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Journal articles on the topic 'Daily market'

Author: Grafiati

Published: 4 June 2021

Last updated: 4 February 2022

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1

Petroni, Filippo, and Maurizio Serva. "Observability of market daily volatility." Physica A: Statistical Mechanics and its Applications 444 (February 2016): 838–42. http://dx.doi.org/10.1016/j.physa.2015.10.085.

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2

Chaffai, Mustapha, and Imed Medhioub. "Herding behavior in Islamic GCC stock market: a daily analysis." International Journal of Islamic and Middle Eastern Finance and Management 11, no. 2 (June 18, 2018): 182–93. http://dx.doi.org/10.1108/imefm-08-2017-0220.

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Purpose This paper aims to examine the presence of herd behaviour in the Islamic Gulf Cooperation Council (GCC) stock markets following the methodology given by Chiang and Zheng (2010). Generalized auto regressive conditional heteroskedasticity (GARCH)-type models and quantile regression analysis are used and applied to daily data ranging from 3 January 2010 to 28 July 2016. Results show evidence of herd behaviour in the GCC stock markets. When the data are divided into down and up market periods, herd information is found to be statistically significant and negative during upward market periods only. These results are similar to those reported in some emerging markets such as China, Japan and Hong Kong, where stock returns perform more similarly during down market periods and differently during rising markets. Design/methodology/approach The authors present a brief literature on herd behaviour. Second, the authors provide some specificity of the GCC Islamic stock market, followed by the presentation of the methodology and the data, results and their interpretation. Findings The authors take into account the difference existing in market conditions and find evidence of herding behaviour during rising markets only for GCC markets. This result was confirmed after using the quantile regression method, as evidence of herding was observed only in highly extreme periods. Stock returns perform more similarly when market is down in Islamic GCC stock market. Research limitations/implications The research limitation consists in the fact that this work can be extended to compare the GCC stock markets with other markets in Asia such as Malaysia and Indonesia. Practical implications The principal implication consists in the fact that herding behaviour is limited in the GCC markets and Islamic finance can have an important contribution to moderate the behaviour in the financial markets. Social implications The work focusses on the role of ethics in the financial markets and their ability to reduce the impact of behavioural biases. Originality/value The paper studies the behaviour of investors in the Islamic financial markets and gives an idea about the importance of the behaviour in this particular market regarding its characteristics.

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3

Hamilton, James D. "The Daily Market for Federal Funds." Journal of Political Economy 104, no. 1 (February 1996): 26–56. http://dx.doi.org/10.1086/262016.

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4

Turner, Andrew L., and Eric J. Weigel. "Daily Stock Market Volatility: 1928–1989." Management Science 38, no. 11 (November 1992): 1586–609. http://dx.doi.org/10.1287/mnsc.38.11.1586.

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5

Jarrett, Jeffrey E., and Eric Kyper. "Daily Variation, Capital Market Efficiency and Predicting Stock Market Returns." Management Research News 28, no. 8 (August 2005): 34–47. http://dx.doi.org/10.1108/01409170510784940.

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6

Derbali, Abdelkader. "Market efficiency in the emerging and frontier markets of the MENA countries." International Journal of Financial Engineering 06, no. 03 (September 2019): 1950030. http://dx.doi.org/10.1142/s2424786319500300.

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Daily and weekly market index returns were analyzed to examine market efficiency in emerging and frontier markets in MENA region. Based on a set of tests, autocorrelation, runs, unit root and multiple variance report tests, over a period of 7 years, our results show mixed results for different indices. However, emerging and frontier market and yield series indicate the lack of market efficiency. We find that daily and weekly market index returns do not follow random markets. We can conclude that investors can obtain the flow of arbitrage profits due to the inefficiency of the market belonging to these countries.

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van Kranenburg, Hans. "Mobility and Market Structure in the Dutch Daily Newspaper Market Segments." Journal of Media Economics 15, no. 2 (April 2002): 107–23. http://dx.doi.org/10.1207/s15327736me1502_3.

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8

Gil-Alana, L. A. "Fractional integration in daily stock market indexes." Review of Financial Economics 15, no. 1 (January 2006): 28–48. http://dx.doi.org/10.1016/j.rfe.2005.02.003.

