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Predicting international equity returns: evidence from time-varying parameter vector autoregressive models

Gupta, Rangan; Huber, Florian; Piribauer, Philipp - In: International review of financial analysis 68 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012300967

Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, … - 2021

This paper provides a comprehensive analysis of price effects after one-day abnormal returns and their evolution in the US stock market for the case of Dow Jones Index over the period 1890-2018. Using different statistical tests (both parametrical and non-parametrical) as well as additional...

Persistent link: https://www.econbiz.de/10013246206

Financial tail risks in conventional and Islamic stock markets : a comparative analysis

Muteba Mwamba, John; Hammoudeh, Shawkat; Gupta, Rangan - In: Pacific-Basin finance journal 42 (2017), pp. 60-82

Persistent link: https://www.econbiz.de/10011800542

Evolution of price effects after one-day abnormal returns in the US stock market

Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012822169

A note on investor happiness and the predictability of realized volatility of gold

Bonato, Matteo; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012805333

Historical Evolution of Monthly Anomalies in International Stock Markets

Plastun, Oleksiy - 2019

This paper is a comprehensive investigation of the evolution of various monthly anomalies (January effect, December effect, and the Mark Twain effect) in the US stock market for its entire history. This is done using various statistical techniques (average analysis, Student's t-test, ANOVA, the...

Persistent link: https://www.econbiz.de/10012865828