Nội dung được dịch bởi AI, chỉ mang tính chất tham khảo
Đi bộ ngẫu nhiên, hiệu quả thị trường vốn và dự đoán lợi nhuận cổ phiếu cho Công ty Cổ phần Chứng khoán Hồng Kông và Thanh toán Bù trừ
Tóm tắt
Từ khóa
Tài liệu tham khảo
Balvers, R.J., Cosimano, T.F. and MacDonald, B. (1990), “Predicting stock returns in an efficient market”, Journal of Finance, Vol. 45, pp. 1109‐28.
Black, A. and Fraser, P. (1995), “UK stock returns: predictability and business conditions”, The Manchester School Supplement, Vol. 63, pp. 85‐102.
Bowerman, B.L. and O'Connell, R.T. (1993), Forecasting and Time Series, Duxbury Press, Boston, MA.
Breen, W., Glosten, L.R. and Jagannathan, R. (1990), “Predictable variations in stock index returns”, Journal of Finance, Vol. 44, pp. 1177‐89.
Campbell, J.Y. (1987), “Stock returns and the term structure”, Journal of Financial Economics, Vol. 18 No. 2, pp. 373‐99.
Caporale, G.M. and Gil‐Alana, L.A. (2002), “Fractional integration and mean reversion in stock prices”, Quarterly Review of Economics and Finance, Vol. 42 No. 3, pp. 599‐609.
Clare, A.D., Psaradakis, Z. and Thomas, S.H. (1995), “An analysis of seasonality in the UK equity market”, Economic Journal, Vol. 105, pp. 398‐409.
Clare, A.D., Thomas, S.H. and Wickens, M.R. (1994), “Is the gilt‐equity yield ratio useful for predicting UK stock return?”, Economic Journal, Vol. 104, pp. 303‐15.
Fama, E.F. (1955), “The behavior of stock market prices”, Journal of Business, Vol. 38, pp. 34‐105.
Fama, E.F. (1970), “Efficient capital markets: a review of theory and empirical work”, Journal of Finance, Vol. 25, pp. 383‐417.
Fama, E.F. and French, K.R. (1989), “Business conditions and expected returns on stocks and bonds”, Journal of Financial Economics, Vol. 25, pp. 23‐49.
Francis, J.C. (1993), Management of Investments, McGraw‐Hill, New York, NY.
Granger, C.W.J. (1992), “Forecasting stock market prices: lessons for forecasters”, International Journal of Forecasting, Vol. 8, pp. 3‐13.
Jarrett, J. and Kyper, E. (2005a), “Daily variation, capital market efficiency and predicting stock returns”, Management Research News, Vol. 28 No. 8, pp. 34‐47.
Jarrett, J. and Kyper, E. (2005b), “Evidence on the seasonality of stock market prices of firms traded on organized markets”, Applied Economics Letters, Vol. 12, pp. 537‐43.
Jarrett, J. and Kyper E. (2006), “Capital market efficiency and the predictability of daily returns”, Applied Economics, Vol. 38, pp. 631‐6.
Kato, K. (1990a), “Weekly patterns in Japanese stock returns”, Management Science, Vol. 36, pp. 1031‐43.
Kato, K. (1990b), “Being a winner in the Tokyo stock market”, Journal of Portfolio Management, Vol. 16, pp. 52‐6.
Kubota, K. and Takahara, H. (2003), “Financial sector risk and the stock returns: evidence from Tokyo Stock Exchange firms”, Asia‐Pacific Financial Markets, Vol. 10 No. 1, pp. 1‐85.
Lo, A.W. and MacKinley, A.C. (1988), “Stock market prices do not follow a random walk: evidence from a simple specification test”, Review of Financial Studies, Vol. 1, pp. 41‐66.
Lo, A.W. and MacKinley, A.C. (1990), “When are contrarian profits due to stock market overreaction?”, Review of Financial Studies, Vol. 3, pp. 175‐205.
Moorkejee, R. and Yu, Q. (1999), “Seasonality in returns on the Chinese stock markets: the case of Shanghai Shenzhen”, Global Finance Journal, Vol. 10, pp. 93‐105.
Pesaran, M.H. and Timmermann, A. (1995), “The robustness and economic significance of predictability of stock returns”, Journal of Finance, Vol. 50, pp. 1201‐28.
Pesaran, M.H. and Timmermann, A. (2000), “A recursive modeling approach to predicting UK stock returns”, The Economic Journal, Vol. 110, pp. 159‐91.
Poterba, J.M. and Summers, L.H. (1988), “Mean reversion in stock prices: evidence and implications”, Journal of Financial Economics, Vol. 22, pp. 27‐59.
Ray, B., Chen, S. and Jarrett, J.E. (1997), “Identifying permanent and temporary components in Japanese stock prices”, Financial Engineering and the Japanese Markets, Vol. 4, pp. 233‐56.
Rothlein, C.J. and Jarrett, J.E. (2002), “Seasonality in prices of Japanese common stock”, International Journal of Business and Economics, Vol. 1, pp. 21‐31.
Dickey, D.A. and Fuller, W.A. (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, Vol. 74, pp. 427‐31.
Diebold, F.X. and Rudebusch, G.D. (1994), “On the power of Dickey‐Fuller tests against fractional alternatives”, Economics Letters, Vol. 35, pp. 155‐60.
Hassler, U. and Wolters, J. (1994), “On the power of unit root tests against fractional alternatives”, Economics Letters, Vol. 45, pp. 1‐5.
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992), “Testing the null hypothesis of stationarity against the alternative of a unit root”, Journal of Econometrics, Vol. 54, pp. 159‐78.
MacKinnon, J.G. (1991), “Critical values for cointegration tests”, in Engle, R.F. and Granger, C.W.J. (Eds), Long‐run Economic Relationships: Readings in Cointegration, Oxford University Press, Oxford.
Ng, S. and Perron, P. (2001), “Lag selection criterion and the construction of unit root tests with good size and power”, Econometrica, Vol. 69, pp. 1519‐54.
Phillips, P.C.B. and Perron, P. (1988), “Testing for a unit root in a time series regression”, Biometrika, Vol. 75, pp. 335‐46.
Said, S.E. and Dickey, D.A. (1984), “Testing for unit roots in autoregressive moving average models of unknown order”, Biometrika, Vol. 71, pp. 599‐607.