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9

Özcan, Gül Berna. "Introduction: market adaptations, interventions and daily experience." Central Asian Survey 34, no. 4 (October 2, 2015): 409–17. http://dx.doi.org/10.1080/02634937.2015.1103580.

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10

Allen, David E., Michael McAleer, and Abhay K. Singh. "Daily market news sentiment and stock prices." Applied Economics 51, no. 30 (February 14, 2019): 3212–35. http://dx.doi.org/10.1080/00036846.2018.1564115.

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11

Lacy, Stephen, and Lucinda Davenport. "Daily Newspaper Market Structure, Concentration, and Competition." Journal of Media Economics 7, no. 3 (July 1994): 33–46. http://dx.doi.org/10.1207/s15327736me0703_3.

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12

Chen, Ting, Zhenyu Gao, Jibao He, Wenxi Jiang, and Wei Xiong. "Daily price limits and destructive market behavior." Journal of Econometrics 208, no. 1 (January 2019): 249–64. http://dx.doi.org/10.1016/j.jeconom.2018.09.014.

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13

AJEWOLE, KAYODE, TED C. SCHROEDER, and JOE PARCELL. "PRICE REPORTING IN A THIN MARKET." Journal of Agricultural and Applied Economics 48, no. 4 (November 2016): 345–65. http://dx.doi.org/10.1017/aae.2016.19.

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AbstractThin markets create challenges for reporting market information by the U.S. Department of Agriculture (USDA) and for users of the information. This study examines distributions of transactions comprising daily price reports in the U.S. hog market. We determine publicly reported daily prices are sensitive to which packing plants buy hogs. Transaction prices comprising USDA Agricultural Marketing Service price reports are not normally distributed; care must be taken in reporting and interpreting transaction prices. Economically important variations in prices occur because of packer-specific indicators. Daily reported prices are used as base prices in marketing agreements, making variation of even greater importance.

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14

Hiris, Lorene S. "A Daily Inflation Index." American Economist 36, no. 2 (October 1992): 19–29. http://dx.doi.org/10.1177/056943459203600203.

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A index that closely approximates the rate of inflation in consumer prices has been constructed from eight components that are available daily. The index has been compiled monthly from January 1968 through June 1990, with the results shown in Figure 1. The Daily Inflation Index includes the prices of foods, textiles, metals and oil as quoted in the commodity markets and also an index of dollar exchange rates, the Treasury bill rate, a price index for utility stocks, and the price of gold. The index accounts for 84 percent of the variation in the CPI inflation rate from 1968 to 1990 and is expected to be used as an independent measure of inflationary trends. In essence, the Daily Inflation Index is designed to measure the market assessment of inflation and should provide hedgers, traders, and consumers with timely information about inflation.

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15

RABHI, Ayoub. "Stock Market Vulnerability to the COVID-19 Pandemic: Evidence from Emerging Asian Stock Market." Journal of Advanced Studies in Finance 11, no. 2 (December 22, 2020): 126. http://dx.doi.org/10.14505//jasf.v11.2(22).06.

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This paper studies empirically the emerging Asian stock market vulnerability to pandemics. Taking the Covid-19 virus as a case study, we used the ARDL panel data approach to investigate the impact of the daily Covid-19 confirmed cases along with a behavioral component based on a triggering fear event related to news about Covid-19 deaths. The results indicate that both the reported daily growth of Covid-19 confirmed cases along with the triggering fear event related to news about death, affected the Asian stock markets performance negatively, other variables such as oil price, gold price, exchange rates, and the US stock market were also found to be determinants of the Asian stock markets during the studied period.

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16

Plastun, Alex, Nataliya Strochenko, Olga Zhmaylova, Liudmyla Sliusareva, and Sergiy Bashlay. "Momentum and contrarian effects in the Ukrainian stock market: case of daily overreactions." Investment Management and Financial Innovations 17, no. 1 (February 10, 2020): 24–34. http://dx.doi.org/10.21511/imfi.17(1).2020.03.

