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High frequency and dynamic pairs trading based on statistical arbitrage using a two-stage correlation and cointegration approach
Miao, George J. - In: International journal of economics and finance 6 (2014) 3, pp. 96-110
Persistent link: https://www.econbiz.de/10010339601
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The End of the Crypto-Diversification Myth
Didisheim, Antoine; Somoza, Luciano - 2022
We propose a mechanism explaining the recent high positive correlation between cryptocurrencies and the stock market … micro-level pattern translates into a cross-asset class correlation as long as the two markets are not fully integrated. We …-traders exhibit a stronger correlation with Bitcoin, especially when the cross-asset retail volume is high …
Persistent link: https://www.econbiz.de/10013405552
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Overconfidence mediates how perception of past portfolio returns affects investment behaviors
Khan, Mohammad Tariqul Islam; Hooi, Tan Siow; Chong, Lee Lee - In: Journal of Asia Pacific business 20 (2019) 2, pp. 140-161
Persistent link: https://www.econbiz.de/10012180205
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Difference of opinion among investors versus analysts
Cao, Zhiqi; Wu, Wenfeng - In: Accounting and finance 63 (2023) 2, pp. 2347-2381
Persistent link: https://www.econbiz.de/10014302092
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Measuring index investment in commodity futures markets
Sanders, Dwight R.; Irwin, Scott H. - In: The energy journal 34 (2013) 3, pp. 105-127
Persistent link: https://www.econbiz.de/10009771880
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The growing financialisation of commodity markets : divergences between index investors and money managers
Mayer, Jörg - In: The journal of development studies : JDS 48 (2012) 6, pp. 751-767
Persistent link: https://www.econbiz.de/10009630146
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Is commodity index investing profitable?
Fethke, Tobias; Prokopczuk, Marcel - 2018
Using a comprehensive dataset of first, second and third generation commodity indices, we investigate the potential diversification benefits in equity-bond portfolios. The results show that first generation commodity indices are outperformed by enhanced indices. Second generation indices provide...
Persistent link: https://www.econbiz.de/10011879959
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Is commodity index investing profitable?
Fethke, Tobias; Prokopczuk, Marcel - 2018
Persistent link: https://www.econbiz.de/10011869031
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Institutional investors and the dependence structure of asset returns
Cont, Rama; Wagalath, Lakshithe - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10011454404
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Investor Clienteles and Habitat-Based Return Comovements
Kumar, Alok - 2010
This study investigates whether retail and institutional investors concentrate their trading among certain stock categories (i.e., habitats) and whether their trading activities generate return comovements among stocks within those habitats. Our results indicate that both retail and...
Persistent link: https://www.econbiz.de/10013151103