The Experts below are selected from a list of 17991 Experts worldwide ranked by ideXlab platform
Harminder Singh - One of the best experts on this subject based on the ideXlab platform.
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herding behaviour in the chinese and indian stock Markets
Journal of Asian Economics, 2011Co-Authors: Paulo Lao, Harminder SinghAbstract:Abstract The existence of herding behaviour challenges the validity of the “Efficient Market Hypothesis”. This study examines herding behaviour in the Chinese and Indian stock Markets; our findings suggest that herding behaviour exists in both. The level of herding depends on Market conditions. In the Chinese Market, herding behaviour is greater when the Market is falling and the trading volume is high. On the other hand, in India the study finds that it occurs during up-swings in Market conditions. Herding behaviour is more prevalent during large Market movements in both Markets. In relative terms, a lower prevalence of herding behaviour was detected in the Indian stock Market.
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herding behaviour in the chinese and indian stock Markets
Social Science Research Network, 2011Co-Authors: Paulo Lao, Harminder SinghAbstract:The existence of herding behaviour challenges the validity of an Efficient Market Hypothesis. This study examines herding behaviour in the Chinese and Indian stock Markets; our findings suggest that herding behaviour exists in both stock Markets. The level of herding depends on the Market conditions. In the Chinese Market, herding behaviour is greater when the Market is falling and the trading volume is high. On the other hand, in India the study finds herding behaviour occurs during the up Market conditions. Herding behaviour is more prevalent during large Market movements in both the Markets. Relatively, a lower prevalence of herding behaviour was detected in the Indian stock Market.
Mahmoud Taib Omar - One of the best experts on this subject based on the ideXlab platform.
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weak form Market efficiency of the nigerian stock Market in the context of financial reforms and global financial crises
Journal of African Business, 2012Co-Authors: Patrick Oseloka Ezepue, Mahmoud Taib OmarAbstract:The weak-form Efficient Market Hypothesis for the Nigerian Stock Market (NSM) is explored using different statistical tests. The analyses use overall stock Market returns collected over the period 2000–2010. It is shown that the NSM is not weak-form Efficient which questions the benefits of the 2004 financial reforms. It is also shown that the degree of Market inefficiency varies across the periods corresponding to the financial reforms and 2007 global financial crisis, for daily and monthly returns. The results are important to security analysts, investors, and security exchange regulatory agencies in their investment, stock Market development, and policy-making decisions.
Paulo Lao - One of the best experts on this subject based on the ideXlab platform.
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herding behaviour in the chinese and indian stock Markets
Journal of Asian Economics, 2011Co-Authors: Paulo Lao, Harminder SinghAbstract:Abstract The existence of herding behaviour challenges the validity of the “Efficient Market Hypothesis”. This study examines herding behaviour in the Chinese and Indian stock Markets; our findings suggest that herding behaviour exists in both. The level of herding depends on Market conditions. In the Chinese Market, herding behaviour is greater when the Market is falling and the trading volume is high. On the other hand, in India the study finds that it occurs during up-swings in Market conditions. Herding behaviour is more prevalent during large Market movements in both Markets. In relative terms, a lower prevalence of herding behaviour was detected in the Indian stock Market.
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herding behaviour in the chinese and indian stock Markets
Social Science Research Network, 2011Co-Authors: Paulo Lao, Harminder SinghAbstract:The existence of herding behaviour challenges the validity of an Efficient Market Hypothesis. This study examines herding behaviour in the Chinese and Indian stock Markets; our findings suggest that herding behaviour exists in both stock Markets. The level of herding depends on the Market conditions. In the Chinese Market, herding behaviour is greater when the Market is falling and the trading volume is high. On the other hand, in India the study finds herding behaviour occurs during the up Market conditions. Herding behaviour is more prevalent during large Market movements in both the Markets. Relatively, a lower prevalence of herding behaviour was detected in the Indian stock Market.
Shuheng Chen - One of the best experts on this subject based on the ideXlab platform.