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This paper examines momentum and contrarian effects in the Ukrainian stock market after one-day abnormal returns. To do this, UX futures data over the period 2010–2018 are used. The following hypotheses are tested: H1) hourly returns on overreaction days differ from hourly returns on normal days, H2) there are price patterns on overreaction days, and H3) to test these hypotheses, visual inspection and average analysis are used, as well as t-tests, cumulative abnormal returns, and trading simulation approaches. The results suggest that there are statistically significant differences between intraday dynamics during the usual days and the overreactions day. There is a strong momentum effect present on the day of overreaction: prices tend to change only in the direction of the overreaction during the whole day. The fact of the overreaction becomes clear after 13:00-14:00. This gives a lot of time to explore the momentum effect in the day of overreaction. On the day after the overreaction, prices tend to go in the opposite direction: contrarian pattern is detected, which is in line with the overreaction hypothesis. Based on detected price patterns, rules of trading and trading strategies for the Ukrainian stock market are developed. Momentum Strategy (based on price patterns on the day of overreaction) generates several successful trades; close to with 90%, and their number being is profitable (trading results differ from the random ones – confirmed by t-tests). Contrarian Strategy (based on price patterns on the day after the overreaction) demonstrates low efficiency, and results do not differ from random trading.

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17

Jarrett, Jeffrey E., and Janne Schilling. "DAILY VARIATION AND PREDICTING STOCK MARKET RETURNS FOR THE FRANKFURTER BÖRSE (STOCK MARKET)." Journal of Business Economics and Management 9, no. 3 (September 30, 2008): 189–98. http://dx.doi.org/10.3846/1611-1699.2008.9.189-198.

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In this article we test the random walk hypothesis in the German daily stock prices by means of a unit root test and the development of an ARIMA model for prediction. The results show that the time series of daily stock returns for a stratified random sample of German firms listed on the stock exchange of Frankfurt exhibit unit roots. Also, we find that one may predict changes in the returns to these listed stocks. These time series exhibit properties which are forecast able and provide the intelligent data analysts’ methods to better predict the directive of individual stock returns for listed German firms. The results of this study, though different from most other studies of other stock markets, indicate the Frankfurt stock market behaves in similar ways to North American, other European and Asian markets previously studied in the same manner.

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18

Thi Van Trang, Do, and Dinh Hong Linh. "The impact of earnings management on market liquidity." Investment Management and Financial Innovations 17, no. 2 (July 6, 2020): 389–96. http://dx.doi.org/10.21511/imfi.17(2).2020.30.

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This article investigates the impact of earnings management on market liquidity measured by the depth of the market. Managers have desired to provide amazing performance of companies, manage their earnings through non-discretionary accruals. Consequently, investors have trouble evaluating the stock value and misunderstanding of the market liquidity because of manipulated information.To this aim, the fixed-effect model (FEM) is implemented to analyze the financial information of 170 listed firms on the Vietnam Stock Exchange over the period 2013–2016. The empirical results emphasized that market liquidity is influenced by earnings management that means the higher level of earnings management, the better equity liquidity. The findings provide additional insight into the determinants of stock liquidity such as earnings management, firm size, daily trading dollar volume of stock, average daily trading dollar volume of the firm, daily returns of stock, daily stock returns, average closing stock price of the firm.

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19

Adamiec, Larissa J., and Deborah Cernauskas. "Contrasting GARCH Daily Variance Predictions Between Foreign Exchange Returns and Carry Trade Strategy Returns." Journal of Business and Economics 10, no. 11 (November 22, 2019): 1027–44. http://dx.doi.org/10.15341/jbe(2155-7950)/11.10.2019/001.

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GARCH does a better job predicting carry trade strategy returns than the foreign exchange returns. Using two time periods from 1998-2010 and then from 2010-2018 we find the daily variance to have dropped between period 1 and period 2 for both daily foreign exchange spot prices and daily carry trade strategy returns. Comparing daily spot price returns to daily carry trade strategy returns in each time period we find differences in the sample variances. Daily variance in the foreign exchange market has changed within the last twenty years. As one of the most liquid markets, the FX market has seen significant losses in both spot price returns and carry trade strategy returns. The current market place has historic low levels of volatility. Since the 2008 financial crash asset prices have steadily risen in levels reducing downside risk. In addition, foreign exchange rates have been stable. Given a decade’s worth of slow and steady growth coupled with stabilization has reduced the variance in returns. Popular predictive volatility model GARCH has a long-run variance component. The inclusion of such a parameter allows for the model to remember past financial crisis or “normal” times. Returns in the carry trade are marked by periods of severe downward risk and losses. The carry trade will often have long-term trends of small positive returns only to give back all of the returns in one downward move.

