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Can Bitcoin be a diversifier, hedge or safe haven tool?
Stensås, Anders; Nygaard, Magnus Frostholm; Kya, Khine; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-17
developed and developing markets, as well as for commodities. This paper employs the GARCH Dynamic Conditional Correlation (DCC … South Korea, but only as a diversifier for investors in developed countries and for commodities. Moreover, Bitcoin acts as a … diversifier for all the 10 commodities studied here. During the US election in 2016, Brexit referendum in 2016, and the burst of …
Persistent link: https://www.econbiz.de/10012023388
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Long-short speculator sentiment in agricultural commodity markets
Borgards, Oliver; Czudaj, Robert - 2022
commodities which underlines the sentiment's relevance. In line with the empirical literature, we can reject the argument of price …
Persistent link: https://www.econbiz.de/10012818066
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Preferences of Malaysian Stocks and Futures Markets for Investors Before and After Crises
Wong, Wing-Keung - 2011
This paper applies the MV criterion, CAPM statistics, and the modified stochastic dominance tests to examine the stochastic dominance (SD) relationship between the spot and futures markets in Malaysia and investigates the preference of these markets for risk averters and risk seekers before...
Persistent link: https://www.econbiz.de/10013125370
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Riding Bubbles
Guenster, Nadja - 2012
Bubbles can persist because investors are better off riding bubbles. We define bubbles in a natural way as significant, prolonged deviations from fundamental values measured by the well-known asset pricing models. Our real-time bubble detection system shows that –using US industry returns–...
Persistent link: https://www.econbiz.de/10013116119
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Wikipedia Search Momentum and Stock Returns
Behrendt, Simon - 2018
We present empirical evidence that collective investor behavior can be inferred from large-scale Wikipedia search data for individual-level stocks. Using Shannon transfer entropy, a model-free measure that considers any kind of statistical dependence between time series, we investigate the...
Persistent link: https://www.econbiz.de/10012914049
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On the usefulness of the contrarian strategy across national stock markets : a grid bootstrap analysis
Kim, Hyeongwoo - In: Journal of empirical finance 16 (2009) 5, pp. 734-744
Persistent link: https://www.econbiz.de/10003900389
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Does trading anonymously enhance liquidity?
Dennis, Patrick; Sandås, Patrik - 2014
Anonymous trading is the norm in today's financial markets but there are a few exceptions. We study one such case, the OMX Nordic Exchanges (Stockholm, Helsinki, Copenhagen, and Reykjavik) that have traditionally been more transparent than most other markets. On June 2, 2008 OMX Nordic switched...
Persistent link: https://www.econbiz.de/10010414866
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Are Short Sellers Positive Feedback Traders? Evidence from the Global Financial Crisis
Bohl, Martin T. - 2012
Short sellers are routinely blamed for destabilizing stock markets by exacerbating deviations from fundamental values. In response, regulators periodically impose short sale constraints aimed at preventing excessive stock market declines. One explanation is that policy makers regard short...
Persistent link: https://www.econbiz.de/10013114147
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Country News Sentiment Factors Predict Forex Prices
Hafez, Peter - 2013
In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...
Persistent link: https://www.econbiz.de/10013081446
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Local Bias of Investor Attention : Evidence from China’s Internet Stock Message Boards
Huang, Yuqin - 2013
The local bias puzzle was originally proposed from the analysis of investors' investment portfolios. We test and confirm the hypothesis that local bias has already existed in investor attention subconsciously regardless of their investment. In contrast to literature which focuses on investment...
Persistent link: https://www.econbiz.de/10013091078