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Academic literature on the topic 'Efficient market theory Econometric models'

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Published: 10 December 2022
Last updated: 29 January 2023

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Journal articles on the topic "Efficient market theory Econometric models"

1

Gilbert, Richard J. "The Role of Potential Competition in Industrial Organization." Journal of Economic Perspectives 3, no. 3 (August 1, 1989): 107–27. http://dx.doi.org/10.1257/jep.3.3.107.

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Potential competition is important as a mechanism to control market power. I assess the strengths and limitations of alternative theories of potential competition by examining the available theoretical, empirical and institutional knowledge. I consider four major schools of thought: the traditional model of limit pricing, dynamic limit pricing, the theory of contestable markets, and the market efficiency model. Traditional limit pricing models rest on the assumption that firms respond to entry but are able to earn persistent profits when the structural characteristics of markets make entry difficult. Dynamic limit pricing is similar, but emphasizes that markets can only be temporarily protected from entry. Contestability theory, in its pure form, asserts that potential competition is as effective as actual competition in controlling market performance. The efficient markets hypothesis, broadly interpreted, states that markets are workably competitive and that the market structure reflects differential efficiency, not strategic behavior.
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Landais, Camille, Pascal Michaillat, and Emmanuel Saez. "A Macroeconomic Approach to Optimal Unemployment Insurance: Theory." American Economic Journal: Economic Policy 10, no. 2 (May 1, 2018): 152–81. http://dx.doi.org/10.1257/pol.20150088.

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This paper develops a theory of optimal unemployment insurance (UI) in matching models. The optimal UI replacement rate is the conventional Baily-Chetty replacement rate, which solves the tradeoff between insurance and job-search incentives, plus a correction term, which is positive when an increase in UI pushes the labor market tightness toward its efficient level. In matching models, most wage mechanisms do not ensure efficiency, so tightness is generally inefficient. The effect of UI on tightness depends on the model: increasing UI may raise tightness by alleviating the rat race for jobs or lower tightness by increasing wages through bargaining. (JEL E24, J22, J23, J31, J41, J64, J65)
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Murrell, Peter. "Can Neoclassical Economics Underpin the Reform of Centrally Planned Economies?" Journal of Economic Perspectives 5, no. 4 (November 1, 1991): 59–76. http://dx.doi.org/10.1257/jep.5.4.59.

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This paper addresses whether neoclassical economics can provide the intellectual underpinning for a theory of reform. I examine whether the neoclassical model satisfies an essential condition to qualify for this role: does it give us a satisfactory explanation for the vast differences in performance between capitalist and socialist economic systems? First, I focus on the theoretical arguments that have traditionally been used to examine the comparative properties of central planning and markets. I show that developments within theory over the last 20 years have substantially changed the tone of these arguments, making their message more equivocal. Next I discuss empirical evidence, but of a particular sort. Much research shows that centrally planned economies perform less well than market economies; but few studies test whether the superiority of market economies appears within empirical models derived using the framework of basic neoclassical economics. Those studies are the relevant ones for the present exercise. The central conclusion is that economists must look outside the standard models of competition, the focus on Pareto-efficient resource allocation, and the welfare theorems to build a theory of reform.
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Hasanov, Niyazi, Tokhtaposha Akbulaeva, Kamal Ahmadov, and Akram Hasanzadeh. "Application of Management Based on Mathematical Models to Solve Investment Strategy Problems." WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS 19 (May 6, 2022): 1130–39. http://dx.doi.org/10.37394/23207.2022.19.99.

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This article analyzes the emergence of large investment opportunities for the development of different areas of the economy in the context of political and economic changes in a competitive environment of the market economy and its relevance shows itself in the underdevelopment of risk analysis and its experimental methodology with the need to improve quality of investment activity, as well as project decision making, the contradictions between the possibility and impossibility of achieving the planned outcome and application of management based on mathematical models to solve investment strategy problems of firms and companies in this field. Application of management based on mathematical models to solve investment strategy problems, development and intensification of risk analysis theory and specification of strategy for purpose, the introduction of practice to the process of making investment decisions and efficient recommendations were developed and ways to reach the goals were designated for all the activities and measures taken in this direction. The action process is established based on the solution of made decisions and proved its compatibility with the pre-defined trajectory based on strategic opinions and occurrence time of the existing and principally indefinite, mentioned relevant events, the efficiency of application of management based on mathematical models to solve investment strategy problems. Analysis methods have been establishetod to apply management based on mathematical models to solve relevant problems in the market economy and suggestions and recommendations for its practical usage in investment-project activity have proved that economic-mathematical models are efficient tools.
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Svoboda, Milan, and Pavla Říhová. "STOCK PRICE PREDICTION USING MARKOV CHAINS ANALYSIS WITH VARYING STATE SPACE ON DATA FROM THE CZECH REPUBLIC." E+M Ekonomie a Management 24, no. 4 (December 2021): 142–55. http://dx.doi.org/10.15240/tul/001/2021-4-009.

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The article describes empirical research that deals with short-term stock price prediction. The aim of this study is to use this prediction to create successful business models. A business model that outperforms the stock market, represented by the Buy and Hold strategy, is considered to be successful. A stochastic model based on Markov chains analysis with varying state space is used for short-term stock price prediction. The varying state spate is defined based on multiples of the moving standard deviation. A total of 80 state space models were calculated for the moving standard deviation with 5-step lengths from 10 to 30 in combination with the standard deviation multiples from 0.5 to 2.0 with the step of 0.1. The efficiency of the business models was verified for 3 long-term, liquid stocks of the Czech stock market, namely the stocks of KB, CEZ, and O2 within a 14-year period – from the beginning of 2006 to the end of 2019. Business models perform best when they use a state space defined on the length of a moving standard deviation between 15 and 30 in combination with multiples of the standard deviation between 1.1 and 1.2. Business models based on these parameters outperform the passive Buy and Hold strategy. In fact, they outperform the Buy and Hold strategy for both the entire period under review and the yielded five-year periods (including transaction fees). The only exception is the five-year periods covering 2015 for O2 stocks. After the end of the uncertainty period caused by unclear intentions of the new majority stockholder, the stock price rose sharply. These results are in conflict with the efficient markets theory and suggest that in the period under review, the Czech stock market was not effective in any form.
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Ilie, Livia, and Diana Vasiu. "Capital Structure and Profitability. The Case of Companies Listed in Romania." Studies in Business and Economics 17, no. 3 (December 1, 2022): 100–112. http://dx.doi.org/10.2478/sbe-2022-0049.

