Testing for predictability in equity returns for European transition markets

Economic Systems

Volumn 30, Issue 1, 2006, Pages 56-78

  Cajueiro, Daniel O ^a   Tabak, Benjamin M ^b  

^a UNIVERSIDADE CATÓLICA DE BRASÍLIA   (Brazil)

^b BANCO CENTRAL DO BRASIL   (Brazil)

Author keywords

European transition economies; Hurst exponents; Long memory; Multifractality; Predictability; Variance ratio

Indexed keywords

EID: 33646509641     PISSN: 09393625     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ecosys.2005.09.003     Document Type: Article

References (67)

1. Allen F., and Karjalain R. Using genetic algorithms to find tecnhical trading rules. J. Financ. Econ. 51 (1999) 245-271
2. Balvers R., Wu Y., and Gilliland E. Mean reversion across national stock markets and parametric contrarian investment strategies. J. Financ. 55 (2000) 745-772
3. Barkoulas J.T., Labys W.C., and Onochie J.I. Long memory in futures prices. Financ. Rev. 34 (1999) 91-100
4. Barkoulas J.T., Baum C., and Travlos N. Long memory in the Greek stock market. Appl. Financ. Econ. 10 (2000) 177-184
5. Bessembinder H., and Chan K. Market efficiency and the returns to technical analysis. Financ. Manage. 27 (1998) 5-17
6. Beveridge S., and Oickle C. Long memory in the Canadian stock market. Appl. Financ. Econ. 7 (1997) 667-672
7. Black F., and Scholes M. The pricing of options and corporate liabilities. J. Polit. Econ. 81 (1973) 637-654
8. Blasco N.R., Rio C., and Santamaria. The random walk hypothesis in the Spanish stock market: 1980-1992. J. Bus. Financ. Account. 24 (1997) 667-683
9. Bouchaud J.-P., Potters M., and Meyer M. Apparent multifractality in financial time series. Eur. J. Phys. 13 (2000) 595-599
10. Brock W., Lakonishok J., and LeBaron B. Simple technical trading rules and the stochastic properties of stock returns. J. Financ. 47 (1992) 1731-1764
11. Cajueiro D.O., and Tabak B.M. The Hurst's exponent over time: testing the assertion that emerging markets are becoming more efficient. Physica A 336 (2004) 521-537
12. Cajueiro D.O., and Tabak B.M. Ranking efficiency for emerging markets. Chaos Soliton Fract. 22 (2004) 349-352
13. Calvet L., and Fisher A. Multifractality in asset returns: theory and evidence. Rev. Econ. Stat. 84 (2001) 381-406
14. Ceccheti S.G., and Lam P.S. Variance ratio tests: small-sample properties with an application to international output data. J. Bus. Econ. Stat. 12 (1994) 177-186
15. Chan L., Jegadeesh N., and Lakonishok J. Momentum strategies. J. Financ. 51 (1996) 1681-1713
16. Chang E.J., Lima E.J.A., and Tabak B.M. Testing for predictability in emerging equity markets. Emerg. Markets Rev. 5 (2004) 295-316
17. Chelley-Steeley P.L. Modeling equity market integration using smooth transition analysis: a study of Eastern European stock markets. J. Int. Money Financ. 24 (2005) 818-831
18. Cheung Y.-W., and Lai K.S. A search for long memory in international stock market returns. J. Int. Money Financ. 14 (1995) 597-615
19. Chow V., and Denning K.C. A simple multiple variance ratio test. J. Econom. 58 (1993) 385-401
20. Chun R.M. Compensation vouchers and equity markets: evidence from Hungary. J. Bank. Financ. 24 (2000) 1155-1178
21. Claessens S. Corporate governance and equity prices: evidence from the Czech and Slovak republics. J. Financ. 52 (1997) 1641-1658
22. Cochran S.J., DeFina R.H., and Mills L.O. International evidence on predictability of stock returns. Financ. Rev. 28 (1993) 159-180
23. Cribari-Neto F., and Zarkos S. Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing. Econom. Rev. 18 (1999) 211-228
24. Dockery E., and Vergari F. Testing the random walk hypothesis: evidence for the Budapest stock exchange. Appl. Econ. Lett. 58 (1993) 385-401
25. Fama E.F. Efficient capital markets: a review of theory and empirical work. J. Financ. 25 (1970) 383-417
26. Fama E.F. Efficient capital markets: II. J. Financ. 46 (1991) 1575-1617
27. Fama E., and French K. Permanent and temporary components of stock prices. J. Polit. Econ. 96 (1988) 246-273
28. Feder J. Fractals (1988), Plenum Press, New York
29. Fillol J. Multifractality: theory and evidence and application to the French stock market. Econ. Bull. 3 (2003) 1-12
30. Frennberg P., and Hansson B. Testing the random walk hypothesis on Swedish stock prices: 1919-1990. J. Bank. Financ. 17 (1993) 175-191
31. Gencay R. The predictability of security returns with simple technical trading rules. J. Empirical Financ. 5 (1998) 347-359
32. Harvey C.R. Predictable risk and return in emerging markets. Rev. Financ. Stud. 8 (1995) 773-816
