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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset … the series; then, following Phillips and Sul (2007), we estimate the relative transition parameters. In the case of …
Persistent link: https://www.econbiz.de/10003889148
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset … the series; then, following Phillips and Sul (2007), we estimate the relative transition parameters. In the case of …
Persistent link: https://www.econbiz.de/10003898817
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
Persistent link: https://www.econbiz.de/10003880587
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Calendar anomalies in the Ukrainian stock market
Caporale, Guglielmo Maria; Plastun, Alex - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...
Persistent link: https://www.econbiz.de/10011456764
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Calendar anomalies in the Ukrainian stock market
Caporale, Guglielmo Maria; Plastun, Alex - 2016
Persistent link: https://www.econbiz.de/10011536650
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Intraday anomalies and market efficiency : a trading robot analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 47 (2016) 2, pp. 275-295
Persistent link: https://www.econbiz.de/10011712348
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Calender anomalies in the Ukrainian stock market
Caporale, Guglielmo Maria; Plastun, Alex - In: Investment management and financial innovations 14 (2017) 1, pp. 104-114
Persistent link: https://www.econbiz.de/10011816244
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Intraday anomalies and market efficiency : a trading robot analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
profits. This paper examines whether or not anomalies such as intraday or time of the day effects give rise to exploitable …-periods (2005-2006 - "normal"; 2007-2009 - "crisis"; 2010-2011 - "post-crisis). …
Persistent link: https://www.econbiz.de/10010344868
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Intraday anomalies and market efficiency : a trading robot analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
profits. This paper examines whether or not anomalies such as intraday or time of the day effects give rise to exploitable …-periods (2005-2006 – “normal”; 2007-2009 – “crisis”; 2010-2011 – “post-crisis). …
Persistent link: https://www.econbiz.de/10010345205
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Calendar anomalies in the Ukrainian stock market
Caporale, Guglielmo Maria; Plastun, Alex - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...
Persistent link: https://www.econbiz.de/10011458018