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Abstract Alongside with the acquisition and the efficient use of assets (investment decision and asset management), financial managers are concerned with their financing. The capital structure of a company is of interest not only for practitioners but also for theorists so that in the last six decades important theories were developed from the capital structure irrelevance theory of Modigliani and Miller to theories that include market imperfections and incentives into the models (the static trade-off theory, the pecking order theory). In practice, financial managers take into account not only quantitative determinants, but also qualitative ones, so that the decision becomes complex and the outcome differs across industries and companies. Many empirical studies were performed in the last decades in an effort to identify the relationship between the chosen capital structure and the performance of a company. We aim to add specific results to empirical studies already performed. Our study investigates the relationship between the financial mix and the profitability of companies listed in Romania, covering the interval 2017-2021.
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Peng Chow, Yee. "Sectoral Analysis of the Determinants of Corporate Capital Structure in Malaysia." Organizations and Markets in Emerging Economies 10, no. 2 (December 31, 2019): 278–93. http://dx.doi.org/10.15388/omee.2019.10.14.

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This study investigates the determinants of corporate capital structure of various sectors in the Bursa Malaysia Main Market with the aim to establish whether the determinants of capital structure can be explained by either the trade-off or the pecking order theory. This study also examines whether there are any differences between the regressions for any two sectors or not. This study applies both the ordinary least squares (OLS) and the seemingly unrelated regression (SUR) estimators to estimate the leverage models, and subsequently determines the efficiency of each estimator. The results indicate that profitability, asset tangibility, growth opportunities, and firm size are important determinants of corporate capital structure. However, the signs of the regression coefficients suggest that the trade-o and pecking order theories are complementary. Moreover, the importance of some of these determinants differs across sectors. In most cases of the regression analyses between two sectors, the SUR estimator is found to be more efficient in explaining the determinants of capital structure among the various sectors. Hence, this study concludes that the SUR method could serve as a useful alternative methodology for capital structure research.
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Volontyr, L., and L. Mykhalchyshyna. "Organizational and economic mechanism of grain sales: information component." Scientific Messenger of LNU of Veterinary Medicine and Biotechnologies 21, no. 92 (May 11, 2019): 81–89. http://dx.doi.org/10.32718/nvlvet-e9213.

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A significant part of the output of the agro-industrial complex of Ukraine is exported. Therefore, it is desirable to determine the optimal volume of products to be implemented each month. Prices for grain are formed depending on demand and supply, costs for production and sale, market fees, etc. The analysis of the price situation on the Ukrainian cities shows a large variation. The average price of 1 kg of grain crops does not give a full opportunity to characterize the price situation of the Ukrainian grain market. There is seasonal price cyclicality: their growth with the decrease of stocks and the reduction after harvesting, when mass sales of grain are carried out by producers who are not able to store the grown crops, and consumers make grain crops. In the article the solution of the economic-mathematical model of optimization of the calendar plan for the sale of agricultural products is developed and found. The model is considered from the standpoint of deterministic product prices and under the probabilistic nature of future market prices. The system of restrictions consists of two constraints: to determine the optimal size of grain crop harvesting of each type and the capacity of the warehouse. If future market prices are considered not deterministic, then the commodity producer always has the risk of receiving in the future revenue from the sale of products smaller than expected. A risk-averse person will be guided by two criteria when deciding to: maximize the expected total net income and minimize the dispersion of total net income. In this case, the model will be two-criterial and nonlinear. The method of supporting the process of determining the predominance of multi-criteria optimization is that the owner first of all has received information about the limits of the variation of the expected total net income and the standard deviation of income on the set of effective options for the calendar plan. The peculiarities of the individual attitude to risk are calculated by drawing information on the permissible levels of the indicated criterion. Further among all effective variants of the calendar plan of realization is calculated precisely the one that best reflects the individual predominance of the owner of the product. The following information is needed to construct a numerical model for grain sales: sales prices and the cost of storing 1 ton of grain crops to a certain month. The predicted values are based on a simple linear econometric model based on statistical sampling. The reliability of the econometric model is determined by the determination coefficient or on the basis of Fisher's F-criterion according to the theory of statistical hypotheses. Econometric models have weak extropolitic properties, so the forecast can be formed only short-term. The solution of the model showed: all kinds of grain crops, except for barley, are economically unprofitable to be implemented in such months as January, May, June, July and August. Wheat grades 3 and 6, corn is also unprofitable to be sold in September. Unlike other crops, barley is beneficial throughout the year. In February, the maximum sales of wheat is 2, 3 and 6 classes, in March the maximum sale of barley, and the minimum is in May. Maize has the maximum sales in May, and the minimum in September. The minimum sale of wheat depends on its class – September, April and December respectively 2, 3 and 6 classes. With such incomplete loading of warehouses, the profit from storage of grain crops will be 743 thousand. UAH. Thus, PJSC “Gnivan Grain Reciprocal Enterprise” is more likely to load its warehouses to improve its financial position. One of the ways of solving the problem of seasonal grain sales is to create a network of modern certified grain elevators, taking into account the logistically rational location, which will allow to keep enough grain in addition and of the proper quality. This will allow an increase in the efficiency of grain producers through the sale of grain at favorable market conditions in a wider range of time. Independent operators should also be encouraged to ensure that the quality of the grain is objectively measured. At present, the analysis of the work of the grain storage system shows that the high cost of services of active elevators is also a problem.
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Kononenko, Rodion, Larisa Solovyeva, Roza Tedeeva, and Elena Tokar. "Updating the Assessment of Company Performance Through the Use of Economic and Mathematical Methods." Regionalnaya ekonomika. Yug Rossii, no. 2 (July 2022): 152–65. http://dx.doi.org/10.15688/re.volsu.2022.2.15.

