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The prevalence of price overreactions in the cryptocurrency market

Borgards, Oliver; Czudaj, Robert - In: Journal of international financial markets, … 65 (2020), pp. 1-25

Persistent link: https://www.econbiz.de/10012495784

Asymmetric Mean Reversion of Bitcoin Price Returns

Corbet, Shaen - 2018

short-term return dynamics of stocks. In this paper, we explore as to whether cryptocurrency returns, as represented by …

Persistent link: https://www.econbiz.de/10012913009

Giver and the receiver : understanding spillover effects and predictive power in cross-market Bitcoin prices

Gillaizeau, Marc; Jayasekera, Ranadeva; Maaitah, Ahmad; … - In: International review of financial analysis 63 (2019), pp. 86-104

Persistent link: https://www.econbiz.de/10012207422

Are all text news just a noise for investors? : impact of online texts on Bitcoin returns

Damjanović, Aleksandar; Drenovak, Mikica - In: Ekonomske teme 61 (2023) 2, pp. 121-144

The paper demonstrates the power of alternative data. Relying on the indicators obtained by mining online publicly available news articles, authors analyze their impact on Bitcoin returns. This research shows that in the first quarter of 2022 Bitcoin returns could be explained by the sentiment...

Persistent link: https://www.econbiz.de/10014372681

Potential gains from predicting the timing of stock market persistence and mean reversion

Hsieh, Heng-Hsing - In: Investment management and financial innovations 10 (2013) 3, pp. 55-67

Persistent link: https://www.econbiz.de/10010201509

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22

. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min … accurately indicated the asymmetric incidence of shocks in the cryptocurrency market. The study determines evidence of … bidirectional shock transmission effects between the cryptocurrency pairs. Hence, the multivariate DCC-GARCH model can identify the …

Persistent link: https://www.econbiz.de/10013368338

Valuation ratios and stock return predictability in South Africa : is it there?

Gupta, Rangan; Modise, Mampho P. - In: Emerging markets finance & trade : a journal of the … 48 (2012) 1, pp. 70-82

Persistent link: https://www.econbiz.de/10009620175

Secular Mean Reversion and Long-Run Predictability of the Stock Market

Zakamulin, Valeriy - 2015

Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...

Persistent link: https://www.econbiz.de/10013036031

Maximal predictability under long-term mean reversion

Hjalmarsson, Erik - In: Journal of empirical finance 45 (2018), pp. 269-282

Persistent link: https://www.econbiz.de/10012102446

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