scholarly journals Price overreactions in the cryptocurrency market

2019 ◽  
Vol 46 (5) ◽  
pp. 1137-1155 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun
Keyword(s):  
Regression Analysis ◽  
Transaction Costs ◽  
Design Methodology ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Price Changes ◽  
Content Type ◽  
Dummy Variables ◽  
Price Patterns ◽  
Non Parametric

Purpose The purpose of this paper is to examine price overreactions in the case of the following cryptocurrencies: bitcoin, litecoin, ripple and dash. Design/methodology/approach A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U-test) tests confirm the presence of price patterns after overreactions: the next day price changes in both directions are bigger than after “normal” days. A trading robot approach is then used to establish whether these statistical anomalies can be exploited to generate profits. Findings The results suggest that a strategy based on counter-movements after overreactions is not profitable, whilst one based on inertia appears to be profitable but produces outcomes not statistically different from the random ones. Therefore, the overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the efficient market hypothesis (EMH). Originality/value The overreactions detected in the cryptocurrency market do not give rise to exploitable profit opportunities (possibly because of transaction costs) and cannot be seen as evidence against the EMH.

Relevance and evolution of adaptive markets hypothesis: a review

2016 ◽  
Vol 8 (3) ◽  
pp. 166-179 ◽  
Author(s):  
Raj S. Dhankar ◽  
Devesh Shankar
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Design Methodology ◽  
Efficient Market Hypothesis ◽  
Efficient Markets ◽  
Informational Efficiency ◽  
Market Behavior ◽  
Efficient Market ◽  
Content Type ◽  
Dynamic Perspective

Purpose The purpose of this paper is to discuss the relevance and evolution of adaptive markets hypothesis (AMH) that has gained traction in the recent years, as it provides a dynamic perspective to the concept of informational efficiency. Design/methodology/approach This paper discusses several issues related to the concept of informationally efficient markets that have indicated efficient market hypothesis to be an incomplete portrayal of stock market behavior. Findings The authors find that a strict and perpetual adherence to informational efficiency is highly unlikely, and AMH provides a much more plausible description of the behavior of stock markets. Originality/value The authors provide a description of studies that examine the testable implications of AMH.

Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abbas Khan ◽  
Muhammad Yar Khan ◽  
Abdul Qayyum Khan ◽  
Majid Jamal Khan ◽  
Zia Ur Rahman
Keyword(s):  
Stock Prices ◽  
Arima Model ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Future Price ◽  
Short Term ◽  
Socially Responsible ◽  
Efficient Market ◽  
Content Type ◽  
The Us

Purpose By testing the weak form of efficient market hypothesis (EMH) this study aims to forecast the short-term stock prices of the US Dow and Jones environmental socially responsible index (SRI) and Shariah compliance index (SCI). Design/methodology/approach This study checks the validity of the weak form of EMH for both SCI and SRI prices by using different parametric and non-parametric tests, i.e. augmented Dickey-Fuller test, Philip-Perron test, runs test and variance ratio test. If the EMH is invalid, the research further forecasts short-term stock prices by applying autoregressive integrated moving average (ARIMA) model using daily price data from 2010 to 2018. Findings The research confirms that a weak form of EMH is not valid in the US SRI and SCI. The historical data can predict short-term future price movements by using technical ARIMA model. Research limitations/implications This study provides better guidance to risk-averse national and international investors to earn higher returns in the US SRI and SCI. This study can be extended to test the EMH of Islamic equity in the Middle East and North Africa region and other top Islamic indexes in the world. Originality/value This study is a new addition to the existing literature of equity investment and price forecasting by comparing and investigating the market efficiency of two interrelated US SRI and SCI.

