scholarly journals Adaptive market hypothesis: An empirical analysis of the Wine Market

2021 ◽  
Vol 10 (2) ◽  
pp. 99-109
Author(s):  
Anoop S Kumar
Keyword(s):  
Linear Dependence ◽  
Statistical Tests ◽  
Weak Form ◽  
Informational Efficiency ◽  
Variance Ratio ◽  
Full Dataset ◽  
Long Run ◽  
Hurst Coefficient ◽  
Non Linear ◽  
Wine Market

We test the nature of weak form informational efficiency present in the wine market using daily return of LIV-EX 50 index from 1/1/2010 to 12/6/2020. First, we employ a number of statistical tests including variance ratio tests, tests for linear and non-linear dependence and Hurst coefficient. The tests are applied on the full dataset and on four non overlapping sub-samples of equal length. The variance ratio tests provide a mixed regarding informational efficiency. Evidence of non-linear dependence in the return series was found. The Hurst coefficient values confirm the presence of long run persistence in the wine market. Based on the mixed evidence, we test the possibility of adaptive nature of the wine market. We employ the newly proposed Adaptive Index (AI) to quantify the degree of information inefficiency in the wine market at any instance. Our results confirm that wine market is adaptive and periodically shifts between states of efficiency and inefficiency. The wine market is found to be relatively free from the Covid-19 induced shock and the safe haven property of wine is thus confirmed. Finally, impact of various macroeconomic and financial events on wine market efficiency is identified by using AI. 

scholarly journals Testing for efficiency in the Saudi stock market: does corporate governance change matter?

2020 ◽  
Author(s):  
Mamdouh Abdulaziz Saleh Al-Faryan ◽  
Everton Dockery
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Stock Prices ◽  
Hurst Exponent ◽  
Weak Form ◽  
Long Range Dependence ◽  
Informational Efficiency ◽  
Variance Ratio ◽  
Wald Tests ◽  
Random Walk Hypothesis

Abstract We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis is rejected, but when divided into two sub-periods separated by the pre-corporate governance and the period marked by corporate governance change, the analysis demonstrates sub-period improvement in weak-form efficiency for the examined series. Robustness of results is verified by analysis using sector indices, which point to market efficiency. Interestingly, Hurst Exponent estimates evidence long-range dependence which suggests the predictability of stock prices and the prospect of speculative opportunities.

scholarly journals The Analysis of Weak-Form Efficiency in the Market of Crude Oil

2016 ◽  
Vol 5 (1) ◽  
pp. 101 ◽  
Author(s):  
Anna Górska ◽  
Monika Krawiec
Keyword(s):  
Crude Oil ◽  
Market Efficiency ◽  
Stock Prices ◽  
Statistical Tests ◽  
Commodity Prices ◽  
Weak Form ◽  
Variance Ratio ◽  
Calendar Effects ◽  
Day Of The Week ◽  
Weak Form Efficiency

Crude oil is the strategic commodity whose market has become the biggest commodity market in the world over the past 40 years. The main actors in the market, such as producers, refiners, financial institutions, and individual traders are interested in recognizing some trends, patterns or anomalies in performance of oil prices and returns, they could benefit from. Such anomalies among others are calendar effects, for example the day-of-the week effect, the month-of-the year effect, holidays effect or the turn-of-the month effect. Either the calendar effects are observed for stock prices, or for commodity prices, they make the markets inefficient. According to classical Fama’s definition: a market in which prices always fully reflect available information is called efficient. However, there are 3 types of market efficiency: weak-form efficiency, semistrong-form efficiency, strong-form efficiency. The weak-form market efficiency is tested the most often. There are several tools used for its verification, for example: some statistical tests (unit root tests, autocorrelation tests, variance ratio tests), long-run relationships and correlation analysis, calendar effects analysis. Our previous research focused on searching for calendar effects in the market of crude oil (Górska, Krawiec 2015), shows the existence of the-day-of-the week and the month effects. It may imply market inefficiency. That is why the present paper is aimed at further testing weak-form market efficiency. The empirical data covers daily closing prices of crude oil in USD per barrel from 2000 to 2015 and includes, both West Texas Intermediate (WTI) and Brent quotations. Having calculated their logarithmic returns, we apply the following tests: runs test, variance ratio, autocorrelation test.

scholarly journals Are Islamic Equity Indices More Efficient Than Their Conventional Counterparts? Evidence From Major Global Index Families

2014 ◽  
Vol 30 (4) ◽  
pp. 1137 ◽  
Author(s):  
Abdelbari El Khamlichi ◽  
Kabir Sarkar ◽  
Mohamed Arouri ◽  
Frederic Teulon
Keyword(s):  
Empirical Studies ◽  
Weak Form ◽  
Cointegration Analysis ◽  
Empirical Literature ◽  
Variance Ratio ◽  
Academic Literature ◽  
Random Walk Hypothesis ◽  
Long Run ◽  
Ethical Investments ◽  
Equity Indices

