Market development and market efficiency: evidence based on nonlinear panel unit root tests

Aktan, Ceyda; Iren, Perihan; Omay, Tolga

doi:10.1080/1351847x.2018.1560346

Cited by 16 publications

(9 citation statements)

References 42 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…However, in these countries, the potential role that the stock market has for economic development depends on the degree of stock market development. Stock market development, in turn, has been proven to have, a significant relationship with the degree of market efficiency, regardless of whether markets are developed, frontier or emergent, at least in the case of Europe [33]. Younger and less developed markets are usually found in the empirical literature to be less efficient than their more developed counterparts.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets

et al. 2020

View full text Add to dashboard Cite

In this paper, we present a comparative investigation of the multifractal properties of seven Central and Eastern European (CEE) stock markets using recent financial data up to August 2018 by employing seasonal and trend decompositions before applying multifractal detrended fluctuation analysis. We find that stock indices returns exhibit long-range correlations, supporting the idea that the stock markets in question are not efficient markets and have not reached a mature stage of market development. The results of the paper are of interest to investors looking for opportunities in these stock exchanges and also to policy makers in their endeavour of realizing institutional reforms in order to increase stock market efficiency and to support the sustainable growth of the financial markets.

show abstract

Section: Theoretical Backgroundmentioning

confidence: 99%

Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets

et al. 2020

View full text Add to dashboard Cite

show abstract

“…However, none of these studies explore a holistic comparison and they touch only on some of the problems that we obtained from power analysis. In terms of empirical research, studies which utilize the tests discussed to make the correct unit root test in line with the results of the power study, as well as try to identify which one of the tests is the best, are [29][30][31][32][33]. These studies perform identification tests to determine whether the Fourier trend or the logistic trend fits the data better.…”

Section: The Behaviour Of the Fourier Function Under A Hybrid Dgp Witmentioning

confidence: 99%

Smooth Break Detection and De-Trending in Unit Root Testing

et al. 2021

Self Cite

View full text Add to dashboard Cite

This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests that accommodate smooth or sharp structural breaks. The power experiments demonstrate that the unit root tests utilizing the Fourier function lead to unexpected results. Furthermore, through simulation studies, we investigate the source of such unexpected outcomes. Moreover, we provide the asymptotic distribution of two recently proposed unit root tests, namely Fourier-Augmented Dickey–Fuller (FADF) and Fourier-Kapetanios, Shin and Shell (FKSS), which are not given in the original studies. Lastly, we find that the selection of de-trending function is pivotal for unit root testing with structural breaks.

show abstract

“…In the works to test the random walk hypothesis, the statistical tests are widely applied to historical data, for example, the root test [6], run test [7], variance ratio test [8,9], multiple variance ratio test [10]. From a purely statistical viewpoint, these tests can be divided into the parametric such as autocorrelation test, and non-parametric such as run test.…”

Section: Introductionmentioning

confidence: 99%

Simulation of Gold Price for the First 20 Years in the 21st Century with Random Walk Model

Yan¹,

Wu²

2022

Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2

View full text Add to dashboard Cite

Whether or not a stock index can be interpreted by the random walk model is important but debatable because it is closely linked to the weak form of the efficient market hypothesis (EMH). As an important commodity, a precious metal, and the reserve in central banks, the gold price is the objective of numerous studies. The issue of whether the gold price is subject to the weak form of EMH is interesting and important. Although the gold price is the oldest recorded price in human history, we select the first 20 years in the 21 st century for this report to be consistent with our previous studies. In this report, the random walk model was used to simulate the gold daily close price because this task was previously approached using statistical tests. Our focus concentrates on the simulation in the decimal configuration, and the results show that the simulation becomes worse with increase of the number of years involved in simulation.

show abstract

Market development and market efficiency: evidence based on nonlinear panel unit root tests

Cited by 16 publications

References 42 publications

Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets

Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets

Smooth Break Detection and De-Trending in Unit Root Testing

Simulation of Gold Price for the First 20 Years in the 21st Century with Random Walk Model

Contact Info

Product

Resources

About