scholarly journals Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century

2010 ◽  
Author(s):  
Laura Spierdijk ◽  
Jacob Antoon Bikker ◽  
Pieter van den Hoek
Keyword(s):  
20Th Century ◽  
Empirical Analysis ◽  
Stock Markets ◽  
Mean Reversion ◽  
International Stock Markets

scholarly journals SPEED OF MEAN REVERSION: AN EMPIRICAL ANALYSIS OF KSE, LSE AND ISE INDICES

2018 ◽  
Vol 24 (4) ◽  
pp. 1435-1452 ◽  
Author(s):  
Rana Imroze Palwasha ◽  
Nawaz Ahmad ◽  
Rizwan Raheem Ahmed ◽  
Jolita Vveinhardt ◽  
Dalia Štreimikienė
Keyword(s):  
Empirical Analysis ◽  
Stock Markets ◽  
Research Study ◽  
Mean Reversion ◽  
Reversion Rate ◽  
Trade Off ◽  
Stock Indices ◽  
Daily Data ◽  
The Mean

The purpose of this study is to determine the presence of mean reversion in the stock markets indices of Pakistan, moreover, to measure, and compare the speed of mean reversion of the stock markets indices across Pakistan. In order to carry out the research study, the daily data of three stock indices of Pakistan such as: KSE-100, LSE-25 and ISE-10 are collected from 2003 to 2014. After the application of tests such as ARCH and GARCH, it was found that returns series of KSE-100, LSE-25 and ISE-10 indices exhibit mean reversion, indicating that the returns revert back to their historical value after reaching an extreme value. Further, the mean reversion rate shows that KSE-100 index has the slowest mean reversion, however, the ISE-10 index has the fastest mean reversion among the three indices. Therefore, the results of the study concluded that KSE-100 index, due to the slowest mean reversion rate has higher volatility over a longer period of time. On the contrary, since, ISE-10 index has exhibited the fastest mean reversion with the lowest volatility as compared to others. But due to fast mean reversion rate, it will help investors to gain profits over a shorter period of time. Thus, it can be recommended that the investor willing to bear the risk of time and looking for long-term investment should invest in KSE-100 index. However, investors looking for higher profits in a shorter period can invest in the ISE-10 index but with higher risk-returns trade-off.

Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

2015 ◽  
Vol 11 (1) ◽  
pp. 13
Author(s):  
Elfa Rafulta ◽  
Roni Tri Putra
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Data ◽  
International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

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