Purpose: The purpose of this study is to provide a new way to optimize a portfolio and to show that combining the Hurst exponent and wavelet analysis may help to increase portfolio returns. Design/methodology/approach: The authors use the Hurst exponent and wavelet analysis to study the...

Stock markets and their functioning are affected by many factors, both financial as well as behavioral. This paper studies the behavioral aspect of firms and its impact on corporate stock returns. The Capital Asset Pricing Model (CAPM) establishes a relationship between a stock return and the...

Using daily yield data of 14 sovereign bond markets of the world which we classify into two cohorts from July 10, 2000, to July 10, 2022, we examine their scaling properties using generalized Hurst exponent and spectral density analysis. We find that the scaling behavior of the bond yields for...