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Day-of-the-week effect : petroleum and petroleum products
Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent economics & finance 11 (2023) 1, pp. 1-19
This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...
Persistent link: https://www.econbiz.de/10014500847
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Reserve options mechanism : the new monetary policy tool of CBRT and its effect on exchange rate volatility
Gok, Ibrahim Yasar - In: International journal of business and economic sciences … 9 (2016) 3, pp. 50-54
volatility are analyzed by applying GARCH (1,1) model and using the data for the period 09.30.2011- 06.03.2016. Findings – It is …
Persistent link: https://www.econbiz.de/10011593647
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Impact of reserve option mechanism on exchange rate volatility during the FED's tapering period
Demirbas, Erkan; Can, Nurettin - In: Journal of central banking theory and practice 11 (2022) 3, pp. 155-178
This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM …
Persistent link: https://www.econbiz.de/10013407510
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-14
the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …
Persistent link: https://www.econbiz.de/10014501248
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22
the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …
Persistent link: https://www.econbiz.de/10014501255
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Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332
results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day …
Persistent link: https://www.econbiz.de/10011535278
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been … EMH, some academics have questioned whether EMH is valid, and pointed out that the financial literature has substantial … clearly define the concept of market efficiency and the EMH. We discuss some efforts that challenge the EMH. We review …
Persistent link: https://www.econbiz.de/10012237439
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Investment strategies that beat the market : what can we squeeze from the market?
Ślepaczuk, Robert; Sakowski, Paweł; Zakrzewski, Grzegorz - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 4, pp. 36-55
The paper presents a new approach to optimizing automatic transactional systems. We propose a multi-stage technique which enables us to find investment strategies beating the market. Additionally, new measures of combined risk and returns are applied in the process of optimization. Moreover, we...
Persistent link: https://www.econbiz.de/10011993037
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Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets
Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399
Persistent link: https://www.econbiz.de/10010528976
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Informed trading of futures markets during the financial crisis : evidence from the VPIN
Lee, Yen-Hsien; Liu, Wen-Chien; Hsieh, Chia-Lin - In: International journal of economics and finance 9 (2017) 9, pp. 123-132
Persistent link: https://www.econbiz.de/10011762717