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The digital transformation of the economy allows an enterprise to respond to constant changes in the market situation and to be competitive. Such a comprehensive fundamental change requires a complete revision of the tool of economic analysis of enterprise performance. Assessment of the economic performance of an enterprise is a prerequisite for competitiveness. In the conditions of digital transformation of the economy the purpose of efficiency growth of the enterprise becomes the search for internal reserves of growth of activity results. The analysis of business performance includes: study of changes in each indicator for the period under analysis; study of the structure of indicators and their changes; study of financial performance in dynamics; identification of causes of changes in indicators. Until recently, economic analysis mainly used mathematical models describing the phenomenon under analysis using equations, inequalities, functions and other mathematical tools. Today, economic and mathematical methods are becoming an important tool for economic analysis, which helps in making optimal management decisions and contributes to the solution of various problems of a complex nature. Economic and mathematical methods are a synthesis of economic, mathematical and statistical approaches to the analysis. Economics and mathematical methods include: methods of elementary mathematics, classical methods of mathematical analysis, econometric methods, methods of operations research, heuristic methods, methods of mathematical statistics, methods of mathematical programming, methods of economic cybernetics, and mathematical theory of optimum processes. Application of economic and mathematical methods can significantly improve the analysis effectiveness of an enterprise, ensures high accuracy of the result when optimizing time costs, allows you to expand the range of tasks. Wide application of mathematical methods is one of the important directions in the field of improvement of economic analysis of enterprise activity. Economic and mathematical modeling can be widely used for planning and forecasting of enterprise activities.
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Shcherbak, Olena V. "JUSTIFICATION OF ORGANIZATIONAL CHANGES INCLUDING SPECIFICS OF HIERARCHICAL RELATIONS IN DEVELOPING ORGANIZATIONS." Management 26, no. 2 (April 24, 2018): 110–24. http://dx.doi.org/10.30857/2415-3206.2017.2.9.

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Introduction and study objective: the requirement to create an effective system of enterprise’s innovation development brings forward issues of theory and methodology, including specifics of necessary organizational changes and cooperation within the company including management –employees’ interaction. Thus, scientific ground for solution to these problems will facilitate the creation of organizational structures for efficiently functioning enterprises.Hypothesis of scientific research. It is often assumed that the choice of effective and required methods of the enterprise’s adjustment to the market environment would allow to systematize the organizational changes enabling performance increase of its economic activity.The purpose of this study is theoretical and methodological justification of concept approaches and methods in organization change management of enterprise structures and functions during its adjustment to the conditions of economic environment.Research methodology: application of the system analysis justifies 5 sets of hypothetical relations linking perceived power with perceived behavior of reward and penalty.Furthermore, two-dimensional correlation, stepwise multiple regression and hierarchical multiple regression analysis help to construct a model of relevant organizational changes.Results achieved: diagnostic methods were developed that determine external and internal conditions of the enterprise in order to choose the right change strategy; the methodology of evolution analysis of change efficiency was proposed. Additionally, high-quality econometric models were created for assessment of the impact of changes based on the enterprise’s performance.Conclusions: the proposed approach to justification of organizational changes enables the implication of methods designed to analyze the need for restructuring of organization culture, management style, employees’ relations and takes into account specifics of hierarchical structure in a developing organization. Furthermore, new methods were developed to assess the effectiveness of management system at an industrial enterprise, including introduction of changes and their dynamics’ assessment.
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Dissertations / Theses on the topic "Efficient market theory Econometric models"

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Indralingam, Maheswaran. "Sequential estimation, parameter variation and predictive power of econometric market response models." Thesis, Lancaster University, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.255352.

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Banerjee, Dyuti Sanker. "Essays on bids and offer matching in the labor market." Diss., Virginia Tech, 1994. http://hdl.handle.net/10919/37259.

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This dissertation is a collection of essays on bids and offer matching in a labor market for new entrants to white-collar jobs. The papers compare some of the different institutions for determining wages and conducting the hiring process in the market for new entrants to white collar jobs. The first essay analyzes how does a firm announce and commit to a wage prior to deriving specific information about applicants' productivity and the consequences of following this hiring process. In the model there are two firms and at least as many applicants as the number of firms. All applicants apply simultaneously to both firms in response to the job advertisement which also mentions a wage. Each firm derives the firm-specific productivity of the applicants from their applications which is private information to each firm. None of the applicants have any information about the firms' evaluation. There are four pure strategy Nash Equilibria in wage announcements. Both firms announce a high wage, both firms announce a low wage, both firms announce a high or a low wage, and one firm announces a high wage and the other firm announces a low wage. In the latter case there also exists a unique mixed strategy equilibrium reflecting a firm's uncertainty about the choice of the other firm. In equilibrium one or both firms may not hire and the equilibrium may not exhibit wage dispersion. The second essay analyzes the question; which is better, to announce and commit to a particular wage prior to deriving specific information about applicants' productivity or to offer wages privately after deriving the firm-specific productivity. The equilibrium policy, to be followed by the firms in the first place, is determined endogenously by comparing the ex ante expected profits associated with the equilibria under the different policies. Lack of prior information and the uncertainty about the possible match results in "offer wages privately" as always an equilibrium policy. However, if a low wage is the equilibrium strategy under all the policies, then "any pair of policies" is an equilibrium. This justifies one of the circumstances in which different policies might coexist. In equilibrium a firm's position is always filled and the equilibrium outcome may not exhibit wage dispersion. The third essay analyses the question, if "announcing a wage" is the strategy rule to be followed by the firms, then what should be the equilibrium timing of wage announcement, before or after receiving specific information about applicants' productivity. Two policies are compared. Under the first policy a firm announces and commits to a particular wage prior to deriving the match-specific productivity. Under the second policy a firm solicits applications, derives the firm-specific productivity, and then announces and commits to a wage. The equilibrium timing of wage, to be followed by the firms in the first place, is determined endogenously by comparing the ex ante expected profits associated with the equilibrium strategy under the different timings. It turns out that announcing and committing to a particular wage after deriving specific information is always an equilibrium timing because of the informational advantage. However, if a low wage is the equilibrium strategy under all the policies then any pair of policies is an equilibrium. In equilibrium one of the firm's position may remain unfilled. The equilibrium outcome may not exhibit wage dispersion.
Ph. D.
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Vickers, John. "Patent races and market structure." Thesis, University of Oxford, 1985. http://ora.ox.ac.uk/objects/uuid:9e3df3d2-b58a-48cc-b639-78c7c48bd3cd.

