nep-fmk New Economics Papers
on Financial Markets
Issue of 2012‒02‒27
four papers chosen by
Kwang Soo Cheong
Johns Hopkins University

  1. Tests for weak form market efficiency in stock prices: Monte Carlo evidence By Khaled, Mohammed S; Keef, Stephen P
  2. The friday the thirteenth effect in stock prices: international evidence using panel data By Keef, Stephen P; Khaled, Mohammed S
  3. Financial market frictions in a model of the euro area By Giovanni Lombardo; Peter McAdam
  4. Equity mutual funds performance in Pakistan: risk & return analysis By Raza, Syed Ali; Raza, Syed Aoun; Zia, Abassi

  1. By: Khaled, Mohammed S; Keef, Stephen P
    Abstract: Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the implication of these test results when they seem to disagree. We distinguish between two different types of predictability, called "structural predictability" and "error predictability". Standard unit root tests pick up structural predictability. VR tests pick up both structural and error predictability.
    Keywords: Unit Root, Weak Form Efficiency, Random Walk, Autocorrelation, Variance Ratio,
    Date: 2011–12–20
  2. By: Keef, Stephen P; Khaled, Mohammed S
    Abstract: This examination of the Friday the 13th effect, in 62 international stock indices for the period 2000 to 2008, characterises the degree that the effect is influenced by: (i) the GDP of the economy and (ii) the sign of the return on the prior day. These effects are assessed by the use of an EGLS panel regression model incorporating panel corrected standard errors. The turn of the month effect on Fridays is also examined. Three important results relating to the Friday the 13th effect are observed. First, the depressed Friday the 13th effect is present when the return on the prior day is negative. Second, when the return on the prior day is positive, the depressed Friday the 13th effect is absent. Third, the depressed Friday the 13th effect is independent of the GDP of the country when the returns on control Fridays are used as the yardstick.
    Keywords: Friday the 13th effect, turn of the month effect, international, stock indices, between-country,
    Date: 2011–12–20
  3. By: Giovanni Lombardo (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.); Peter McAdam (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
    Abstract: We build a model of the euro area incorporating financial market frictions at the level of firms and households. Entrepreneurs borrow from financial intermediaries in order to purchase business capital, in the spirit of the "financial accelerator" literature. We also introduce two types of households that differ in their degree of time preference. All households have preferences for housing services. The impatient households are faced with a collateral constraint that is a function of the value of their housing stock. Our aim is to provide a unified framework for policy analysis that emphasizes financial market frictions alongside the more traditional model channels. The model is estimated by Bayesian methods using euro area aggregate data and model properties are illustrated with simulation and conditional variance and historical shock decomposition. JEL Classification: C11, C32, E32, E37.
    Keywords: Financial Frictions, euro area, DSGE modeling, Bayesian estimation, simulation, decompositions.
    Date: 2012–02
  4. By: Raza, Syed Ali; Raza, Syed Aoun; Zia, Abassi
    Abstract: The purpose of this study is to find the performance of the Pakistani mutual fund industry. The performance of these funds can be considered to be very good relative to the market portfolio. This research study is focused on Secondary source of data. Analysis apply will require to investigate the related matters of research, which includes the related data of profitability ratios comprising of 12 Asset management companies (AMCs) annual reports in different time period from 1999 to 2009 using yearly returns of the different Mutual Funds. The multiple regression method is used in this paper for the performance of the funds. The results of this research explain that Market Portfolio (MP), Pakistan Investment Bonds (PIBs) are having positive and significant impact on Yearly Return (YR) of different Mutual Funds but dividends (DIV) is having negative and insignificant impact on yearly return of mutual funds, so it is recommended that it is still in early days of mutual funds in Pakistani market. The dividend had always a negative impact on the yearly returns (YR) of mutual funds because the Net Asset Value (NAV) is decreasing after giving dividend at the end of the fiscal year. This study will also add to the body of knowledge as it can be a useful reference to other researchers who are keen to carry out studies on the performance of other types of Mutual Funds in Pakistan.
    Keywords: Yearly Return of Mutual Funds; Dividends; Market Portfolio; Pakistan Investment Bonds; and Net Asset Value
    JEL: G11
    Date: 2011–08–13

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