Browsing by Subject "Market efficiency"

Now showing 1 - 8 of 8

Open Access
Are stock prices too volatile to be justified by the dividend discount model?
(Elsevier, 2007) Akdeniz, L.; Salih, A. A.; Ok, S. T.
This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.
Open Access
The Behavior of stock returns in Turkey: 1986-1988
(1989) Başçı, Erdem
This study investigates distributional and time series behavior of common stock returns in Istanbul Stock Exchange (ISE) for the period 1986-1988. The distributions of weekly price returns deviate from normality with sharp peaks, heavy tails and positive skewness. These observations are similar to those of United States stock markets but ISE returns have higher means and higher variances. The first order serial dependence is insignificant for most stocks and Box-Jenkins linear forecasting models shows a poor performance. So, published past price information cannot be used to obtain better forecasts of future prices by this model. This observation is in line with the random walk behavior as expected from a weak form efficient market. Applicability of Box-Jenkins models may be questioned however, since variance of returns is not stationary due to a second order dependence. This type of dependence is not against weak form efficiency and is seen in US stock returns as well. To detect any longer term dependence, the test of variance-time function is employed.:· The results indicate significant long term dependence for most stocks and this is against weak form efficiency. The weekly change in trading volume series turns out to be forecastable by univariate Box- Jenkins models and it seems to explain some of the variation in stock price returns.
Open Access
Bidding structure, market efficiency and persistence in a multi-time tariff setting
(Elsevier, 2016) Avci-Surucu, E.; Aydogan, A. K.; Akgul, D.
The purpose of this study is to examine the fractal dynamics of day ahead electricity prices by using parametric and semi parametric approaches for each time zone in a multi-time tariff setting in the framework of bidding strategies, market efficiency and persistence of exogenous shocks. We find that that electricity prices have long term correlation structure for the first and third time zones indicating that market participants bid hyperbolically and not at their marginal costs, market is not weak form efficient at these hours and exogenous shocks to change the mean level of prices will have permanent effect and be effective. On the other hand, for the second time zone we find that price series does not exhibit long term memory. This finding suggests the weak form efficiency of the market in these hours and that market participants bid at their marginal costs. Furthermore this indicates that exogenous shocks will have temporary effect on electricity prices in these hours. These findings constitute an important foundation for policy makers and market participants to develop appropriate electricity price forecasting tools, market monitoring indexes and to conduct ex-ante impact assessment.
Open Access
Data analytics in stock markets
(2019-06) Salari, Hajar Novin
One of the important strategies that is employed in finance is data analytics. Data Analytics is the science of investigating raw data with intention of drawing meaningful information and useful conclusions. Recently, organizations started to consider data analytics as a way to improve business processes and, use the collected information in operational efficiencies for achieving revenue growth. In recent years, the usage of data analytics is rapidly growing for many other reasons, such as, optimizing business processes, increasing revenue, and improving customer interactions. In this research two kinds of data analytics, order imbalances and order flow imbalances are studied and two groups of models extended according them. These regression models are based on level regressions and percentage changes, and trying to answer whether data analytics can forecast one minute a head of price return for each stock or not. Moreover, the results are analyzed and interpreted for 27 stocks of Borsa Istanbul. In the next step, for understanding the power of prediction of data analytics, Fama-Macbeth regression is considered. In the first step, each portfolio’s return is regressed against one or more factor of time series. In the second step, the cross-section of portfolio returns is regressed against the factors, at each time step. Then, we discuss the Long-Short Portfolio approach which is widely used in finance literature. This method is an investing strategy that takes long positions in stocks that are expected to ascend and short positions in stocks that are expected to descend. In this part we show the number of days that are positive or negative and provide the t stats that adjusted by NW procedure for all data analytics in each day for this method. Finally, we discuss about the market efficiency and show whether according to our analysis Borsa Istanbul is an efficient market or not.
Open Access
Does short-term technical trading exist in the Vietnamese stock market?
(Elsevier, 2020-06-17) Nguyenab, D. K.; Şensoy, Ahmet; Vo, D -T; von Mettenheim, H-J
The Vietnamese stock market provides an interesting and enriching test field for the application of trading expert systems as its economy is opening up, has high growth rate and may offer risk diversification opportunities. This paper examines the question of whether this frontier emerging market offers possibilities for statistical arbitrage through a financial expert system. Based on a sample of the most liquid stocks in the VN30 benchmark index, our results indicate that the index itself and some of its components offer moderate opportunities for statistical arbitrage even after considering transaction costs. It is also found that the purely momentum-based models already work satisfactorily for specific stocks, while the long-short strategies do not work more robustly than the long-only strategies. Overall, our findings hint into the direction of some exploitable inefficiencies, but the magnitude of the tradable volume is such that only comparatively small amounts can be traded.
Open Access
Generalized Hurst exponent approach to efficiency in MENA markets
(Elsevir BV, 2013) Sensoy, A.
We study the time-varying efficiency of 15 Middle East and North African (MENA) stock markets by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers a time period of six years from January 2007 to December 2012. The results reveal that all MENA stock markets exhibit different degrees of long-range dependence varying over time and that the Arab Spring has had a negative effect on market efficiency in the region. The least inefficient market is found to be Turkey, followed by Israel, while the most inefficient markets are Iran, Tunisia, and UAE. Turkey and Israel show characteristics of developed financial markets. Reasons and implications are discussed.
Open Access
An investigation of anomalies at Istanbul Securities Exchange: size and E/P effects
(1993) Civelekoğlu, Hakan
This study investigates the presence of 'sizeeffect' and 'E/P effect' at Istanbul Securities Exchange for the period January 1990-December 1992. 24 months of monthly return data prior to test year are used to estimate the market risk of each stock. Each ear, portfolios are formed according to the previous year's E/P ratio and market value and than the average monthly returns of the current year are compared. In addition, to determine which of the variables significantly explain the average return of stocks, cross-sectional regression approach of Fama-MacBeth (1973) is applied. The results reveal that there exists a weak 'E/P effect' in the years 1991 and 1992. However, a significant 'size effect' is not encountered at ISE as opposed to the case in developed capital markets.
Open Access
Time-varying long range dependence in market returns of FEAS members
(Elsevier, 2013) Sensoy, A.
We study the time-varying efficiency of nineteen members of the Federation of Euro-Asian Stock Exchanges (FEAS - an international organization comprising the main stock exchanges in Eastern Europe, the Middle East and Central Asia) by generalized Hurst exponent analysis of daily data with a rolling window technique. The study covers the six years of time period between January 2007 and December 2012. The results reveal that all FEAS members exhibit different degrees of long range dependence varying over time. We present an efficiency ranking of these members that provides guidance for investors and portfolio managers. Results show that the least inefficient market is Turkey followed by Romania while the most inefficient markets are Iran, Mongolia, Serbia and Macedonia. Throughout the considered time period, Turkey's stable Hurst exponent around 0.5 differs from others and shows characteristics of a developed financial market. For the federation members, strong positive relationship between efficiency and market liquidity is revealed. In the light of this fact, alternatives are suggested to improve market efficiency.