33. Henry O.T. Long memory in stock returns: some international evidence. Appl. Financ. Econ. 12 (2002) 725-729
34. Hurst E. Long term storage capacity of reservoirs. Trans. Am. Soc. Civil Eng. 116 (1951) 770-799
35. International Finance Corporation, 1999. Emerging Stock Markets Factbook. Washington, DC, 1995-1999.
36. IMF, 2000. World Economic Outlook, Focus on Transition Economies. Washington, DC.
37. Kandel S., and Stambaugh R.F. On the predictability of stock returns: an asset allocation perspective. J. Financ. 51 (1996) 385-424
38. Kasch-Haroutounian M., and Price S. Volatility in the transition markets of Central Europe. Appl. Financ. Econ. 11 (2001) 93-105
39. Keim D., and Stambaugh R.F. Predicting returns in the stock and bond markets. J. Financ. Econ. 17 (1986) 357-390
40. Konings J., Rizov M., and Vandenbussche H. Investment and financial constraints in transition economies: micro evidence from Poland, the Czech Republic and Romania. Econ. Lett. 78 (2003) 253-258
41. Li X.-M. China: further evidence on the evolution of stock markets in transition economies. Scot. J. Polit. Econ. 50 (2003) 341-358
42. Lima E.A., and Tabak B.M. Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore. Appl. Econ. Lett. 11 (2004) 1255-1258
43. Limam I. Is long memory a property of thin stock markets? International evidence using Arab countries. Rev. Middle East Econ. Financ. 1 (2003) 251-266
44. Lo A.W. Long-term memory in stock market prices. Econometrica 59 (1991) 1279-1313
45. Lo A.W., and Mackinlay A.C. Stock market prices do not follow random walks: evidence from a simple specification test. Rev. Financ. Stud. 1 (1988) 41-66
46. Lo A.W., and Mackinlay A.C. The size and power of the variance ratio test in finite samples: a Monte Carlo investigation. J. Econom. 40 (1989) 203-238
47. Lo A.W., Mamaysky H., and Wang J. Foundations of technical analysis: computational algorithms, statistical inference, and empirical implementation. J. Financ. 55 (2000) 1705-1765
48. Makiel B.G. Models os stock market predictability. J. Financ. Res. 27 (2004) 449-459
49. Makiel B.G. Reflections on the efficient market hypothesis: 30 years later. Financ. Rev. 40 (2005) 1-9
50. Malliaropulos D., and Priestley R. Mean reversion in Southeast Asian stock markets. J. Empirical Financ. 6 (1999) 355-384
51. Mateus T. The risk and predictability of equity returns of the EU accession countries. Emerg. Markets Rev. 5 (2004) 241-266
52. Mookerjee R., and Yu Q. An empirical analysis of the equity markets in China. Rev. Financ. Econ. 8 (1999) 41-60
53. Mulligan R.F. Fractal analysis of highly volatile markets: an application to technological equities. Q. Rev. Econ. Financ. 44 (2004) 155-179
54. Mulligan R.F., and Lombardo G.A. Maritime business: volatile stock prices and market valuation inefficiencies. Q. Rev. Econ. Financ. 44 (2004) 321-336
55. Patro D.K., and Wu Y. Predictability of short-horizon returns in international equity markets. J. Empirical Financ. 11 (2004) 553-584
56. Pesaran M.H., and Timmermann A. The robustness and economic significance of predictability of stock returns. J. Financ. 50 (1995) 1201-1228
57. Poterba J., and Summers L.H. Mean reversion in stock returns: evidence and implications. J. Financ. Econ. 22 (1988) 27-60
58. Richards A. Comovements in national stock market returns: evidence of predictability, but not cointegration. J. Monet. Econ. 36 (1995) 631-654
59. Richards A. Winner-loser reversals in national stock market indices: can they be explained?. J. Financ. 52 (1997) 2129-2144
60. Rockinger M., and Urga G. The evolution of stock markets in transition economies. J. Comp. Econ. 28 (2000) 456-472
61. Sun X., Chen H., Yuan Y., and Wu Z. Predictability of multifractal analysis of Hang Seng stock index in Hong Kong. Physica A 301 (2001) 473-482
62. Teverovsky V., Taqqu M.S., and Willinger W. A critical look at Lo's modified R/S statistic. J. Stat. Plan. Infer. 80 (1999) 211-227
63. Wei Y., and Huang D. Multifractal analysis of SSEC in Chinese stock market: A different empirical result from Hang Seng index. Physica A: Statis. Mech. Appl. 355 2-4 (2005) 497-508
64. Wu C.F.J. Jackknife, bootstrap aand other resampling methods in regression analysis. Ann. Stat. 14 (1986) 1261-1295
65. Xu Y. Small levels of predictability and large economic gains. J. Empirical Financ. 11 (2004) 247-275
66. Xu Z., and Gencay R. Scaling, self-smiliarity and multifractality in FX markets. Physica A 323 (2003) 578-590
67. Zalewska-Mitura A., and Hall S.G. Examining the first stages of market development: a test for evolving market efficiency. Econ. Lett. 64 (1999) 1-12