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The dependence structure between carbon emission allowances and financial markets : a copula analysis
Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011
This paper applies different copulas in order to investigate the complex dependence structure between EU emission … correlations between returns of emission allowances and other financial variables. Secondly, considering time-varying copulas shows … dependence might lead to an underestimation of the risk for portfolios combining EUAs with commodities or equity investments …
Persistent link: https://www.econbiz.de/10009011778
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Momentum effects in the cryptocurrency market after one-day abnormal returns
Caporale, Guglielmo Maria; Plastun, Alex - 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/10012118561
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The standard portfolio choice problem in Germany
Huck, Steffen; Schmidt, Tobias; Weizsäcker, Georg - 2015
safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with …
Persistent link: https://www.econbiz.de/10011298558
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The dynamics of households' stock market beliefs
Gaudecker, Hans-Martin von; Wogrolly, Axel - 2019
We analyse a long panel of households' stock market beliefs to gain insights into the nature of their expectations formation processes. We classify respondents into one of five groups based on their data and estimate group-wise models of expectations formation. Two of the groups are at opposite...
Persistent link: https://www.econbiz.de/10011996781
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Misperceived returns to active investing
Haaland, Ingar; Naess, Ole-Andreas Elvik - 2023
We conduct field experiments with retail investors recruited from a social trading platform. In our main experiment, we first elicit beliefs about the returns to active investing. We then generate exogenous variation in beliefs by providing treated respondents with information about index funds...
Persistent link: https://www.econbiz.de/10013536190
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Mental models of the stock market
Andre, Peter; Schirmer, Philipp; Wohlfart, Johannes - 2023
Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...
Persistent link: https://www.econbiz.de/10014383579
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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
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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/10012252384
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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/10011789179
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10003965868