This study examines the price explosiveness of stocks whose purchase Robinhood restricted during the GameStop episode. We find that those “meme stocks” comprise multiple periods of explosiveness, indicating that they are unlikely to be an epiphenomenon. We also document evidence of price...

The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences...

This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014-2021. The methodology involves...

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Over the course of the last decade, the price of gold has exploded. Recently, however, prices started to fall again. The reversal of this trend has spurred a heated debate between proponents and opponents of gold as an investment. Using time series analysis, we further examine the role of gold...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has been collected on daily basis for the tenure of a couple of years starting from 1st January 2009 to 31st September 2011. The models used to run the data are: standard deviation...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...