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How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic

Khoa Dang Duong; Man Minh Tran; Diep Van Nguyen; Hoa … - In: Cogent economics & finance 10 (2022) 1, pp. 1-17

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …

Persistent link: https://www.econbiz.de/10013373164

Do initial reserves signal long-term IPO stock performance?

Cheng, Peng - In: Cogent economics & finance 3 (2015) 1, pp. 1-11

This research examines the long-run Initial Public Offerings (IPO) stock performance of a large Chinese sample, and in particular the relationship between initial reserves (capital reserves and revenue reserves immediately after the IPO) and long-run IPO stock performance. In general, Chinese...

Persistent link: https://www.econbiz.de/10010492409

Cross-sectional returns predictability for emerging market banks : a study on Indian banking system

Mohapatra, Sabyasachi; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-17

Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated...

Persistent link: https://www.econbiz.de/10012023368

Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any changes in relevant risk are assumed to be a result of...

Persistent link: https://www.econbiz.de/10012023919

Ramadan effect on stock market return and trade volume : evidence from Dhaka Stock Exchange (DSE)

Hassan, Md. Hashibul; Kayser, Md. Shahidullah - In: Cogent economics & finance 7 (2019) 1, pp. 1-10

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar effect, behavioural effect, and Religious festival effect....

Persistent link: https://www.econbiz.de/10012023939

Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market

Xuan Vinh Vo; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and conditional alpha sub-samples in Vietnam stock market covering the period from January 2008 to December 2018. We test the IVOL effect on stock returns employing Fama-Macbeth...

Persistent link: https://www.econbiz.de/10012219258

Does herding behavior exist in cryptocurrency market?

Amirat, Amina; Alwafi, Wafa - In: Cogent economics & finance 8 (2020) 1, pp. 1-10

This paper investigates the existence of herding behavior in cryptocurrencies market. Using data of the 20 large cryptocurrencies and MV Index Solution Crypto Compare Digital Assets for large cap index, we found no evidence of herding behavior using cross-sectional absolute standard deviation...

Persistent link: https://www.econbiz.de/10012219310

Adaptive market hypothesis: an empirical analysis of time : varying market efficiency of cryptocurrencies

Khursheed, Ambreen; Naeem, Muhammad; Ahmed, Sheraz; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-15

This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies; Bitcoin, Monaro, Litecoin, and Steller...

Persistent link: https://www.econbiz.de/10012219697

Day-of-the-week effect : petroleum and petroleum products

Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

Persistent link: https://www.econbiz.de/10014500847

Measuring the effect of the North Korea-U.S. summit on the South Korean stock market

Huy Pham; Al-Hares, Osama M.; Ramiah, Vikash; Moosa, Nisreen - In: Cogent economics & finance 7 (2019) 1, pp. 1-22

We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...

Persistent link: https://www.econbiz.de/10014232764

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