ERN: Hypothesis Testing (Topic)最新文献_第7页

Testing Market Efficiency: Empirical Evidence from Developed Markets of Europe and North America 检验市场效率:来自欧洲和北美发达市场的经验证据

ERN: Hypothesis Testing (Topic) Pub Date : 2012-01-12 DOI: 10.2139/ssrn.1983962

S. Nisar, Muhammad Hanif

{"title":"Testing Market Efficiency: Empirical Evidence from Developed Markets of Europe and North America","authors":"S. Nisar, Muhammad Hanif","doi":"10.2139/ssrn.1983962","DOIUrl":"https://doi.org/10.2139/ssrn.1983962","url":null,"abstract":"As per definition of efficient market hypothesis (EMH), there is a need that stock prices should reflect all available information in the market and no investor is able to earn excess return on the basis of some secretly held private, public or historical information. Efficient market hypothesis (EMH) can be further divided into three sub hypotheses depending upon the information set involved and these are weak form efficient market hypothesis, semi strong form efficient market hypothesis and strong form efficient market hypothesis. This study has examined the weak form of efficiency on the six major stock exchanges that are present in North-America and Europe including NYSE Composite (USA), S&P TSX Composite (Canada), FTSE 100 Index (UK), CAC 40 (France), DAX 30 (Germany) and IBEX 35 (Spain). Historical index values are gathered on a monthly, weekly and daily basis for a period of 14 Years (July 1997 to June 2011). Two statistical tests including runs test, and variance ratio test were applied for analysis and results. It is found in the process that two out of six developed stock markets of North-America and Europe doesn’t follow Random-walk and hence NYSE Composite, S&P TSX Composite, DAX 30 (Germany) and IBEX 35 (Spain) are the weak form of efficient markets.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128743871","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

Do Real Interest Rates Really Contain a Unit Root? More Evidence from a Bootstrap Covariate Unit Root Test 实际利率真的包含单位根吗?更多来自Bootstrap协变量单位根检验的证据

ERN: Hypothesis Testing (Topic) Pub Date : 2011-12-01 DOI: 10.1111/j.1468-0106.2010.00514.x

Cheng‐Feng Lee, Ching‐Chuan Tsong

{"title":"Do Real Interest Rates Really Contain a Unit Root? More Evidence from a Bootstrap Covariate Unit Root Test","authors":"Cheng‐Feng Lee, Ching‐Chuan Tsong","doi":"10.1111/j.1468-0106.2010.00514.x","DOIUrl":"https://doi.org/10.1111/j.1468-0106.2010.00514.x","url":null,"abstract":"This paper re‐examines the empirical finding that international real interest rates usually have a unit root. This conclusion is put forth in Rapach and Weber (2004), using the Ng and Perron (2001) tests. We use Rudebusch's (1993) approach to construct the small sample distributions of the Ng and Perron tests, and calculate their asymptotic sizes, size‐adjusted powers and rejection rates. These numbers show that the lack of power in the Ng and Perron tests might account for the findings of Rapach and Weber (2004): that the unit root null cannot be rejected for most OECD countries. Size distortions are mild in the case of Ng and Perron tests for two series, but are serious for the Phillips and Perron Z‐test on inflation rates. We then apply a powerful covariate augmented Dickey–Fuller unit root test to examine the series for which stationarity cannot be determined with the Ng and Perron tests. The bootstrap technique is also used to control possible size distortions. In contrast to the results of Rapach and Weber (2004), the bootstrap covariate augmented Dickey–Fuller test yields striking evidence that real interest rates are stationary for 14 of 16 OECD countries, because nominal interest rates are stationary for the 14 countries, while inflation rates are stationary for all countries.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128674120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Should Easier Access to International Credit Replace Foreign Aid? 更容易获得国际信贷应该取代外国援助吗?

