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Round-the-clock market efficiency and home bias : evidence from the international Japanese government bonds futures markets

Tse, Yiuman - In: Journal of banking & finance 23 (1999) 12, pp. 1831-1860

Persistent link: https://www.econbiz.de/10001428994

The information flow and market efficiency between th US and Chinese aluminium and copper futures markets

Fung, Hung-gay; Liu, Qingfeng Wilson; Tse, Yiuman - In: The journal of futures markets 30 (2010) 12, pp. 1192-1209

Persistent link: https://www.econbiz.de/10008901289

Single-stock futures : evidence from the Indian securities market

Kumar, Umesh; Tse, Yiuman - In: Global finance journal 20 (2009) 3, pp. 220-234

Persistent link: https://www.econbiz.de/10003921967

Illuminating the profitability of pairs trading : a test of the relative pricing efficiency of markets for water utility stocks

Gutiérrez, José Angel; Tse, Yiuman - In: The journal of trading 6 (2011) 2, pp. 50-64

Persistent link: https://www.econbiz.de/10009008498

Exchange traded funds, size-based portfolios, and market efficiency

Kadapakkam, Palani-Rajan; Krause, Timothy; Tse, Yiuman - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 89-110

Persistent link: https://www.econbiz.de/10011333135

Do industries lead stock markets? A reexamination

Tse, Yiuman - In: Journal of empirical finance 34 (2015), pp. 195-203

Persistent link: https://www.econbiz.de/10011557114

The FOMC announcement returns on long-term US and German bond futures

Indriawan, Ivan; Jiao, Feng; Tse, Yiuman - In: Journal of banking & finance 123 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012662330

Return seasonality in commodity futures

Li, Yan; Liu, Qingfu; Miao, Deyu; Tse, Yiuman - In: International review of economics & finance : IREF 93 (2024) 2, pp. 448-462

Persistent link: https://www.econbiz.de/10014535578

Illuminating the Profitability of Pairs Trading : A Test of Relative Pricing Efficiency of Markets for Water Utility Stocks

Gutierrez, Jose A. - 2019

This paper examines the profitability of a pairs trading strategy derived solely from historic price dynamics and contrarian principles. We find that the profitability of the self-financing strategy hinges on a cointegrated relationship, which Engle and Granger (1987) show also implies an...

Persistent link: https://www.econbiz.de/10012905960

Do Industries Lead Stock Markets? A Reexamination

Tse, Yiuman - 2015

Hong, Torous, and Valkanov (2007) report that a number of U.S. industry returns can forecast the stock market using monthly data. Reexamining their results with an extended period, 1946-2013, and data, 48 industries, I find that only one to seven industries have significant predictive ability...

Persistent link: https://www.econbiz.de/10013011827