全部文献期刊学位论文会议报纸专利标准年鉴图书|学者科研项目
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作者:Yingyi Hu
来源:[J].Annals of Operations Research(IF 1.029), 2019, Vol.281 (1-2), pp.253-274Springer
摘要:Abstract(#br)This paper uses a two-stage regression approach and tick data from 2012 to investigate the factors that affect short-horizon market efficiency in the Chinese stock market. The findings show that market efficiency is significantly related to certain variables for...
作者:Goksel Asan , Kamil Tasaltin
来源:[J].Energy Policy(IF 2.743), 2017, Vol.107, pp.109-118Elsevier
摘要:Abstract(#br)This study analyses the price dynamics of day-ahead and real-time electricity prices following the implementation of dual-pricing legislation in Turkey, to understand the legislation's impact on arbitrage opportunities and market efficiency. The convergence of prices...
作者:Minhyuk Lee , Jae Wook Song , Sondo Kim ...
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2018Elsevier
摘要:Abstract(#br)We explore the asymmetric market efficiency for various countries’ stock indices using the index-based asymmetric-MFDFA. We divide market based on its trend within certain sub-period. Then, we test whether the overall, up-, and down-trend markets are efficient ...
作者:Michael A. Noakes , Kanshukan Rajaratnam
来源:[J].Annals of Operations Research(IF 1.029), 2016, Vol.243 (1-2), pp.273-300Springer
摘要:Abstract(#br)It has been suggested that stock exchanges may be tested for market efficiency by using tests for assessing random number generators. This paper uses such a test to assess the efficiency of small, mid and large cap indices on the Johannesburg Stock Exchange, while ma...
作者:Martin Haferkorn
来源:[J].Journal of Information Technology(IF 3.532), 2017, Vol.32 (3), pp.283-296Springer
摘要:... On the basis of the electronic market hypothesis, which poses that coordination costs decline when markets become automated, and the efficient market hypothesis in its semi-strong form, we study the effect of HFT on market efficiency in the European fragmented market landscap...
作者:Xin-gang Zhao , Gui-wu Jiang , Dan Nie ...
来源:[J].Renewable and Sustainable Energy Reviews(IF 5.627), 2016, Vol.59, pp.1229-1245Elsevier
摘要:... Firstly, based on empirical investigation and research of seven pilots, this paper analyzed the market efficiency of ETS pilots from four aspects: carbon price, trading volume, market liquidity, and information transparency. The result showed that the market efficiency of E...
作者:Pingjun Jiang , Siva K. Balasubramanian
来源:[J].Electronic Commerce Research and Applications(IF 1.48), 2014, Vol.13 (2), pp.98-109Elsevier
摘要:Abstract(#br)Researchers have found that price dispersion and market inefficiency exists in electronic marketplaces. Little attention has been bestowed to explore difference in market efficiency between traditional and electronic marketplaces. This study integrates both product a...
作者:Jessada Sukpitak , Varagorn Hengpunya
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2016, Vol.458, pp.259-265Elsevier
摘要:Abstract(#br)For a single market, the cross-correlation between market efficiency and trading volume, which is an indicator of market liquidity, is attentively analysed. The study begins with creating time series of market efficiency by applying time-varying Hurst exponent with o...
作者:E. Rodriguez , M. Aguilar-Cornejo , R. Femat ...
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2014, Vol.413, pp.554-564Elsevier
摘要:Abstract(#br)In financial markets, the weak form of the efficient market hypothesis implies that price returns are serially uncorrelated sequences. In other words, prices should follow a random walk behavior. Recent developments in evolutionary economic theory (Lo, 2004) have tai...
作者:Lanouar Charfeddine , Karim Ben Khediri
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2016, Vol.444, pp.487-504Elsevier
摘要:Abstract(#br)This paper investigates the time-varying levels of weak-form market efficiency for the GCC stock markets over the period spanning from May 2005 to September 2013. We use two empirical approaches: (1) the generalized autoregressive conditional heteroscedasticity in me...

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