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Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10009011784

The weekend effect : a trading robot and fractional integration analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by...

Persistent link: https://www.econbiz.de/10010367366

Intraday anomalies and market efficiency : a trading robot analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 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/10010344868

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 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/10010431281

What drives financial development? : a meta-regression analysis

Doucouliagos, Chris; Haan, Jakob de; Sturm, Jan-Egbert - 2020

robustly established that remittances and trust matter for financial development. …

Persistent link: https://www.econbiz.de/10012229266

The limits of trust in economic transactions : investigations of perfect reputation systems

Bolton, Gary E. (contributor); Ockenfels, Axel (contributor) - 2008

Persistent link: https://www.econbiz.de/10003635261

Does laboratory trading mirror behavior in real world markets? : fair bargaining and competitive bidding on EBay

Bolton, Gary E. (contributor); Ockenfels, Axel (contributor) - 2008

Persistent link: https://www.econbiz.de/10003647263

How social reputation networks interact with competition in anonymous online trading : an experimental study

Bolton, Gary E. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003674386

The dynamic interplay of inequality and trust : an experimental study

Greiner, Ben (contributor); Ockenfels, Axel (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003624788

Trade, trust and institutions

Yu, Shu; Haan, Jakob de; Beugelsdijk, Sjoerd - 2011

To investigate the relation between trust and formal institutions, we analyze bilateral trade patterns in a sample of … 16 European countries between 1996-2009. Trust in trading partners has a significant positive effect on bilateral trade …. However, our results suggest that trust and formal institutions are substitutes, as the positive effect of trust on trade is …

Persistent link: https://www.econbiz.de/10009300684