Profiteering from the Internet Bubble by Using Mean-Variance-Ratio Test

2012 ◽  
Author(s):  
Wing-Keung Wong ◽  
Yongchang Hui ◽  
Zhidong Bai
Keyword(s):  
The Internet ◽  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
Mean Variance

The mean–variance ratio test—A complement to the coefficient of variation test and the Sharpe ratio test

2011 ◽  
Vol 81 (8) ◽  
pp. 1078-1085 ◽  
Author(s):  
Zhidong Bai ◽  
Keyan Wang ◽  
Wing-Keung Wong
Keyword(s):  
Coefficient Of Variation ◽  
Sharpe Ratio ◽  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
The Mean ◽  
Mean Variance

Mean-Variance Ratio Test, a Complement of Coefficients of Variation Test and Sharpe Ratio Test

2010 ◽  
Author(s):  
Zhidong Bai ◽  
Keyan Wang ◽  
Wing-Keung Wong
Keyword(s):  
Sharpe Ratio ◽  
Ratio Test ◽  
Variance Ratio ◽  
Coefficients Of Variation ◽  
Variance Ratio Test ◽  
Mean Variance

The performance of commodity trading advisors: A mean-variance-ratio test approach

2013 ◽  
Vol 25 ◽  
pp. 188-201 ◽  
Author(s):  
Zhidong Bai ◽  
Kok Fai Phoon ◽  
Keyan Wang ◽  
Wing-Keung Wong
Keyword(s):  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
Commodity Trading ◽  
Commodity Trading Advisors ◽  
Mean Variance

An Improvement of the Sharpe-Ratio Test on Small Samples -- Mean-Variance Ratio Test

2009 ◽  
Author(s):  
Zhidong Bai ◽  
Keyan Wong ◽  
Wing-Keung Wong
Keyword(s):  
Sharpe Ratio ◽  
Small Samples ◽  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
Mean Variance

A variance-ratio test for supporting a variable mean in kriging

1997 ◽  
Vol 29 (3) ◽  
pp. 335-348 ◽  
Author(s):  
Peter K. Kitanidis
Keyword(s):  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test

An application of variance ratio test to the Korean securities market

1994 ◽  
Vol 18 (4) ◽  
pp. 643-658 ◽  
Author(s):  
O.Felix Ayadi ◽  
C.S. Pyun
Keyword(s):  
Securities Market ◽  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test

A simple multiple variance ratio test

1993 ◽  
Vol 58 (3) ◽  
pp. 385-401 ◽  
Author(s):  
K.Victor Chow ◽  
Karen C. Denning
Keyword(s):  
Ratio Test ◽  
Variance Ratio ◽  
Variance Ratio Test

scholarly journals Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market

2019 ◽  
Vol 12 (2) ◽  
pp. 81 ◽  
Author(s):  
Dzung Phan Tran Trung ◽  
Hung Pham Quang
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Ho Chi Minh City ◽  
Stock Exchanges ◽  
Ratio Test ◽  
Time Varying ◽  
Variance Ratio ◽  
Variance Ratio Test ◽  
The Relationship

This paper aims to test the adaptive market hypothesis in the two main Vietnamese stock exchanges, namely Ho Chi Minh City Stock Exchange (HSX) and Hanoi Stock Exchange (HNX), by measuring the relationship between current stock returns and historical stock returns. In particular, the tests employed are the automatic variance ratio test (“AVR”), the automatic portmanteau test (“AP”), the generalized spectral test (“GS”), and the time-varying autoregressive (TV-AR) approach. The empirical results validate the adaptive market hypothesis in the Vietnamese stock market. Furthermore, the results suggest that the evolution of HSX has served as an important factor of the adaptive market hypothesis.

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