Mean reversion in stock prices: tests using duration models

Article Abstract:

The duration dependence in the nominal and real US stock markets is analyzed from Jan. 1929 to Dec. 1992 using parametric hazard models. The Beveridge-Nelson approach to determine market cycles is applied to the decomposition of economic time series. Results of the study indicate positive duration dependence for nominal and real cycles. No proof of discrete movements exist in real market cycles. There is limited evidence that shifts or trends exist in nominal cycles. The duration of a given cycle depends on the duration of the preceding cycle.

Analysis, Usage, Business cycles, Time-series analysis, Time series analysis

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The empirical characterization of financial markets in developing countries

Article Abstract:

An analysis of the stock markets of emerging countries showed that these markets retain some form of autonomy or insulation from the markets of developed countries and that these markets exhibit high degrees of volatility of returns. Risk exposure for investors in emerging markets is weakly associated with the country's market integration or bond rating. The analysis also showed that the emerging markets are predominantly middle income and that the country's income classification is the best indicator of a working stock market.

Investments, Developing countries

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Seasonality in returns and volatilities: a revisit on the Hong Kong stock market

Article Abstract:

The day-of-the-week effect was found to be inexistent in Hong Kong's mean return. Utilization of Hong Kong stock market's daily return data covering eight-and-a-quarter years showed that the day-of-the-week effect exists only in some industrial indices' risk-adjusted returns. The hypothesis of equal variance across weekdays was found to be inapplicable on all indices with the largest variance noted on Monday.

Securities industry, Hong Kong, Stock Exchange of Hong Kong Ltd.

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