This paper analyses the issue of the dynamics of the TARGET2 system balances during the sovereign debt crisis, when some countries registered a decisive inflow of the central bank liquidity and others showed an outflow. The dynamics in the TARGET2 are here explained as being due to a fall in the...

The topic of contagion has gained importance in the last few decades, earning its place amongst the most debated topics in international economics. Contagion is a phenomenon where market disturbances in crisis times are observed to spread from one country to the other in the form of comovements...

We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting...

This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling...

In the mutual fund literature, it is an established fact that investors "chase past performance". However, the opposite impact of flows on performance is widely discussed. Mainly, liquidity costs are held responsible for short-term erosion of performance, while high inflows enhance performance...

The encouragement of potential investors who are emotionally broken by past losses and market experiences is crucial to the sustainable flow of funds to the stock market. This can be established by building a knowledge-creating mechanism among investors in their cognitive dimensions, which, in...

Human activities widely exhibit a power-law distribution. Considering stock trading as a typical human activity in the financial domain, the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity. Interestingly, this paper determines...

This study examined momentum profitability in Australia, providing further evidence for intermediate-term momentum profitability. Using data spanning different market states, we found that momentum was stronger after the global financial crisis. We also examined industry-level momentum...

We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using daily returns. The empirical analysis for the U.S. and for Europe shows that (i) past alpha has power in predicting the cross-section of stock returns; (ii) alpha momentum...

Developing efective strategies to earn excess returns in the stock market is a cuttingedge topic in the feld of economics. At the same time, stock price forecasting that supports trading strategies is considered one of the most challenging tasks. Therefore, this study analyzes and extracts news...