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Multifractal analysis of market efficiency across structural breaks : implications for the adaptive market hypothesis

Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 13 (2020) 10/248, pp. 1-18

The primary objective of this paper is to assess the behavior of long memory in price, volume, and price-volume cross-correlation series across structural breaks. The secondary objective is to find the appropriate structural breaks in the price series. The structural breaks in the series are...

Persistent link: https://www.econbiz.de/10012387122

Time-varying price-volume relationship and adaptive market efficiency : a survey of the empirical literature

Patil, Ashok Chanabasangouda; Rastogi, Shailesh - In: Journal of risk and financial management : JRFM 12 (2019) 2/105, pp. 1-18

This paper conducts a review of the literature on the price–volume relationship and its relation with the implications of the adaptive market hypothesis. The literature on market efficiency is classified as efficient market hypothesis (EMH) studies or adaptive market hypothesis (AMH) studies....

Persistent link: https://www.econbiz.de/10012021910

Asymmetric mean reversion in low liquid markets : evidence from BRVM

Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of risk and financial management : JRFM 12 (2019) 1/38, pp. 1-19

This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...

Persistent link: https://www.econbiz.de/10012022315

Exploring the link of real options theory with dynamic capabilities framework in open innovation-type merger and acquisition deals

Čirjevskis, Andrejs - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-16

Although it is well established that acquisition-based dynamic capabilities have important consequences for merger and acquisition (M&A) processes, direct evidence on how real option applications can measure a dynamic capability-based synergy in open innovation-type M&A deals has been scarce....

Persistent link: https://www.econbiz.de/10012520909

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses …

Persistent link: https://www.econbiz.de/10012888297

Economic policy uncertainty and stock return momentum

Goel, Garima; Dash, Saumya Ranjan; Mata, Mário Nuno; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-17

coverage of policy-related issues, and momentum profits. Momentum remains an unexplained anomaly. Our findings reveal a … statistically negative association between EPU and hedge momentum portfolios. The short side portfolio dominates this effect as …

Persistent link: https://www.econbiz.de/10012520194

Maximum drawdown, recovery, and momentum

Choi, Jaehyung - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-25

consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these … outperformance over other alternative momentum portfolios including traditional cumulative return-based momentum portfolios. In … more consistent prediction on the direction of assets in future. Moreover, turnover rates of these momentum …

Persistent link: https://www.econbiz.de/10012795860

Comparison of multifactor asset pricing models in the South African stock market [2000-2016]

Mukoyi, Lenia; Kanayo, Ogujiuba - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-22

The quest for parsimonious models has been a key objective in asset pricing. However, there appears to be no consensus on the most successful asset pricing strategy in the literature, especially for the South African Market. Using financial statements from January 2000 to December 2015, this...

Persistent link: https://www.econbiz.de/10014301573

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

Persistent link: https://www.econbiz.de/10012872753

Inflation and hyperinflation countries in 2018-2020 : risks of different assets and foreign trade

Hilmola, Olli-Pekka - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-16

Since the global financial crisis (2008-2009), central banks and governments in developed countries have relied upon loose monetary and financial policy. In the coronavirus pandemic era, these policies were taken even more to the extreme. In 2021, countries around the world started to experience...

Persistent link: https://www.econbiz.de/10012801429