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This thesis is a theoretical study of relationships between patent races and market structure. The outcome of a patent race can be an important determinant of market structure. For example, whether or not a new firm enters a market may depend upon its winning a patent race against an incumbent firm already in that market. Moreover, market structure can be a major influence upon competition in a patent race. In the example, the asymmetry between incumbent and potential entrant has an effect upon their respective incentives in the patent race. Chapter I discusses models of R and D with uncertainty. We show that, as the degree of correlation between the uncertainties facing rival firms increases, R and D efforts increase under some, but not all, conditions, and the number of active competitors falls. Chapter II discusses the approach of representing patent races as bidding games. We examine a model in which several incumbent firms compete with a number of potential entrants in a patent race, and ask whether the incumbents have an incentive to form a joint venture to deter entry. They do so if and only if the patent does not offer a major cost improvement. In Chapter III we examine the strategic interactions between competitors during the course of a race, in an attempt to clarify (for different types of race) the idea that a race degenerates when one player becomes 'far enough ahead' of his rivals, in a sense made precise. In Chapter IV we examine the evolution of market structure in a duopoly model when there is a sequence of patent races. The nature of competition in the product market is shown to determine whether one firm becomes increasingly dominant as industry leader, or whether there is 'action - reaction' between firms.
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Bouton, Laurent. "Essays in game theory applied to political and market institutions." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210325.

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My thesis contains essays on voting theory, market structures and fiscal federalism: (i) One Person, Many Votes: Divided Majority and Information Aggregation, (ii) Runoff Elections and the Condorcet Loser, (iii) On the Influence of Rankings when Product Quality Depends on Buyer Characteristics, and (iv) Redistributing Income under Fiscal Vertical Imbalance.

(i) One Person, Many Votes: Divided Majority and Information Aggregation (joint with Micael Castanheira)

In elections, majority divisions pave the way to focal manipulations and coordination failures, which can lead to the victory of the wrong candidate. This paper shows how this flaw can be addressed if voter preferences over candidates are sensitive to information. We consider two potential sources of divisions: majority voters may have similar preferences but opposite information about the candidates, or opposite preferences. We show that when information is the source of majority divisions, Approval Voting features a unique equilibrium with full information and coordination equivalence. That is, it produces the same outcome as if both information and coordination problems could be resolved. Other electoral systems, such as Plurality and Two-Round elections, do not satisfy this equivalence. The second source of division is opposite preferences. Whenever the fraction of voters with such preferences is not too large, Approval Voting still satisfies full information and coordination equivalence.

(ii) Runoff Elections and the Condorcet Loser

A crucial component of Runoff electoral systems is the threshold fraction of votes above which a candidate wins outright in the first round. I analyze the influence of this threshold on the voting equilibria in three-candidate Runoff elections. I demonstrate the existence of an Ortega Effect which may unduly favor dominated candidates and thus lead to the election of the Condorcet Loser in equilibrium. The reason is that, contrarily to commonly held beliefs, lowering the threshold for first-round victory may actually induce voters to express their preferences excessively. I also extend Duverger's Law to Runoff elections with any threshold below, equal or above 50%. Therefore, Runoff elections are plagued with inferior equilibria that induce either too high or too low expression of preferences.

(iii) On the Influence of Rankings when Product Quality Depends on Buyer Characteristics

Information on product quality is crucial for buyers to make sound choices. For "experience products", this information is not available at the time of the purchase: it is only acquired through consumption. For much experience products, there exist institutions that provide buyers with information about quality. It is commonly believed that such institutions help consumers to make better choices and are thus welfare improving.

The quality of various experience products depends on the characteristics of buyers. For instance, conversely to the quality of cars, business school quality depends on buyers (i.e. students) characteristics. Indeed, one of the main inputs of a business school is enrolled students. The choice of buyers for such products has then some features of a coordination problem: ceteris paribus, a buyer prefers to buy a product consumed by buyers with "good" characteristics. This coordination dimension leads to inefficiencies when buyers coordinate on products of lower "intrinsic" quality. When the quality of products depends on buyer characteristics, information about product quality can reinforce such a coordination problem. Indeed, even though information of high quality need not mean high intrinsic quality, rational buyers pay attention to this information because they prefer high quality products, no matter the reason of the high quality. Information about product quality may then induce buyers to coordinate on products of low intrinsic quality.

In this paper, I show that, for experience products which quality depends on the characteristics of buyers, more information is not necessarily better. More precisely, I prove that more information about product quality may lead to a Pareto deterioration, i.e. all buyers may be worse off due.

(iv) Redistributing Income under Fiscal Vertical Imbalance (joint with Marjorie Gassner and Vincenzo Verardi)

From the literature on decentralization, it appears that the fiscal vertical imbalance (i.e. the dependence of subnational governments on national government revenues to support their expenditures) is somehow inherent to multi-level governments. Using a stylized model we show that this leads to a reduction of the extent of redistributive fiscal policies if the maximal size of government has been reached. To test for this empirically, we use some high quality data from the LIS dataset on individual incomes. The results are highly significant and point in the direction of our theoretical predictions.


Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

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Fodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.

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Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.
Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.
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O'Grady, Thomas A. "The profitability of technical analysis and stock returns from a traditional and bootstrap perspective : evidence from Australia, Hong Kong, Malaysia and Thailand." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2012. https://ro.ecu.edu.au/theses/506.

