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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
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Uncertainty and the Cost of Bank vs. Bond Finance
Grimme, Christian - 2019
How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper … finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending … the value of the lending relationship and lowers the lending rate. Bond investors demand compensation for the increased …
Persistent link: https://www.econbiz.de/10012892132
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US Municipal Green Bonds and Financial Integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …
Persistent link: https://www.econbiz.de/10014358701
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On the Frequency of Price Overreactions
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries out various statistical tests (both parametric and...
Persistent link: https://www.econbiz.de/10011872068
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
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/10011932030
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 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/10012207961
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Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects
Caporale, Guglielmo Maria; Plastun, Alex - 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/10012269515
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Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets
Caporale, Guglielmo Maria; Plastun, Alex - 2020
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...
Persistent link: https://www.econbiz.de/10012425689
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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
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Price Overreactions in the Cryptocurrency Market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...
Persistent link: https://www.econbiz.de/10011794200