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3 results on '"Random walk"'

1. RANDOM WALK HYPOTHESIS IN FINANCIAL MARKETS.

Author

JULA, Nicolae-Marius and JULA, Nicoleta

Subjects
RANDOM walks, FINANCIAL market laws
Abstract

Random walk hypothesis states that the stock market prices do not follow a predictable trajectory, but are simply random. If you are trying to predict a random set of data, one should test for randomness, because, despite the power and complexity of the used models, the results cannot be trustworthy. There are several methods for testing these hypotheses and the use of computational power provided by the R environment makes the work of the researcher easier and with a cost-effective approach. The increasing power of computing and the continuous development of econometric tests should give the potential investors new tools in selecting commodities and investing in efficient markets. [ABSTRACT FROM AUTHOR]

Published
2017

2. INDIVIDUAL AND REGIONAL EFFICIENCY IN EMERGING STOCK MARKETS: EMPIRICAL INVESTIGATIONS.

Author

BOȚOC, Claudiu

Subjects
STOCK exchanges, EFFICIENT market theory, EMERGING markets, ANALYSIS of variance, ABNORMAL returns, RANDOM walks
Abstract

Since an investor could earn abnormal profit, understanding the efficiency of stock markets, particularly the emerging ones, is gaining importance with their integration with the developed markets. In this paper I attempt to test the weak form of the efficient market hypothesis for Central and Eastern European (CEE) stock markets: Romania, Hungary, Croatia, Czech Republic and Poland. In this respect, it were used specific tests (unit root, joint variance ratio test, non-parametric runs test) which are performed using daily data for stock market indexes for the period September 1997-September 2014. According to joint variance tests and Johansen cointegration test, one can argue the CEE stock markets do not exhibit weak form efficiency, both as individual and regional stock market. Non-parametric Runs test suggest that for two out of five countries (Romania, Czech Republic) the successive returns are not independent, i.e. an opportunity to earn excess return using historical prices. Runs test was employed in-depth for specific sub-samples and lead to the conclusion that efficiency is a characteristic that varies over time and across markets, consistent with adaptive market hypothesis. [ABSTRACT FROM AUTHOR]

Published
2015

3. OPENING RANGE TRADING STRATEGIES APPLIED ON DAILY AND INTRADAY DATA: THE CASE OF BET INDEX.

Author

Nistor, Ioan, Gherman, Mircea, and Borda, Monica

Subjects
EXCHANGE traded funds, STOCK price indexes, FINANCIAL markets
Abstract

This paper examines the profitability of "Opening Range" trading strategies. Two strategies from this category are described and implemented based on the data related to the principal Romanian stock market index, the Bucharest Exchange Trade index (BET). The used trading strategies (Average True Range and Volatility Breakout) are applied, both on daily data and on intraday data for the same period of time. The strategies are applied, first for the real market data and then for the simulated data, by using a random walk process and a bootstrapping technique. Additionally, in this paper are provided empirical results and applications related to the mentioned types of data, so the readers can have an understanding on how to deal with the "Opening Range" strategies. As a result of our study, for some periods of time the usages of analyzed strategies are less efficient when using daily data, compared with the results obtained for intraday data. [ABSTRACT FROM AUTHOR]

Published
2011

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