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Stock (geology)
About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.
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TL;DR: In this article, the authors examined the presence of long memory in the stock returns of seven countries, namely Japan, Korea, New Zealand, Malaysia, Singapore, the USA and Australia, and found that the Korean, Malaysian, Singapore and New Zealand stock returns are long-term dependent.
Abstract: A lot of recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial implications of such a finding for market efficiency and for martingale models of asset prices used in financial economics and technical trading rules used for forecasting. This paper examines the presence of long memory in the stock returns of seven countries, namely Japan, Korea, New Zealand, Malaysia, Singapore, the USA and Australia. The classical and modified rescaled range tests, the semiparametric test proposed by Geweke and Porter-Hudak, the frequency domain score test proposed by Robinson and its time-domain counterpart derived by Silvapulle, are applied to these returns in order to detect the long memory property. Evidence suggests that the Korean, Malaysian, Singapore and New Zealand stock returns are long-term dependent, indicating that these two markets are not efficient. The results of this study should be useful to regulators, practitioners and derivative market participants, whose success precariously depends on the ability to forecast stock price movements. Copyright © 2001 John Wiley & Sons, Ltd.
193 citations
TL;DR: The cognitive bias theory of share price reversals predicts that the market forms overly optimistic (pessimistic) earnings expectations for firms that experienced high (low) stock returns as mentioned in this paper.
193 citations
TL;DR: The authors developed a framework to study the causes of countercyclical stock market volatility and found that risk premia do not imply counter-cyclical return volatility, but instead, countercyclically stock volatility occurs if risk premias increase more in bad times than they decrease in good times, thereby inducing price-dividend ratios to fluctuate more in good than in bad periods.
193 citations
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TL;DR: In this paper, the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand, were investigated.
Abstract: This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volatilities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross-country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.
192 citations
TL;DR: The authors examined the relationship between the Japanese Yen and the country's stock returns using several variants of econometric models and empirical specifications, and unraveled that the depreciation of the Yen vis-a-vis the US dollar led to gains in Japanese stock returns.
192 citations