On the efficiency of emerging stock markets in Central Europe: an empirical investigation
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | German |
| Veröffentlicht: |
Aachen
Shaker
2002
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| Schriftenreihe: | Berichte aus der Volkswirtschaft
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 145, LXXIX S. graph. Darst. |
| ISBN: | 3832210288 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804129820047572992 |
|---|---|
| adam_text | BERICHTE AUS DER VOLKSWIRTSCHAFT STEFAN KOLEK ON THE EFFICIENCY OF
EMERGING STOCK MARKETS IN CENTRAL EUROPE: AN EMPIRICAL INVESTIGATION A
235558 SHAKER VERLAG AACHEN 2002 ON THE EFFICIENCY OF EMERGING STOCK
MARKETS IN CENTRAL EUROPE INTRODUCTION 1 THEORY OF EFFICIENT STOCK
MARKETS: A SURVEY 1.1 ON DECISION MAKING UNDER UNCERTAINTY 1.11 THE
CONCEPT OF RATIONALITY 1.1.2 RATIONAL EXPECTATIONS 1.2 THE CONCEPT OF
STOCK MARKET EFFICIENCY 1 3 FINANCIAL ASSET PRICING MODELS 1 3 1 FAIR
GAME AND MARTINGALE MODEL 1 3 2 RANDOM WALK MODEL 13 3 RELATIONSHIP
BETWEEN FUNDAMENTALIST VIEW, RANDOM WALK AND MARTINGALE 13.4
CONSEQUENCES FOR FINANCIAL MARKETS TRADING 1 4 PORTFOLIO THEORY AND THE
CAPITAL ASSET PRICING MODEL 1 4 1 THE MARKOWITZ PORTFOLIO MODEL 1 4 2
THE EFFICIENT SET WITH A RISK-FREE SECURITY 1 4 3 THE MARKET MODEL 1 4 4
THE CAPITAL ASSET PRICING MODEL (CAPM) 1 4.4 1 DISCUSSION OF THE CAPM
AND ITS FURTHER DEVELOPMENTS 1 4 5 THE ARBITRAGE PRICING THEORY 1 5
DISCUSSION OF THE EFFICIENT MARKETS HYPOTHESIS 2 EMERGENCE OF STOCK
MARKETS IN CENTRAL EUROPE 2 1 DEVELOPMENT OF STOCK MARKETS AND THEIR
ROLE IN ECONOMIES OF TRANSITION 2 2 STATE OF DEVELOPMENT OF EMERGING
STOCK MARKETS IN CEE 2 2 1 STOCK MARKET SIZE 2 2 2 STOCK MARKET
LIQUIDITY 2 2 3 STOCK MARKET CONCENTRATION 2 2 4 STOCK MARKET
PERFORMANCE AND VOLATILITY 2 2 5 INTEGRATION OF EMERGING STOCK MARKETS
INTO THE WORLD MARKETS 2 2.6 STOCK MARKET MICROSTRUCTURE 2 2 7
TRANSACTION COSTS, CLEARANCE AND SETTLEMENT 2 2 8 LEGAL AND REGULATORY
INDICATORS 2.3 PRIVATIZATION DRIVING THE EMERGENCE OF STOCK MARKETS IN
CEE 3 EMPIRICAL TESTS OF THE WEAK FORM MARKET EFFICIENCY HYPOTHESIS IN
CENTRAL EUROPEAN STOCK MARKETS 3 1 PREVIOUS RESEARCH ON CEE EMERGING
MARKETS EFFICIENCY 3.2 DATA 3 2 1 DATA DESCRIPTION 3 2 2 SMOOTHING TIME
SERIES 3.2 3 RETURN CHARACTERISTICS 3 2 3 1 DISTRIBUTION CHARACTERISTICS
3 2 3 2 LINEAR AND NON-LINEAR DEPENDENCIES AND STATIONARITY OF THE TIME
SERIES 3 3 TESTING FOR RANDOM WALKS IN CEE STOCK MARKETS 3 3 1 RANDOM
WALK 1. IDENTICALLY AND INDEPENDENTLY DISTRIBUTED RETURNS 3 3 11 RUNS
TESTS 3.3 1 2 WALLIS-MOORE TEST 3 3 13 RESULTS OF RUNS AND WALLIS-MOORE
TESTS 3 3 3 RANDOM WALK 2- INDEPENDENT RETURNS 3 3.31 FILTER TESTS 3.3.3
2 RESULTS FROM THE FILTER STRATEGIES 33 4 N RANDOM WALK 3. UNCORRELATED
RETURNS 3 3 4 1 AUTOCORRELATION COEFFICIENTS 3 3 4 2 PORTMANTEAU
STATISTICS 3 3 4 3 RESULTS OF AUTOCORRELATION AND PORTMANTEAU TESTS 4
THE EXCESSIVENESS OF TRADING RULE PROFITS 4 1 TESTING FOR LINEAR AND
NONLINEAR DEPENDENCIES AR(1)-GARCH(1,1 )-M AND TIME-VARYING MARKET MODEL
4 12 THE AR( 1 )-GARCH( 1,1 )-M MODEL 4 1 2.1 EMPIRICAL TEST RESULTS OF
AR(1)-GARCH(1,1)-M MODEL 4 2 1 TIME-VARYING MARKET MODEL 4 2.1 1
TIME-VARYING MARKET MODEL FORMULATION 4 2 1.2 STATE-SPACE FORMALIZATION
4 2.1 3 TESTING FOR TIME-VARYING BETA 4.2 1 4 ESTIMATION OF THE
TIME-VARYING MARKET MODEL 4 3 THE BOOTSTRAPPING METHOD 4 4 EMPIRICAL
RESULTS: BOOTSTRAP TESTS OF RANDOM WALK, AR( 1 )-GARCH( 1,1 )-M MODEL,
AND TIME-VARYING MARKET MODEL 4 4 1 RANDOM WALK MODEL 4 4 2 AR( 1
)-GARCH( 1,1 )-M MODEL 4 4.3 TIME-VARYING MARKET MODEL 5 DISCUSSION OF
