Comparison of Selected Market Indicators During the Dot-Com Bubble

Schubert, Wladimir; Gavurová, Beata; Kováč, Viliam; Užík, Martin

doi:10.5772/intechopen.71381

Cited by 3 publications

(2 citation statements)

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“…For the years 2001 and 2008, two events based on the asset price bubble effect are examined. [42] In this section, this term will be discussed in more detail. In the broader sense of the word, the literature uses the term asset price bubble to describe a situation on the market in which the market values deviate considerably from the fundamental values.…”

Section: Asset Price Bubblesmentioning

confidence: 99%

Winner Strategies in Crisis

Langenstein

Užík

Warias³

2021

SHS Web of Conf.

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Research background: Since the publication of Markowitz’ Portfolio Selection Theory, researchers and practitioners have been searching for the optimal structure of investment portfolios. An unlimited number of portfolio-based investment strategies have been created since 1952. However, none of these strategies seem to continuously generate overperformance over a long time period. This may also be due to the strong dynamics of economic development and other external factors. Purpose of the article: The aim of this article is to analyze which strategies are successful in generating winning portfolios in times of crisis. Three types of crises are considered: first, the bursting of the dot-com bubble in 2001, second, the financial crisis of 2008, and finally, the performance impact of the corona crisis. Methods: The data of the S&P 500 and STOXX Europe 600 companies are analyzed. The first step is the statistical review of the performance of companies in different periods with the focus on the analysis of the crisis years. Subsequently, the formation of portfolios is carried out according to known key figures such as high-low PE ratio, high-low market-to-book ratio, and others. In the form of a regression analysis, selected fundamental data are used to statistically check their relevance for performance. Findings & Value added: The results shows that all crises have similarities in certain factors. However, they also show that companies with a digital business model are able to manage crises better than those without a digital business model.

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Section: Asset Price Bubblesmentioning

confidence: 99%

Winner Strategies in Crisis

Langenstein

Užík

Warias³

2021

SHS Web of Conf.

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“…The efficient market hypothesis (EMH), although well-received by financial and behavioral economists from 1970s to 1990s; the theory came under criticism in the late 1990's up until the period of global economic crisis of 2007-2008 following the series of events that happened globally that undermined the assumptions on which the EMH rested. The first of these events was the dot-com bubble and the technology bubble that occurred from 1995 to 2000 -a period of excessive speculation, rapid share price growth and high stock price valuation that allowed investors to make abnormal returns (see McAleer, Suen and Wong, 2016;Schubert et al, 2018).…”

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confidence: 99%

Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa

Kelikumea¹,

Olaniyib²,

Iyohab³

2020

International Journal of Management, Economics and Social Sciences

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This paper investigated the weak axiom of the efficient market hypothesis (EMH) as it applies to fifteen (15) leading stock markets in Africa. There are currently over twenty-nine stock exchanges in Africa with a significant degree of disparities ranging from market size, trading volume, number of listed companies, access to funds, access to information to market standardization etc. The article deviated from the conventional linear approach of testing efficient market hypothesis and the method of using the runs test for serial dependency to test the weak-form efficient market hypothesis. The paper adopted the wavelet unit root analysis-tool, which decomposed the stochastic processes into its wavelet components, with varying frequency band. The study found that institutional constraints have implications for the efficient market hypothesis and investment in the African stock market. The conclusions drawn from the study is the relevance of using past historical stock prices to predict the current earnings at stock markets in Africa, a negation of the efficient market hypothesis.

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Rolling Momentum Strategy: An Empirical Analysis

et al. 2021

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Research background: The focus of the momentum strategy, as a procyclical investment strategy, lies in the hypothesis that the winning shares of the past will most likely develop in the same direction in the near future. The same is assumed for the performance of the loser shares. The technical trading rules of relative strength according to Levy provide the basis for this approach (Levy, 1967). The momentum strategy can thus offer investors an opportunity to outperform the market. The creation of portfolios under the momentum strategy follows simple rules: On the basis of past prices, equities are selected within a formation period according to return criteria. The stocks with the highest and lowest returns on equities in the formation period are combined into winning and losing portfolios, each with the same number. The final step is the acquisition of the winning portfolio, which is held over the specified investment period, with the loser portfolio being sold short at the same time. The empirical analysis presented in this paper focuses on the success of the momentum strategy for the STOXX Europe 600 market over a formation and investment period of six months. Purpose of the article: The objective of this paper is to empirically test the above statements and assumptions. Portfolios are built up on a rolling basis over a period of six months and then observed with respect to their performance over a period from 1995 to 2000. The achieved returns are compared with a buy-and-hold strategy and empirically tested for return differences. Especially the years 2001, 2008, and 2020 as the crisis years of the dot-com bubble, the financial crisis, and the COVID-19 pandemic are focused on and discussed. Methods: The data of the period are examined for performance development in a database in the form of winner and loser portfolios. The returns are calculated as AR to a reference portfolio DAX. The returns are statistically tested for significant differences to a zero return using a t test. Findings & Value added: The results show the performance of the momentum strategy in the period from 1995 to 2000 for the stocks of the STOXX Europe 600. The strong fluctuations in the crisis years are notable. With few exceptions, the reference returns could only provide statistically non-significant results.

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Comparison of Selected Market Indicators During the Dot-Com Bubble

Cited by 3 publications

References 50 publications

Winner Strategies in Crisis

Winner Strategies in Crisis

Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa

Rolling Momentum Strategy: An Empirical Analysis

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