The Analysis of Economic Time-Series-Part I: Prices

Kendall, M. G.; Hill, Adam

doi:10.2307/2980947

Cited by 642 publications

(377 citation statements)

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“…The concept of randomness of stock prices was first put forward by Jules Regnault in 1863 and then by Bachelier (1900), in his Ph.D. thesis, "The Theory of Speculation". The same idea was further developed by Kendall (1953) and Cootner (1964). Later on, the idea was further carried on by Fama (1970) in his empirical research that stock prices tend to follow a random walk.…”

Section: Introductionmentioning

confidence: 93%

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Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Akber

Muhammad

2013

SSRN Journal

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In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into these groups : 1992-2012, 1992-1994, 1995-1997, 1998-2000, 2001-2003, 2004-2006, 2007-2009, 2010-2012 and 2013. The paper has made use of both NonParametric tests (Kolmogrov-Smirnov goodness of fitness test, Runs test and Phillips-Perron test) and Parametric tests (Autocorrelation test, Box-Pierce (Q) statistic test, Ljung and Box (Q) Statistic test, Augmented Dickey-fuller test, Dickey-fuller GLS test, Jarque-Bera test, Kwiatkowski, Phillips, Schmidt and Shin test, Auto-regression and ARIMA model). For further analysis, Runs test has also been run on 20 companies return series for comparison purpose with the results of index return series. In addition, from KSE 30 Index, 20 companies return series based on the free-float of shares have also been analyzed through Runs test to check if increase in numbers of floating shares does increase the randomness in return series or not. To our knowledge, this paper is the first one on KSE 100 Index to study the overall time frame of return series of KSE 100 Index of 22 years with the several random walk and weakform efficiency tests to ensure the consistency of results; and to compare the results of runs test of index return series with the results of runs test on companies return series from KSE 100 and KSE 30 Indexes. Overall KSE 100 Index has found to be weak-form inefficient, but the last 4 years have shown some signs of efficiency. Companies return series from KSE 30 Index are found to be more random than companies return series from KSE100 Index.

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Section: Introductionmentioning

confidence: 93%

“…Kendall (1953) was the first one to incorporate random walk in finance literature. He examined 22 British stocks and commodity price series and found out that prices do not follow any cycles and they seem quite random.…”

Section: Literature Reviewmentioning

confidence: 99%

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Akber

Muhammad

2013

SSRN Journal

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“…Alguns outros trabalhos se seguiram, entre os quais se pode citar o de Working (1934) que estudou séries de preços de futuros de commodities, e o de Kendall (1953) que estudou séries de preços de ações e de produtos agrícolas. No entanto, foi com Fama (1965) que se iniciou a publicação de um grande número de trabalhos sobre a estatística das séries financeiras; ele estudou em detalhe as séries de preços das 30 ações do Dow Jones Industral Average Index, do mercado de ações norte-americano, num longo e fundamental artigo onde ele conclui: que as séries têm distribuições com caudas pesadas incompatíveis com as da normal.…”

Section: Referênciasunclassified

Propriedades Estatísticas Das Séries De Retornos Das Principais Ações Brasileiras

Costa

Baidya

2001

Pesqui. Oper.

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ResumoO artigo analisa seis séries de retornos, escolhidas entre as mais líquidas do mercado e de setores diferentes da economia. São estudadas a estacionariedade, a distribuição incondicional e a independência; de maneira geral as séries podem ser consideradas estacionárias, com distribuição não normal (leptocúrtica) e dependentes no tempo. A estacionariedade é analisada através do teste ADF, através dos coeficientes de modelos GARCH ajustados aos dados, pelos coeficientes de bicorrelação e com o uso de regressão localmente ponderada. A normalidade é rejeitada pelo teste de Jarque e Bera. A dependência (linear e não linear) é constatada pelas autocorrelações dos retornos e dos seus quadrados: tenta-se modelar a dependência com modelos ARMA, de amortecimento exponencial e GARCH mas os resíduos dos modelos, testados pelo teste BDS, mostram que nenhum deles representa bem o processo gerador dos dados. Palavras-chave: séries financeiras, estacionariedade, independência. AbstractThis paper studies the returns of six Brazilian stocks, chosen among the most liquid and from different economic sectors. Stationarity, unconditional distribution and independence are studied, and the conclusion is that the series are stationary, have non-normal (leptokurtic) distribution and are dependent. Stationarity is studied with the help of the ADF test, of the coefficients of GARCH models adjusted to the data, of bicorrelation coefficients and of locally weighted regression. Normality was rejectec using the Jarque and Bera test. Dependence (linear and non-linear) was indicated by the autocorrelations of returns and squared returns: ARMA, exponential smoothing, and GARCH models are used to try to capture the dependence, but the BDS tests of the model's residuals show that they do not represent well the data generating process.

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“…Most of the past studies of the behaviour of United Kingdom stock market prices have accepted weak form market efficiency (see Kendall (1953), Brealey (1970), Dryden (1970), Cunningham (1973) among others). Recent advances in mathematical modelling have sparked a large volume of research into the re-examination of the behaviour of security returns.…”

Section: Introductionmentioning

confidence: 99%

A Time Series Analysis of U.K. Construction and Real Estate Indices

Belaire‐Franch

Opong

2011

J Real Estate Finan Econ

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This study assess the nonlinear behavior of U.K. construction and real estate indices. Standard unit root tests show that both time series are I(1) processes. However, the empirical results show that the returns series for both indices deviate from the null hypothesis of white noise. Moreover, we have found evidence of nonlinearity but strong evidence against chaos for the returns series. Further tests show that the source of nonlinearity is rather different. Hence, the construction index returns series displays weak nonlinear forecastability, typical of nonlinear deterministic processes, whereas the real estate index could be characterized as a stationary process about a nonlinear deterministic trend.

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The Analysis of Economic Time-Series-Part I: Prices

Cited by 642 publications

References 0 publications

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Propriedades Estatísticas Das Séries De Retornos Das Principais Ações Brasileiras

A Time Series Analysis of U.K. Construction and Real Estate Indices

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