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Indexing and stock market serial dependence around the world

Baltussen, Guido; Bekkum, Sjoerd van; Da, Zhi - In: Journal of financial economics 132 (2019) 1, pp. 26-48

Persistent link: https://www.econbiz.de/10012134770

Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models

Xue, Wen-Jun; Zhang, Li-Wen - In: Economic modelling 60 (2017), pp. 391-401

Persistent link: https://www.econbiz.de/10011734259

Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?

Strobel, Marcus; Auer, Benjamin R. - In: International review of economics & finance : IREF 53 (2018), pp. 168-184

Persistent link: https://www.econbiz.de/10011791732

Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models

Xue, Wen-Jun; Zhang, Li-Wen - 2016

Persistent link: https://www.econbiz.de/10011617906

How dynamic hedging affects stock price movements : evidence from German option and certificate markets

Fischer, Georg - 2019

autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate … induces negative return autocorrelation in stock markets. We find empirical evidence that the hedging demand of option issuers … has a positive impact on return autocorrelation, while the opposite holds for certificate issuers, whose hedging demand …

Persistent link: https://www.econbiz.de/10011960804

Feedback trading and its implications for return autocorrelations in India during COVID

Mukherjee, Paramita; Chatterjee, Rajashri - In: Journal of emerging market finance 23 (2024) 2, pp. 246-270

Persistent link: https://www.econbiz.de/10014633199

The illusion of oil return predictability : the choice of data matters!

Conlon, Thomas; Cotter, John; Eyiah-Donkor, Emmanuel - In: Journal of banking & finance 134 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013400116

Stock return predictability and variance risk premia around the ZLB

Ogawa, Toshiaki; Ubukata, Masato; Watanabe, Toshiaki - 2020

Persistent link: https://www.econbiz.de/10013461530

Is factor momentum greater than stock momentum?

Falck, Antoine; Rej, Adam; Thesmar, David - In: The journal of investment strategies 10 (2021) 4, pp. 43-68

Persistent link: https://www.econbiz.de/10014335802

Asymmetric wealth effect between US stock markets and US housing market and European stock markets : evidences from TAR and MTAR

Coelho, Pedro Pacheco; Gomes, Luís; Ramos, Patrícia - In: Risks : open access journal 11 (2023) 7, pp. 1-14

Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly...

Persistent link: https://www.econbiz.de/10014340266