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Momentum effects in the cryptocurrency market after one-day abnormal returns

Caporale, Guglielmo Maria; Plastun, Alex - 2019

This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the US dollar over the period...

Persistent link: https://www.econbiz.de/10012118561

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013

Persistent link: https://www.econbiz.de/10009767876

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …

Persistent link: https://www.econbiz.de/10009741957

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013

is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …

Persistent link: https://www.econbiz.de/10009743845

Economic policy uncertainty : persistence and cross-country linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020

This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...

Persistent link: https://www.econbiz.de/10012219127

The effects of physical and transition climate risk on stock markets : some multi-country evidence

Albanese, Marina; Caporale, Guglielmo Maria; Colella, Ida; … - 2024

This paper examines the impact of transition and physical climate risk on stock markets using, for the first time in … Forecast Error Variance Decomposition and Local Projections (Jorda, 2005, 2022) are then applied for robustness checks. The … results suggest a positive impact of transition risk on stock returns and a negative one of physical risk, especially in the …

Persistent link: https://www.econbiz.de/10014564303