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The cross-section of cryptocurrency risk and return
Günther, Steffen; Fieberg, Christian; Poddig, Thorsten - In: Vierteljahrshefte zur Wirtschaftsforschung 89 (2020) 4, pp. 7-28
Wir untersuchen den Querschnitt von über 1200 Kryptowährungen, gesammelt von 350 Handelsplätzen, in der Zeitspanne von Januar 2014 bis Juni 2020. Im speziellen untersuchen wir, ob weit verbreitete Charakteristika, wie Beta (Fama/MacBeth (1973)), Size (Banz (1981)) oder Momentum...
Persistent link: https://www.econbiz.de/10012940081
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Risks and returns of cryptocurrency
Liu, Yukun; Tsyvinski, Aleh - In: The review of financial studies 34 (2021) 6, pp. 2689-2727
Persistent link: https://www.econbiz.de/10012546311
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Risks and returns of cryptocurrency
Liu, Yukun; Tsyvinski, Aleh - 2018
Persistent link: https://www.econbiz.de/10011900840
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Risks and Returns of Cryptocurrency
Liu, Yukun - 2018
returns. Finally, we create an index of exposures to cryptocurrencies of 354 industries in the US and 137 industries in China …
Persistent link: https://www.econbiz.de/10012452844
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Risks and Returns of Cryptocurrency
Liu, Yukun - 2018
returns. Finally, we create an index of exposures to cryptocurrencies of 354 industries in the US and 137 industries in China …
Persistent link: https://www.econbiz.de/10012913389
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Framing Effects in the Chinese Stock Market : A Test of New Measurement to Firm-Special Behavioral Characteristic
Xie, Jun - 2020
This paper provides a measurement of framing effects in the stock market by using actual market open trading data, and provide a test of this new firm-special behavioral characteristic. We adopt univariate and bivariate portfolio-level analyses with seminal rational and behavioral factors, to...
Persistent link: https://www.econbiz.de/10012827659
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets …
Persistent link: https://www.econbiz.de/10012309325
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Information Content of Order Flow and Cross-Market Portfolio Rebalancing : Evidence for the Chinese Stock, Treasury and Corporate Bond Markets
Girardin, Eric - 2010
and Treasury bonds in China. With daily-aggregated tick-by-tick data over three years on the Shanghai Security Exchange …
Persistent link: https://www.econbiz.de/10013141987
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An Empirical Cross-Section Analysis of Stock Returns on the Chinese A-Share Stock Market
Gan, Christopher - 2017
results also suggest that stock profitability is related to size and BTM ratio in China's stock market …
Persistent link: https://www.econbiz.de/10012963663