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This research questions whether technical trading rules can help predict stock price movements for a sample of stocks selected from four equity markets from the Asia-Pacific region: Australia, Malaysia, Hong Kong and Thailand for the period 1989-2008. The research is split into two stages. Stage-1 of the research tests the predictability of technical trading rules against a buyand- hold strategy. The variable moving average (VMA), fixed moving average (FMA) and the trading range break (TRB) trading rules are applied to this research. Economic predictability of these rules is examined by comparing returns conditional on a trading rule buy (sell) signal against an unconditional buy-and-hold return. Any existence of excess returns can thus be established. This follows with a statistical analysis of returns using a traditional t-test methodology. Traditional statistical tests assume normally distributed returns with independent observations and a non-changing distribution across time. In Stage-2 of this research a bootstrap checks whether features such as non-normality, time-varying moments and serial correlation bias test statistics. The bootstrap involves assumptions regarding the underlying returns generating process (RGP) and allows returns conditional on a trading rule buy (sell) signal from the original stock price series to be compared with conditional returns simulated from four common null models: RW, AR (1), GARCH-M and E-GARCH models. Simulated p-values are calculated in conjunction with simulated distributions and are applied in lieu of the theoretical normal distribution. Given this process it is possible to infer as to whether non-linear dependencies in returns can be captured by any of the three trading rules. Given the null model output standard t-test outcomes of predictability of technical trading rules may be diminished and/or eliminated. Conclusions are drawn as to the predictability and profitability of the VMA, FMA and TRB trading rules when applied to the chosen stock samples. Findings of this research indicate returns conditional on technical trading rules exceed unconditional buy-and-hold returns for all stocks. Thai sample output indicates strong support in favour of the predictability of standard test results supporting the use of technical trading rules. Output for Australia, Hong Kong and Malaysia indicates that previous standard t-test outcomes of predictability may be diminished and/or eliminated. This implies that the underlying RGP may be characterised by underlying features of some/all of the stochastic models.
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Kuklik, Robert G. "Capital Asset Prices Modelling - Concept VAPM." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-196945.

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The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors -- the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation regarding the concepts of a consumer/investor choice under general conditions of hypothetical certainty. Secondly, this outline is then followed by a description of the "classical" methodologies in the risky environment of uncertainty, with assessment of their corresponding key models, i.e. the CAPM, SIM, MIM, APTM, etc., notwithstanding results of the related testing approaches. Thirdly, this assessment is based on evaluation of the underlying doctrine of Efficient Market Hypothesis in relation to the so called Random Walk Model. Fourthly, in this context the work also offers a brief exposure to a few selected tests of these contraversial concepts. Fifthly, the main points of conteporary approaches such as the Fractal Dimension and the Hurst Exponent in the dynamic framework of information entropy are subsequently described as the theoretical tools leading to development of the abovementioned model VAPM. The major contribution of this thesis is considered its attempt to apply the abovementioned concepts in practice, with the intention to possibly inspire a further analytical research.
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"Market effects of changes in the composition of the Hang Seng Index." 1998. http://library.cuhk.edu.hk/record=b5889419.

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by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick.
Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaf 52).
ABSTRACT --- p.ii
TABLE OF CONTENT --- p.iii
LIST OF ILLUSTRATIONS --- p.iv
LIST OF TABLES --- p.v
ACKNOWLEGEMENTS --- p.vi
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- OBJECTIVES --- p.3
Chapter III. --- LITERATURE REVIEW --- p.4
Chapter IV. --- THE SAMPLE --- p.9
Chapter V. --- METHODOLOGY --- p.14
The Market Model --- p.15
Methods to Estimate the Excess Returns --- p.16
Chapter VI. --- RESULTS AND ANALYSIS --- p.19
Price Effects on Inclusion in HSI --- p.19
Price Effects on Exclusion from HSI --- p.33
Comparison between Inclusion and Exclusion --- p.41
Chapter VII. --- IMPLICATIONS --- p.42
Chapter VIII. --- CONCLUSION --- p.45
APPENDIX --- p.47
BIBLIOGRAPHY --- p.52
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9

Seetharam, Yudhvir. "The dynamics of market efficiency: testing the adaptive market hypothesis in South Africa." Thesis, 2016. http://hdl.handle.net/10539/21982.

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A thesis submitted to the School of Economic and Business Sciences, Faculty of Commerce, Law and Management, University of the Witwatersrand in fulfilment of the requirements for the degree of Doctor of Philosophy (Ph/D). Johannesburg, South Africa June 2016
In recent years, the debate on market efficiency has shifted to providing alternate forms of the hypothesis, some of which are testable and can be proven false. This thesis examines one such alternative, the Adaptive Market Hypothesis (AMH), with a focus on providing a framework for testing the dynamic (cyclical) notion of market efficiency using South African equity data (44 shares and six indices) over the period 1997 to 2014. By application of this framework, stylised facts emerged. First, the examination of market efficiency is dependent on the frequency of data. If one were to only use a single frequency of data, one might obtain conflicting conclusions. Second, by binning data into smaller sub-samples, one can obtain a pattern of whether the equity market is efficient or not. In other words, one might get a conclusion of, say, randomess, over the entire sample period of daily data, but there may be pockets of non-randomness with the daily data. Third, by running a variety of tests, one provides robustness to the results. This is a somewhat debateable issue as one could either run a variety of tests (each being an improvement over the other) or argue the theoretical merits of each test befoe selecting the more appropriate one. Fourth, analysis according to industries also adds to the result of efficiency, if markets have high concentration sectors (such as the JSE), one might be tempted to conclude that the entire JSE exhibits, say, randomness, where it could be driven by the resources sector as opposed to any other sector. Last, the use of neural networks as approximators is of benefit when examining data with less than ideal sample sizes. Examining five frequencies of data, 86% of the shares and indices exhibited a random walk under daily data, 78% under weekly data, 56% under monthly data, 22% under quarterly data and 24% under semi-annual data. The results over the entire sample period and non-overlapping sub-samples showed that this model's accuracy varied over time. Coupled with the results of the trading strategies, one can conclude that the nature of market efficiency in South Africa can be seen as time dependent, in line with the implication of the AMH.
MT2017
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10

Laubscher, Eugene Rudolph. "Capital market theories and pricing models : evaluation and consolidation of the available body of knowledge." Diss., 2001. http://hdl.handle.net/10500/17174.

