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Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
Given that changes in oil prices influence the observable factors in GCC economies, this paper shows unobservable speculative factors that drive short-term stock market returns in Saudi and Bahrain markets.1 For other GCC markets, such as Dubai, Abu-Dhabi, and Muscat, oil price uncertainty and...
Persistent link: https://www.econbiz.de/10013098123
In recent years both equity and bond markets have been afflicted by high volatility. In order to build up a portfolio on a quantitative basis, several models may be used, such as minimum variance portfolio or equally weighted portfolio. In 2008/09 another way to deal with diversification came...
Persistent link: https://www.econbiz.de/10013090289
Seasonal variation and calendar anomalies are known phenomena in equity markets worldwide. Many researchers have studied day-of-the-month, day-of-the-week, month-of-the-year, tax loss hypothesis and SAD cycle in equity markets across countries. There has been many evidences of calendar anomalies...
Persistent link: https://www.econbiz.de/10013045186
Macroeconomic data is often noisy, contradictory and lagging. These limitations render the data difficult to integrate into a robust quantitative investment strategy that generates excess returns. This paper outlines a new approach to macro investing that removes these inherent limitations in...
Persistent link: https://www.econbiz.de/10012946831
This study examines the response of foreign direct investment (FDI) to asymmetric changes in stock returns in Nigeria. We employed disaggregated monthly data for Nigeria (1985M01–2017M12) to test the magnitude of stock returns’ elasticity of FDI using a nonlinear ARDL modelling framework. By...
Persistent link: https://www.econbiz.de/10014380756
The cointegrated-based pair trading crucially depends on two key parameters: the length of the formation period and the divergence signal (or opening trigger), which are generally arbitrarily or statistically determined in the literature. In this article, we perform a sensitivity analysis of the...
Persistent link: https://www.econbiz.de/10013292639
cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We …
Persistent link: https://www.econbiz.de/10011603089
estimators for panel cointegration models, stock prices are found to be overvalued under either constant or time-varying expected …
Persistent link: https://www.econbiz.de/10013405493
Persistent link: https://www.econbiz.de/10002127359