This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies; Bitcoin, Monaro, Litecoin, and Steller...

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and conditional alpha sub-samples in Vietnam stock market covering the period from January 2008 to December 2018. We test the IVOL effect on stock returns employing Fama-Macbeth...

This paper investigates the existence of herding behavior in cryptocurrencies market. Using data of the 20 large cryptocurrencies and MV Index Solution Crypto Compare Digital Assets for large cap index, we found no evidence of herding behavior using cross-sectional absolute standard deviation...

In this financial engineering research, we study the behaviour of an option premium of a call/put option which is embedded in a typical fixed coupon bond with finite maturity. The contribution of the research is the conclusion about the dynamics of premium changes; represented by direction and...

The phenomenon of underpricing is the subject of many studies on the stock markets, but there is still a research gap referring to the European Alternative Investment Markets, markets for small and medium companies. They are a source of capital and such an anomaly as underpricing could be a...

The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67...

This paper aims to understand the impact of demonetisation on the returns of listed firms in the NSE, as well as changes to their corresponding industry level systematic risk. Firstly, this paper examined a larger sample of Indian listed firms and a broader group of industries in its analysis...

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...

We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...

Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the...