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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of … BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (i) is informative about …
Persistent link: https://www.econbiz.de/10011922057
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On the Frequency of Price Overreactions
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial … Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries …: whether or not the frequency of overreactions varies over time (H1), is informative about crises (H2) and/or price movements …
Persistent link: https://www.econbiz.de/10011872068
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On stock price overreactions : frequency, seasonality and information content
Caporale, Guglielmo Maria; Plastun, Alex - In: Journal of applied economics 22 (2019) 1, pp. 602-621
This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial … Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries … following hypotheses are tested: whether or not the frequency of overreactions varies over time (H1), is informative about …
Persistent link: https://www.econbiz.de/10012157453
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On stock price overreactions : frequency, seasonality and information content
Caporale, Guglielmo Maria; Plastun, Alex - 2018
Persistent link: https://www.econbiz.de/10011995735
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Momentum effects in the cryptocurrency market after one-day abnormal returns
Caporale, Guglielmo Maria; Plastun, Alex - 2019
trading simulation approach. The results suggest that hourly returns during the day of positive/negative overreactions are … significantly higher/lower than those during the average positive/negative day. Overreactions can usually be detected before the day … overreactions and ETHUSD negative overreactions) a contrarian effect is detected instead. …
Persistent link: https://www.econbiz.de/10012118561
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of … BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (i) is informative about …
Persistent link: https://www.econbiz.de/10011932030
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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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Abnormal returns and stock price movements : some evidence from developed and emerging markets
Caporale, Guglielmo Maria; Plastun, Alex - 2020
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...
Persistent link: https://www.econbiz.de/10012390869
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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Financial markets and portfolio management 33 (2019) 2, pp. 109-131
Persistent link: https://www.econbiz.de/10012113737