Tests of random walk and market efficiency for Latin American emerging equity markets

JL Urrutia - Journal of financial research, 1995 - Wiley Online Library
Variance‐ratio methodology is used to test the hypothesis that Latin American emerging
equity market prices follow a random walk. The data are monthly index prices in local currency …

The international crash of October 1987: causality tests

AG Malliaris, JL Urrutia - Journal of financial and quantitative …, 1992 - cambridge.org
… Jorge Urrutia acknowledges the financial support provided by a Loyola University of
Chicago summer research grant. … Malliaris and Urrutia 355 … Malliaris and Urrutia 357 …

Analysis and prediction of insolvency in the property-liability insurance industry: A comparison of logit and hazard models

SH Lee, JL Urrutia - Journal of Risk and insurance, 1996 - JSTOR
This article compares the performance of the logit and hazard models in predicting insolvency
and detecting variables that have a statistically significant impact on the solvency of …

[PDF][PDF] The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a hedge: Evidence from foreign currency futures

AG Malliaris, JL Urrutia - Journal of Futures Markets, 1991 - malliaris.me
… Malliaris and Urrutia (1991) confirm earlier results by other authors that hedge ratios for
several foreign currencies change over time and go further to investigate the time series …

Geochemistry constraints of Mesozoic–Cenozoic calc-alkaline magmatism in the South Shetland arc, Antarctica

…, AMG Figueiredo, FM Alexandre, JL Urrutia - Journal of South …, 2005 - Elsevier
Geochemical data from basalts, basaltic andesites, and andesites of the Mesozoic–Cenozoic
(143–44Ma) from Livingston, Greenwich, Robert, King George, and Ardley Islands of the …

[PDF][PDF] Linkages between agricultural commodity futures contracts

AG Malliaris, JL Urrutia - Journal of Futures Markets, 1996 - malliaris.me
Two distinct methodologies are used in price determination: partial equilibrium analysis and
general equilibrium analysis. Tbe former empbasizes supply and derhand conditions for a …

[PDF][PDF] Volume and price relationships: hypotheses and testing for agricultural futures

AG Malliaris, JL Urrutia - Journal of Futures Markets, 1998 - malliaris.me
The relationship between trading volume and price variability has been examined extensively.
The theoretical motivation of earlier studies such as Ying (1966), Crouch (1970), Clark (…

An empirical investigation among real, monetary and financial variables

AG Malliaris, JL Urrutia - Economics letters, 1991 - Elsevier
This paper attempts to make an empirical contribution to the literature on the relationships
among real, monetary and financial variables of the economy. Using the methodology of …

Long‐term and Short‐term Causal Relations between Dividends and Stock prices: a Test of Lintner's Dividend Model and The present value model of stock prices

HM Sung, JL Urrutia - Journal of Financial Research, 1995 - Wiley Online Library
In this paper we test the joint implications for the intertemporal behavior of stock prices and
dividends expressed in the Lintner dividend model and the present value model of stock …

Variance ratio tests of random walk for foreign exchange rates

JL Urrutia - Economics Letters, 1992 - Elsevier
JL Urrutia / Vurimce ratio tests of rundom walk for exchange … JL Urrutia / Variance ratio tests
of random walk for exchange … JL Urrutia / Variance ratio tests of random walk for exchange …