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20

Bu, Qiang. "Mutual fund alpha and daily market-timing ability." Studies in Economics and Finance 36, no. 4 (October 7, 2019): 662–81. http://dx.doi.org/10.1108/sef-09-2018-0277.

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Purpose This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value Using bootstrapped funds as the benchmark, this study shows that daily fund market is overall efficient.

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21

HARADA, MASAMI. "Japanese modern municipal retail and wholesale markets in comparison with European markets." Urban History 43, no. 3 (June 5, 2015): 476–92. http://dx.doi.org/10.1017/s096392681500019x.

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ABSTRACTThis article seeks to assess the relevance of market ideas outside the European context. In pre-modern Japan, there was neither street market nor retail market but wholesale markets in cities. Feudal lords permitted wholesale dealers to operate in the market as long as the dealers paid either tribute such as fish or tax money to their lords. The Meiji Restoration in the late nineteenth century brought an end to the feudal system. In modern Japan, the problem of food supply in the city arose after the Japanese-Russo War. The Rice Riots broke out in 1918, and drove many cities to open their own municipal retail markets in order to supply urban dwellers with food and daily necessities. Fixed and marked price and cash payment were the operating principles of those municipal retail markets. These principles represented the characteristic features of the modern retail trade. Such municipal retail markets played an important role in the modernization of the retail trade in Japan.

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22

Bejaoui, Azza, Salim Ben Sassi, and Jihed Majdoub. "Market dynamics, cyclical patterns and market states." Studies in Economics and Finance 37, no. 4 (November 18, 2019): 585–604. http://dx.doi.org/10.1108/sef-08-2019-0302.

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Purpose In this paper, the authors seek to investigate the dynamics of Bitcoin, Litecoin, Ethereum and Ripple daily returns and volatilities. Design/methodology/approach In this paper, the authors apply the MS-ARMA model on daily returns of Bitcoin (19/04/2013-13/02/2018), Ripple (05/08/2013-14/02/2018), Litcoin (29/04/2013-14/02/2018) and Ethereum (08/02/2015-14/02/2018). This model allows capture of the nonlinear structure in both the conditional mean and the conditional variance of cryptocurrency returns. Findings All the cryptocurrency markets show regime switching in the return-generating process. Market dynamics seem to be governed by two different states which differ from one cryptocurrency market to another in terms of mean return, volatility and interstate dynamics. These findings can be explained by investors’ behavior, i.e. speculative trading and herding behavior. By choosing to participate (or imitating some investors) in some cryptocurrency markets (in particular Bitcoin market), they affect the price movements and therefore the market dynamics in the short run. Practical implications Identifying the different market states provides information for investors to make more accurate portfolio decisions in the virtual market and follow the market timing strategy. Originality/value This paper attempts to analyze potential nonlinear structure in cryptocurrencies returns and analyze if there is a difference between the cryptocurrencies market cycles. So, the search for congruent and adequate specification to reproduce the stock returns dynamics in the virtual market still remains the concern of several empirical studies. This research not only examines the behavior of stock returns in the cryptocurrencies’ market but also highlights the existence of nonlinearity propriety as a stylized fact.

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23

Feinman, Joshua. "Estimating the Open Market Desk's Daily Reaction Function." Journal of Money, Credit and Banking 25, no. 2 (May 1993): 231. http://dx.doi.org/10.2307/2077839.

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24

PeÑa, J. Ignacio. "Daily seasonalities and stock market reforms in Spain." Applied Financial Economics 5, no. 6 (December 1995): 419–23. http://dx.doi.org/10.1080/758538601.

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25

Ajinkya, Bipin B., and Prem C. Jain. "The behavior of daily stock market trading volume." Journal of Accounting and Economics 11, no. 4 (November 1989): 331–59. http://dx.doi.org/10.1016/0165-4101(89)90018-9.

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26

Zhong, Xiao, and David Enke. "Forecasting daily stock market return using dimensionality reduction." Expert Systems with Applications 67 (January 2017): 126–39. http://dx.doi.org/10.1016/j.eswa.2016.09.027.

