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This paper investigates whether the predictability of futures returns is due to weak-form market inefficiency or to rational variation in the return required by investors over time. Market efficiency is tested with respect to the hypothesis that a conditional multifactor model that allows for...
Persistent link: https://www.econbiz.de/10009207131
This article identifies some shortcomings in the tests of the Keynesian hypothesis implemented so far. The previous studies either assume integration between futures and equity markets or rely on a methodology that might produce incorrect inferences regarding the presence of a futures risk...
Persistent link: https://www.econbiz.de/10005452297
Recent US research has focused upon the linkages between net mutual fund flows and their impact upon aggregate equity market returns. If a positive feedback relationship exists between investment flows and stock returns then there also exists the possibility that a market downturn or crash will...
Persistent link: https://www.econbiz.de/10009206765
Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in...
Persistent link: https://www.econbiz.de/10009206922