Mean Reversion of Standard &amp; Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?

Miller, Merton H.; Muthuswamy, Jayaram; Whaley, Robert E.

doi:10.2307/2329160

Cited by 96 publications

(68 citation statements)

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“…A preliminary inspection of the data shows mild first-order autocorrelation in the returns of both markets. This significant first-order autocorrelation in returns may be induced by nonsynchronous trading (see Miller, Muthuswamy, & Whaley, 1994). To correct for the effect of nonsynchronous trading, the model introduces a firstorder autoregressive term in the mean return equations.…”

Section: Methodsmentioning

confidence: 99%

Asymmetric information transmission between a transition economy and the U.S. market: evidence from the Warsaw Stock Exchange

Tse

Young

2003

Global Finance Journal

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Section: Methodsmentioning

confidence: 99%

Asymmetric information transmission between a transition economy and the U.S. market: evidence from the Warsaw Stock Exchange

Tse

Young

2003

Global Finance Journal

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“…First, it has been argued that conventional efficiency tests are only reliable if the methodology adopted accounts for the institutional features of the emerging markets leading to wrongly accept or reject the efficiency hypothesis (see, for example, Miller et al, 1994 andAntoniou et al, 1997). Thus, the family of GARCH models, developed by Engle (1982) and extended by Bollerslev (1986) and Nelson (1991), is found to better fit empirical data of stock returns and accommodate for nonlinear and infrequent trading caused by thinness, lack of liquidity and regulatory changes and became commonplace in empirical finance.…”

Section: Introductionmentioning

confidence: 99%

Testing the evolving efficiency of Arab stock markets

Abdmoulah¹

2010

International Review of Financial Analysis

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JEL classification: C5 G1Keywords: GARCH-M (1,1) Kalman filter Evolving Efficiency Test Arab stock markets Our goal is to examine whether Arab stock markets are becoming more efficient during the last decade thanks to organizational improvements and agents' learning. To achieve this goal a test of evolving weakform efficiency using GARCH-M (1,1) approach along with state-space time-varying parameters is implemented for 11 Arab stock markets for periods ending in March 2009, rather than studying their efficiency/inefficiency at a given point of time as commonly done. All markets show high sensitivity to the past shocks and are found to be weak-form inefficient. Moreover, the efficiency does not clearly improve towards the first quarter of 2009 and negatively reacts to contemporaneous crises, except temporary subperiods of efficiency improvement for the largest markets. This contrasts with mature markets and reveals the ineffectiveness of the reforms so far undertaken and calls to intensify efforts to expand and deepen these markets besides improving their liquidity and transparency and counteracting the shortcomings of the large individual trading by enhancing investment culture and spreading institutional trading.

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“…The results of various investigations have showed that the average mispricing series is usually negative, absolute level of the mispricing increases with time to maturity, and mispricing times series are mean reverting processes (e.g. Kempf, 1998;MacKinlay & Ramaswamy, 1988;Miller, Muthuswamy, & Whaley, 1994;Puttonen, 1993).…”

Section: Introductionmentioning

confidence: 99%