Similar Search Results

International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence

Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2009

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

Persistent link: https://www.econbiz.de/10010266058

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009

subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …

Persistent link: https://www.econbiz.de/10010274514

Are the Baltic countries ready to adopt the Euro?: a generalised purchasing power parity approach

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2008

This paper focuses on macroeconomic interdependencies between the Euro area and three transition economies (Estonia …, Lithuania and Latvia), with the aim of establishing whether the latter are ready to adopt the Euro. The theoretical framework is … exchange rate vis-à-vis the Euro of each Baltic country, reflecting a degree of real convergence consistent with Optimum …

Persistent link: https://www.econbiz.de/10010264406

The Euro changeover and price adjustments in Italy

Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2011

By estimating a staggered price model over the period 1980q1-2010q2, this paper documents that, after the euro …

Persistent link: https://www.econbiz.de/10010274996

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2014

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called “anomalies”, i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...

Persistent link: https://www.econbiz.de/10010352390

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2014

technique for the estimation of the (fractional) integration parameter d. The results suggest that trading strategies aimed at …

Persistent link: https://www.econbiz.de/10010398591

Short-Term Price Overreactions: Identification, Testing, Exploitation

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...

Persistent link: https://www.econbiz.de/10010435765

The Day of the Week Effect in the Crypto Currency Market

Caporale, Guglielmo Maria; Plastun, Alex - 2017

This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto...

Persistent link: https://www.econbiz.de/10011777581

Global and regional spillovers in emerging stock markets : a multivariate GARCH-in-mean analysis

Beirne, John; Caporale, Guglielmo Maria; … - 2009

This paper examines global (mature market) and regional (emerging market) spillovers in local emerging stock markets. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin America, and the Middle East. The models capture a range of...

Persistent link: https://www.econbiz.de/10010265964

Sources of real exchange rate volatility and international financial integration: A dynamic GMM panel approach

Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - 2011

The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels...

Persistent link: https://www.econbiz.de/10010278891