The socio-demographic determinants of workplace loneliness in India

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mantasha Firoz ◽  
Richa Chaudhary ◽  
Madhu Lata
Keyword(s):  
Regression Analysis ◽  
Marital Status ◽  
Design Methodology ◽  
Demographic Characteristics ◽  
Average Level ◽  
Hypotheses Testing ◽  
Business Organizations ◽  
Organizational Hierarchy ◽  
Content Type ◽  
Service Sectors

PurposeThis study was conducted with two main objectives: (1) to examine the prevalence of workplace loneliness in the Indian manufacturing and service sectors (2) to examine the influence of socio-demographic characteristics (age, gender, marital status, nature of the organization, tenure, number of friends at the workplace, and position in the organizational hierarchy) on the feeling of loneliness in the workplace.Design/methodology/approachData were collected from 934 employees working in manufacturing and service sectors across India. Regression analysis was used for hypotheses testing.FindingsFindings indicated below average level of loneliness in Indian workplace. Significant differences were found in workplace loneliness with respect to age, marital status and number of friends at the workplace. In contrast, gender, nature of organization, position and tenure had no effect on the feeling of workplace loneliness.Originality/valueThis study advances the limited literature on workplace loneliness by identifying its prevalence and socio-demographic determinants in Indian business organizations. It would help HR practitioners in comprehending and dealing with the emerging challenges associated with workplace loneliness.

Digital platform enterprises and boundary decision

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Keyword(s):  
Transaction Costs ◽  
Case Studies ◽  
Business Performance ◽  
Design Methodology ◽  
Reading Time ◽  
Content Type ◽  
Digital Platform ◽  
Growth Outcomes ◽  
Pertinent Information ◽  
Practical Implications

Purpose This paper aims to review the latest management developments across the globe and pinpoint practical implications from cutting-edge research and case studies. Design/methodology/approach This briefing is prepared by an independent writer who adds their own impartial comments and places the articles in context. Findings Boundary decisions made by digital platform enterprises (DPEs) shape business performance and growth outcomes. Such operators can identify appropriate strategic approaches through a consideration of transaction costs, resource competence and cross-side networks effects (CNEs). Originality/value The briefing saves busy executives’ and researchers’ hours of reading time by selecting only the very best, most pertinent information and presenting it in a condensed and easy-to-digest format.

The presence of academic journals on Twitter and its relationship with dissemination (tweets) and research impact (citations)

2017 ◽  
Vol 69 (6) ◽  
pp. 674-687 ◽  
Author(s):  
Jose Luis Ortega
Keyword(s):  
Regression Analysis ◽  
Design Methodology ◽  
Research Impact ◽  
Research Papers ◽  
Content Type ◽  
Paired Samples ◽  
Dissemination Of Research ◽  
Twitter Account ◽  
The Relationship ◽  
Plum Analytics

Purpose The purpose of this paper is to analyze the relationship between dissemination of research papers on Twitter and its influence on research impact. Design/methodology/approach Four types of journal Twitter accounts (journal, owner, publisher and no Twitter account) were defined to observe differences in the number of tweets and citations. In total, 4,176 articles from 350 journals were extracted from Plum Analytics. This altmetric provider tracks the number of tweets and citations for each paper. Student’s t-test for two-paired samples was used to detect significant differences between each group of journals. Regression analysis was performed to detect which variables may influence the getting of tweets and citations. Findings The results show that journals with their own Twitter account obtain more tweets (46 percent) and citations (34 percent) than journals without a Twitter account. Followers is the variable that attracts more tweets (ß=0.47) and citations (ß=0.28) but the effect is small and the fit is not good for tweets (R2=0.46) and insignificant for citations (R2=0.18). Originality/value This is the first study that tests the performance of research journals on Twitter according to their handles, observing how the dissemination of content in this microblogging network influences the citation of their papers.

