Showing 1 - 10 of 9,102
The profitability of a trading system based on the momentum-like effects of price jumps was tested on the time series of 7 assets (EUR/USD, GBP/USD, USD/CHF and USD/JPY exchange rates and Light Crude Oil, E-Mini S&P 500 and VIX Futures), in each case for 7 different frequencies (ranging from...
Persistent link: https://www.econbiz.de/10012964934
We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the price of the underlying stock...
Persistent link: https://www.econbiz.de/10013111682
Several studies have attributed the high excess returns of the momentum strategy in the equity market to investor behavioral biases. However, whether momentum effects occur because of investor underreaction or because of investor overreaction remains a question. Using a simple model to...
Persistent link: https://www.econbiz.de/10013012436
We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised of two option positions (one long and one short) and a position in the underlying stock. The assets are created such that exposure to changes in the underlying stock price...
Persistent link: https://www.econbiz.de/10013094978
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...
Persistent link: https://www.econbiz.de/10011789179
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann-Whitney U test) tests confirm the presence of price patterns after...
Persistent link: https://www.econbiz.de/10011789323
This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the US dollar over the period...
Persistent link: https://www.econbiz.de/10012118561
This paper studies 60 months of recent returns to examine relationships between bitcoin and 16 exchange- traded funds of currencies, bonds, stocks, commodities, and alternative assets. Bitcoin provides much higher returns, positive skewness, volatility and extreme returns, than all the other...
Persistent link: https://www.econbiz.de/10012847529
Motivated by the lure of cryptocurrencies for retail investors, whose concentrated holdings are particularly exposed to price crash risk, we study the relationship between investor attention and crash risk. Adopting a quantile regression approach, we find that the connection is concentrated in...
Persistent link: https://www.econbiz.de/10013323256
Persistent link: https://www.econbiz.de/10012309358