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Dergiler / Ege Akademik Bakış / 2020 / Cilt: 20 - Sayı: 4

Mean Reversion in International Equity Markets

Ömer EREN
Cenk C. KARAHAN
Sayfa
333–355
Yayın Tarihi
2022-10-12
DOI
—
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Moreover, firm size and return type exhibit significant effects on the degree of mean reversion.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Mean reversion is a phenomenon that has been consistently observed and refuted in several studies over the last decades.
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Temel Bulgular & Veri:This study first aims at shedding further light on this unsettled issue by assessing mean reversion on recent data in a broad range of international equity markets including developed and emerging markets and international indices provided by MSCI.
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Sonuç & Katkı:Moreover, firm size and return type exhibit significant effects on the degree of mean reversion.
🔬Tür:Araştırma Makalesi
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Alan Parametreleri

Abstract

Mean reversion is a phenomenon that has been consistently observed and refuted in several studies over the last decades. This study first aims at shedding further light on this unsettled issue by assessing mean reversion on recent data in a broad range of international equity markets including developed and emerging markets and international indices provided by MSCI. Variance ratio computations and a novel distribution-free statistical tests based on randomization are used on dollar denominated nominal, real and excess returns of these equity markets. The results indicate that mean reversion exists in both developed and emerging countries, albeit its statistical significance is occasionally dubitable. Moreover, firm size and return type exhibit significant effects on the degree of mean reversion.

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Bu Makaleye Atıf Yap

EREN, Ö., KARAHAN, C. C. (2022). Mean Reversion in International Equity Markets. Ege Akademik Bakış, Cilt: 20 - Sayı: 4, 333–355. https://ajindex.com/articles/495112

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Kaynakça (3)

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