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Non-parametric statistic for testing cumulative abnormal stock returns
Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13
Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...
Persistent link: https://www.econbiz.de/10013168738
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Equity diversification in two Chinese share markets : nonparametric cointegration test
Chang, Tsangyao; Zhang, Yichun; Tzeng, Han-Wen - In: International journal of economics 11 (2017) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10011708554
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Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiōtidēs, Theodōros; Zhang, Xu - 2010
We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock … cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have … international investors. -- Correlation ; Long-run correlation ; Cointegration ; Non-parametric cointegration; African Stock Markets …
Persistent link: https://www.econbiz.de/10008736105
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Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiōtidēs, Theodōros; Zhang, Xu - In: Applied economics letters 18 (2011) 13/15, pp. 1333-1340
Persistent link: https://www.econbiz.de/10009348029
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Rational bubbles in the US stock market? : further evidence from a nonparametric cointegration test
Chang, Tsangyao; Chiu, Chi-chen; Nieh, Chien-chung - In: Applied economics letters 14 (2007) 7/9, pp. 517-521
Persistent link: https://www.econbiz.de/10003512167
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Volatility transmission across financial markets : a semiparametric analysis
Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13
foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one …. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a …
Persistent link: https://www.econbiz.de/10012322368
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Trading strategies and weekly anomalies in the stock market : Mexico, Indonesia, Nigeria and Turkey
Gahlot, Ruchika - In: The journal of investment strategies 11 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10013270036
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A critique of momentum anomalies
Souza, Thiago de Oliveira - 2019
Persistent link: https://www.econbiz.de/10011993159
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Comparing and selecting performance measures using rank correlations
Caporin, Massimiliano; Lisi, Francesco - 2011
The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyze, rank and select assets. There is thus a problem: which measures should be considered? The authors extend the current literature by comparing a large set of performance...
Persistent link: https://www.econbiz.de/10009125163
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Comparing and selecting performance measures using rank correlations
Caporin, Massimiliano; Lisi, Francesco - 2011
The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyse, rank and select assets. There is thus a problem: which measures should be considered? We extend the current literature by comparing a large set of performance measures over...
Persistent link: https://www.econbiz.de/10009238661