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Day-of-the-week effect : petroleum and petroleum products
Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent economics & finance 11 (2023) 1, pp. 1-19
This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...
Persistent link: https://www.econbiz.de/10014500847
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-14
the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …
Persistent link: https://www.econbiz.de/10014501248
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22
the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …
Persistent link: https://www.econbiz.de/10014501255
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Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332
results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day …
Persistent link: https://www.econbiz.de/10011535278
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Information Processing on Equity Prices and Exchange Rate for Cross Listed Stocks
Scherrer, Cristina Mabel - 2020
This paper investigates the dynamics of information processing for equity prices and the exchange rate of cross-listed firms. Using high-frequency data and a novel structural setting, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow....
Persistent link: https://www.econbiz.de/10012851381
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been … EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial … clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review …
Persistent link: https://www.econbiz.de/10012237439
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Estimating exchange rate exposure over various return horizons : focusing on major countries in East Asia
Lee, Jeong Wook; Ahn, Sunghee; Kang, Sam-mo - In: East Asian economic review 20 (2016) 4, pp. 469-491
In this paper, we estimate the exchange rate exposure, indicating the effect of exchange rate movements on firm values, for a sample of 1,400 firms in seven East Asian countries. The exposure estimates based on various exchange rate variables, return horizons and a control variable are compared....
Persistent link: https://www.econbiz.de/10011765037
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Surprises in scheduled releases: why do they move the bond market?
Hess, Dieter E. - 2000
It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O?Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...
Persistent link: https://www.econbiz.de/10010297725
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The ambivalent role of high-frequency trading in turbulent market periods
Hautsch, Nikolaus; Noe, Michael; Zhang, S. Sarah - 2017
We show an ambivalent role of high-frequency traders (HFTs) in the Eurex Bund Futures market around high-impact macroeconomic announcements and extreme events. Around macroeconomic announcements, HFTs serve as market makers, post competitive spreads, and earn most of their profits through...
Persistent link: https://www.econbiz.de/10011755770
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Surprises in scheduled releases : why do they move the bond market?
Hess, Dieter - 2000
It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...
Persistent link: https://www.econbiz.de/10011445168