Despite the increasing attention to ethical investments, the empirical studies on Islamic indices are scarce. Our article aims to contribute to the empirical literature by exploring the efficiency of these indices and their potential for diversification in comparison with the conventional benchmarks. We explore the existence of diversification opportunities by studying whether indices are cointegrated or not. Then, the weak-form efficiency level is analyzed by testing the random walk hypothesis using variance ratio tests. Our sample includes Islamic and mainstream indices of four indices families; among them, two Shariah-compliant indices which have not been studied before in the academic literature Our results show that Islamic indices have the same level of (in)efficiency as conventional ones, the indices of MSCI and FTSE families are the less inefficient. In terms of cointegration analysis, Islamic indices of Dow Jones and S&P have no cointegrating relations with their respective benchmarks, which suggests the existence of long-run diversification opportunities.

Non-linear dependence of the dielectric properties of chick embryo myoblast membranes exposed to a sinusoidal 50 Hz magnetic field

1991 ◽  
Vol 60 (6) ◽  
pp. 877-890 ◽  
Author(s):  
Martino Grandolfo ◽  
Maria Santini ◽  
Paolo Vecchia ◽  
Adalberto Bonincontro ◽  
Cesare Cametti ◽  
...  
Keyword(s):  
Magnetic Field ◽  
Dielectric Properties ◽  
Chick Embryo ◽  
Linear Dependence ◽  
Non Linear

scholarly journals Western-style capital market reforms in Russia: Implications for market efficiency and firms’ financing decisions

2020 ◽  
Vol 10 (3) ◽  
pp. 62-74
Author(s):  
Oksana Kim
Keyword(s):  
Financial Reporting ◽  
Capital Market ◽  
Weak Form ◽  
Foreign Direct Investments ◽  
Informational Efficiency ◽  
Russian Government ◽  
Public Firms ◽  
Financing Decisions ◽  
Russian Stock Market ◽  
Over Time

Over the past decade, the Russian government implemented numerous reforms aimed at attracting investor capital and improving the capital market conditions. These reforms included adoption of stringent listing regulations and governance norms, revisions in the tax and ownership laws, restructuring of the major stock exchanges, and more importantly, adoption of International Financial Reporting Standards (IFRS) in 2011. We employ an adaptive market hypothesis (AMH) perspective formulated by Lo (2004, 2005) to examine whether the informational efficiency of the market changed over time as a result of these reforms. While we report that the Russian stock market is still not weak-form efficient, as it was before the reforms, we find the evidence of improvement in efficiency over time. Next, we find that financing decisions of Russian public firms changed following adoption of IFRS when financial statements became more transparent and better aligned with informational needs of local and foreign investors. Particularly, Russian companies that adopted IFRS were more likely to raise finance via issuance of equity rather than debt instruments, whereas for non-adopters there was no change in the firm capital structure. Finally, we report that there was an increase in the inflow of foreign direct investments (FDI) in the post-reform period, suggesting that the above noted reforms conferred significant benefits to the entire Russian economy.

scholarly journals Peran Pengasuhan Otoritatif Terhadap Patriotisme Remaja: Dengan Mediator Kepuasan Hidup Dan Nasionalisme

2018 ◽  
Vol 24 (3) ◽  
pp. 326
Author(s):  
Agoes Dariyo
Keyword(s):  
Life Satisfaction ◽  
Significant Role ◽  
Quantitative Research ◽  
Statistical Tests ◽  
Authoritative Parenting ◽  
Measuring Instrument ◽  
Non Linear ◽  
Parenting Role ◽  
Role Of Parents

ABSTRACTThis study  aimed to found out the authoritative parenting role of parents to developed  adolescent nationalism and patriotism in the framework of national resilience. Quantitative research by taking data using a Likert scale measuring instrument in the form of questionnaires, namely authoritative parenting, life-satisfaction, nationalism and patriotism. The subjects involved in this study amounted to 186 adolescents (male = 99 and female = 87 female, with an average age of 18.1 years). Furthermore, the collected data were analyzed using statistical tests, namely logarithmic non-linear regression. The results showed that (a) parents' authoritative parenting played a significant role in developing adolescent nationalism and patriotism in the framework of achieving national resilience, (b) authoritative parenting parents played a significant role in achieving teen life satisfaction so that they also developed nationalism and patriotism in the framework of national resilience, (c) youth realized that the state hadfacilitated its citizens to had jobs so that parents were able to meet the needs of life for teenagers. Thus, they as teenagers were aware of being citizens who had nationalism and patriotism in their lives. ABSTRAKPenelitian ini bertujuan mengetahui peran pengasuhan otoritatif  orangtua untuk menumbuhkembangkan sikap nasionalismedan patriotisme remaja  dalam kerangka ketahanan nasional.Penelitian bersifat kuantitatif dengan pengambilan data menggunakan alat ukur skala Likert berupa kuesioner yaitu pola asuh otoritatif, kepuasan hidup, nasionalisme dan patriotisme. Subjek yang terlibat dalam penelitian ini berjumlah 186 remaja (laki-laki = 99 orang dan perempuan = 87 perempuan, dengan rerata usia 18,1 tahun). Selanjutnya, data yang terkumpul dianalisis dengan menggunakan uji statistik yaitu regresi non-linear logaritmik.Hasil penelitian menunjukkan bahwa (a) pola asuh otoritatif orangtuaberperan secara signifikan dalam menumbuh-kembangkan sikap nasionalisme dan patriotismeremaja dalam kerangka mencapai ketahanan nasional, (b) pola asuh otoritatif orangtua berperan secara signifikan dalam mencapai kepuasan hidup remaja sehingga mereka pun akan menumbuhkembangkan sikap nasionalismedan patriotisme dalam kerangka ketahanan nasional, (c) remaja menyadari bahwa negara telah memfasilitasi warganya untuk memiliki pekerjaan sehingga orangtua  mampu memenuhi kebutuhan hidup bagi anak remaja. Dengan demikian,  mereka sebagai remaja sadar untuk menjadi warga-negara yang memiliki sikap nasionalisme dan patriotisme dalam hidupnya.

