This study examines the link between stocks and decentralized finance (DeFi) in terms of returns and volatility. Major G7 exchange-traded funds (ETFs) and various highly traded DeFi assets are considered to ensure the robustness of the empirical experiment. Specifically, this study applies the...

Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...

This study investigates how the trade duration-based intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in which the trade duration represents the rate at which prices incorporate...

The fractal theory was first proposed by Mandelbrot in the 1970s and later it was carried by Kantelhardt in mid-2000 and introduced Multi-fractal de-trended fluctuation analysis (MFDFA). The MFDFA uses different time series data to find statistical characteristics efficiently. This study uses...

There is a big controversy among both investment professionals and academics regarding the question of how the probability that a bull or bear market terminates depends on its age. Using more than two centuries of data on the broad US stock market index, in this paper we revisit the duration...

Purpose: The purpose of this paper is to re-examine the presence of rational speculative bubbles in the Malaysian stock market in light of contradictory results presented in previous studies. Design/methodology/approach: We use descriptive statistics, explosiveness tests and the duration...

We scrutinize China, Hong Kong, Indonesia, Japan, Malaysia, Philippines, South Korea, Taiwan, and Thailand for the presence of rational bubbles by employing several tests on a large dataset that includes three bubble episodes. We also convert most tests into recursive to overcome structural...

The proliferation of algorithmic high-frequency trading in financial markets has also led to an increase in new types of fraudulent activity. Since the flash-crash of 2010 first brought it to popular prominence, layering or spoofing fraud has become a major concern for financial regulators...

Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...

We empirically investigate the effect of option listing on the underlying stock efficiency by examining the stock price duration dynamic and the informed trading activity around option listing. We use univariate tests and extended Log-ACD models that account for liquidity. Despite a significant...