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Test of capital market integration using Fama-French three-factor model : empirical evidence from India
Sehrawat, Neeraj; Kumar, Amit; Nigam, Narander Kumar; … - In: Investment management and financial innovations 17 (2020) 2, pp. 113-127
Persistent link: https://www.econbiz.de/10012303099
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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Efficiency of capital markets : a new perspective on the value premium and day-of-the-week effect
Procasky, William J.; Raja, Zubair Ali; Oyotode, Renée - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 114-140
Persistent link: https://www.econbiz.de/10012253640
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Momentum crashes
Daniel, Kent; Moskowitz, Tobias J. - In: Journal of financial economics 122 (2016) 2, pp. 221-247
Persistent link: https://www.econbiz.de/10011590901
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Isolating momentum crashes
Dierkes, Maik; Krupski, Jan - In: Journal of empirical finance 66 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013370567
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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective
Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251
Persistent link: https://www.econbiz.de/10014494675
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Does investor sentiment create value for asset pricing? : an empirical investigation of the KOSPI-listed firms
Bouteska, Ahmed; Sharif, Taimur; Abedin, Mohammad Zoynul - In: International journal of finance & economics : IJFE 29 (2024) 3, pp. 3487-3509
Persistent link: https://www.econbiz.de/10014635407
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Does financial integration impact performance of equity anomalies?
Sharma, Gagan; Sehgal, Sanjay; Mishra, Anil V. - In: Cogent economics & finance 10 (2022) 1, pp. 1-51
We examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the...
Persistent link: https://www.econbiz.de/10013391096
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Does the low-risk anomaly exist in the Indian equity market? : a test using alternative risk measures
Ali, Asgar; Badhani, K. N.; Kumar, Ashish - In: Journal of economic studies 49 (2022) 8, pp. 1422-1452
Persistent link: https://www.econbiz.de/10013455874