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- W2568953405 abstract "We document the presence of the random walk effect in stock indices and, at the same time, find that the constituent stocks of the indices are excessively volatile. This gives rise to a paradox in stock markets between the behaviour of the stock index and its constituent stocks. We address this phenomenon in this article and reconcile the seemingly contradictory inferences by extending the Binomial Markov Random Walk (BMRW) model. JEL Classification: C15, C58, G15" @default.
- W2568953405 created "2017-01-13" @default.
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- W2568953405 date "2016-12-01" @default.
- W2568953405 modified "2023-09-27" @default.
- W2568953405 title "Modelling the Paradox in Stock Markets by Variance Ratio Volatility Estimator that Utilises Extreme Values of Asset Prices" @default.
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- W2568953405 doi "https://doi.org/10.1177/0972652716666464" @default.
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