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Bitcoin Fluctuations and the Frequency of Price Overreactions

Caporale, Guglielmo Maria - 2019

This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...

Persistent link: https://www.econbiz.de/10012892294

The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex

Caporale, Guglielmo Maria - 2020

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...

Persistent link: https://www.econbiz.de/10012837673

Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10013250734

Liberalization and Stock Market Co-Movement between Emerging Economies

Beine, Michel A. R.; Candelon, Bertrand - 2021

In this paper, we investigate the impact of trade and financial liberalization on the degree of stock market co-movement among emerging economies. Using a sample of 25 developing countries observed over 15 years, we estimate the impact of reforms which aim at opening these countries to trade and...

Persistent link: https://www.econbiz.de/10013316796

Aggregate Insider Trading and Stock Market Volatility in the UK

Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …

Persistent link: https://www.econbiz.de/10014347820

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

To React or Not? Fiscal Policy, Volatility and Welfare in the EU-3

Malley, Jim - 2008

policy is purely to stabilize output or debt volatility, then our results suggest substantial reductions can be obtained …, especially with respect to output. In stark contrast, however, a formal general equilibrium welfare assessment of the volatility …

Persistent link: https://www.econbiz.de/10012773638

Debt Shifting and Transfer Pricing in a Volatile World

Comincioli, Nicola; Panteghini, Paolo; Vergalli, Sergio - 2021

In this article we introduce a stochastic model with a multinational company (MNC) that exploits tax avoidance practices. We focus on both transfer pricing (TP) and debt shifting (DS) activities and show how their optimal level is chosen by the shareholders. In addition, we perform an extensive...

Persistent link: https://www.econbiz.de/10013251265

A high-low model of daily stock price ranges

Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan Tze Kin - 2008

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

Persistent link: https://www.econbiz.de/10010277079

Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises

Gürkaynak, Refet S. - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10012908673

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