VOLATILITY MEAN REVERSION AND STOCK MARKET EFFICIENCY
Journal Title: Asian Economic and Financial Review - Year 2013, Vol 3, Issue 12
Abstract
Traditional econometric models, such as the ordinary least square method, are built on the assumption of constant variance. Financial time series, unlike other economic series, usually exhibit a set of peculiar characteristics i.e. mean reversion, volatility clustering, fat tails and long memory. The main purpose of this study was to study market efficiency through modeling one stylized facts of asset returns series i.e. mean reversion in the Indian stock market. To achieve this purpose, the study used ADF test and GARCH model. The study found that the underlying series is stationary and therefore mean reverting. Therefore, based on the results the study concluded that, the Indian stock market is informationally weak-inefficient.
Authors and Affiliations
Hojatallah Goudarzi| Department of Finance and Insurance, Faculty of Management, University of Tehran
Keywords
Related Articles
- EP ID EP1987
- DOI -
- Views 422
- Downloads 25
ISLAMIC CULTURE IMPACT OF INCREASING SATISFACTION AND PERFORMANCE OF EMPLOYEES: STUDY OF EDUCATIONAL INSTITUTIONS SABILLILAH SAMPANG
Many studies conducted by experts who want to know the direct relationship between organizational cultures with organizational performance, but there are also some empirical studies which found that organizational cultur...
A MODEL FOR ESTIMATING THE DISTRIBUTION OF FUTURE POPULATION
In most counties, statistical authorities collect data on the number of deaths in each age group. These data enables the calculation of life expectancy as well as the calculation of death and survival probabilities for e...
DOES TRADE WITH LABOUR SENDING COUNTRIES REDUCE DEMAND FOR MIGRANT WORKERS: A LESSON FROM MALAYSIA
This paper has three objectives. The first objective is to examine the long-run relationships among exports, imports, income and demand for migrant workers. This is followed by a causality test between these variables as...
THE IMPACT OF MERCANTILISM ON MACROECONOMIC EXPOSURES OF BUSINESS IN NIGERIA: IMPLICATIONS FOR ECONOMIC POLICY
The paper examined the impact of mercantilism ideology on macroeconomic exposures of business in Nigeria. This was prompted by the sluggish growth and poor performance of businesses in Nigeria. In order to probe into thi...
THE SHORT- AND LONG-TERM EFFECTS OF TRADE TAXES ON VERTICAL SPECIALIZATION
The aim of this study is to evaluate the effects of taxes on international trade in the short- and long-term on vertical specialization in the case of Turkey, which signed the GATT agreement and entered into the customs...