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This article shows that it can take a long period of time until research knowledge finds its application in practice and get disseminated as innovation trend. Factor-based investing is such an example. Having its developing roots in the nineties, it took more than two decades until this approach...
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This study was conducted to investigate the market anomalies in the Borsa Istanbul Index (BIST). The scope of this study is to examine the Monday effects in BIST that are stock index of Turkey with an data set that contains daily stock prices between 02.01.2010 and 22.10.2014. The stock returns...
Persistent link: https://www.econbiz.de/10011675884
Analyst recommendations are one of the types of information whose appearance on the market can have an influence on security prices. In this paper, I study the impact of analyst recommendations on stocks listed on the WIG20 Index, using event-study methodology and linear regression models. The...
Persistent link: https://www.econbiz.de/10011736951
In this paper we investigate intraday relationships between three Central European stock exchanges: those in Frankfurt, Vienna and Warsaw. They represent different types of stock markets: two of them are developed, while the last is an emerging market. Via DCC-GARCH models we analyze and compare...
Persistent link: https://www.econbiz.de/10011736952
The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume of selected stocks listed on the Frankfurt Stock Exchange. We demonstrate the usefulness of the copula function to describe the dependence of specific unevenly spaced time...
Persistent link: https://www.econbiz.de/10011736961
Macroeconomic determinants of firm share returns had been a subject of debate among scholars. While the debate rages on, this study investigates the causal relationship between macroeconomic factors and firm share returns in Nigeria by taking a sample of fifty (50) quoted firms on the Nigeria...
Persistent link: https://www.econbiz.de/10011757616
The main goal of this paper is the empirical examination of the Polish stock market reactions to dividend announcements and dividend payouts made by the companies listed on the Warsaw Stock Exchange (WSE). The research sample comprises 56 companies (WIG index constituents) that announced...
Persistent link: https://www.econbiz.de/10011760471