Define and discuss the efficient markets hypothesis

Assignment Help Econometrics
Reference no: EM133454131

Questions:

1. (a) Define and discuss the Efficient Markets Hypothesis (EMH), in- cluding criticisms and limitations. (b) Explain how you might test the EMH using autocorrelations. What problems might arise in implementing these tests? (c) Briefly assess the empirical evidence for or against the EMH. 2. Define variance ratio tests, and discuss their use. 3. (a) Discuss L0 and MacKinlay's (Journal of Econometrics, 1990) model of non-trading (nonsynchronous trading). (b) Define the bid-ask spread for stock prices. Outline Roll's (Jour- nal of Finance, 1984) model of the consequences for stock price changes of a fixed bid-ask spread. 4. Discuss how to conduct an event study analysis of financial events (e.g., stock splits). What issues might arise and how might they be dealt with? 5. (a) Compare and contrast simple models of fundamentals versus bubbles to explain stock prices. (b) Discuss econometric tests to detect bubble behaviour. (c) Explain how you might use predictive regressions to assess long- horizon predictability of returns. What problems might arise in interpreting these predictive regressions? 6. (a) What stylised features of financial market data could be mod- elled by ARCH or GARCH models? Outline the key properties of the GARCH(1,1) model. How might it be modified to allow for asymmetric volatility (e.g., leverage effects)? (b) Define and motivate the realized volatility of high-frequency re- turns. What alternative measures of volatilty might be used in the absence of data on high-frequency returns?

Reference no: EM133454131

Questions Cloud

How does poverty fit into the context of the different : How does poverty fit into the context of the different tenets of the guiding ideology (neoliberalism) of the United States?
What are the three types of boundaries in families : What are the three types of boundaries in families? For a family with enmeshed relationships, what kind of relational boundary do they have in the family?
Why did she find for the plaintiff : Why did she find for the plaintiff. What legal grounds to you think she used? What type of damages were they?
Develop a plan for homeless : Develop a plan for homeless and AOD person to identify all available services, their appropriateness, timeframes and expected outcomes and coordination
Define and discuss the efficient markets hypothesis : Define and discuss the Efficient Markets Hypothesis (EMH), in- cluding criticisms and limitations. (b) Explain how you might test the EMH using autocorrelations
Why mg smiths theory of stratification of plural societies : Why M.G. Smiths' theory of the stratification of plural societies is suited to plantation societies but not to contemporary West Indian societies.
Domestication theory provides framework : Definition by the author, Domestication theory provides a framework for understanding the way in which information and communication technologies
Define convergence in probability : Define convergence in Probability. Define a consistent Estimator. Define convergence in Distribution. Define unbiasedness of an estimator.
How nationalism becomes ultranationalism in kosovo : Outline how nationalism becomes ultranationalism in Kosovo. What factors influenced the development of ultranationalism in the region?

Reviews

Write a Review

Econometrics Questions & Answers

  Design a simple econometric research project

Design a simple econometric research project

  Multiplicative decomposition method

Multiplicative decomposition method

  Market for cigarettes

The Australian government administers two programs that affect the market for cigarettes.

  Solve the forecast model

Solve the forecast model

  What are the marginal abatement cost functions

What are the marginal abatement cost functions for each of the two areas? Calculate the loss in the two areas due to over-control (for the rural area) and under-control (for the urban area).

  Write the t statistic for testing the null hypothesis

Explain why this model violates the assumption of no perfect collinearity.  Write the t statistic for testing the null hypothesis

  What is economics system

What is economics system? What are the types of economics system? Briefly explain each type of economics system by giving examples of nations that are close to each type

  Multiple choice questions related to market concentration

Determine when a competitively produced product generates negative externalities in production, the industry will,

  Calculating number of units produced by firm

Assume a company has the following production function: Q = 100 K.5 L1 . Currently, the company hires 1,000 workers and employs 100 units of capital.

  Question about mobile commerce

M-commerce also known as mobile commerce is being lumped in with several strategic internet plans. Explain some of the industries that are likely to use mobile commerce and how it is working for them.

  Calculating the average days past due and average flow time

Auto Data manufactures custom engineering testing machine. The following 5-orders are currently in the design department:

  Mechanism of an english auction and second price auction

Briefly discuss the difference between mechanism of an oral or English auction and a Vickrey or second price auction.

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd