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Coronavirus disease 2019

Cao, Kang Hua; Woo, Chi-keung; Li, Ya; Liu, Yun - In: Applied economics letters 29 (2022) 2, pp. 123-128

Persistent link: https://www.econbiz.de/10012803395

Overreaction of country ETFs to US market returns : intraday vs. daily horizons and the role of synchronized trading

Levy, Ariel; Lieberman, Offer - In: Journal of banking & finance 37 (2013) 5, pp. 1412-1421

Persistent link: https://www.econbiz.de/10009729094

High Frequency Trading in the Equity Markets During US Treasury POMO

Gao, Cheng - 2018

during Treasury POMO. Aggressive HFT trading becomes more consistently profitable, and HFT firms earn a higher return per …

Persistent link: https://www.econbiz.de/10012938427

High frequency trading in the equity markets during US treasury POMO

Gao, Cheng; Mizraeh, Bruce - In: Uncertainty, expectations and asset price dynamics : …, (pp. 81-103). 2018

Persistent link: https://www.econbiz.de/10012015000

Understanding intraday momentum strategies

Rosa, Carlo - In: The journal of futures markets 42 (2022) 12, pp. 2218-2234

Persistent link: https://www.econbiz.de/10013465878

The contagion between stock markets : evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic

Le Thi Minh Huong - In: Macroeconomics and finance in emerging market economies 17 (2024) 1, pp. 78-94

Persistent link: https://www.econbiz.de/10014511849

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

Persistent link: https://www.econbiz.de/10011293745

Is there a risk and return relation?

Fifield, S. G. M.; McMillan, David G.; McMillan, Fiona J. - In: The European journal of finance 26 (2020) 11, pp. 1075-1101

Persistent link: https://www.econbiz.de/10012264949

Does change in economic policy uncertainty affect real estate investment trusts (REITs)?

Sadhwani, Ranjeeta; Rajput, Suresh Kumar Oad; Ali-Rind, Asad - In: Annals of financial economics 14 (2019) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012226593

Political news and stock market reactions : evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98

, but decreased returns volatility. Third, political news, both good and bad, can affect stock return and stock return … volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …

Persistent link: https://www.econbiz.de/10012131511