RESULTS AND CONCLUSION LITERATURE APPENDIX
|
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| author | Kolek, Stefan |
| author_facet | Kolek, Stefan |
| author_role | aut |
| author_sort | Kolek, Stefan |
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| building | Verbundindex |
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| callnumber-first | H - Social Science |
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| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)53903074 (DE-599)BVBBV016499632 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| geographic | Europa Ostmitteleuropa (DE-588)4075753-5 gnd |
| geographic_facet | Europa Ostmitteleuropa |
| id | DE-604.BV016499632 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:11:12Z |
| institution | BVB |
| isbn | 3832210288 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010197561 |
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| physical | 145, LXXIX S. graph. Darst. |
| publishDate | 2002 |
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| series2 | Berichte aus der Volkswirtschaft |
| spelling | Kolek, Stefan Verfasser aut On the efficiency of emerging stock markets in Central Europe an empirical investigation Stefan Kolek Aachen Shaker 2002 145, LXXIX S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Volkswirtschaft Zugl.: Halle, Univ., Diss., 2002 Stock exchanges Europe Emerging Market (DE-588)4398432-0 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Kapitalmarkteffizienz (DE-588)4125264-0 gnd rswk-swf Europa Ostmitteleuropa (DE-588)4075753-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Ostmitteleuropa (DE-588)4075753-5 g Aktienmarkt (DE-588)4130931-5 s Emerging Market (DE-588)4398432-0 s Kapitalmarkteffizienz (DE-588)4125264-0 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010197561&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kolek, Stefan On the efficiency of emerging stock markets in Central Europe an empirical investigation Stock exchanges Europe Emerging Market (DE-588)4398432-0 gnd Aktienmarkt (DE-588)4130931-5 gnd Kapitalmarkteffizienz (DE-588)4125264-0 gnd |
| subject_GND | (DE-588)4398432-0 (DE-588)4130931-5 (DE-588)4125264-0 (DE-588)4075753-5 (DE-588)4113937-9 |
| title | On the efficiency of emerging stock markets in Central Europe an empirical investigation |
| title_auth | On the efficiency of emerging stock markets in Central Europe an empirical investigation |
| title_exact_search | On the efficiency of emerging stock markets in Central Europe an empirical investigation |
| title_full | On the efficiency of emerging stock markets in Central Europe an empirical investigation Stefan Kolek |
| title_fullStr | On the efficiency of emerging stock markets in Central Europe an empirical investigation Stefan Kolek |
| title_full_unstemmed | On the efficiency of emerging stock markets in Central Europe an empirical investigation Stefan Kolek |
| title_short | On the efficiency of emerging stock markets in Central Europe |
| title_sort | on the efficiency of emerging stock markets in central europe an empirical investigation |
| title_sub | an empirical investigation |
| topic | Stock exchanges Europe Emerging Market (DE-588)4398432-0 gnd Aktienmarkt (DE-588)4130931-5 gnd Kapitalmarkteffizienz (DE-588)4125264-0 gnd |
| topic_facet | Stock exchanges Europe Emerging Market Aktienmarkt Kapitalmarkteffizienz Europa Ostmitteleuropa Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010197561&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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