Title: Effects of some indicators on existence of anomalies in frontier stock markets
Authors: Anna Czapkiewicz - AGH University of Science and Technology (Poland) [presenting]
Adam Zaremba - University of Dubai (United Arab Emirates)
Abstract: The study discusses the performance of 120 anomalies from the finance literature in the frontier markets. Taking into account properties of financial time series, we discuss the Markov switching AR(1) model with two states to verify the anomaly existence. Furthermore, we consider the role of some indicators for the anomaly occurrence. We verify the effects of the indicators of investor sentiment and limits on arbitrage. For this purpose, we adapt the Markov switching AR(1) model with time-varying matrix transition probability (TVTMP). We demonstrate convincing evidence for the predictability in anomaly performance.