An investigation of the mean reversion of hospitality stock prices towards their fundamental values: The case of Taiwan

2007 ◽  
Vol 26 (2) ◽  
pp. 453-467 ◽  
Author(s):  
Ming-Hsiang Chen ◽  
Woo Gon Kim ◽  
Ching-Yi Chen
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
The Mean ◽  
Fundamental Values

Stock Market Bubbles? A Reply

1995 ◽  
Vol 55 (3) ◽  
pp. 655-665 ◽  
Author(s):  
Eugene N. White
Keyword(s):  
Stock Market ◽  
Mutual Fund ◽  
Stock Prices ◽  
Mean Reversion ◽  
Efficient Markets ◽  
Excess Volatility ◽  
Stock Market Bubbles ◽  
The Mean ◽  
Predictable Returns

Research in finance is guided by powerful intuitions from models of efficient markets. However, researchers have uncovered a number of puzzles that are not explained by these models. Such anomalies include the excess volatility of stock prices, the closed-end mutual fund paradox, and the mean reversion in stock prices that produces predictable returns for long holding periods.1 Whereas financial economists all recognize the existence of these puzzles, they disagree about how they can be explained. Robert J. Shiller argues, for example, that efficient-markets models cannot hope to explain these anomalies and looks to alternatives that incorporate fads.2 In contrast, John H. Cochrane believes that the puzzles can be explained by improved models of fundamentals.3

Mean reversion of Singapore property stock prices towards their fundamental values

2002 ◽  
Vol 20 (4) ◽  
pp. 374-387 ◽  
Author(s):  
Tien Foo Sing ◽  
Kim Hiang Liow ◽  
Wei‐Jin Chan
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
Fundamental Values

MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES

2002 ◽  
Vol 05 (06) ◽  
pp. 645-657 ◽  
Author(s):  
JAVIER DEPENYA ◽  
L. A. GIL-ALANA
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Stock Prices ◽  
Mean Reversion ◽  
Small Degree ◽  
Market Returns ◽  
Market Prices ◽  
Stock Market Returns ◽  
The Mean ◽  
Spanish Stock Market

In this article we examine the mean-reverting property in the Spanish stock market prices by means of looking at its order of integration. We use several semiparametric procedures proposed by P. M. Robinson in a number of papers. The results show that, though the unit root hypothesis cannot be rejected in the log of the stock prices, the estimated order of integration in the first differenced series, (i.e. in the stock market returns), is slightly below zero, implying that there exists a small degree of mean reversion in the behaviour of prices.

scholarly journals MEAN REVERSION: AN INVESTIGATION FROM KARACHI STOCK EXCHANGE SECTORS

2016 ◽  
Vol 22 (4) ◽  
pp. 493-511 ◽  
Author(s):  
Jolita VVEINHARDT ◽  
Dalia STREIMIKIENE ◽  
Ahmed Raheem RIZWAN ◽  
Ahmad NAWAZ ◽  
Aniqe REHMAN
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Mean Reversion ◽  
Future Research ◽  
Investment Companies ◽  
Time Period ◽  
The Mean ◽  
Time Periods ◽  
The Individual

This article analyses the sectors of Karachi stock exchange in order to determine if there is any presence of mean reversion phenomenon in the stock market sectors and also an attempt to determine the pace of mean reversion. To conduct this research, secondary data is collected from the State Bank Bulletin. The frequency of the data is monthly. The variables include the individual; the data was obtained from 24 sectors returns over the period of 17 years from January 1992 to June 2008. The GARCH (1, 1) model was used to find the outcomes and the effects. In the two sectors out of 24 sectors, the GARCH and ARCH effects were significant, namely, in the Jute and Banks & Investment Companies. We studied the mean reverting process in the KSE sectors over a specific time period. Since, the mean reversion varies over different time periods. Therefore, it would be a good area for future research to study the reasons, why the market reacts differently over different time periods and to determine the reasons for such variations. The paper contributes to Stock Prices returns and investment opportunities by studying the Mean Reversion Phenomenon.

Nonlinear Mean Reversion in Stock Prices

CFA Digest ◽  
2008 ◽  
Vol 38 (4) ◽  
pp. 37-38
Author(s):  
Michael Kobal
Keyword(s):  
Stock Prices ◽  
Mean Reversion ◽  
Nonlinear Mean Reversion

Calibration of Temperature Futures by Changing the Mean Reversion

2015 ◽  
Author(s):  
Fred Espen Benth ◽  
Salvador Ortiz-Latorre
Keyword(s):  
Mean Reversion ◽  
The Mean
Sign in / Sign up

Export Citation Format

Share Document