Showing 21 - 30 of 122
Persistent link: https://www.econbiz.de/10009682524
Persistent link: https://www.econbiz.de/10011296454
Persistent link: https://www.econbiz.de/10012695617
Persistent link: https://www.econbiz.de/10011807085
Persistent link: https://www.econbiz.de/10011708165
In this article we explore how autocorrelation impacts volatility in stock markets. We use the Threshold Autoregressive-Generalized Autoregressive Conditional Heteroscedasticity (TAR-GARCH) model to obtain a better approximation of the volatility pattern with the threshold of a positive or...
Persistent link: https://www.econbiz.de/10010548869
Herding behavior, which is investing in crowded stocks during a specific period, will push the target stocks' return down or up. Using both institutional and individual investors' intraday trading data to calculate the measure of daily herding, we find that a zero-cost investing strategy of...
Persistent link: https://www.econbiz.de/10010612774
Persistent link: https://www.econbiz.de/10012176590
Persistent link: https://www.econbiz.de/10008378540
Persistent link: https://www.econbiz.de/10008768511