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The study investigates whether the main capital market theories and pricing models provide a reasonably accurate description of the working and efficiency of capital markets, of the pricing of shares and options and the effect the risk/return relationship has on investor behaviour. The capital market theories and pricing models included in the study are Portfolio Theory, the Efficient Market Hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), Options Theory and the BlackScholes (8-S) Option Pricing Model. The main conclusion of the study is that the main capital market theories and pricing models, as reviewed in the study, do provide a reasonably accurate description of reality, but a number of anomalies and controversial issues still need to be resolved. The main recommendation of the study is that research into these theories and models should continue unabated, while the specific recommendations in a South African context are the following: ( 1) the benefits of global diversification for South African investors should continue to be investigated; (2) the level and degree of efficiency of the JSE Securities Exchange SA (JSE) should continue to be monitored, and it should be established whether alternative theories to the EMH provide complementary or better descriptions of the efficiency of the South African market; (3) both the CAPM and the APT should continue to be tested, both individually and jointly, in order to better understand the pricing mechanism of, and risk/return relationship on the JSE; (4) much South African research still needs to be conducted on the efficiency of the relatively new options market and the application of the B-S Option Pricing Model under South African conditions.
Financial Accounting
M. Com. (Accounting)
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Books on the topic "Efficient market theory Econometric models"

1

Nagayasu, Jun. The efficiency of the Japanese equity market. Washington, D.C: International Monetary Fund, Statistics Department, 2003.

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Beltratti, Andrea E. Actual and warrented relations between asset prices. Cambridge, MA: National Bureau of Economic Research, 1991.

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Jung, Jeeman. One simple test of Samuelson's dictum for the stock market. Cambridge, Mass: National Bureau of Economic Research, 2002.

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Mecagni, Mauro. The Egyptian stock market: Efficiency tests and volatility effects. [Washington, D.C.]: International Monetary Fund, Middle Eastern Department, 1999.

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Lewellen, Jonathan. Estimation risk, market efficiency, and the predictability of returns. Cambridge, MA: National Bureau of Economic Research, 2000.

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Lee, Charles. Investor sentiment and the closed-end fund puzzle. Cambridge, MA: National Bureau of Economic Research, 1990.

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Market dynamics and entry. Oxford, UK: B. Blackwell, 1991.

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Acemoglu, Daron. Efficient unemployment insurance. Cambridge, MA: National Bureau of Economic Research, 1998.

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Baillie, Richard T. The foreign exchange market: Theory and econometric evidence. Cambridge: Cambridge University Press, 1989.

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Dickens, W. T. Labor market segmentation theory: Reconsidering the evidence. Cambridge, MA: National Bureau of Economic Research, 1992.

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Book chapters on the topic "Efficient market theory Econometric models"

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Jawad, Muhammad, and Munazza Naz. "An Econometric Investigation of Market Volatility and Efficiency: A Study of Small Cap’s Stock Indices." In Linear and Non-Linear Financial Econometrics -Theory and Practice [Working Title]. IntechOpen, 2020. http://dx.doi.org/10.5772/intechopen.94119.

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By utilization the context of econometric models, this chapter investigates three significant research parameters and tries to find out the positive outcome for further studies. The first question, is the volatility of Small Cap foreseeable?. The second question, does the volatility of Small Cap exhibition the same pragmatic regularities stated in the literature about the behavior of further stock prices?, The third and Final question, can Small Cap clear the test of market efficiency?. The results of these research questions will provide the answers of following objectives: First, economic representatives investing in Small Cap Stock markets. Second, the business professors/professionals/educationist is more concerned in Small Cap for their teaching and research. Third, the policy makers who are observing the stock market volatilities because of its significances and impulsive behavior to invest for more incentives among other consequences.
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Posada, Marta. "Emissions Permits Auctions." In Social Simulation, 180–91. IGI Global, 2008. http://dx.doi.org/10.4018/978-1-59904-522-1.ch014.

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In this chapter the authors demonstrate with three relevant issues that Agent Based Modeling (ABM) is very useful to design emissions permits auctions and to forecast emission permits prices. They argue that ABM offers a more efficient approach to auction design than the usual mechanistic models. The authors set up the essential components of any market institution far beyond supply and demand. They build an ABM for the emissions permits auction of the Environment Protection Agency (EPA), and demonstrate why the EPA failed. In the second experiment they show that in a competitive and efficient auction, the Continuous Double Auction, there is room for traders learning and strategic behavior, thus clearing the perfect market paradox. In the third experiment they build an ABM of the Spanish electricity market to get CO2 emissions prices forecasts that are more accurate than those obtained with econometric or mechanistic models.
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Lancaster, Tony, and S. Aiyar. "Econometric Analysis of Dynamic Panel Data Models: A Growth Theory Example." In Panel Data and Structural Labour Market Models, 215–25. Emerald Group Publishing Limited, 2000. http://dx.doi.org/10.1108/s0573-8555(2000)0000243014.

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Sinha, Paritosh Chandra. "An Adaptive Prospect Theory View of Market References." In Handbook of Research on Stock Market Investment Practices and Portfolio Management, 14–47. IGI Global, 2022. http://dx.doi.org/10.4018/978-1-6684-5528-9.ch002.

