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Witching Days and Abnormal Profits in the US Stock Market
Caporale, Guglielmo Maria; Plastun, Alex - 2021
This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...
Persistent link: https://www.econbiz.de/10013323081
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Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us
Haase, Felix; Neuenkirch, Matthias - 2021
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10013250734
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Stock Market Linkages between the ASEAN Countries, China and the Us : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2019
This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...
Persistent link: https://www.econbiz.de/10012891049
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High and Low Prices and the Range in the European Stock Markets : A Long-Memory Approach
Caporale, Guglielmo Maria - 2019
market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all …
Persistent link: https://www.econbiz.de/10012866394
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Cycles and Long-Range Behaviour in the European Stock Market
Caporale, Guglielmo Maria - 2019
This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...
Persistent link: https://www.econbiz.de/10012859046
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The Effects of the COVID-19 Pandemic on Stock Markets, CDS and Economic Activity : Time-Varying Evidence from the US and Europe
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers …
Persistent link: https://www.econbiz.de/10013211119
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Gold and Oil Prices : Abnormal Returns, Momentum and Contrarian Effects
Caporale, Guglielmo Maria - 2020
This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the following ones in two commodity markets. Specifically, using daily Gold and Oil price data over the period 01.01.2009-31.03.2020 the following hypotheses are tested: H1) there are...
Persistent link: https://www.econbiz.de/10012827113
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Momentum Effects in the Cryptocurrency Market after One-Day Abnormal Returns
Caporale, Guglielmo Maria - 2019
This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the US dollar over the period...
Persistent link: https://www.econbiz.de/10012859990
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Detecting Coverage Bias in User-Generated Content
Kerkhof, Anna; Munster, Johannes - 2021
small to medium size coverage bias against MPs from the center-left parties in Germany and in France. A plausible … bias on user-generated content platforms are rare. We develop a novel procedure to detect coverage bias – i.e., bias in the … disentangle coverage bias from unobserved heterogeneity between observations. We apply our procedure to Wikipedia and examine …
Persistent link: https://www.econbiz.de/10013250038
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The Economic Effects of Brexit - Evidence from the Stock Market
Breinlich, Holger - 2018
We study stock market reactions to the Brexit referendum on 23 June 2016 in order to assess investors’ expectations about the effects of leaving the European Union on the UK economy. Our results suggest that initial stock price movements were driven by fears of a cyclical downturn and by the...
Persistent link: https://www.econbiz.de/10012908678