کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964850 | 930637 | 2007 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the returns generating process and the profitability of trading rules in emerging capital markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, we aim to characterize the stock return dynamics of four Latin American and four Asian emerging capital market economies and assess the profitability of popular trading rules. Using Morgan Stanley Capital International (MSCI) daily stock index prices, we find that dollar denominated returns exhibit statistically significant long-memory effects in volatility but not in the mean. “Trading” our findings via a number of rules, we beat the “buy-and-hold” benchmark strategy in all markets before transaction costs and, predominantly, in Asian markets after transaction costs. The robustness of our results casts serious doubt on the weak form efficiency of such markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 26, Issue 6, October 2007, Pages 948-973
Journal: Journal of International Money and Finance - Volume 26, Issue 6, October 2007, Pages 948-973
نویسندگان
John Hatgioannides, Spyros Mesomeris,