ERN: Hypothesis Testing (Topic) Pub Date : 2011-09-27 DOI: 10.2139/ssrn.1934407

S. Bandyopadhyay, S. Lahiri, Javed Younas

引用次数: 0

On Testing for Independence between Several Time Series 若干时间序列之间的独立性检验

ERN: Hypothesis Testing (Topic) Pub Date : 2011-04-26 DOI: 10.2139/ssrn.1823626

P. Duchesne, K. Ghoudi, B. Rémillard

{"title":"On Testing for Independence between Several Time Series","authors":"P. Duchesne, K. Ghoudi, B. Rémillard","doi":"10.2139/ssrn.1823626","DOIUrl":"https://doi.org/10.2139/ssrn.1823626","url":null,"abstract":"Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for independence between more that two time series, checking pairwise independence does not lead to consistent procedures. Thus a finite family of empirical processes relying on multivariate lagged residuals are constructed, and we derive their asymptotic distributions.In order to obtain simple asymptotic covariance structures, Mobius transformations of the empirical processes are studied, and simplifications occur. Under the null hypothesis of independence, we show that these transformed processes are asymptotically Gaussian, independent, and with tractable covariance functions not depending on the estimated parameters. Various procedures are discussed, including Cramer-von Mises test statistics and tests based on non-parametric measures. The ranks of the residuals are considered in the new methods, giving tests statistics which are asymptotically margin-free. Generalized cross-correlations are introduced, generalizing the concept of cross-correlation to an arbitrarily number of time series; portmanteau procedures based on them are discussed. In order to detect the dependence visually, graphical devices are proposed. Simulations are conducted to explore the finite sample properties of the methodology, which is found to be powerful against various types of alternatives when the independence is tested between two and three time series. An application is considered, using the daily log-returns of Apple, Intel and Hewlett-Packard traded on the Nasdaq financial market.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121095742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Can Economic Crises Be Good for Your Diet? 经济危机对你的饮食有好处吗?

ERN: Hypothesis Testing (Topic) Pub Date : 2011-04-11 DOI: 10.2139/ssrn.1806411

Ralitza Dimova, Ira N. Gang, M. Gbakou, D. Hoffman

引用次数: 0

Efficiency Tests in the Art Market Using Cointegration and the Error Correction Model 用协整和误差修正模型检验艺术市场的效率

ERN: Hypothesis Testing (Topic) Pub Date : 2011-01-13 DOI: 10.2139/ssrn.1696785

Troy Ballesteros

{"title":"Efficiency Tests in the Art Market Using Cointegration and the Error Correction Model","authors":"Troy Ballesteros","doi":"10.2139/ssrn.1696785","DOIUrl":"https://doi.org/10.2139/ssrn.1696785","url":null,"abstract":"I aim to understand art prices and returns from a market efficiency point of view and we seek to understand whether the art market exhibits predictability or randomness. I tested the weak-form efficiency random walk using ADF and found that most of my time-series data are non-stationary; hence, they all possess randomness. I proceeded and tested my art data using cointegration and the ECM by comparing them to non-risky and risky asset as well as an economic indicator. To be market-efficient, I cannot reject the null hypothesis and accept the alternative hypotheses of cointegrated data. Thus, the results are mixed – art market behaviour can be partly forecasted. I can predict the outcome of art using gold as a benchmark. Bonds are not useful predictors for the art market. Oil & gas as well as the GDP are good predictors of the general art market. The implications of market efficient are mixed. Art can be used as hedge when bundled with bonds. Portfolio diversification seems to be less favourable for the art market. The way to profit is to look at the returns of oil & gas, assuming other people do not possess this information. My study contradicted the academic belief of market efficiency in favour of practitioners. Subjected to scrutiny, my mixed results do not suggest fully abandoning the notion of efficiency in the art market.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125083059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Pricing to Market When Quality Matters 当质量重要时，根据市场定价

ERN: Hypothesis Testing (Topic) Pub Date : 2009-12-22 DOI: 10.2139/ssrn.1557565

Roberto Basile, Sergio De Nardis, A. Girardi

引用次数: 3

Spot Variance Path Estimation and Its Application to High Frequency Jump Testing 点方差路径估计及其在高频跳变检测中的应用

ERN: Hypothesis Testing (Topic) Pub Date : 2009-12-03 DOI: 10.2139/ssrn.1519797

Charles S. Bos, P. Janus, S. J. Koopman

{"title":"Spot Variance Path Estimation and Its Application to High Frequency Jump Testing","authors":"Charles S. Bos, P. Janus, S. J. Koopman","doi":"10.2139/ssrn.1519797","DOIUrl":"https://doi.org/10.2139/ssrn.1519797","url":null,"abstract":"This paper considers spot variance path estimation from datasets of intraday high-frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects, and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used to extend an existing high-frequency jump test statistic, to detect arrival times of jumps, and to obtain distributional characteristics of detected jumps. The effectiveness of our approach is explored through Monte Carlo simulations. It is shown that sparse sampling for mitigating the impact of microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach, we can analyze high-frequency price observations that are contaminated with microstructure noise and rounding effects without the need for sparse sampling. An empirical illustration is presented for the intraday EUR/USD exchange rates. Our main finding is that fewer jumps are detected when sampling intervals increase. Copyright The Author 2012. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.","PeriodicalId":425229,"journal":{"name":"ERN: Hypothesis Testing (Topic)","volume":"11 14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123693141","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 27

A Specification Test for Instrumental Variables Regression with Many Instruments 多仪器工具变量回归的规格检验

ERN: Hypothesis Testing (Topic) Pub Date : 2009-12-01 DOI: 10.2139/ssrn.1516333

Yoonseok Lee, R. Okui

引用次数: 7

Market Opportunities and the Owner Identity: Are Family Firms Different? 市场机会与所有者身份:家族企业不同吗?

ERN: Hypothesis Testing (Topic) Pub Date : 2009-10-14 DOI: 10.2139/ssrn.1496434

M. Cucculelli, F. Marchionne

引用次数: 35