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This chapter considers investors' susceptive (S), proactive (P), reactive (R), and mindful (M) attitudes for the SPRM efficient portfolio. It offers an adaptive prospect theory (APT) view of decision choices that incorporates behavioral biases and noises. With use of NARDL models, in explaining returns of the sample stocks listed in the NSE Nifty from 2000 to 2019, the study incorporates positive and negative effects of the decision references like risk-free return and systematic risk along with endogenous return variables. It explains investors' behavioral biases at susceptive, reactive, and mindful attitudes at stable, unstable, and adaptive market spectrums. The GARCH effects at the empirical GARCH-X augmentation of the NARDL model show the presence of noise and its impacts in terms of proactive effects in the decision choices. With investors' episodic journey over the stable, unstable, and adaptive stock markets, the author contributes towards developing the SPRM framework. Investors' inter-temporal adaptation across biases and the limited sample size limit the generalizability of the study.
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"Model and Model-Driven Methodology." In Post-Keynesian Empirical Research and the Debate on Financial Market Development, 115–57. IGI Global, 2014. http://dx.doi.org/10.4018/978-1-4666-6018-2.ch006.

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This chapter specifies the empirical model used in the study, which is a Kaleckian post-Keynesian model, as an alternative to mainstream neoclassical theory. Having discussed the theory of financial intermediation in chapter two and commonality between post-Keynesian models of growth and endogenous growth theory in chapter three, this chapter postulates that financial development influences economic growth through different channels including investment, savings, and productivity growth. Later in the chapter, data characteristics, including stationarity, cointegration, and causality are reviewed. The chapter closes with a discussion about the main econometric modelling implemented in this research, including structural autoregressive modelling, impulse response analysis, and the variance decomposition method.
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Okur, Mustafa, and A. Osman Gurbuz. "Behavioral Finance in Theory and Practice." In Global Strategies in Banking and Finance, 254–71. IGI Global, 2014. http://dx.doi.org/10.4018/978-1-4666-4635-3.ch017.

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Behavioral finance is a new approach in finance literature. The main idea is that investors are not as rational as they are assumed to be. Therefore, financial markets could be better understood by using models that capture the effects of both rational and irrational investors. The critics of behavioral finance could be grouped into two main categories: limits of arbitrage and psychological factors. This chapter concentrates on both challenges and possible contributions of behavioral finance theory to the modern finance theory, which is mainly based on rational expectations theory and efficient market hypothesis.
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Singh, Sarthak, Vedank Goyal, Sarthak Goel, and H. C. Taneja. "Deep Reinforcement Learning Models for Automated Stock Trading." In Advances in Transdisciplinary Engineering. IOS Press, 2022. http://dx.doi.org/10.3233/atde220738.

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This paper proposes an automated trading strategy using reinforcement learning. The stock market has become one of the largest financial institutions. These institutions embrace machine learning solutions based on artificial intelligence for market monitoring, credit quality, fraud detection, and many other areas. We desire to provide an efficient and effective solution that would overcome the manual trading drawbacks by building a Trading Bot. In this paper, we will propose a stock trading strategy that uses reinforcement learning algorithms to maximize the profit. The strategy employs three actor critic models: Advanced Actor Critic(A2C), Twin Delayed DDPG (TD3) and Soft Actor Critic (SAC). Our strategy picks the most optimal model based on the current market situation. The performance of our trading bot is evaluated and compared with Markowitz portfolio theory.
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Barron, Yonit. "Fluid Inventory Models under Markovian Environment." In Logistics Engineering [Working Title]. IntechOpen, 2022. http://dx.doi.org/10.5772/intechopen.104183.

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Today’s products are subject to fast changes due to market conditions, short life cycles, and technological advances. Thus, an important problem in inventory planning is how to effectively manage the inventory control in a dynamic and stochastic environment. The traditional Economic Order Quantity (EOQ) and Economic Production Quantity (EPQ) both are widely and successfully used models of inventory management. However, both models assume constant and fixed parameters over time. Unfortunately, most of these assumptions are unrealistic. In this study, we generalize the EOQ and EPQ models and study production-inventory fluid models operating in a stochastic environment. The inventory level increases or decreases according to a fluid-flow rate modulated by an n-state continuous time Markov chain (CTMC). Our main objective is to minimize the expected discounted total cost which includes ordering, purchasing, production, set up, holding, and shortage costs. Applying regenerative theory, optional sampling theorem (OST) to the multi-dimensional martingale and fluid flow techniques, we develop methods to obtain explicit formulas for these cost functionals. As such, we provide managers with a useful framework and an efficient and easy-to-implement tool to coop with different demand–supply patterns.
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Zhang, Yi-Cheng. "Information Markets." In Matchmakers and Markets, 89–102. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780198840985.003.0007.

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Chapter 6 extends market theory to markets of information and content. Although information exchanges are not monetary, the motivations of providers and seekers are important for information intermediaries in designing better platforms. Just as with previous markets there is the similar challenge of determining the quality of information or content. This chapter shows that information consumption models can be divided into three categories: searching, farming, and feeding. Some are more efficient and some are more diversifying, and their advantages and disadvantages are discussed. Many signs show that the farming model is beginning to challenge the dominant searching model, but the concepts behind farming can also help searching.
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Breznitz, Dan. "The Road to Hell Is Paved with Good Intentions." In Innovation in Real Places, 159–74. Oxford University Press, 2021. http://dx.doi.org/10.1093/oso/9780197508114.003.0011.

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The true problem of economics is when economists fall in love with their models to such a degree that they try to force reality to comply with the models by influencing rules and regulations. The unintended consequences are catastrophic, and no more so than in finance. The reason is that financial markets are the area most easily captured by aesthetically pleasing mathematical models, while at the same time not being a true market (a fact too often conveniently forgotten). Currently, this phenomenon of trying to force reality to conform with theory moved into its periodical extreme, with the financialization of the economy. Financialization views all economic activity as a set of financial transactions, including viewing corporations as financial assets that should be maximized in the short term. With investors and courts now treating theories as shareholders’ value and efficient-market hypothesis (EMH) as the legal yardsticks with which to judge executives’ behavior, those who aim at sustained growth and prosperity find themselves in a perfect storm. The combined effect is that the ability of public companies in the United States to invest capital in large-scale productive assets with the aim of ensuring long-term growth is significantly curtailed. Further, it is quite clear that we cannot do anything to change this in the foreseeable future. Consequently, regions need to creatively engage with the system, trying to create a “financial space” that will allow their companies to scale-up, grow, and produce the jobs and prosperity they seek.
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Conference papers on the topic "Efficient market theory Econometric models"

1

Lleshaj, Llesh. "Volatility Estimation of Euribor and Equilibrium Forecasting." In 7th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eraz.2021.171.

