1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/14123
DC FieldValueLanguage
dc.contributor.authorMichail, Nektarios A.-
dc.date.accessioned2019-06-26T10:49:36Z-
dc.date.available2019-06-26T10:49:36Z-
dc.date.issued2019-
dc.identifier.citationInternational Journal of Banking, Accounting and Finance, 2019, vol. 10, no. 2, pp. 162-180en_US
dc.identifier.issn17553830-
dc.description.abstractThe return predictability of 242 companies with continuous daily trading in the Standard and Poor’s index during the 2000–2014 period is examined using rolling variance ratio tests. The results indicate that predictability is time-varying and stock-specific, a finding which is in accordance to the adaptive market hypothesis. During the great recession the number of stocks whose returns were found to be predictable increased substantially, especially during the period of Lehman Brothers bankruptcy. Importantly, predictability is found to be driven by changing market conditions, such as stock market volatility and economic fundamentals.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofInternational Journal of Banking, Accounting and Financeen_US
dc.rights© Inderscience Enterprises Ltd.en_US
dc.subjectAdaptive marketsen_US
dc.subjectGreat recessionen_US
dc.subjectMean reversionen_US
dc.subjectStock market predictabilityen_US
dc.titleStock market predictability 2000–2014: The effect of the great recessionen_US
dc.typeArticleen_US
dc.collaborationCentral Bank of Cyprusen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationThe Cyprus Centre for Business Researchen_US
dc.subject.categoryOther Social Sciencesen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1504/IJBAAF.2019.099431en_US
dc.identifier.scopus2-s2.0-85065146550en
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85065146550en
dc.contributor.orcid#NODATA#en
dc.relation.issue2en_US
dc.relation.volume10en_US
cut.common.academicyear2018-2019en_US
dc.identifier.spage162en_US
dc.identifier.epage180en_US
item.languageiso639-1en-
item.cerifentitytypePublications-
item.fulltextNo Fulltext-
item.grantfulltextnone-
item.openairetypearticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0001-9003-3225-
crisitem.author.parentorgFaculty of Management and Economics-
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