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Time evolution of market efficiency and multifractality of the Japanese stock market
Takaishi, Tetsuya - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their...
Persistent link: https://www.econbiz.de/10012814029
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One model is not enough : heterogeneity in cryptocurrencies' multifractal profiles
Bariviera, Aurelio Fernández - In: Finance research letters 39 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012805488
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Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets : an asymmetric multifractal detrended fluctuation analysis
Mensi, Walid; Lee, Yun Jung; Al-Yahyaee, Khamis Hamed; … - In: Finance research letters 31 (2019), pp. 19-25
Persistent link: https://www.econbiz.de/10012420970
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Source of the multifractality in exchange markets : multifractal detrended fluctuations analysis
Günay, Samet - In: Journal of business & economics research 12 (2014) 4, pp. 371-384
Persistent link: https://www.econbiz.de/10010432137
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The impact of news sentiment indicators on agricultural product prices
Xu, Jia-Lang; Hsu, Ying-Lin - In: Computational economics 59 (2022) 4, pp. 1645-1657
Persistent link: https://www.econbiz.de/10013262111
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Large-scale minimum variance portfolio allocation using double regularization
Bian, Zhicun; Liao, Yin; O'Neill, Michael; Shi, Jing; … - In: Journal of economic dynamics & control 116 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012503240
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Does self-fulfilment of the inflation expectation exist?
Xu, Yingying; Liu, Zhi-Xin; Chang, Hsu-Ling; Dumitrescu … - In: Applied economics 49 (2017) 11, pp. 1098-1113
Persistent link: https://www.econbiz.de/10011811170
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Does the Mundell-Fleming model fit in China?
Wang, Kai-Hua; Su, Chi-Wei; Tao, Ran - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 37 (2019) 1, pp. 11-28
Persistent link: https://www.econbiz.de/10012213050
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Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022
Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29
The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...
Persistent link: https://www.econbiz.de/10014515083
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Efficiency, inefficiency, and the MENA frontier
Christopulos, Dēmētrēs K.; McAdam, Peter - In: Macroeconomic dynamics 23 (2019) 2, pp. 489-521
Persistent link: https://www.econbiz.de/10012126600