 |
Vol. 4, n.º 2 - September 2005 |
|
|
 |
Article: |
Long-range Dependence in the Returns and Volatility
of the Brazilian Stock Market
|
|
|
Author: |
|
Ata Assaf a and Jorge Cavalcante b
a Odette School of Business - University of Windsor - Windsor, Ontario, Canada, N9B 3P4 - Tel.: (519) 253 - 3000 Ext: 3088.
b BNDES/UFRRJ - Av. Republica do Chile, 100/1812 - 20.139-900 - Centro - Rio de Janeiro - Rio de Janeiro - Brazil.
|
|
|
|
|
|
Abstract: |
|
This study provides empirical evidence of the long-range dependence in the returns and volatility of Brazilian Stock Market (BSM). We test for long memory in the daily returns and volatility series. The measures of long-term persistence employed are the modified rescaled range (RIS) statistic proposed by Lo (1991), the rescaled variance V/S statistic proposed by Giraitis et al. (2003), and the semiparametric estimator of Robinson (1995). Further analysis is conducted via FIGARCH model of Baillie et al. (1996). Significant long memory is conclusively demonstrated in the volatility measures, while there is a little evidence of long memory in the returns themselves. This evidence disputes the hypothesis of market efficiency and therefore implies fractal structure in the emerging stock market of Brazil. We conclude, that stock market dynamics in lhe biggest emerging market, even with its different institutions and information flows than the developed market, present similar return-generating process to the preponderance of studies employing other data. Our results should be useful to regulators, practitioners and derivative market participants, whose success depends on lhe ability to forecast stock price movements.
Key words: Long Memory, R/S analysis, V/S analysis, Emerging Markets, Brazilian Stock Market.
JEL Classification Numbers: G1; G12; G14; G15.
|
|
|
|
|
Article: |
Mean Reversion in Swedish Macroeconomic Time Series
- Evidence Using a New Panel Data Approach *
|
|
|
Author: |
|
Par Osterholm a
a Department of Economics, Uppsala University Correspondence: Department of Economics, Uppsala University, Box 513, 751 20 Uppsala, Sweden
Phone: +46 18 471 1631 Fax: +46 18 471 1478.
|
|
|
|
|
|
Abstract: |
|
The presence or absence of unit roots in a time series can be used to test the validity of a number of economic hypotheses and the persistence of economic time series therefore receives a fair amount of attention. This paper tests for the presence of unit roots in four time series of major interest to the Swedish macro economy. The time series properties of the real exchange rate, the nominal interest rate, inflation and unemployment are investigated using both traditional univariate unit root tests and panel unit root tests in a new panel setting. It is well known that there is power to be gained when testing for unit roots by using a panel setting. By applying two different panel unit root tests - the frequently used Im, Pesaran and Shin (2003) and the less used, but potentially highly informative, Johansen (1988) likelihood ratio test - the drawbacks of panel unit root tests, such as formulation of null and alternative hypothesis and the common assumption of cross-sectional independence, are also addressed in this study. Applying the tests to monthly data from 1972 to 2003, the panel unit root tests provide strong evidence that all four time series are stationary-processes.
Key words: Panel data, Unit root tests.
JEL Classification: C23.
* Financial support from Sparbankemas forskningsstiftelse is gratefully acknowledged. |
|
|
|
|
Article: |
Modeling Long Run Dynamics in
Transitional European Equity Markets |
|
|
Author: |
|
Theodore Syriopoulos a
a Department of Shipping and Entrepreneurial Services, University of lhe Aegean, Chios and Department of Business Administration, Technological Educational Institute, Larissa, Greece 14, Sevastopoulou str., 115 24 Athens, Greece. - Tel.: 0030.210.69.13.594, 6944.911.787. Fax: 0030.210.69.94.117.
|
|
|
|
|
|
Abstract: |
|
The impact of dynamic linkages among major emerging Central European stock markets (Poland, Czech Republic, Hungary, Slovakia) and developed markets (Germany and the US) is investigated. Market comovements are detected via cointegration dynamics; the empirical findings support the presence of one cointegration vector, indicating a stationary long-run relationship. Both domestic and external forces affect stock market behavior but the individual European emerging markets tend to display stronger linkages with their mature counterparts rather than their neighbours. Long-run comovements have considerable implications for asset pricing, equity risk premium and active portfolio management, as benefits from risk diversification to Central European markets may be limited for international investors.
Key words: European emerging markets; stock market comovements; portfolio diversification; cointegration.
JEL Classification: C5, F36, G11, G15, O16
|
|
|
|
|
Article: |
Athens' small business capital market informational
linkages with stock exchange dominant sectors. |
|
|
Author: |
|
Aristeidis G. Samitas a
a Assistant Professor, Department of Business Administration, University of lhe Aegean 6 Cristou Lada str., Office 18, Athens 105 61, Greece. Tel.: +3 210 3689247, Fax: +3 210 3689046.
|
|
|
|
|
|
Abstract: |
|
This paper focuses on the distinguishing features and issues of a small and medium size business (SMB) stock market versus a main stock market. It also examines what services a small firm specifically needs from a stock exchange relative to those offered to a larger listed company on a main market. The significance of secondary capital markets, as a source of financing small-medium enterprises, stems from the fact that in today's world small medium businesses are seen more than ever as a vehicle for entrepreneurship. More specifically, cointegration tests provide evidence on the relationship between the secondary (parallel) capital market and the leading sectors in Athens Stock Exchange (ASE). Furthermore, it examines the existence of interdependence between primary and secondary market in order to test the autonomy of secondary market price behavior. The empirical results indicate that the Greek secondary capital market has no considerable links with the other examined sectors, while there is evidence of a uni-directional causality and price co-movement between the primary and secondary capital market in Greece. These findings have significant implications for the weak efficient market hypothesis.
Key words: Secondary Capital Markets, small and medium business, cointegration, market efficiency.
JEL Classification: C12, G15
|
|
|
|
|
