کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054162 | 1476525 | 2014 | 4 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We examine the use of the random walk hypothesis on the BRICS stock indices. Our examination of the stock indices uses a recently developed wavelet-based unit root test by Fan and Gençay (2010) along with a battery of unit root tests. We also examine the sensitivity of the wavelet-based unit root test. Our wavelet-based unit root tests show evidence that rejects the null of the unit root for all of the BRICS countries except for the Russian Federation. Hence, the tests provide support for the predictability of stock market indices in these economies on the basis of historical information. However, there is a need for caution because the results are based on a relatively small sample of only 11Â years of monthly observations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 43, December 2014, Pages 38-41
Journal: Economic Modelling - Volume 43, December 2014, Pages 38-41
نویسندگان
Aviral Kumar Tiwari, Phouphet Kyophilavong,