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Karemera, David; Ojah, Kalu; Cole, John A.

doi:10.1023/a:1008399910942

Cited by 81 publications

(9 citation statements)

References 27 publications

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“…Numerous empirical studies were undertaken to examine the weak-form market efficiency in different financial markets of developed economies. Lee (1992) investigated if the weekly stock returns of ten industrialized countries, which include Austria, Belgium, Canada, France, West Germany, Italy, Several other studies were conducted on the emerging economies, including Karemera et al (1999). The study adopted the multiple varianceratio test to analyze the random walk hypothesis for fifteen emerging capital markets in terms of both the US dollar and local currency.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Several empirical studies pointed out the invalidity of the weak-form efficient market hypothesis for the Latin American stock markets (Charles & Darné, 2009;Worthington & Higgs, 2004). However, Ojah and Karemera (1999) identified the presence of random walk-in stock return for the Latin American emerging equity markets, employing multiple variance ratio and auto-regressive tests. According to Urrutia (1995), the variance ratio tests rejected the random walk hypothesis for the equity markets of Argentina, Brazil, Chile, and Mexico, while the runs tests indicated the selected stock markets are weakform efficient.…”

Section: Literature Reviewmentioning

confidence: 99%

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Is CSX Index a Random Walk?

Lim,

Barnett

2021

JAFESS

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The growth or decline in stock value depends on information. The Efficiency Market Hypothesis (EMH) consists of three different forms: strong-form, semi-strong-form, and weak-form states that stock price reflects its true value properly, and thus includes all information, public and private. If market inefficiency is discovered, an abnormal return may be created via risk-adjusted technical analysis. The Random Walk Hypothesis (RWH) argued that the price of stock tomorrow is computed based on the price of stock today, and the price of stock cannot be anticipated when a random number is consistent with weak-form efficiency. The empirical findings from this research have shown that the CSX index is not a random walk or weak-form inefficient, as indicated by the Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests, and the Variance Ratio (VR) test. Keywords: CSX, EMH, RWH, Unit Root test, VR test

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Is CSX Index a Random Walk?

Lim,

Barnett

2021

JAFESS

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“…In particular, they found that beyond a certain training set size the accuracy hardly improved. In addition, Angelidis et al, (2008) The financial economics literature suggests that informational efficiency differs between established and emerging financial markets (Griffin et al, 2010;Karemera & Ojah, 1999). In particular, there is some evidence that the EMH, which posits that asset prices reflect all relevant information (Fama, 1970(Fama, & 1991, may not hold in emerging markets because of extraneous factors (financial, economic, political, social and cultural environment).…”

Section: Literature Reviewmentioning

confidence: 99%

Comparing the effectiveness of deep feedforward neural networks and shallow architectures for predicting stock price indices

Orimoloye

Sung

et al. 2020

Expert Systems with Applications

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Many existing learning algorithms suffer from limited architectural depth and the locality of estimators, making it difficult to generalize from the test set and providing inefficient and biased estimators. Deep architectures have been shown to appropriately learn correlation structures in time series data. This paper compares the effectiveness of a deep feedforward Neural Network (DNN) and shallow architectures (e.g., Support Vector Machine (SVM) and one-layer NN) when predicting a broad crosssection of stock price indices in both developed and emerging markets. An extensive evaluation is undertaken, using daily, hourly, minute and tick level data related to thirty-four financial indices from 32 countries across six years. Our evaluation results show a considerable advantage from training deep (cf. shallow) architectures, using a rectifier linear (RELU) activation function, across all thirty-four markets when 'minute' data is used. However, the predictive performance of DNN was not significantly better than that of shallower architectures when using tick level data. This result suggests that when training a DNN algorithm, the predictive accuracy peaks, regardless of training size. We also examine which activation function works best for stock price index data. Our results demonstrate that the RELU activation function performs better than TANH across all markets and time horizons when using DNN to predict stock price indices.

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“…Com base nessa perspectiva, foram realizados diversos estudos acerca da hipótese de caminho aleatório (Lo e Mackinlay, 1988;Liu e He, 1991;Blasco et al, 1997;Ojah e Karemera, 1999;Karemera et al, 1999;Chang et al, 2004;Cheong, 2008). Não obstante, de acordo com Al-Khazali et al (2007), como ferramentas para testar a hipótese do caminho aleatório salientam-se os testes de quociente de variâncias de Lo e MacKinlay (1988) e de Chow e Denning (1993).…”

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Testes de quociente de variância do caminho aleatório nos índices setoriais brasileiros

Righi

Ceretta

2014

BASE

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INTRODUÇÃOA previsibilidade do mercado de ações tem sido alvo constante de estudos desenvolvidos pelos pesquisadores da área financeira. Esse fato é alavancado pela possibilidade de arbitragem que traria como consequência ganhos anormais. Não obstante, através de diversas metodologias que foram de-senvolvidas com o decorrer do tempo, foram identificados ativos com comportamento previsível, em algum grau, em diferentes segmentos da economia. Entretanto, existe uma gama de estudos na área de finanças destacando que os mercados não possuem previsibilidade o suficiente para fornecer ganhos acima da média.Nesse sentido, de acordo com Fama (1970), ao se falar em previsibilidade do mercado de ações, deve-se ressaltar o TESTES DE QUOCIENTE DE VARIÂNCIA DO CAMINHO ALEATÓRIO NOS ÍNDICES SETORIAIS BRASILEIROS VARIANCE RATIO TESTS OF THE RANDOM WALK IN THE BRAZILIAN SECTORIAL INDEXES RESUMOO presente trabalho possui como objetivo testar a hipótese de caminho aleatório nos índices setoriais da BM&F/Bovespa através da utilização de testes de quociente de variância. Para tanto, são utilizadas cotações diárias dos índices setoriais correspondentes ao período de 03/01/2008 a 30/08/2011, totalizando 880 observações. Os resultados obtidos permitem concluir que existe um padrão entre os setores, que é a rejeição da hipótese de caminho aleatório nos testes que consideram defasagens isoladas e não rejeição dos testes que consideram as defasagens conjuntamente. Entretanto, o setor imobiliário rejeita a hipótese de caminho aleatório em todos os tipos de teste, revelando que houve oportunidade de arbitragem.Palavras-chave: eficiência, quociente de variância, caminho aleatório, índices setoriais, mercado brasileiro. ABSTRACTThis study aims to evaluate the hypothesis of random walk in the sector indexes of the BM&F/ Bovespa through the use of variance ratio tests. For this purpose, we used daily prices of the sector indexes for the period from 03/01/2008 to 30/08/2011 totaling 880 observations. The results allow concluding that there is a pattern among the sectors, which is to reject the hypothesis of random walk for tests that consider lags singly and not to reject the tests that jointly consider the lags. However, the real estate industry rejects the hypothesis of random walk in all types of tests, revealing that there was arbitrage opportunity.

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Untitled

Cited by 81 publications

References 27 publications

Is CSX Index a Random Walk?

Is CSX Index a Random Walk?

Comparing the effectiveness of deep feedforward neural networks and shallow architectures for predicting stock price indices

Testes de quociente de variância do caminho aleatório nos índices setoriais brasileiros

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