Table of contents
The Development, Accomplishments and Limitations of the Theory of Stock Market Efficiency
RayBallThe nature and extent of our knowledge of stock market efficiency are examined. The development of “efficiency”, as a way of thinking about stock markets, is traced from Roberts…
Long‐memory and Nonlinearity: A Time Series Analysis of Stock Returns and Volatilities
Nuno Crato, Pedro J.F. de LimaThis paper is focused on two particular issues related to the stochastic structure of stock prices: linear long‐memory and nonlinearity.
Forecasting Stock Returns in the Japanese, UK and US Markets During the Crash of October 1987
Paul D. Koch, Timothy W. KochThe observation that different national stock markets are interrelated to different degrees is well established in the literature on global market integration. This literature…
Price Discovery in Asset Markets
Jerome L. SteinHolbrook Working (1949) discovered that the percentage change in futures prices seemed to be largelyrandom. This led Paul Samuelson (1965) to develop the Efficient Market…
Predicting the Volatility of Stock Prices Using ARCH Models, with UK Examples
Stephen J. TaylorARCH models can be used to predict volatility and to enhance option pricing methodologies. A guide to these models is provided and illustrative results are presented for the…
ISSN:
0307-4358Online date, start – end:
1975Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Professor Don Johnson