1,720,971 research outputs found
Technical anomalies: a theoretical review
No full textThe validation of weak-form efficient market hypothesis (EMH) depends on the testing of random walk hypothesis (RWH) and the non-presence of technical anomalies. Once technical anomalies are discovered based on the interpretation of technical analysis, investors can exploit these opportunities to earn above-normal returns from price forecasting. Thus, it violates the weak-form EMH. As the weak-form is violated, it would imply that all stronger forms of EMH are not supported. Hence, the issue of technical anomalies should not be ignored in the EMH study. This study focuses on the theoretical review of several important forms of technical anomaly, including short-term momentum, long-run return reversals, stock price volatility clustering, calendar anomalies, and technical rules. Based on the review of literature, we suggest that the persistence of anomalies over long-period horizon has remained controversial. In practical, the reliability of the forecast power of technical analysis is important to show the relevance of technical anomalies in the EMH domain
A multidimensional study of weak-form efficiency for finance stocks in Malaysia
Full text linkFinance sector plays a vital role in financial system. Nevertheless, it is exposed to systematic default risk, bank run, and shocks emanating from financial system. This thesis primarily aims to determine the weak-form efficiency for finance stocks in Malaysia, covering financial holding companies, commercial banks, investment banks, insurance companies, capital market intermediaries, and finance companies. The specific objectives of this study are: to examine the random walk properties for finance stock prices in Malaysia based on a random walk model that incorporates cross-sectional dependence (CD) and structural breaks; to examine nonlinearity and threshold effect of finance stock prices in Malaysia through a two-regime threshold autoregressive (TAR) approach, allowing for evaluating the random walk properties in separate regimes; to investigate the existence of calendar anomalies in the market of finance stocks in Malaysia by focusing on the day-of-the-week effect, month-of-the-year effect, turn-of-the-month (TOM) effect, and holiday effect; and to investigate the presence of short-term momentum effect and return reversal in the market of finance stocks in Malaysia. This study shows the following findings: 1) The prices of all finance stocks follow a random walk process hence weak-form efficiency is validated; 2) There is strong CD among the cross-sectional units of financial firms in Malaysia; 3) Each finance stock price series displays several structural changes throughout the study period; 4) The prices of all finance stocks are nonlinear and showing the threshold effect, thus reflecting basic human psychological influence that causes tension threshold and changing behaviour of efficiency across different regimes in the finance stock prices. The finance stocks are either fully or partially complying with the random walk properties and weakform efficiency; 5) Calendar anomalies occur in the market of finance stocks; 6) Short-term momentum effect and return reversal exist in the market of finance stocks, in which they are unexplainable within the efficient market paradigm; 7) As calendar anomalies, short-term momentum effect and return reversals are evident, the weak-form efficiency in short-term is invalid. The above findings suggest that the selected finance stocks in Malaysia are efficient in the weak-form sense based on a random walk model that incorporates CD and structural breaks, but inefficient in short-term. In addition, finance stock efficiency may change during times of extreme sentiment as finance stock prices reflect the effect of tension threshold
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Equity market anomalies: concepts, classifications, theories and evidence
Full text linkAt the outset, it is important to understand the meaning of ‘anomalies’. In general, anomalies are known as irregularities or deviations from the natural order (George and Elton, 2001). Anomalies that arise from the trading of financial instruments are referred to as the moments when security prices depart from their normal behaviour (Dana and Cristina, 2013). In relation to stock trading specifically, Hubbard (2008) defines anomalies as the trading opportunities derived from the investment strategies that allow for earning above-normal returns
The Impact of COVID-19 on the Stock Markets of BRICS Countries
Full text linkThis paper examines the weak-form efficiency of the BRICS stock markets for the periods before and during the outbreak of the COVID-19 pandemic. The five countries of BRICS are Brazil, Russia, India, China, and South Africa. The performance of Brazil’s stock market is shown by the BOVESPA Index. The MOEX Russia Index is used to show the performance of Russia’s stock market. For India’s stock market, the S&P BSE SENSEX Index is used. For China, the stock market is represented by the SHCOMP Shanghai Stock Exchange Composite Index. South Africa Top 40 Index represents South Africa’s stock market. We use unit root tests to assess the random walk properties of the series. We found that Brazil’s stock market and China’s stock market were following a random walk or efficient for both the periods before and during the outbreak of the COVID-19 pandemic. For the period before the pandemic, Russia’s stock market and India’s stock market did not follow a random walk or were inefficient only when the trend was included in the testing of unit root. For the period during the outbreak of the pandemic, both the stock markets were following a random walk or became efficient. For the period before the pandemic, we also found that South Africa’s stock market was not following a random walk when only intercept is included in the testing of unit root. During the pandemic, South Africa’s stock market was following a random walk or became efficient. The interesting results showed that all the BRICS countries’ stock markets were or became efficient during the pandemic period. This may show that the market confidence was strong even though these countries, like other countries, were badly impacted by the pandemic catastrophe
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