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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
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Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis
Caporale, Guglielmo Maria - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10013048822
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Macro News and Stock Returns in the Euro Area : A VAR-GARCH-in-Mean Analysis
Caporale, Guglielmo Maria - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10013050104
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Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10010399794
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Macro news and stock returns in the euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
Persistent link: https://www.econbiz.de/10010402688
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Macro news and bond yield spreads in the Euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417491
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Macro news and bond yield spreads in the euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010417494
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Macro news and bond yield spreads in the euro area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
Persistent link: https://www.econbiz.de/10010431601
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Macro news and stock returns in the euro Area : a VAR-GARCH-in-means analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
follows. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility … has a significant impact on both stock returns and volatility; specifically, an increase in news volatility is always …
Persistent link: https://www.econbiz.de/10010383808
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Macro news and stock returns in the Euro area : a VAR-GARCH-in-mean analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: International review of financial analysis 45 (2016), pp. 180-188
Persistent link: https://www.econbiz.de/10011581967