scholarly journals Validity of EMH; A Case Study of KSE-100 Index

2018 ◽  
Vol 1 (1) ◽  
pp. 112 ◽  
Author(s):  
Salma Naz ◽  
Seema Razaque ◽  
Hyder Ali Khuwaja ◽  
Niaz Ahmed Bhutto
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Financial Crises ◽  
Weak Form ◽  
Return Time ◽  
Unit Root Tests ◽  
Stock Index ◽  
Random Walk Hypothesis ◽  
Q Statistic

The emerging markets offer major investments opportunities for a range of investors over the last decades especially after the global financial crises,which attracted the attention of investors and financial researchers towards the market efficiency.This research paper is designed to verify other researchers work, because some of them have provided contradictory results to test the market efficiency of Pakistani stock index (KSE-100). Average daily observations are considered for the period of twenty two years (November 02, 1991 to December 31, 2012). Unit Root tests (ADF, PP and KPSS), Runs test, Serial Autocorrelation (L-Jung-Box Q statistic) techniques are used to analyze the market’s informational weak form efficiency. Return time series is not normally distributed because it is negatively skewed and leptokurtic. All of the tests applied provide sufficient statistical evidence to reject the Random Walk Hypothesis thus KSE-100 shares index is informational weak form inefficient.

scholarly journals HAS INFLATION TARGETING BEEN SUCCESSFUL? EVIDENCE FROM UNIT ROOT TESTS

2019 ◽  
Vol 78 (308) ◽  
pp. 120
Author(s):  
Mesut Turkay ◽  
Burak Sencer Atasoy
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Inflation Targeting ◽  
Inflation Rate ◽  
Unit Root Tests ◽  
Policy Framework ◽  
Panel Unit Root Tests ◽  
Panel Unit Root ◽  
The World ◽  
Monetary Policy Framework

<p class="run-in" align="center"><strong>ABSTRACT</strong></p><p>The popularity of inflation targeting has risen in the last decade and the number of countries that adopted inflation targeting as their monetary policy framework surpassed 40 by the end of 2016. This study analyzes whether inflation targeting around the world has been successful in terms of achieving the announced target and keeping inflation rate around it. We argue that a successful inflation targeting necessitates the deviation of inflation from the target be stationary. We employ both time series and panel unit root tests in order to analyze the stationarity properties of deviation of inflation from the target. Results of unit root tests provide evidence in favor of the success of inflation targeting framework around the world.</p><p align="center"><strong> </strong></p><p align="center"><strong>¿HAN SIDO EXITOSAS LAS METAS DE INFLACIÓN? RESULTADOS DE LAS PRUEBAS DE RAÍZ UNITARIA</strong></p><p class="run-in" align="center"><strong>RESUMEN</strong></p>La popularidad de las metas de inflación ha aumentado en la última década y el número de países que adoptaron metas de inflación como su marco de política monetaria sobrepasó los 40 a finales del 2016. Este estudio analiza si las metas de inflación alrededor del mundo han tenido éxito en términos de alcanzar el objetivo anunciado y mantener la tasa de inflación alrededor de su meta. Argumentamos que una meta exitosa de inflación requiere que la desviación de la inflación respecto a la meta sea estacionaria. Empleamos tanto series de tiempo como pruebas de raíz unitaria en panel con el fin de analizar las propiedades estacionarias de la desviación de la inflación en relación con el objetivo. Los resultados de las pruebas de raíz unitaria proporcionan evidencia a favor del éxito del marco de metas de inflación en todo el mundo.

scholarly journals Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020

2021 ◽  
Vol 15 (1) ◽  
pp. 72-84
Author(s):  
Vicente Esteve ◽  
Maria A. Prats
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Structural Breaks ◽  
House Prices ◽  
Unit Root Tests ◽  
Annual Data ◽  
Bubble Behavior ◽  
Long Period ◽  
Long Run ◽  
Long Time

Abstract In this article, we use tests of explosive behavior in real house prices with annual data for the case of Australia for the period 1870–2020. The main contribution of this paper is the use of very long time series. It is important to use longer span data because it offers more powerful econometric results. To detect episodes of potential explosive behavior in house prices over this long period, we use the recursive unit root tests for explosiveness proposed by Phillips et al. (2011), (2015a,b). According to the results, there is a clear speculative bubble behavior in real house prices between 1997 and 2020, speculative process that has not yet been adjusted.

