This research examined the time series characteristics of stock price indices for Hong Kong, Tokyo, New York (NYSE) and London (FTSE) equity markets or stock exchanges during the period of 1991 to 2012. Specifically, we calculate the rate of return and the volatility of return for all the markets and estimate the serial correlation and co-movement of the four markets. We find that the average r...

The characterization of asset price returns is an important subject in modern finance. Traditionally, the dynamics of stock returns are assumed to lack any temporal order. Here we present an analysis of the autocovariance of stock market indices and unravel temporal order in several major stock markets. We also demonstrate a fundamental difference between developed and emerging markets in the p...

This paper studies the dynamic behavior of risks and returns in Chinese stock markets. We characterize the time-series properties of stock-market return and volatility and test the market e–ciency hypothesis. We estimate an empirical model that captures the efiect of local and global information variables on the conditional mean of stock-market returns and characterize the second order conditio...

Stock exchanges are considered major players in financial sectors of many countries. Most Stockbrokers, who execute stock trade, use technical, fundamental or time series analysis in trying to predict stock prices, so as to advise clients. However, these strategies do not usually guarantee good returns because they guide on trends and not the most likely price. It is therefore necessary to expl...