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27

Njuguna, Josephine. "The market efficiency of the Tanzania stock market." Banks and Bank Systems 11, no. 3 (October 12, 2016): 75–86. http://dx.doi.org/10.21511/bbs.11(3).2016.08.

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The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period. Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange. JEL Classification: G14, G15

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28

Fu, Junhui, Qingling Zhou, Yufang Liu, and Xiang Wu. "Predicting stock market crises using daily stock market valuation and investor sentiment indicators." North American Journal of Economics and Finance 51 (January 2020): 100905. http://dx.doi.org/10.1016/j.najef.2019.01.002.

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29

Brown, Jeff E., Don E. Ethridge, Darren Hudson, and Carlos Engels. "An Automated Econometric Approach for Estimating and Reporting Daily Cotton Market Prices." Journal of Agricultural and Applied Economics 27, no. 2 (December 1995): 409–22. http://dx.doi.org/10.1017/s1074070800028467.

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AbstractAn automated price reporting system developed through computer technology and hedonic price theory is used to estimate daily cotton market prices, premiums, and discounts. This objective approach for reporting cotton market prices was developed to complement the objective measures of high volume instrument grading of cotton. The computerized, econometric system is limited to the Texas and Oklahoma marketing regions where sales are readily available from electronic markets. The econometric based system has shown all the characteristics of an efficient price reporting system; it is accurate, reliable, consistent, and repeatable in its working process and price estimates.

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30

Kurniawan, Yoki, and Rahmat Al Hidayat. "OPTIMIZATION OF KOTO JAYA DAILY MARKET PRODUCTION IN MUKOMUKO." BIMA Journal (Business, Management, & Accounting Journal) 1, no. 1 (February 26, 2020): 10–21. http://dx.doi.org/10.37638/bima.1.1.10-21.

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This study aims to identify internal and external factors faced by the Koto Jaya Daily Market in Mukomuko, determine the optimization strategy of the market utilization. The data used in this study are primary data obtained from traders at the Koto Jaya Daily Market in Mukomuko in 2018 using a SWOT analysis tool.The results of the SWOT analysis can be concluded that internal factors in optimizing the utilization of the Koto Jaya Daily Market in Mukomuko are; 1) Strength Factors (land availability, location, supporting facilities, trader organizations, merchant composition, infrastructure, price information); 2) Weakness factors (rental prices, utilities, location access, market conditions, budget constraints, trader awareness), for external factors in optimizing the utilization of the Koto Jaya Daily Market in Mukomuko are; 1) Opportunity factors (population, community response, government support, technological development); 2) Threat factors (other market competitors, natural disasters, thuggery, government policies, economic crisis). The strategy that must be applied in this condition is the WT (Weaknesses-Threats) strategy, namely; 1) Implement a kiosk and booth rental price strategy; 2) Improve the quality and service quality of the Koto Jaya Mukomuko Market; 3) Optimizing existing facilities and infrastructure; 4) Maintain market security and comfort

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31

Millman, Heather. "Daily Dose." Gastronomica 13, no. 4 (2013): 16–21. http://dx.doi.org/10.1525/gfc.2013.13.4.16.

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This article explores the custom of drinking traditional maté teas in Asunción, Paraguay. My discussion is founded in fieldwork completed throughout Paraguay’s winter months from June to September 2011. Maté is a tea-like infusion of the yerba maté plant, which is indigenous to Paraguay and the surrounding region. This article takes an anthropological approach to maté drinking, and includes the perspectives of the market vendors who sell plant infusions for this tea, and with whom I conducted interviews during my fieldwork. In doing so, I position maté drinking in the contexts of both custom and as a method of taking traditional medicines within the social, cultural, and economic realities of Asunción.

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32

MOLLAH, A. SABUR. "TESTING WEAK-FORM MARKET EFFICIENCY IN EMERGING MARKET: EVIDENCE FROM BOTSWANA STOCK EXCHANGE." International Journal of Theoretical and Applied Finance 10, no. 06 (September 2007): 1077–94. http://dx.doi.org/10.1142/s021902490700455x.

