRandom Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets
Abstract This paper investigates whether stock-price indices of seventeen emerging markets can be characterized as random walk (unit root) or mean reversion processes. We implement a test that can account for possible structural breaks in the underlying series and is considerably more powerful than standard tests for a random walk. We find that for fourteen countries, stock prices exhibit signi...
متن کاملA Garch Model Test of The Random Walk Hypothesis: Empirical Evidence from The Platinum Market
The paper investigates whether there are periods when platinum prices follow the random walk process (weak-form efficient) and periods when they deviate from the random walk theory (mean reversion). Monthly log returns of platinum prices are examined using the Augmented Dickey-Fuller test (ADF) and a GARCH model with time-varying properties. A GARCH model with time-varying properties is able to...
متن کاملThe Co-movement between Output and Prices: Evidence from Iran
This paper employs a multivariate dynamic conditional correlation GARCH model, which is developed by Engle (2001, 2002), to detect the timing and nature of changes in the comovement between Iranian output and prices for the periods after Iran–Iraq war , known as imposed war . The results showed that there is a weak correlation between output and prices after imposed war and varies periodically...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Independent Studies and Research-Management, Social Sciences and Economics
سال: 2006
ISSN: 1727-8309,2616-7476
DOI: 10.31384/jisrmsse/2006.04.1.1