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The causal relationship between returns and trading volume in cryptocurrency markets : recursive evolving approach

Cagli, Efe Çaglar - In: Blockchain economics and financial market innovation : …, (pp. 167-190). 2019

This chapter examines the time-varying causal relationship between trading volume and returns in cryptocurrency markets. The chapter employs a novel Granger causality framework based on a recursive evolving window procedure. The procedures allow detecting changes in causal relationships among...

Persistent link: https://www.econbiz.de/10012149978

Illiquidity premium and monetary conditions in emerging markets : an empirical examination of Taiwan stock markets

Chen, Chia-Cheng; Tai, Chia-Li; Liu, Yi-Sheng - In: International journal of economics and financial issues … 10 (2020) 1, pp. 109-117

Persistent link: https://www.econbiz.de/10012151235

Institutional investment, equity volume and volatility spillover : causalities and asymmetries

Chakraborty, Sandip; Kakani, Ram Kumar - In: Journal of international financial markets, … 44 (2016), pp. 1-20

Persistent link: https://www.econbiz.de/10011690360

Do cay and cayMS predict stock and housing returns? : evidence from a nonparametric causality test

Balcilar, Mehmet; Gupta, Rangan; Sousa, Ricardo M.; … - In: International review of economics & finance : IREF 48 (2017), pp. 269-279

Persistent link: https://www.econbiz.de/10011747274

Real exchange rate returns and real stock price returns

Wong, Hock Tsen - In: International review of economics & finance : IREF 49 (2017), pp. 340-352

Persistent link: https://www.econbiz.de/10011748479

The reaction of stock market returns to unemployment

Gonzalo, Jesús; Taamouti, Abderrahim - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10011755437

Nonlinear causality relationship between stock and real-estate returns in PIGS countries : wealth effect or credit-price effect

Lou, Tienwei - In: Applied economics letters 24 (2017) 10/12, pp. 736-741

Persistent link: https://www.econbiz.de/10011714177

An empirical study on the lead-lag relationship between five-year Chinese government spot bonds and futures markets

Qin, Rong-Yuan; Heo, Ji-Hun - In: Journal of international trade & commerce 13 (2017) 1, pp. 49-67

Persistent link: https://www.econbiz.de/10011796998

Does investor sentiment dynamically impact stock returns from different investor horizons? : evidence from the US stock market using a multi-scale method

Jiang, Yonghong; Mo, Bin; Nie, He - In: Applied economics letters 25 (2018) 7, pp. 472-476

Persistent link: https://www.econbiz.de/10011854926

Nexus between stock market returns and economic variables : evidence from India

Chawla, Vanitha; Shweta - In: Mudra : journal of finance and accounting 4 (2017) 1, pp. 70-85

Persistent link: https://www.econbiz.de/10011855436