HC and financial performance with two HRM strategies

2017 ◽  
Vol 66 (4) ◽  
pp. 459-478 ◽  
Author(s):  
Nopadol Rompho
Keyword(s):  
Human Capital ◽  
Regression Analysis ◽  
Financial Performance ◽  
Lead Time ◽  
Design Methodology ◽  
Strategy Choice ◽  
Content Type ◽  
The Relationship ◽  
Practical Implications

Purpose The purpose of this paper is to examine the relationship between levels of human capital and financial performance of firms that use two distinct human resource management (HRM) strategies. Design/methodology/approach A survey of 128 HRM managers was conducted to assess differences in human capital between firms using different HRM strategies. A multiple regression analysis was used to investigate the relationship between firms’ human capital and financial performance. Findings The results show that companies employing a make-organic strategy have a higher level of human capital than companies employing a buy-bureaucratic strategy. There was no relationship between the level of human capital and long term financial performance of firms with both make-organic and buy-bureaucratic strategies. Research limitations/implications This research contributes toward understanding the effect of HRM strategy and facilitates an optimal strategy choice depending on the organization. However, this study did not consider the lead time between changes in human capital and the effect on financial performance. Practical implications The research encourages firm managers to understand the value of human capital, preparing them for changes in the future. Originality/value This study is among the first to investigate the relationship between human capital and financial performance considering different HRM strategies.

scholarly journals Die Johannesburgse Effektebeurs as rasionele kapitaalmark

1981 ◽  
Vol 12 (3) ◽  
pp. 53-59 ◽  
Author(s):  
Leon M. Brummer ◽  
Pieter J. Jacobs
Keyword(s):  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Small Degree ◽  
Point Of View ◽  
Efficient Market ◽  
Price Changes ◽  
Economic Point ◽  
Johannesburg Stock Exchange ◽  
Measure Of Dependence

The Johannesburg Stock Exchange as an efficient market. Finality has not yet been reached on the question whether the Johannesburg Stock Exchange complies with the requirements of the efficient market hypothesis. The results of the research that are published in this article is therefore an attempt to make a contribution to the debate regarding the Johannesburg Stock Exchange as an efficient market. By way of serial correlations as well as runs tests an investigation was carried out into the behaviour of the prices of 94 quoted shares for the period 1970 to 1977. The results of the study give rise to the conclusion that the Johannesburg Stock Exchange does not statistically comply with the weak form of the efficient market hypothesis (the random walk hypothesis), as a measure of dependence between successive price changes was found. Seen from an economic point of view it is, however, doubtful whether investors could use this small degree of dependence between price changes to gain higher returns on share investments.Uitsluitsel met betrekking tot die mate waartoe die Johannesburgse Effektebeurs aan die vereistes vir 'n rasionele mark voldoen, is nog nie verkry nie. Die resultate wat in hierdie artikel voorkom is daarom 'n poging om 'n bydrae in die debat rakende die Johannesburgse Effektebeurs as 'n rasionele mark, te maak. 'n Ondersoek na die markpryse van 94 genoteerde aandele vir die periode 1970-77 is deur middel van reekskorrelasiekoeffisiente en die lopietoets uitgevoer. Die resultate van die studie gee aanleiding tot die gevolgtrekking dat die Johannesburgse Effektebeurs nie statisties aan die swak vorm van die rasionele markhipotese (die willekeurige beweging van markpryse) voldoen nie, aangesien 'n mate van afhanklikheid tussen opeenvolgende prysveranderings gevind is. Uit 'n ekonomiese oogpunt gesien is dit egter twyfelagtig of beleggers hierdie afhanklikheid sal kan aanwend om hoer opbrengste op aandelebeleggings te bewerkstellig.

scholarly journals Exploring price gap anomaly in the Ukrainian stock market

2019 ◽  
Vol 16 (2) ◽  
pp. 150-158 ◽  
Author(s):  
Alex Plastun ◽  
Inna Makarenko ◽  
Lyudmila Khomutenko ◽  
Svitlana Shcherbak ◽  
Olha Tryfonova
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Statistical Tests ◽  
Efficient Market Hypothesis ◽  
Trading Strategy ◽  
Momentum Effect ◽  
Dummy Variables ◽  
Price Patterns ◽  
Student’S T ◽  
Trading Simulation