Auxiliary Modeling Procedures

2019 ◽  
pp. 136-153
Author(s):  
David McDowall ◽  
Richard McCleary ◽  
Bradley J. Bartos
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Unit Root ◽  
Model Building ◽  
Causal Effect ◽  
Information Criteria ◽  
Unit Root Tests ◽  
Error Correction Models ◽  
Control Time ◽  
Model Building Strategy

Chapter 5 describes three sets of auxiliary methods that have emerged as add-on supplements to the traditional ARIMA model-building strategy. First, Bayesian information criteria (BIC) can be used to inform incremental modeling decisions. BICs are also the basis for the Bayesian hypothesis tests introduced in Chapter 6. Second, unit root tests can be used to inform differencing decisions. Used appropriately, unit root tests guard against over-differencing. Finally, co-integration and error correction models have become a popular way of representing the behavior of two time series that follow a shared path. We use the principle of co-integration to define the ideal control time series. Put simply, a time series and its ideal counterfactual control time series are co-integrated up the time of the intervention. At that point, if the two time series diverge, the magnitude of their divergence is taken as the causal effect of the intervention.

scholarly journals Spurious Regression

2009 ◽  
Vol 2009 ◽  
pp. 1-27 ◽  
Author(s):  
D. Ventosa-Santaulària
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Long Memory ◽  
Unit Roots ◽  
Unit Root Tests ◽  
Modern Time ◽  
Spurious Regression ◽  
Time Series Econometrics ◽  
Wide Range ◽  
Applied Macroeconomics

The spurious regression phenomenon in least squares occurs for a wide range of data generating processes, such as driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have played a fundamental role in the building of modern time series econometrics and have revolutionized many of the procedures used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error-correction models. This paper provides an overview of results about spurious regression, pulled from disperse sources, and explains their implications.

The nature of Austrian macroeconomic time series unit root tests

Empirica ◽  
1990 ◽  
Vol 17 (2) ◽  
pp. 131-154
Author(s):  
Thomas Url ◽  
Gert Wehinger
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Unit Root Tests ◽  
Macroeconomic Time Series

scholarly journals Random Walk Hypothesis for Stock Prices in Fiji

2021 ◽  
Vol 13 (2) ◽  
pp. 79-88
Author(s):  
Janesh Sami
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Unit Root ◽  
Stock Prices ◽  
Structural Break ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Hypothesis ◽  
Augmented Dickey Fuller ◽  
Historical Movement

The main goal of this paper is to investigate the random walk hypothesis in Fiji using monthly data from January 2000 to October 2017. Applying augmented Dickey Fuller (ADF 1979, 1981) and Phillips-Perron (1988), Zivot-Andrews (1992), and Narayan and Popp (2010) unit root tests, this study finds that stock prices is best characterized as non-stationary. The estimated multiple structural break dates in the stock prices corresponds with devaluation of Fijian dollar by 20 percent in 2009 and General Elections in September 2014, which Fiji First Party won by majority votes. The empirical results indicate that stock prices are best characterized as a unit root (random walk) process, indicating that the weak-form efficient market hypothesis holds in Fiji’s stock market. Hence, it will be difficult to predict future returns based on historical movement of stock prices in Fiji’s stock market.

scholarly journals STUDY OF TESTS FOR TREND IN TIME SERIES

2021 ◽  
Vol 39 (2) ◽  
pp. 311-333
Author(s):  
Denise de Assis PAIVA ◽  
Thelma SÁFADI
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Structural Breaks ◽  
Consumer Price Index ◽  
Unit Root Tests ◽  
Metropolitan Region ◽  
Maximum Temperature ◽  
Pettitt Test ◽  
Using Data ◽  
Time Series Methodology

The time series methodology is an important tool when using data over time. The time series can be composed of the components trend (Tt), seasonality (St) and the random error (at). The aim of this study was to evaluate the tests used to analyze the trend component, which were: Pettitt, Run, Mann-Kendall, Cox-Stuart and the unit root tests (Dickey-Fuller, Dickey-Fuller Augmented and Zivot and Andrews), given that there is a discrepancy between the test results found in the literature. The four series analyzed were the maximum temperature in the Lavras city, MG, Brazil, the unemployment rate in the Metropolitan Region of S~ao Paulo (RMSP), the Broad Consumer Price Index (IPCA) and the nominal Gross Domestic Product (GDP) of Brazil. It was found that the unit root tests showed similar results in relation to the presence of the stochastic trend for all series. Furthermore, the turning point of the Pettitt test diverged from all the structural breaks found through the Zivot and Andrews test, except for the GDP series. Therefore, it was found that the trend tests diverged, obtaining similar results only in relation to the unemployment series.

An Empirical Study on Efficient Market Hypothesis: The Case of Indian Capital Markets

2014 ◽  
Vol 1 (2) ◽  
Author(s):  
Anjala Kalsie
Keyword(s):  
Time Series ◽  
Empirical Study ◽  
Time Series Analysis ◽  
Unit Root ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Efficient Markets ◽  
Test Unit ◽  
Unit Root Testing ◽  
Univariate Time Series

The objective of this paper is to study the efficiency of Indian stock markets during the period 2001-2011. The weak form of efficient markets is extensively tested using NIFTY and 6 major NSE sectoral indices Pharma, IT, MNC, Bank, FMCG and Nifty Junior. Univariate time series analysis of indices returns is carried using tests for randomness / non-stationarity - runs test, unit root testing. ACF, correlograms and other relevant statistical methods. The study concludes that Indian markets are inefficient in its weak form for the study period.

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