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On the predictability of stock prices : a case for high and low prices
Caporin, Massimiliano; Ranaldo, Angelo; Santucci de … - In: Journal of banking & finance 37 (2013) 12, pp. 5132-5146
Persistent link: https://www.econbiz.de/10010342761
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An analysis of South-Eastern European stock markets : evidence on cointegration and portfolio diversification benefits
Guidi, Francesco; Uğur, Mehmet - In: Journal of international financial markets, … 30 (2014), pp. 119-136
Persistent link: https://www.econbiz.de/10011293049
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Stock Price Co-Movement and the Foundations of Pairs Trading
Farago, Adam - 2018
stock returns are fairly weakly correlated across time, cointegration implies very high Sharpe ratios. To the extent that … the theoretical Sharpe ratios are "too large," this suggests that either (i) cointegration does not exist pairwise among … is little evidence of cointegration, favoring the first explanation …
Persistent link: https://www.econbiz.de/10012928750
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Equity Market Information and Credit Risk Signaling : A Quantile Cointegrating Regression Approach
Gatfaoui, Hayette - 2018
Investigating linkages between credit and equity markets, we consider daily aggregate U.S. CDS spreads as well as well-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship with the quantile cointegrating regression...
Persistent link: https://www.econbiz.de/10012934158
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Relationship between exchnage rates and stock prices : evidence from Bahrain financial markets
Tahir, Rizwan; Kayani, Zafar I. - In: Journal of world economic review 15 (2020) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10012670429
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An application of panel ARDL model with cointegration for portfolio management
Ilyas, Umer; Butt, Matti Ullah; Gulzar, Muhammad - In: International journal of economics and business … 23 (2022) 3, pp. 275-298
Persistent link: https://www.econbiz.de/10013253476
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Revisit financial integration in Asia : new time-series evidence from stock markets
Saji, T. G. - In: The Indian economic journal 70 (2022) 2, pp. 209-228
Persistent link: https://www.econbiz.de/10013257481
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Inflation hegding and listed stock in Zimbabwe : a non-linear approach
Magweva, R.; Mbudaya, Justine - In: African journal of business and economic research : AJBER 16 (2021) 1, pp. 123-142
Persistent link: https://www.econbiz.de/10012815249
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Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiōtidēs, Theodōros; Zhang, Xu - In: Applied economics letters 18 (2011) 13/15, pp. 1333-1340
Persistent link: https://www.econbiz.de/10009348029
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Are there any other safe haven assets? : evidence for “exotic” and alternative assets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: International review of economics & finance : IREF 69 (2020), pp. 614-628
Persistent link: https://www.econbiz.de/10012487062