کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5056746 1371663 2006 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing for predictability in equity returns for European transition markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Testing for predictability in equity returns for European transition markets
چکیده انگلیسی

This paper presents empirical evidence of short and long-run predictability in stock returns for European transition economies. We employ variance ratios with a bootstrap methodology to test for short-run predictability, which is present in most countries. We also estimate Hurst exponents to test for long-range dependence, and find evidence of such. Furthermore, we find evidence of strong time-varying long-range dependence in these economies stock returns, which is in line with evidence of multifractality of equity returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Systems - Volume 30, Issue 1, March 2006, Pages 56-78
نویسندگان
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