Maritime businesses: volatile stock prices and market valuation inefficiencies |
| |
| Institution: | 1. Department of Business Computer Information Systems and Economics, Western Carolina University College of Business, Cullowhee, NC 28723, USA;2. Department of Marine Transportation, United States Merchant Marine Academy, 300 Steamboat Road, Kings Point, NY 11024, USA;1. Department of Earth and Atmospheric Sciences, Central Michigan University, USA;2. Department of Mechanical and Materials Engineering, University of Western Ontario, London, Ontario, Canada N6A 5B9;1. Department of Pediatrics, The University of Wisconsin, Madison WI;2. Department of Human Oncology, The University of Wisconsin, Madison WI;3. Department of Genetics, The University of Wisconsin, Madison WI;1. Fudan University, Shanghai 200433, China;2. Iowa State University, Ames, IA 50011, USA;1. Université Paris-Dauphine, PSL Research University, CNRS, UMR [7243], Lamsade, 75016 Paris, France;2. Murat Sertel Center for Advanced Economic Studies, Istanbul Bilgi University, Turkey;1. Division of Orthopaedic Surgery, McMaster University, Hamilton, Ontario, Canada;2. Department of Orthopaedic Surgery, University of Michigan, Ann Arbor, Michigan |
| |
| Abstract: | This paper examines 12 maritime equity price series for behavioral stability and efficient market pricing for the 1989–2002 period. Five self-affine fractal analysis techniques for estimating the Hurst exponent, Mandelbrot–Lévy characteristic exponent, and fractal dimension are employed to explore the price series fractal properties. Techniques employed are rescaled-range analysis, power-spectral density analysis, roughness–length analysis, the variogram or structure function method, and wavelet analysis. Formal hypothesis tests provide evidence of a change in market behavior between the 1989–1994 and 1995–2002 periods. Hypothesis tests also provide evidence against efficient valuation of the maritime businesses sampled, supporting the multifractal model of asset returns (MMAR), and disconfirming the weak form of the Efficient Market Hypothesis (EMH). Strong evidence is presented for antipersistence of some maritime equities in the sample, suggesting market participants habitually overreact to new information, and never learn not to. An important implication of this finding is that financial derivatives based on the sampled equities cannot be efficiently priced. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
