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Long-term price overreactions : are markets inefficient?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
Persistent link: https://www.econbiz.de/10010520828
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Long-term price overreactions : are markets enefficient?
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so …-called “inertia anomaly”. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly …
Persistent link: https://www.econbiz.de/10010467097
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A … the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US …
Persistent link: https://www.econbiz.de/10010431281
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
Persistent link: https://www.econbiz.de/10010431600
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Short-term price overreaction : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
there is an "inertia anomaly", i.e. after an overreaction day prices tend to move in the same direction for some time. A … the "inertia anomaly" produces profits in the case of the FOREX and the commodity markets, but not in the case of the US …
Persistent link: https://www.econbiz.de/10010438074
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940
Persistent link: https://www.econbiz.de/10011972202
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Volatility explosions and price prediction : case of oil market
Plastun, Alex; Bashlai, Serhii - In: Journal of governance and regulation : international … 6 (2017) 2, pp. 48-60
Persistent link: https://www.econbiz.de/10011878193
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Price overreactions in the cryptocurrency market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...
Persistent link: https://www.econbiz.de/10011789179
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Price overreactions in the cryptocurrency market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann-Whitney U test) tests confirm the presence of price patterns after...
Persistent link: https://www.econbiz.de/10011789323
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Price overreactions in the cryptocurrency market
Caporale, Guglielmo Maria; Plastun, Alex - 2018
Persistent link: https://www.econbiz.de/10011995547