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Market efficiency is an area of enormous interest in financial literature. Numerous researchers conducted empirical studies in testing weak-form market efficiency in several stock markets and employed various techniques but the empirical evidence is controversial. Triangulation econometric approach is employed to assess the predictability of daily return series of Botswana Stock Exchange (BSE) and to test the null hypothesis of random walk model. The empirical results reject the null hypothesis of random walk model for the daily return series of BSE for the period of 1989–2005 and evidenced serial autocorrelation of return series, which clearly indicate predictability and volatility of security prices of Botswana market. However, the empirical evidence of both non-parametric (Kolmogrov–Smirnov: normality test and run test) and parametric test (Auto-correlation test, Auto-regressive model, ARIMA model) reject the hypothesis of random walk model and indeed violate the notion of weak-form market efficiency.

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33

Roy, Subrata. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis." Foreign Trade Review 53, no. 4 (October 8, 2018): 225–38. http://dx.doi.org/10.1177/0015732518797183.

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The study seeks to examine the Random Walk Hypothesis (RWH) and market efficiency of the selected stock market indices particularly London Stock Exchange, EuroStoxx 50, Nihon Keizai Shimbum (NIKKI), Shanghai Composite Stock Exchange and Bombay Stock Exchange. Daily closing index value is considered and transformed into logarithm return. Various tests like serial independence test, unit root test and multiple variance tests are applied. It is observed that the null hypotheses (presence of random walks) of the daily returns of the indices are rejected and in few cases are accepted based on various test statistics. JEL Classification: G00, G01, G02

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34

Sarma, S. N. "Stock Market Seasonality in an Emerging Market." Vikalpa: The Journal for Decision Makers 29, no. 3 (July 2004): 35–42. http://dx.doi.org/10.1177/0256090920040303.

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The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the efficient market postulate. One major anomaly brought forth was the calendar-related abnormal rates of return. Various studies in this domain empirically demonstrated, through parametric and non-parametric tests on the stock returns data, that turn of the year, month, week, and holidays have consistently generated abnormal equity returns in both the developed and emerging markets unrelated to the attendant risks. Studies on the Indian stock markets' calendar anomalies, especially in the post-reform era, are very few. In an attempt to fill this gap, this study explores the Indian stock market's efficiency in the 'weak form' in the context of calendar anomalies, especially in respect of the weekend effect. Daily returns generated by the SENSEX, NATEX, and BSE200 during January 1st 1996 to August 10th 2002 comprising a total of 1,667 observations for each of the indices are considered for testing the seasonality. While most of the studies have considered the returns of one of the major indices based on the closing values, this study examines the multiple indices for possible seasonality. An analysis of returns' pattern of multiple indices is helpful in identifying the presence or otherwise of the stock market seasonality associated with various portfolios and for testing the efficacy of investment game based on the observed patterns of the returns. This study employed the daily mean index value for generating the daily returns to relax the implied assumption of the earlier studies — by considering the closing values of the indices — that trading is done at the closing values. A non-parametric test — Kruskall-Wallis test using 'H' statistic — is employed for testing the seasonality in the Indian stock market returns. The null hypothesis tested is that there are no differences in the mean daily returns across the weekdays. The major findings of the study are as follows: The Indian stock markets do manifest seasonality in their returns' pattern. The Monday-Tuesday, Monday-Friday, and Wednesday-Friday sets have positive deviations for all the indices. The Monday-Friday set for all the indices has the highest positive deviation thereby indicating the presence of opportunity to make consistent abnormal returns through a trading strategy of buying on Mondays and selling on Fridays. The above-mentioned active strategy is found to be beneficial in case of SENSEX The above-mentioned active strategy is found to be beneficial in case of SENSEX alone during the study period while for the others — NATEX and BSE200 — a passive ‘buy and hold’ strategy is more effective. The study concludes that the observed patterns are useful in timing the deals thereby exploring the opportunity of exploiting the observed regularities in the Indian stock market returns.

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35

Mustafav, Khalid, and Mohammedv Nishat. "Testing for Market Efficiency in Emerging Markets: A Case Study of the Karachi Stock Market." LAHORE JOURNAL OF ECONOMICS 12, no. 1 (January 1, 2007): 119–40. http://dx.doi.org/10.35536/lje.2007.v12.i1.a6.

