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作者:Minhyuk Lee , Jae Wook Song , Sondo Kim ...
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2018
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:Xin-gang Zhao , Gui-wu Jiang , Dan Nie ...
来源:[J].Renewable and Sustainable Energy Reviews(IF 5.627), 2016, Vol.59, pp.1229-1245
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:Jessada Sukpitak , Varagorn Hengpunya
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2016, Vol.458, pp.259-265
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.554-564
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:Pingjun Jiang , Siva K. Balasubramanian
来源:[J].Electronic Commerce Research and Applications(IF 1.48), 2014, Vol.13 (2), pp.98-109
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:Luis A. Gil-Alana , Rangan Gupta , Olanrewaju I. Shittu ...
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2018
摘要:Abstract(#br)We investigate financial market efficiency in the time series of four daily Baltic stock market indices, namely: Baltic Benchmark Gross Index (OMXBBGI), all share index of Tallin-Lithuanian (OMXT), all share index of Riga (OMXR) and all share index of Vilnius (OMXV),...
作者:Goksel Asan , Kamil Tasaltin
来源:[J].Energy Policy(IF 2.743), 2017, Vol.107, pp.109-118
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:Aminam Talipova , Sergei G. Parsegov , Pavel Tukpetov
来源:[J].Energy Policy(IF 2.743), 2019, Vol.135
摘要:... This paper aims to fill this gap by testing market efficiency in SPIMEX based on Fama's theory with the well-established model. We test the consistency of gas futures and spot prices for unbiasedness.(#br)We imply this methodology because, in transition to exchange benchmark,...
作者:Yudong Wang , Li Liu , Rongbao Gu ...
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2009, Vol.389 (8), pp.1635-1642
摘要:Abstract(#br)In this paper, we analyze market efficiency for the Shanghai stock market over time using a model-free method known as multifractal detrended fluctuation analysis. Through analyzing the change of scale behavior, we find that the price-limited reform improved the efficiency...
作者:Mohammad Mahdi Rounaghi , Farzaneh Nassir Zadeh
来源:[J].Physica A: Statistical Mechanics and its Applications(IF 1.676), 2016, Vol.456, pp.10-21
摘要:... Recently, multifractal analysis has been evolved as an important way to explain the complexity of financial markets which can hardly be described by linear methods of efficient market theory. In financial markets, the weak form of the efficient market hypothesis implies ...

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