The Empirical Evidence of GARCH Effects on Return Series: Vietnam Stock Market 2000-2003

2019 ◽  
Author(s):  
Quan-Hoang Vuong
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Empirical Evidence ◽  
Statistical Methods ◽  
Serial Correlation ◽  
Empirical Models ◽  
English Abstract ◽  
Regional Markets ◽  
National Economic

The Vietnamese Stock Market was officially born on July 20, 2000, and considered an experiment, in the sense that it would likely accept adjustment and constraints to reflect the contemporaneous national economic settings. This paper is one of the first applied econometric studies investigating an evidence of GARCH effects on return series of 10 individual assets and the VNI, an index devised as the market general price indicator. The results are encouraging: Firstly, we found evidence that the time series exhibit many similar properties as those for other regional markets, such as autoregressive and serial correlation; Secondly, using rather sophisticated empirical models for a newborn market, we succeed in achieving some nontrivial remarks with respect to the use of policy matters. This paper demonstrates the importance of the application of statistical methods, a topic still not received much attention from the economic researchers in Vietnam. (Downloadable paper in Vietnamese, with English abstract.)

scholarly journals Analysis of the January Effect in Time Series of Mexican Stock Market Indexes

2019 ◽  
pp. 43-62
Author(s):  
Mariana Garay Alvarado ◽  
Michael Demmler
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Empirical Evidence ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
January Effect ◽  
Efficient Market ◽  
Significant Evidence ◽  
Current Article ◽  
Market Indexes

The current article has the research objective to search for empirical evidence of the January effect within the time series of the IPC and the sector indexes of the Mexican stock market using econometric GARCH analysis. The dataset is formed by the log returns of the daily closing prices corresponding to the IPC as well as the sector indexes covering the period from 01/01/2010 to 12/31/2018. The main results of the article are as follows: Based on the January effect the Efficient Market Hypothesis in its weak form sense cannot be rejected for the Mexican stock market as the results do not provide significant evidence of the existence of the respective calendar anomaly within the analyzed time series of the IPC and the different sector indexes.

scholarly journals A Comprehensive Framework for Uncovering Non-Linearity and Chaos in Financial Markets: Empirical Evidence for Four Major Stock Market Indices

Entropy ◽  
2020 ◽  
Vol 22 (12) ◽  
pp. 1435
Author(s):  
Lucia Inglada-Perez
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Financial Markets ◽  
Empirical Evidence ◽  
Wide Range ◽  
Dow Jones Industrial Average ◽  
Noisy Time Series ◽  
The Subject ◽  
Chaotic Nature ◽  
Comprehensive Framework

The presence of chaos in the financial markets has been the subject of a great number of studies, but the results have been contradictory and inconclusive. This research tests for the existence of nonlinear patterns and chaotic nature in four major stock market indices: namely Dow Jones Industrial Average, Ibex 35, Nasdaq-100 and Nikkei 225. To this end, a comprehensive framework has been adopted encompassing a wide range of techniques and the most suitable methods for the analysis of noisy time series. By using daily closing values from January 1992 to July 2013, this study employs twelve techniques and tools of which five are specific to detecting chaos. The findings show no clear evidence of chaos, suggesting that the behavior of financial markets is nonlinear and stochastic.

Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

2015 ◽  
Vol 11 (1) ◽  
pp. 13
Author(s):  
Elfa Rafulta ◽  
Roni Tri Putra
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Data ◽  
International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

Sign in / Sign up

Export Citation Format

Share Document