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This paper investigates the efficiency of the Karachi stock exchange (KSE) with corrections for thin trading and non-linearity as suggested by Miller, Muthuswamy and Whaley (1994). Daily, weekly, and monthly data on stock prices from December 1991 to May 2003 have been used, with three non-overlapping periods (December 1991 to May 1998; May 1998 to September 2001; and September 2001 to May 2003) and one combined period (May 1998 to May 2003). The results indicate that the Karachi Stock Market is efficient for the overall period, the three sub-periods, and the combined period in linear and non-linear behavior after making adjustments for thin trading. The same result is observed when the efficiency test is conducted on weekly and monthly data after adjusting for thin trading during the overall study period.

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36

Fan, Ying. "Ownership Consolidation and Product Characteristics: A Study of the US Daily Newspaper Market." American Economic Review 103, no. 5 (August 1, 2013): 1598–628. http://dx.doi.org/10.1257/aer.103.5.1598.

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This paper develops a structural model of newspaper markets to analyze the effects of ownership consolidation, taking into account not only firms' price adjustments but also the adjustments in newspaper characteristics. A new dataset on newspaper prices and characteristics is used to estimate the model. The paper then simulates the effect of a merger in the Minneapolis newspaper market and studies how welfare effects of mergers vary with market characteristics. It finds that ignoring adjustments of product characteristics causes substantial differences in estimated effects of mergers. (JEL G32, L13, L82, M37)

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Fajarwati, Eka. "STRATEGI PERMODALAN PEDANGAN PASAR SOPONYONO DI KECAMATAN RUNGKUT KOTA SURABAYA." MANAJERIAL 4, no. 1 (March 23, 2018): 69. http://dx.doi.org/10.30587/manajerial.v4i1.308.

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The market is generally divided into two, namely traditional markets and modern markets. Traditional market is a market that has a simple buying and selling activities, there is a bargain with a means of payment in the form of cash. In addition, the market is not only a place for the community in meeting the daily needs, but also the center of the community's economic drive. Traditional market is an important channel in the distribution process of agribusiness products as big as food product of daily necessities. The competition of traditional markets and modern markets is getting tighter. The government is trying to assist the development of traditional markets in order to compete with modern markets by planning the revitalization and fostering of market management so that not only physical improvements are made but also services and market management mangement. Related to this problem is capital strategy applied by traditional market trader Soponyono in face of tight competition with modern market. This research method is descriptive study by using qualitative approach. Data collection techniques through (1) indepth interview, in-depth interviews until the data obtained is considered sufficient and (2) observation that is observing the learning process undertaken. The process of data analysis using capital strategy theory. The selection of this theory is based on the object of research that is Soponyono Surabaya Market so that it can know more deeply about the capital process of Soponyono market traders related to the problem of competition with modern market Based on the result of research known that capital strategy of traditional traders in facing modern market through banking funding, Private capital and BKM and BMT. Obstacles from the cooperation of management of Taman Remaja Surabaya by City Government

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Carpenter, Seth B., and Selva Demiralp. "The Liquidity Effect in the Federal Funds Market : Evidence from Daily Open Market Operations." Finance and Economics Discussion Series 2004, no. 61 (September 2004): 1–36. http://dx.doi.org/10.17016/feds.2004.61.

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Carpenter, Seth B., and Selva Demiralp. "The Liquidity Effect in the Federal Funds Market: Evidence from Daily Open Market Operations." Journal of Money, Credit, and Banking 38, no. 4 (2006): 901–20. http://dx.doi.org/10.1353/mcb.2006.0051.

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Kang, Jangkoo, and Jaesun Yun. "Daily Winners and Losers in the Korean Stock Market." Korean Journal of Financial Studies 49, no. 4 (August 31, 2020): 565–88. http://dx.doi.org/10.26845/kjfs.2020.08.49.4.565.

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In their working paper, Kumar, Ruenzi, and Ungeheuer (KRU) document that stocks ranked as daily winners or losers in the previous month underperform unranked stocks during the month after the ranking. KRU explain that the ranked stocks experience a large increase in investor attention, which leads to temporary overpricing and subsequent underperformance. Following KRU, we investigate whether the same effect exists in the Korean stock market and find a robust daily winners and losers effect. First, stocks that were both daily winners and losers in a given month underperform those that were neither daily winners nor losers during the following months. Second, stocks that were never a daily winner or loser during the previous month do not exhibit the idiosyncratic volatility puzzle or the MAX effect. Moreover, the underperformance of ranked stocks is robust after controlling for the idiosyncratic volatility and the MAX effect. We suggest that the overpricing caused by excessive attention to daily winners and losers may be the main driver of the idiosyncratic volatility puzzle and the MAX effect. Lastly, we find that retail investors buy daily winners and losers, while both institutional investors and foreign investors decrease trades in the ranked stocks.

