scholarly journals Financial Crises and Adaptive Market Hypothesis: An Evidence from International Commodities traded at New York Stock Exchange

2020 ◽  
Vol 6 (1) ◽  
pp. 67-81
Author(s):  
Muhammad Naeem Shahid ◽  
Khalid Latif ◽  
Ghulam Mujtaba Chaudhary ◽  
Shahid Adil
Keyword(s):  
New York ◽  
Financial Crises ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
New York Stock Exchange ◽  
York Stock Exchange ◽  
Gold Metal ◽  
Daily Returns ◽  
Over Time ◽  
Commodities Markets

This study evaluates the varying degree of predictability of commodities return through empirical analysis of AMH (Adaptive Market Hypothesis). We divide daily returns data (from 1996 to 2013) of commodities indices (Gold, Metal, Oil& Silver) into different crisis periods. We subject all the subsamples to linear/nonlinear tests to reveal how market efficiency (independency of returns) has behaved over time. All the linear (except variance ratio) and nonlinear tests are evident that commodity indices returns have been predictable (dependent) in some crisis periods while unpredictable (dependence) in the others thus consistent with the implication of AMH. Therefore, commodities markets are adaptive markets. The findings suggest the behavior of commodities’ markets is best explained by AMH than conventional/traditional EMH (Efficient Market Hypothesis).

scholarly journals Detection of Patches of Outliers in Stochastic Volatility Processes

2014 ◽  
Vol 8 (2) ◽  
pp. 169
Author(s):  
Anderson C.O. Motta ◽  
Luiz K. Hotta
Keyword(s):  
New York ◽  
Stochastic Volatility ◽  
Stock Exchange ◽  
Statistical Tests ◽  
Asset Returns ◽  
Sampling Procedure ◽  
New York Stock Exchange ◽  
Simulated Sample ◽  
York Stock Exchange ◽  
Daily Returns

Because the volatility of nancial asset returns tends to arrive in clusters, it is quite likely that outliers appear in patches. In this case, most of the statistical tests developed to detect outliers have low power. We propose to use the posterior distribution of the size of the outlier and of the probability of the presence of an outlier at each observation to detect and estimate the outlier. This sampling algorithm is an adapted version of the algorithm proposed by Justel et al. (2001) for autoregressive time-series models. Our proposed sampling procedure is applied to a simulated sample according to the stochastic volatility, a sample of the New York Stock Exchange daily returns, and a sample of the Brazilian S~ao Paulo Stock Exchange daily returns.

FUNDS STATEMENTS: THE ACCOUNTING PRINCIPLES BOARD WAS TWICE BEHIND THE CURVE

2015 ◽  
Vol 42 (2) ◽  
pp. 91-102 ◽  
Author(s):  
Stephen A. Zeff
Keyword(s):  
New York ◽  
Stock Exchange ◽  
Securities And Exchange Commission ◽  
New York Stock Exchange ◽  
Accounting Principles ◽  
York Stock Exchange

This paper discusses the circumstances in which the Accounting Principles Board (APB) issued Opinions 3 and 19, in 1963 and 1971, respectively, when the Board encouraged and then required companies to publish a statement of source and application of funds, known as the funds statement. In doing so, the Board both times lagged behind company practice and the views of influential organizations, including the New York Stock Exchange and the Securities and Exchange Commission.

New York Stock Exchange Year Book-1934.

1936 ◽  
Vol 41 (4) ◽  
pp. 563-563
Author(s):  
Francis E. Merrill
Keyword(s):  
New York ◽  
Stock Exchange ◽  
New York Stock Exchange ◽  
York Stock Exchange
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