Eric Kyper

Capital market efficiency and the predictability of daily returns

Studies of the weak form of the capital market efficiency theorem infer that there are no predictable properties of the time series of prices of traded securities on organized markets. We examine the weak form of the efficient markets hypothesis with respect to daily closing prices to indicate evidence that daily closing prices have predictable properties. Furthermore, this study of individual securities prices of traded securities on organized markets corroborates previous findings of studies of stock market indexes both in the United States and in other nations’ bourses or stock exchanges. Often, these studies indicated that daily patterns are present in the times series of securities prices. The purpose of this paper is to clarify the existence of time series characteristics of daily stock prices of securities traded on organized exchanges. This study differs from previous studies where the focus was on index numbers of daily stock market prices rather than the actual prices of traded securities in the United States. Furthermore, this study is important because of the weak theory of market efficiency and its application to short-term forecasting of closing prices of traded securities.

Evidence on the seasonality of stock market prices of firms traded on organized markets

Studies of capital market efficiency are important because they infer that there are predictable properties of the time series of prices of traded securities on organized markets. The weak form of the efficient markets hypothesis is put in dispute by the results of this study. Furthermore, this study of individual securities prices of US traded securities corroborates previous findings of studies of stock market indexes both in the USA and for foreign stock exchanges that seasonality is present in the times of securities prices.

Daily Variation, Capital Market Efficiency and Predicting Stock Market Returns

Studies of capital market efficiency are important because they infer that there are predictable properties of the time series of prices of traded securities on organised markets. We examine the weak form of the efficient markets hypothesis to indicate its usefulness in terms of the results of this study. Furthermore, this study of individual securities prices of traded securities on organised markets corroborate previous findings of studies of stock market indexes both in the United States and for foreign stock exchanges that daily patterns are present in the times series of securities prices. You will note also, that the models identified reflect the closing prices on one day less the closing price on the previous day. In this way, we study returns and not average or closing prices.

An investigation of the intention to share media files over peer-to-peer networks

File-sharing over peer-to-peer (P2P) networks once consisted largely of music files, which, when shared, were infringements of copyrights. For this reason, studies of the behavioural intentions (BIs) to share files over P2P networks have often focused on the piracy of music files. However, with improved technology and increased bandwidth, large files such as videos are routinely shared. As industry-led efforts may have had some success stemming illegal file-sharing, and as new and legitimate applications of P2P file-sharing are emerging, it is important to include media files of all types and consider file-sharing that is both legitimate and that which constitutes piracy within the scope of our study. To study the intention to share media files over P2P networks, we evaluate two alternative models. The theory of planned behaviour (TPB) is the underlying theory for both models, one of which is based on the original TPB and one on the decomposed TPB. We test both models using previously validated instruments and find that both models can explain a significant portion of the variance in the intentions to share media files over P2P networks. However, the model based on the decomposed TPB can explain more of the variance. A second advantage of this model is that it can be more readily translated to managerial actions, which are also explored.

ARIMA Modeling With Intervention to Forecast and Analyze Chinese Stock Prices

In this study, we demonstrate the usefulness of ARIMA-Intervention time series analysis as both an analytical and forecast tool. The data base for this study is from the PACAP-CCER China Database developed by the Pacific-Basin Capital Markets (PACAP) Research Center at the University of Rhode Island (USA) and the SINOFIN Information Service Inc, affiliated with the China Center for Economic Research (CCER) of Peking University (China). These data are recent and not fully explored in any published study. The forecasting analysis indicates the usefulness of the developed model in explaining the rapid decline in the values of the price index of Shanghai A shares during the world economic debacle stating in China in 2008. Explanation of the fit of the model is described using the latest development in statistical validation methods. We note that the use of a simpler technique although parsimonious will not explain the variation properly in predicting daily Chinese stock prices. Furthermore, we infer that the daily stock price index contains an autoregressive component; hence, one can predict stock returns.

Look-ahead and look-behind shortcuts in large item category hierarchies: The impact on search performance

Websites use shortcuts to facilitate navigation of large hierarchies of item categories. Two common types of shortcuts used for this purpose are location breadcrumbs and down-to-child/up-to-parent links; frequently both are employed simultaneously. The combined used of these shortcuts provide proximal cues which enable the user to look-ahead and look-behind in the navigational structure. In this study, the impact of shortcut usage on search performance on a known-item search task is estimated. A controlled experiment was conducted using a realistic hypertext hierarchy of item categories. The results indicate that greater use of shortcuts decreases both time on task and lostness for the user, and that the decrease is associated with increased depth in the hierarchy. These findings provide insight into possible performance trade-offs involved in website designs that include look-ahead shortcuts for navigating large item category hierarchies.

Using Business Intelligence for Operational Decision-Making in Call Centers

This paper proposes an operational business intelligence system for call centers. Using data collected from a large U.S. insurance company, the authors demonstrate a decision tree based solution to help the company achieve excellence through improved service levels. The initial results from this study provide insight into the factors affecting this firms call center service levels, and the solution developed in this paper provides two distinct advantages to managers. First, it enables them to identify key factors and the role they play in determining service levels. Second, a sliding window approach is proposed which allows managers to see the effects of resource reallocation on service levels on an on-going basis.

CHARACTERISTICS OF THE CHINESE BOURSES (STOCK MARKETS)

We analyze a data base not heretofore discussed in the literature to determinine some financial characteristics of the Chinese Bourses (Stock Markets). The prupose is to determine if the emerging financial markets of China developed in such a way that here was positive influence associated with technology driven industries. The time period covered and the size of the financials are such that the influence of market anomalies are minimized but the association between closing daily returns for the financial markets are associated with the rise of technology driven industries. In the beginning, we review the growth in financial markets as observed in the growth of financial indicators of the Chinese Bourses. In turn, we study a model to show the relationship between returns and the nature of technology driven industries. Further, we account for the robustness of our final model to remove the effects of autocorrelation in the error term for the estimates equation. We observe some of the financials of each of these industries in noting the distributions of returns by specific industry contain skewness and we observe the differences in these returns as noted the Box Plots of closing returns by industry.