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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
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Efficiency of capital markets : a new perspective on the value premium and day-of-the-week effect
Procasky, William J.; Raja, Zubair Ali; Oyotode, Renée - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 114-140
Persistent link: https://www.econbiz.de/10012253640
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Impact of oil price risk on sectoral equity markets : implications on portfolio management
Tiwari, Aviral Kumar; Jena, Sangram Keshari; Mitra, Amarnath - In: Energy economics 72 (2018), pp. 120-134
Persistent link: https://www.econbiz.de/10011972290
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The Scrutinized-Firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada
Athanassakos, George - 2016
This article examines whether seasonality is present in the excess returns of low risk Canadian firms in safe … returns is reported. However, the firms in our sample have unusually low excess returns in January and returns adjust upwards … over the remainder of the year. The results hold even after we control for various risk differences among the stocks of our …
Persistent link: https://www.econbiz.de/10013004316
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The effectiveness of seasonal investments in European Share Portfolios
Heidorn, Thomas; Maier, F.; Winker, M. - 2017
In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly analysis and whole-year seasonal strategies such as Sell in May and Halloween effect. The analysis is done across six indices, DAX, MDAX, SDAX, Eurostoxx 50, Stoxx Europe Mid 200...
Persistent link: https://www.econbiz.de/10011592704
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Cryptocurrencies from the perspective of euro investors : a reexamination of diversification benefits and a new day-of-the-week effect
Dorfleitner, Gregor; Lung, Carina - In: The journal of asset management 19 (2018) 7, pp. 472-494
Persistent link: https://www.econbiz.de/10011958136
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Financial crises and the nature of correlation between commodity and stock markets
Öztek, Mehmet Fatih; Öcal, Nadir - In: International review of economics & finance : IREF 48 (2017), pp. 56-68
Persistent link: https://www.econbiz.de/10011747083
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Low-risk effect : evidence, explanations and approaches to enhancing the performance of low-risk investment strategies
Joshipura, Mayank; Joshipura, Nehal - In: Investment management and financial innovations 17 (2020) 2, pp. 128-145
Persistent link: https://www.econbiz.de/10012303103
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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
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Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng - In: Journal of risk 25 (2023) 3, pp. 77-127
Persistent link: https://www.econbiz.de/10014283909