This paper analyzes price gaps in the Ukrainian stock market for the case of UX index over the period 2009–2018. Using different statistical tests (Student’s t-tests, ANOVA, Mann-Whitney test) and regression analysis with dummy variables, as well as modified cumulative approach and trading simulation, the authors test a number of hypotheses searching for price patterns and abnormal market behavior related to price gaps: there is seasonality in price gaps (H1); price gaps generate statistical anomalies in the Ukrainian stock market (H2); upward gaps generate price patterns in the Ukrainian stock market (H3) and downward gaps generate price patterns in the Ukrainian stock market (H4). Overall results are consistent with the Efficient Market Hypothesis: there is no seasonality in price gaps and in most cases there is no evidences of price patterns or abnormal price behavior after the gaps in the Ukrainian stock market. Nevertheless, the authors find very strong and convincing evidences in favor of momentum effect on the days of negative gaps. These observations are confirmed by trading simulations: trading strategy based on detected price pattern generates profits and demonstrates overall efficiency, which is against the market efficiency. These results can be interesting both for academicians (further evidences against market efficiency) and practitioners (real and effective trading strategy to generate profits in the Ukrainian market market).

A guide on empirical tests of the EMH

2019 ◽  
Vol 18 (2) ◽  
pp. 268-295
Author(s):  
David Peón ◽  
Manel Antelo ◽  
Anxo Calvo
Keyword(s):  
Financial Markets ◽  
Design Methodology ◽  
Recent Literature ◽  
Asset Price ◽  
Efficient Market Hypothesis ◽  
Price Formation ◽  
Content Type ◽  
Economic Fundamentals ◽  
Empirical Tests ◽  
Available Information

Purpose The efficient market hypothesis (EMH) states that asset prices in financial markets always reflect all available information about economic fundamentals. The purpose of this paper is to provide a guide as to which predictions of the EMH seem to be borne out by empirical evidence. Design/methodology/approach Rather than following the classic three groups of tests for the different forms of EMH that are common in the literature, the authors consider how the two alternative definitions of the EMH and the joint hypothesis problem impact on the tests and leave the controversy unsolved. The authors briefly report the antecedents, the main theoretical and empirical contributions and recent literature on each type of tests. Findings Eventually, as a summary for each type of tests, the authors provide a critical view on the main sources of acrimony between the alternative schools of thought in understanding asset price formation. Originality/value The paper may be seen as an up-to-date introductory review for researchers on the different tests of the EMH performed, and for newcomers to understand the key sources of acrimony between rationalists and behaviorists.

Increases of suicide rates in Kansas: results from 2009-2018

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jason D. Lloyd ◽  
David W. Oakley
Keyword(s):  
Regression Analysis ◽  
Design Methodology ◽  
Percentage Change ◽  
Sex Characteristics ◽  
Annual Percentage Change ◽  
Joinpoint Regression ◽  
Content Type ◽  
Suicide Rates ◽  
Joinpoint Regression Analysis ◽  
The Difference

Purpose The purpose of this study is to evaluate the increase in suicide rates for Kansas residents, as well as quantify the difference in suicide rates between men and women across the State of Kansas. Design/methodology/approach To evaluate increases in suicide rates, a joinpoint regression analysis was conducted to calculate the annual percentage change in suicide rates. To evaluate differences between sex characteristics, a one-way analysis of variance was conducted. Findings Results of a joinpoint regression analysis found that the annual percentage change in the suicide rates of Kansas did increase significantly between 2009 and 2018. Furthermore, the rate of suicide increase among women was greater than the suicide rate increases of men. Originality/value The value of this study provides context to the suicide literature that could allow for better local and statewide policy decisions.

Sign in / Sign up

Export Citation Format

Share Document