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Winner-Loser Reversals in National Stock Market Indices [electronic resource] : Can they Be Explained? Richards, Anthony J..

Author/Creator:
Richards, Anthony J.
Publication:
Washington, D.C. : International Monetary Fund, 1997.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 97/182.
IMF Working Papers; Working Paper No. 97/182
Format/Description:
Government document
Book
1 online resource (22 p.)
Local subjects:
Arithmetic.
Autocorrelation.
Bonds.
Cointegration.
Confidence interval.
Confidence intervals.
Constant term.
Correlation.
Correlations.
Covariance.
Equation.
Equations.
Equity markets.
Explanatory power.
Extrapolation.
Financial economics.
Financial intermediaries.
Financial markets.
Futures contracts.
Index futures.
Logarithms.
Monte carlo simulations.
Operations research.
Predictability.
Probability.
Significance levels.
Skewness.
Standard deviation.
Standard deviations.
Standard errors.
Statistic.
Statistical significance.
Statistical tests.
Stock market.
Stock market development.
Stock market indices.
Stock markets.
Stock portfolios.
Stock prices.
Stock pricing.
Stock returns.
Survey.
Time series.
World stock market.
Australia.
Canada.
Denmark.
France.
Germany.
Grenada.
Japan.
Norway.
Switzerland.
United Kingdom.
United States.
Summary:
This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world. While there is evidence that small markets are subject to larger reversals than large markets, perhaps because of some form of market imperfection, the reversals are not just a small-market phenomenon. The apparent anomaly of winner-loser reversals in national market indices therefore remains unresolved.
Notes:
Description based on print version record.
Contributor:
Richards, Anthony J.
Other format:
Print Version:
ISBN:
1451859236:
9781451859232
ISSN:
1018-5941
Publisher Number:
10.5089/9781451859232.001
Access Restriction:
Restricted for use by site license.
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