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Gold and silver as safe havens : a fractional integration and cointegration analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with … 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and … is found for the gold price differential vis-à-vis BEF, BSE, CAC, DOW, KLS, KS1, MXX, N100, NAS, NYA and SP5 and for both …

Persistent link: https://www.econbiz.de/10013445596

Long-term price overreactions : are markets inefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

Persistent link: https://www.econbiz.de/10010520828

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940

Persistent link: https://www.econbiz.de/10011972202

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...

Persistent link: https://www.econbiz.de/10010431281

Short-term price overreactions : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

Persistent link: https://www.econbiz.de/10010431600

Short-term price overreaction : identification, testing, exploitation

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014

Persistent link: https://www.econbiz.de/10010438074

Long-term price overreactions : are markets enefficient?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative...

Persistent link: https://www.econbiz.de/10010467097