scholarly journals Asymmetric Effects of Exchange Rate on Monetary Policy in Emerging Countries: A Non-Linear ARDL Approach in Uganda

2020 ◽  
Vol 7 (5) ◽  
pp. 24
Author(s):  
Allan Kayongo ◽  
Asumani Guloba ◽  
Joseph Muvawala
Keyword(s):  
Exchange Rate ◽  
Money Demand ◽  
Economic Uncertainty ◽  
Ardl Model ◽  
Real Money ◽  
Asymmetric Effects ◽  
Long Run ◽  
Non Linear ◽  
Short Run ◽  
Exchange Rate Depreciation

Many money demand studies have been carried out on Uganda, however, these studies perceive and incorporate exchange rate as a linear determinant of real money demand. Indeed, exchange rate may have asymmetric effects on real money demand; with exchange rate appreciation having different effects from exchange rate depreciation. Therefore, this is the first study to estimate exchange rate asymmetries in Uganda, for the period 2008Q3 and 2018Q4. The study uses both the linear ARDL and non-linear ARDL methodologies to accomplish its goal. This is also done by incorporating an economic uncertainty index, which is critical, especially in light of the novel global coronavirus pandemic, that has disrupted trade, movement and supply chains. The error correction terms of both models are negative and significant, with the one of the non-linear ARDL twice as much as that of the linear ARDL. Indeed, the study confirms the existence of exchange rate asymmetries on Uganda’s real money demand. In the linear ARDL model, exchange rate has a positive effect in the long run but a negative result in the short run. On one hand, the non-linear ARDL model reveals that an exchange rate depreciation of the Uganda Shillings negatively affects real money demand in the short run. On the other hand, an exchange rate appreciation positively effects real money demand. Notably, economic uncertainty has insignificant effects in both models, except for its lags in the non-linear model. The implication of these findings is that macro-economic policy management in Uganda should be cognizant of these asymmetric effects of exchange rate, for effective planning, policy and implementation.

Non-linear regression and variance ratio analysis of time based NMR data

1993 ◽  
Vol 6 (2) ◽  
pp. 130-135 ◽  
Author(s):  
Zoltan H. Endre ◽  
Ronald G. Duggleby
Keyword(s):  
Linear Regression ◽  
Ratio Analysis ◽  
Variance Ratio ◽  
Nmr Data ◽  
Non Linear

scholarly journals Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies

2019 ◽  
Vol IV (IV) ◽  
pp. 21-30
Author(s):  
Rana Shahid Imdad Akash ◽  
Iqbal Mehmood ◽  
Kashif Hamid
Keyword(s):  
Saudi Arabia ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Anomalous Behavior ◽  
Seasonal Effects ◽  
Average Behavior ◽  
Market Return ◽  
Return Behavior ◽  
Lunar Calendar ◽  
Long Run

This study is aimed to explore the Islamic calendar anomaly or lunar effect over the period of eleven years commencing from Zilhajj 1429 (January 2007) to Muharram 1440 (September 2018) on daily historical returns. This study has identified the essence of weak-form Efficient Market Hypothesis Fama (1965) in Pakistan, Turkey, Malaysia, Bangladesh, Iran, Egypt, Saudi Arabia, and Dubai. Moreover market return behavior and seasonal effects are identified by using the dummy regression model. It is identified that anomalous behavior is reality in long run aptitude in all Islamic economies and the average behavior is reflecting that markets have been inspired by the seasonal effects. Overall the market behavior reflects weak form of efficiency except Iran and Bangladesh. It is identified that the Gregorian Calander is static but the lunar calendar is dynamic and go across all the weathers. Weathers and temperatures may affect perception and psychology of investor.

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