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Euribor rates (Euro Interbank Offered Rate) rates are considered to be the most important reference rates in the European money market. The interest rates do provide the basis for the price and interest rates of all kinds of financial products like interest rate swaps, interest rate futures, saving accounts and mortgages. Since September 2014, this index has per­formed with negative rates. In recent years, several European central banks have imposed negative interest rates on commercial banks, as the only way to stimulate their nations’ economies. Under these circumstances, the purpose of this study is to estimate the gap of the negative rates which are still increasing constantly. This fact puts in question the financial stability in many countries and the effect of monetary policy on stimulating economic growth around European countries. According to the daily data 2016 - 2021, this study has analyzed the volatility of the Euribor index related to efficient market hypothesis and volatility clustering. Applying advanced volatility econometric methods, GARCH volatility models are derived and the long-run equilibrium is predicted. Practical Implications are related to the empiri­cal impacts that ought to be taken into consideration by the banking sector and other financial institutions to make decisions with the Euribor index.
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Yılmaz, Yavuz, Rainer Kurz, Ayşe Özmen, and Gerhard-Wilhelm Weber. "A New Algorithm for Scheduling Condition-Based Maintenance of Gas Turbines." In ASME Turbo Expo 2015: Turbine Technical Conference and Exposition. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/gt2015-43545.

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In developed electricity markets, the deregulation boosted competition among companies participating in the electricity market. Therefore, the enhanced reliability and availability of gas turbine systems is an industry obligation. Not only providing the available power with minimum operation and maintenance costs, but also guaranteeing high efficiency are additional requisites and efficiency loss of the power plants leads to a loss of money for the electricity generation companies. Multivariate Adaptive Regression Spline (MARS) is a modern methodology of statistical learning, data mining and estimation theory that is significant in both regression and classification is a form of flexible non-parametric regression analysis capable of modeling complex data. In this study, single shaft, 6MW class industrial gas turbines located at various sites have been monitored. The performance monitoring of a gas turbine consisted of hourly measurements of various input variables over an extended period of time. Using such measurements, predictive models for gas turbine heat rate and the gas turbine axial compressor discharge pressure values have been generated. The measured values have been compared with the values obtained as a result of the MARS models. The MARS-based models are obtained with the combination of gas turbine performance input and target variables and the complementary meteorological data. The results are presented, discussed, and conclusions are drawn for modern energy and cost efficient gas turbine and power plant maintenance management as the outcomes of this study.
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Reports on the topic "Efficient market theory Econometric models"

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Finkelshtain, Israel, and Tigran Melkonyan. The economics of contracts in the US and Israel agricultures. United States Department of Agriculture, February 2008. http://dx.doi.org/10.32747/2008.7695590.bard.

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Research Objectives 1) Reviewing the rich economic literature on contracting and agricultural contracting; 2) Conducting a descriptive comparative study of actual contracting patterns in the U.S. and Israeli agricultural sectors; 3) Theoretical analysis of division of assets ownership, authority allocation and incentives in agricultural production contracts; 4) Theoretical analysis of strategic noncompetitive choice of agricultural production and marketing contracts, 5) Empirical studies of contracting in agricultural sectors of US and Israel, among them the broiler industry, the citrus industry and sugar beet sector. Background Recent decades have witnessed a world-wide increase in the use of agricultural contracts. In both the U.S. and Israel, contracts have become an integral part of production and marketing of many crops, fruits, vegetables and livestock commodities. The increased use of agricultural contracts raises a number of important economic policy questions regarding the optimal design of contracts and their determinants. Even though economists have made a substantial progress in understanding these issues, the theory of contracts and an empirical methodology to analyze contracts are still evolving. Moreover, there is an enormous need for empirical research of contractual relationships. Conclusions In both U.S. and Israel, contracts have become an integral part of production and marketing of many agricultural commodities. In the U.S. more than 40% of the value of agricultural production occurred under either marketing or production contracts. The use of agricultural contracts in Israel is also ubiquitous and reaches close to 60% of the value of agricultural production. In Israel we have found strategic considerations to play a dominant role in the choice of agricultural contracts and may lead to noncompetitive conduct and reduced welfare. In particular, the driving force, leading to consignment based contracts is the strategic effect. Moreover, an increase in the number of contractors will lead to changes in the terms of the contract, an increased competition and payment to farmers and economic surplus. We found that while large integrations lead to more efficient production, they also exploit local monopsonistic power. For the U.S, we have studied in more detail the choice of contract type and factors that affect contracts such as the level of informational asymmetry, the authority structure, and the available quality measurement technology. We have found that assets ownership and decision rights are complements of high-powered incentives. We have also found that the optimal allocation of decision rights, asset ownership and incentives is influenced by: variance of systemic and idiosyncratic shocks, importance (variance) of the parties’ private information, parameters of the production technology, the extent of competition in the upstream and downstream industries. Implications The primary implication of this project is that the use of agricultural production and marketing contracts is growing in both the US and Israeli agricultural sectors, while many important economic policy questions are still open and require further theoretical and empirical research. Moreover, actual contracts that are prevailing in various agricultural sectors seems to be less than optimal and, hence, additional efforts are required to transfer the huge academic know-how in this area to the practitioners. We also found evidence for exploitation of market powers by contactors in various agricultural sectors. This may call for government regulations in the anti-trust area. Another important implication of this project is that in addition to explicit contracts economic outcomes resulting from the interactions between growers and agricultural intermediaries depend on a number of other factors including allocation of decision and ownership rights and implicit contracting. We have developed models to study the interactions between explicit contracts, decision rights, ownership structure, and implicit contracts. These models have been applied to study contractual arrangements in California agriculture and the North American sugarbeet industry.
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