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on the emergent properties of artificial stock Markets the Efficient Market Hypothesis and the rational expectations Hypothesis
Journal of Economic Behavior and Organization, 2002Co-Authors: Shuheng ChenAbstract:Abstract By studying two well known hypotheses in economics, this paper illustrates how emergent properties can be shown in an agent-based artificial stock Market. The two hypotheses considered are the Efficient Market Hypothesis and the rational expectations Hypothesis. We inquire whether the macrobehavior depicted by these two hypotheses is consistent with our understanding of the microbehavior. In this agent-based model, genetic programming is applied to evolving a population of traders learning over time. We first apply a series of econometric tests to show that the EMH and the REH can be satisfied with some portions of the artificial time series. Then, by analyzing traders’ behavior, we show that these aggregate results cannot be interpreted as a simple scaling-up of individual behavior. A conjecture based on sunspot-like signals is proposed to explain why macrobehavior can be very different from microbehavior. We assert that the huge search space attributable to genetic programming can induce sunspot-like signals, and we use simulated evolved complexity of forecasting rules and Granger causality tests to examine this assertion.
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towards an agent based foundation of financial econometrics an approach based on genetic programming artificial Markets
Genetic and Evolutionary Computation Conference, 1999Co-Authors: Shuheng Chen, Tzuwen KuoAbstract:Using a few nonlinear econometric tools, this paper examines some time-series properties of GP-based artificial Markets. We find that GP-based artificial Markets are able to replicate several stylized features well documented in financial econometrics. In particular, the time series generated by the GP-based artificial Markets are consistent with the Efficient Market Hypothesis in the linear sense. Furthermore, the emergence of these stylized features may be caused by some institutional factors, such as position limits and transaction factors. By introducing the complexity of evolved GP-trees, a bottom-up analysis of the impact of transaction taxes on GP-based artificial Markets is also provided.
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toward a computable approach to the Efficient Market Hypothesis an application of genetic programming
Journal of Economic Dynamics and Control, 1997Co-Authors: Shuheng ChenAbstract:Abstract From a computation-theoretic standpoint, this paper formalizes the notion of unpredictability in the Efficient Market Hypothesis (EMH) by a biological-based search program, i.e., genetic programming (GP). This formalization differs from the traditional notion based on probabilistic independence in its treatment of search. Compared with the traditional notion, a GP-based search provides an explicit and Efficient search program upon which an objective measure for predictability can be formalized in terms of search intensity and chance of success in the search. This will be illustrated by an example of applying GP to predict chaotic time series. Then the EMH based on this notion will be exemplified by an application to the Taiwan and US stock Market. A short-term sample of TAIEX and S&P 500 with the highest complexity defined by Rissanen's minimum description length principle (MDLP) is chosen and tested. It is found that, while linear models cannot predict better than the random walk, a GP-based search can beat random walk by 50%. It, therefore, confirms the belief that while the short-term nonlinear regularities might still exist, the search costs of discovering them might be too high to make the exploitation of these regularities profitable, hence the Efficient Market Hypothesis is sustained.
Rana Shahid Imdad Akkash - One of the best experts on this subject based on the ideXlab platform.
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testing the weak form of Efficient Market Hypothesis empirical evidence from asia pacific Markets
Social Science Research Network, 2010Co-Authors: Muhammad Tahir Suleman, Kashif Hamid, Syed Zulfiqar Ali Shah, Rana Shahid Imdad AkkashAbstract:This empirical study is conducted to test the weak-form Market efficiency of the stock Market returns of Pakistan, India, Sri Lanka, China, Korea, Hong Kong, Indonesia, Malaysia, Philippine, Singapore, Thailand, Taiwan, Japan and Australia. Monthly observations are taken for the period January 2004 to December 2009. Autocorrelation, Ljung-Box Q-statistic Test, Runs Test, Unit Root Test and the Variance Ratio are used to test the Hypothesis that the stock Market follows a random walk. Monthly returns are not normally distributed, because they are negatively skewed and leptokurtic. In aggregate we concluded that the monthly prices do not follows random walks in all the countries of the Asian-Pacific region. The investors can take the stream of benefits through arbitrage process from profitable opportunities across these Markets.
