scholarly journals Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data

2004 ◽  
Author(s):  
Yoshiro Tsutsui ◽  
Kenjiro Hirayama
Keyword(s):  
Market Efficiency ◽  
Stock Prices ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
International Linkage

scholarly journals Há Efeito Manada em Ações com Alta Liquidez do Mercado Brasileiro?

2015 ◽  
Vol 1 (2) ◽  
Author(s):  
Juliana Xavier Serapio da Silva ◽  
Claudio Henrique Barbedo ◽  
Gustavo Silva Araújo
Keyword(s):  
Mutual Funds ◽  
Stock Prices ◽  
High Frequency ◽  
Stock Exchange ◽  
High Frequency Data ◽  
Herd Behavior ◽  
Frequency Data ◽  
Price Pressure ◽  
Behavior Based

Purpose: This work aims to verify the herd behavior in both liquid stocks of Brazilian stock exchange, i.e. Petrobras and Vale.Methodology: This work uses the methods of Christie and Huang (1995) and price pressure with high frequency data to detect the herd behavior between 2010 and 2014.Findings: The first method suggest that there are no signs of herd behavior using 30 minutes intervals data. However, there is evidence of price pressure for the sample with all intraday data.Originality: Herd behavior studies usually focus on mutual funds. This work analyses the herd behavior based on individual stock prices. 

Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures

2019 ◽  
Vol 20 (6) ◽  
pp. 1407-1422
Author(s):  
Sibanjan Mishra
Keyword(s):  
Market Efficiency ◽  
High Frequency ◽  
Weak Form ◽  
Soya Bean ◽  
High Frequency Data ◽  
Variance Ratio ◽  
Frequency Data ◽  
Futures Trading ◽  
Processing Information ◽  
Martingale Hypothesis

The aim of the article is to examine the martingale hypothesis of market efficiency on high-frequency data of the soya bean futures traded in National Commodity and Derivatives Exchange (NCDEX) of India using multiple variance ratio (VR) tests from February 2015 to August 2015. The study employs high-frequency future prices of 5, 10, 15, 30 and 60 min time intervals mainly to decipher the efficiency of processing information by soya bean traders during intraday sessions of futures trading. The results of VR tests confirm that except prices of 5 and 10 min intervals which displays weak form of market efficiency, all other samples follow martingale hypothesis. The findings suggest that as information gets absorbed promptly in the intraday NCDEX soya bean futures prices, there exists fairly less opportunities to explore any trading strategy for profitable outcomes in the soya bean futures market in India.

Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

2017 ◽  
Author(s):  
Rim mname Lamouchi ◽  
Russell mname Davidson ◽  
Ibrahim mname Fatnassi ◽  
Abderazak Ben mname Maatoug
Keyword(s):  
Exchange Rate ◽  
High Frequency ◽  
Realized Volatility ◽  
High Frequency Data ◽  
Frequency Data
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