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Detecting positive feedback trading when autocorrelation is positive
Angelovska, Julijana - In: Zagreb international review of economics & business 16 (2013) 1, pp. 93-101
Persistent link: https://www.econbiz.de/10010258923
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The dynamic relationship between investor attention and stock market volatility : international evidence
Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …
Persistent link: https://www.econbiz.de/10012821063
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The effectiveness of technical strategies in Malaysian Sharīʿah vs conventional stocks
Ling, Pick Soon; Abdul-Rahim, Ruzita; Said, Fathin Faizah - In: ISRA international journal of islamic finance 12 (2020) 2, pp. 195-215
Purpose This study aims to investigate Malaysian stock market efficiency from the view of Sharīʿah-compliant and conventional stocks based on the effectiveness of technical trading strategies. Design/methodology/approach This study uses unconventional trading strategies that mix buy...
Persistent link: https://www.econbiz.de/10012517324
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Feedback trading and its implications for return autocorrelations in India during COVID
Mukherjee, Paramita; Chatterjee, Rajashri - In: Journal of emerging market finance 23 (2024) 2, pp. 246-270
Persistent link: https://www.econbiz.de/10014633199
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Sectoral differences in feedback trading on the German stock market
Yusupova, Elena - 2005
Persistent link: https://www.econbiz.de/10002821734
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An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
Jawadi, Fredj; Namouri, Hela; Ftiti, Zied - In: Journal of economic dynamics & control 91 (2018), pp. 469-484
Persistent link: https://www.econbiz.de/10011974225
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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Market intraday momentum in Australia
Ho, Tu; Lv, Jin Roc; Schultz, Emma - In: Pacific-Basin finance journal 65 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10013252821
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The idiosyncratic momentum anomaly
Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957
Persistent link: https://www.econbiz.de/10012487461
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Intraday momentum and reversal in Chinese stock market
Chu, Xiaojun; Gu, Zherong; Zhou, Haigang - In: Finance research letters 30 (2019), pp. 83-88
Persistent link: https://www.econbiz.de/10012420230