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Up or down? : short-term reversal, momentum, and liquidity effects in cryptocurrency markets
Zaremba, Adam; Bilgin, Mehmet Huseyin; Long, Huaigang; … - In: International review of financial analysis 78 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013253483
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Common risk factors in the returns on cryptocurrencies
Liu, Weiyi; Liang, Xuan; Cui, Guowei - In: Economic modelling 86 (2020), pp. 299-305
Persistent link: https://www.econbiz.de/10012415860
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The influence of central bank monetary policy announcements on cryptocurrency return volatility
Corbet, Shaen; McHugh, Grace; Meegan, Andrew - In: Investment management and financial innovations 14 (2017) 4, pp. 60-72
Persistent link: https://www.econbiz.de/10011876256
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Is the cryptocurrency market a hedge against stock market risk? : a wavelet and GARCH approach
Jana, Susovon; Sahu, Tarak Nath - In: Economic notes 52 (2023) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10014427518
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Non-parametric analysis of equity arbitrage
Vortelinos, Dimitrios I. - In: International review of economics & finance : IREF 33 (2014), pp. 199-216
Persistent link: https://www.econbiz.de/10010532732
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Arbitrage risk and the turnover anomaly
Chou, Pin-huang; Huang, Tsung-yu; Yang, Hung-jeh - In: Journal of banking & finance 37 (2013) 11, pp. 4172-4182
Persistent link: https://www.econbiz.de/10010245601
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Empirical testing of arbitrage pricing theory in the Indian stock market : factor analysis approach
Menani, Shikha; Jhamb, H. V. - In: Business analyst : a refereed journal of Shri Ram … 40 (2019) 2, pp. 61-95
Persistent link: https://www.econbiz.de/10013177243
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The analysis of the arbitrage pricing model on the stock return : a case of Athens stock market
Khudoykulov, Khurshid - In: American journal of finance and accounting 5 (2017) 1, pp. 51-63
Persistent link: https://www.econbiz.de/10011834005
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Systematic limited arbitrage and the cross-section of stock returns : evidence from exchange traded funds
DeLisle, R. Jared; McTier, Brian C.; Smedema, Adam R. - In: Journal of banking & finance 70 (2016), pp. 118-136
Persistent link: https://www.econbiz.de/10011635135
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Are Cryptocurrencies Priced in the Cross-section? A Portfolio Approach
Assamoi, Kassi - 2020
Most papers, that study determinants of cryptocurrency prices, find no significant relation with existing market … factors. We examine a portfolio approach to explore cross-sectional pricing within the cryptomarket. At its inception, Bitcoin … well, because of these new investment opportunities and diversification venues. Since Bitcoin, the number of …
Persistent link: https://www.econbiz.de/10012837468