Features of Financial Returns Modelling Price Volatility Forecasting Standard Deviations The Accuracy of Autocorrelation Estimates Testing the Random Walk Hypothesis Forecasting Trends in Prices Evidence Against the Efficiency of Futures Markets Valuing Options Appendix: A Computer Program for Modelling Financial Time Series.

Modelling Financial Time Series

Fil: Fernandez, Aurelio. Universitat Rovira I Virgili; Espana. Consejo Nacional de Investigaciones Cientificas y Tecnicas; Argentina

Some stylized facts of the Bitcoin market

Stock exchange and interest rate are two crucial factors of economic growth of a country. The impacts of interest rate on stock exchange provide important implications for monitory policy, risk management practices, financial securities valuation and government policy towards financial markets. This study seeks evidence supporting the existence of share market efficiency based on the monthly data from January 1988 to March 2003 and also shows empirical relationship between stock index and interest rate for fifteen developed and developing countries- Australia, Bangladesh, Canada, Chile, Colombia, Germany, Italy, Jamaica, Japan, Malaysia, Mexico, Philippine, S. Africa, Spain, and Venezuela. Stationarity of market return is tested and found none of this stock market follows random walk model, means not efficient in weak form. To investigate the reasons of market inefficiency, relationship between share price and interest rate, and changes of share price and changes of interest rate were determined through both time series and panel regressions. For all of the countries it is found that interest rate has significant negative relationship with share price and for six countries it is found that changes of interest rate has significant negative relationship with changes of share price. So, if the interest rate is considerably controlled for these countries, it will be the great benefit of these countries’ stock exchange through demand pull way of more investors in share market, and supply push way of more extensional investment of companies.

/pdf/relationship-between-interest-rate-and-stock-price-empirical-2tc6btku32.pdf

Relationship between Interest Rate and Stock Price: Empirical Evidence from Developed and Developing Countries

The analysis of long memory processes in capital markets has been one of the topics in finance, since the existence of the market memory could implicate the rejection of an efficient market hypothesis. The study of these processes in finance is realized through Hurst exponent and the most classical method applied is R/S analysis. In this paper we will discuss the efficiency of this methodology as well as some of its more important modifications to detect the long memory. We also propose the application of a classical geometrical method with short modifications and we compare both approaches.

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Some comments on Hurst exponent and the long memory processes on capital markets

Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility☆

http://directory.umm.ac.id/Data%20Elmu/jurnal/E/Energy%20Economics/Vol22.Issue5.2000/1122.pdf

Are oil markets chaotic? A non-linear dynamic analysis

It is argued that the study of the correct specification of returns distributions has attractive implications in financial economics. This study estimates Levy-stable (fractal) distributions that can accurately account for skewness, kurtosis, and fat tails. The Levy-stable family distributions are parametrized by the Levy index (α), 0 < (α), ≤ 2, and include the normal distribution as a special case (α = 2). The Levy index, α, is the fractal dimension of the probability space. The unique feature of Levy-stable family distributions is the existence of a relationship between the fractal dimension of the probability space andthe fractal dimensionof the time series. This relationshipis simply expressed in terms of Hurst exponent (H), i.e. α = 1/ H. In addition, Hurst exponent is related to long-memory effects. Thus, estimating the Levy index allows us to determine long-memory effects. The immediate practical implication of the present work is that on the one hand we estimate the shape of returns distributions...

http://www.long-memory.com/returns/Panas2001.pdf

Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange

The behaviour of Athens stock prices

The capital-energy controversy: further results

This paper examines the effect of inflation on total factor productivity growth (TFP), using time-series data for every two digit Greek manufacturing industries. In order to do the above a translog flexible cost function is estimated and used to decompose TFP growth into scale economies, inflation and technical change. The advantage of estimating a very general and flexible cost function is that it allows us, for the first time, to examine empirically a large number of significant relationships between TFP growth and economies of scale, inflation and technical change. The main conclusion drawn from this analysis is that inflation reduces TFP growth in a way, which is sizeable. Furthermore, using standard causality test the direction of causality between inflation and TFP growth was tested at the manufacturing level.

Epaminondas Panas

Papers

Are oil markets chaotic? A non-linear dynamic analysis

Estimating fractal dimension using stable distributions and exploring long memory through ARFIMA models in Athens Stock Exchange

The behaviour of Athens stock prices

The capital-energy controversy: further results

Is there an inflation-productivity trade-off? Some evidence from the manufacturing sector in Greece