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On the informational efficiency of Saudi exchange-traded funds listed at home and away from home

Al-Nassar, Nassar S. - In: Cogent economics & finance 9 (2021) 1, pp. 1-23

limits to arbitrage, thereby impeding efficiency in the market. …

Persistent link: https://www.econbiz.de/10013183860

Speculative bubbles and crashes : fundamentalists and positive‐feedback trading

Cheng, Po-Keng; Kim, Young Shin - In: Cogent economics & finance 5 (2017) 1, pp. 1-28

In this paper, we develop and examine a simple interactive agent‐based model, where the distribution of returns generated from the model takes into account two stylized facts about financial markets： fat tails and volatility clustering. Our results indicate that the risk tolerance of...

Persistent link: https://www.econbiz.de/10011886606

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

The global financial crisis impact on stock market efficiency : a Fourier unit root tests analysis

Shaik, Muneer; Kamdar, Pratik; Nawaz, Nishad; Rabbani, … - In: Cogent economics & finance 12 (2024) 1, pp. 1-16

properties of the Fourier unit root tests, this study reiterates that investors may receive a stream of arbitrage benefits in all …

Persistent link: https://www.econbiz.de/10015337835

Predictability of earnings and its impact on stock returns : evidence from India

Kundu, Sayantan; Banerjee, Aditya - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67...

Persistent link: https://www.econbiz.de/10013183853

The Bank of Japan’s equity exchange-traded funds purchasing operation and its impact on equity returns

Koyama, Kentaro - In: Cogent economics & finance 10 (2022) 1, pp. 1-20

The Bank of Japan (BoJ) conducts an unconventional monetary policy that includes exchange-traded fund (ETF) purchases, which can be expected to affect aggregate equity indices. As equity ETF purchases represent a unique and exceptional monetary policy framework, there are few studies on how such...

Persistent link: https://www.econbiz.de/10013393632

The role of centralization index in identifying momentum stage of stocks : empirical evidence from investor networks

Liu, Wen-Rang - In: Cogent economics & finance 12 (2024) 1, pp. 1-25

investor attention variables. The impact of arbitrage frictions on momentum profits across different holding periods was also … examined, with early stage strategies proving profitable for stocks facing severe arbitrage constraints. Moreover, this study … importance of information diffusion patterns, arbitrage constraints, and investor sentiment in driving momentum profits. By …

Persistent link: https://www.econbiz.de/10015375824

Algorithmic setups for trading popular U.S. ETFs

Cohen, Gil - In: Cogent economics & finance 8 (2020) 1, pp. 1-9

In this research, we test whether common trading oscillators can outperform the buy-and-hold strategy (B&H) using six popular ETFs for the period of the last 20 years. We use the original setups of those oscillators and also other setups or oscillators combinations in order to achieve the best...

Persistent link: https://www.econbiz.de/10012219474

Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures using Autoregressive Distributed-lag (ARDL) Bounds Testing Approach. We consider depth, breadth, tightness, immediacy and resiliency dimensions of market liquidity using suitable...

Persistent link: https://www.econbiz.de/10012023365

Presidential elections and stock market outcomes : an event-study on the effect of Turkey's Presidential Elections on Borsa Istanbul

Bash, Ahmad; Al-Awadhi, Abdullah M. - In: Cogent economics & finance 11 (2023) 2, pp. 1-11

This paper uses the event-study methodology to investigate the effect of the Presidential Turkish elections in 2023 on Borsa Istanbul returns. The data used in this study cover the period from 13 June 2022, through 7 June 2023. We employ a market model to study the effect of two election rounds...

Persistent link: https://www.econbiz.de/10014501249