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Piety and Profits : Stock Market Anomaly During the Muslim Holy Month

Bialkowski, Jedrzej Pawel - 2011

Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are significantly higher...

Persistent link: https://www.econbiz.de/10013134379

Trading Volume, Realized Volatility and Jumps on the Australian Stock Market

Shahzad, Hassan - 2015

We study the volume-volatility relation by splitting volume into the number of trades and the average trade size at … individual and institutional level, and realized volatility into its continuous and jump components. We find that the number of … trades is the most important variable driving realized volatility. The number of trades by the individual investors carries …

Persistent link: https://www.econbiz.de/10013033634

Weak Form Efficiency of the Nigerian Stock Market : An Empirical Analysis (1984–2009)

Afego, Pyemo - 2013

This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the Nigerian Stock Exchange (NSE) display a...

Persistent link: https://www.econbiz.de/10013085432

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

Persistent link: https://www.econbiz.de/10012237439

Did David Win a Battle or the War Against Goliath? Dynamic Return and Volatility Connectedness between the GameStop Stock and the High Short Interest Indices

Aharon, David Y.; Kizys, Renatas; Umar, Zaghum; … - 2021

volatility connectedness among the GameStop stock, the U.S. stock market, and the novel market-wide and sectoral short … of return and volatility spillovers from other companies shorted in the market. This result agrees with a view that short …

Persistent link: https://www.econbiz.de/10013239066

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...

Persistent link: https://www.econbiz.de/10012959469

New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets

Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

Persistent link: https://www.econbiz.de/10014254878

The Asymptotics of Extreme Returns in the Australian Stock Market

Jeyasreedharan, Nagaratnam - 2009

. Further, extreme returns are found to be weakly correlated implicating possible volatility clustering of the extreme returns …

Persistent link: https://www.econbiz.de/10013156833

Idiosyncratic Volatility, Return Reversals and Momentum : Australian Evidence

Grant, Andrew R. - 2010

This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high …

Persistent link: https://www.econbiz.de/10013138969

The effects of relative strength of USD and overnight policy rate on performance of Malaysian stock market : evidence from 1980 through 2015

Abdul Razak Abdul Hadi; Tat Hiung Yap; Zainudin, Zalina - In: Contemporary economics 13 (2019) 2, pp. 175-186

The study is carried out with the objective of testing the efficient market hypothesis (EMH) at the semistrong form level. As such, the study employs two publicly available data variables – the exchange rate (RM/USD) and short-term interest rate as proxied by the overnight policy rate (OPR)....

Persistent link: https://www.econbiz.de/10012176400