the present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. when return series exhibit long memory, it indicates that observed returns are not independent over time. if returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. it poses a serious challenge to ...

To investigate the characteristics of extreme events in financial markets and the corresponding return intervals among these events, we use a Potts dynamic system to construct a random financial time series model of the attitudes of market traders. We use multiscale multifractal detrended cross-correlation analysis (MM-DCCA) and Lempel–Ziv complexity (LZC) perform numerical research of the retu...

This study examines the effect of international listing on the conditional return distribution of Australian stocks in the domestic market. We conduct an intervention analysis in an EGARCH framework to measure any shift in the parameters describing the daily return generating process. All fifteen stocks that were listed on the major U.S. exchanges (NYSE and NASDAQ) as American Depositary Receip...

Diversification continues to be an important strategy for corporate growth and better financial performance. The relationship between the diversification strategy and profitability as well as diversification and market power has been explored by a number of studies for the developed economies. The present study is an attempt to investigate the relationship between diversification and a firm’s f...

We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of market volatility. Bullish sentiment leads to higher market excess return while bearish sentiment leads t...

The aim of this paper is to provide further insights into the linkages between stock market development and economic growth. When it is not possible to distinguish between investment projects with different rates of return, market valuation of those projects is an “average value” reflecting the expected return across all investment opportunities. Consequently, as in a typical lemon’s market, hi...

We propose market timing strategies aiming to exploit the aggregate accruals’ return forecasting power. We examine several performance metrics of the aggregate accruals based market timing strategy such as excess portfolio return, Sharpe ratio, and Jensen’s alpha. We provide robust evidence that, relative to the passive investment strategy of buying and holding the stock market, the market timi...