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Quarterly seasonality and momentum strategy implementation

Folkinshteyn, Daniel; Moore, Jordan - In: Review of behavioral finance : RBF 15 (2023) 1, pp. 38-54

Persistent link: https://www.econbiz.de/10013536534

Information diffusion and the lead-lag relationship between small and large size portfolios : evidence from an emerging market

Drakos, Anastassios A.; Diamandis, Panayotis F.; … - In: International journal of economics and finance 7 (2015) 11, pp. 25-38

Persistent link: https://www.econbiz.de/10011401093

Equities as long-term inflation hedges : small versus large company stocks

Ciner, Cetin - In: Applied economics letters 22 (2015) 16/18, pp. 1395-1398

Persistent link: https://www.econbiz.de/10011380206

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

Persistent link: https://www.econbiz.de/10011505854

US stocks and the US dollar

Azar, Samih Antoine - In: International journal of financial research 4 (2013) 4, pp. 91-106

Persistent link: https://www.econbiz.de/10010206630

Stock market linkage, financial contagion and assets price movements : evidence from Nigerian stock exchange

Abdullahi, Shafiu Ibrahim - In: Journal of advanced studies in finance : JASF 8 (2017) 2/16, pp. 146-159

Persistent link: https://www.econbiz.de/10011883269

Trends, cycles and seasonal variations of Ukrainian gross domestic product

Bhowmik, Debesh - In: Financial markets, institutions and risks : FMIR 4 (2020) 3, pp. 80-94

Persistent link: https://www.econbiz.de/10012295460

Potential gains from international portfolio diversification? : Stock market linkages between the Japanese and South Asian markets

Narayan, Paresh Kumar; Smyth, Russell; Nandha, Mohan - In: South Asia in the era of globalization : trade, …, (pp. 59-70). 2005

Persistent link: https://www.econbiz.de/10003156287

Why a diversified portfolio should include African assets

Alagidede, Paul; Panagiōtidēs, Theodōros; Zhang, Xu - 2010

We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock … cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have … international investors. -- Correlation ; Long-run correlation ; Cointegration ; Non-parametric cointegration; African Stock Markets …

Persistent link: https://www.econbiz.de/10008736105