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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of … BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (i) is informative about …
Persistent link: https://www.econbiz.de/10011922057
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On stock price overreactions : frequency, seasonality and information content
Caporale, Guglielmo Maria; Plastun, Alex - In: Journal of applied economics 22 (2019) 1, pp. 602-621
This paper explores the frequency of price overreactions in the US stock market by focusing on the Dow Jones Industrial … Index over the period 1990-2017. It uses two different methods (static and dynamic) to detect overreactions and then carries … following hypotheses are tested: whether or not the frequency of overreactions varies over time (H1), is informative about …
Persistent link: https://www.econbiz.de/10012157453
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On stock price overreactions : frequency, seasonality and information content
Caporale, Guglielmo Maria; Plastun, Alex - 2018
Persistent link: https://www.econbiz.de/10011995735
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296
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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Financial markets and portfolio management 33 (2019) 2, pp. 109-131
Persistent link: https://www.econbiz.de/10012113737
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Bitcoin fluctuations and the frequency of price overreactions
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2018
Persistent link: https://www.econbiz.de/10011995725
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Quantile risk-return trade-off
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14
We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...
Persistent link: https://www.econbiz.de/10012587977
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012839021
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria - 2019
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of … BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (i) is informative about …
Persistent link: https://www.econbiz.de/10012892294