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D’Amico, Guglielmo, Fulvio Gismondi, Filippo Petroni, and Flavio Prattico. "Stock market daily volatility and information measures of predictability." Physica A: Statistical Mechanics and its Applications 518 (March 2019): 22–29. http://dx.doi.org/10.1016/j.physa.2018.11.049.

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Drousia, Angeliki, Athanasios Episcopos, and George N. Leledakis. "Market reaction to actual daily share repurchases in Greece." Quarterly Review of Economics and Finance 74 (November 2019): 267–77. http://dx.doi.org/10.1016/j.qref.2019.01.007.

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Bajpai, Shweta, and Alok Dixit. "Daily beta adjustment: evidence from the Indian equity market." International Journal of Indian Culture and Business Management 15, no. 2 (2017): 121. http://dx.doi.org/10.1504/ijicbm.2017.086085.

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Dixit, Alok, and Shweta Bajpai. "Daily beta adjustment: evidence from the Indian equity market." International Journal of Indian Culture and Business Management 15, no. 2 (2017): 121. http://dx.doi.org/10.1504/ijicbm.2017.10007225.

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Jarrett, Jeffrey E., and Eric Kyper. "Capital market efficiency and the predictability of daily returns." Applied Economics 38, no. 6 (April 10, 2006): 631–36. http://dx.doi.org/10.1080/00036840600581422.

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Ma, Christopher K., G. Wenchi Wong, and Edwin D. Maberly. "The daily effect in the gold market: A reply." Journal of Futures Markets 9, no. 2 (April 1989): 175–77. http://dx.doi.org/10.1002/fut.3990090210.

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Sariannidis, Nikolaos. "Daily price and volatility behaviour in soybean oil market." International Journal of Society Systems Science 3, no. 1/2 (2011): 174. http://dx.doi.org/10.1504/ijsss.2011.038939.

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Coleman, Mark. "Cointegration-based tests of daily foreign exchange market efficiency." Economics Letters 32, no. 1 (January 1990): 53–59. http://dx.doi.org/10.1016/0165-1765(90)90049-7.

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Dittrich, Ludwig O., and Pavel Srbek. "Long-Range Dependence in Daily Return Stock Market Series." International Advances in Economic Research 24, no. 3 (July 13, 2018): 285–86. http://dx.doi.org/10.1007/s11294-018-9687-7.

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Bojnec, Štefan, and Alan Križaj. "Electricity Markets during the Liberalization: The Case of a European Union Country." Energies 14, no. 14 (July 17, 2021): 4317. http://dx.doi.org/10.3390/en14144317.

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This paper analyzes electricity markets in Slovenia during the specific period of market deregulation and price liberalization. The drivers of electricity prices and electricity consumption are investigated. The Slovenian electricity markets are analyzed in relation with the European Energy Exchange (EEX) market. Associations between electricity prices on the one hand, and primary energy prices, variation in air temperature, daily maximum electricity power, and cross-border grid prices on the other hand, are analyzed separately for industrial and household consumers. Monthly data are used in a regression analysis during the period of Slovenia’s electricity market deregulation and price liberalization. Empirical results show that electricity prices achieved in the EEX market were significantly associated with primary energy prices. In Slovenia, the prices for daily maximum electricity power were significantly associated with electricity prices achieved on the EEX market. The increases in electricity prices for households, however, cannot be explained with developments in electricity prices on the EEX market. As the period analyzed is the stage of market deregulation and price liberalization, this can have important policy implications for the countries that still have regulated and monopolized electricity markets. Opening the electricity markets is expected to increase competition and reduce pressures for electricity price increases. However, the experiences and lessons learned among the countries following market deregulation and price liberalization are mixed. For industry, electricity prices affect cost competitiveness, while for households, electricity prices, through expenses, affect their welfare. A competitive and efficient electricity market should balance between suppliers’ and consumers’ market interests. With greening the energy markets and the development of the CO2 emission trading market, it is also important to encourage use of renewable energy sources.

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