Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology
Journal Title: Journal of Economics and Financial Analysis - Year 2018, Vol 2, Issue 2
Abstract
This paper analyses cyclical behaviour of Orange stock price listed in French stock exchange over 01/03/2000 to 02/02/2017 by testing the nonlinearities through a class of conditional heteroscedastic nonparametric models. The linearity and Gaussianity assumptions are rejected for Orange Stock returns and informational shocks have transitory effects on returns and volatility. The forecasting results show that Orange stock prices are short-term predictable and nonparametric NAR-ARCH model has better performance over parametric MA-APARCH model for short horizons. Plus, the estimates of this model are also better comparing to the predictions of the random walk model. This finding provides evidence for weak form of inefficiency in Paris stock market with limited rationality, thus it emerges arbitrage opportunities.
Authors and Affiliations
Mohamed CHIKHI, ALI BENDOB
Keywords
Related Articles
- EP ID EP262894
- DOI -
- Views 117
- Downloads 0
Differential Investors Response to Restatement Announcements: An Empirical Investigation
When firms announce a restatement of their financial reports, they inform investors that their prior announcements were faulty. Not only do companies lose credibility at times such as this but also their securities are r...
Implication of Credit Supervision Practices on Portfolio at risk of Microfinance Institutions in Tanzania
This study seeks to establish the implication of credit supervision practices on portfolio management of microfinance institutions in Tanzania. Utilizing multivariate regression technique over sampled 219 microfinance in...
The causality between Financial Development and Economic Growth in Ethiopia: Supply Leading vs Demand Following Hypothesis
This paper investigates linkage between financial development and economic growth in Ethiopia during the period from 1975 to 2016 using Autoregressive Distributed Lag (ARDL) approach. The paper also schedules Vector Erro...
Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero
This paper examines factors that influence prices of most common five cryptocurrencies such Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents s...
Message Oriented Approach to WOM Effects in Service Industries
In this study a search-based and an experience-based service were examined in Word-of-Mouth (WOM) context. The study aimed at revealing the extent to which consumer choices in movie theatre and repair and maintenance sho...