Search Results - subject:"Lead–lag effect"

Lead-lag and volatility point change estimations for cryptocurrencies

Mutale, Jenipher; Angaman, Ehounou Serge Eloge Florentin; … - In: Journal of banking and financial economics 21 (2024) 1, pp. 54-76

This study investigates the lead-lag relationships and volatility dynamics among four major cryptocurrencies - Bitcoin, Ethereum, Solana, and Polygon - during the turbulent year of 2022. We address three primary research questions: (1) To what extent do lead-lag relationships exist among major...

Persistent link: https://www.econbiz.de/10015334628

Detecting the lead-lag effect in stock markets : definition, patterns, and investment strategies

Li, Yongli; Wang, Tianchen; Sun, Baiqing; Liu, Chao - In: Financial innovation : FIN 8 (2022), pp. 1-36

finding this paper adopts the power-law distribution to formally define the lead-lag effect, detect stock pairs with the lead-lag … significantly improve the performance of basic alpha-factor strategies. Our results therefore indicate that the lead-lag effect may … effect, and then design a pure lead-lag investment strategy as well as enhancement investment strategies by integrating the …

Persistent link: https://www.econbiz.de/10013272642

Dividendos e volatilidades : spillover e causalidade em segunda ordem, cambial e financeira

Maranhão, André Nunes; Moreira, Guilherme Costa Chadud - In: Revista Brasileira de Finanças : RBFin 19 (2021) 4, pp. 28-85

Persistent link: https://www.econbiz.de/10012804845

The leaders, the laggers, and the "vulnerables"

Arakelian, Veni; Hashem, Shatha Qamhieh - In: Risks 8 (2020) 1, pp. 1-32

We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing … different network structures among institutions' interrelations. We also check if the lead-lag effect holds in terms of systemic …

Persistent link: https://www.econbiz.de/10013200561

The leaders, the laggers, and the "vulnerables"

Arakelian, Veni; Hashem, Shatha Qamhieh - In: Risks : open access journal 8 (2020) 1/26, pp. 1-32

We examine the lead-lag effect between the large and the small capitalization financial institutions by constructing … different network structures among institutions´ interrelations. We also check if the lead-lag effect holds in terms of systemic …

Persistent link: https://www.econbiz.de/10012203666

Amsterdam house price ripple effects in The Netherlands

Teye, Alfred Larm; Knoppel, Michel; de Haan, Jan; … - In: Journal of European Real Estate Research 10 (2017) 3, pp. 331-345

. Design/methodology/approach The paper considers the ripple effect as a lead-lag effect and a long-run convergence between the …, except one. In particular, the Granger Causality test concludes that a lead-lag effect of house prices exists from Amsterdam …

Persistent link: https://www.econbiz.de/10014862900

The Lead-Lag Effect in BRICS¡¯ Stock Market

Tonin, Julyerme Matheus; Jo?o Ricardo Tonin; Cunha, … - In: Transnational Corporations Review 5 (2013) 4, pp. 54-66

study aims to examine the lead-lag effect between the stock market of the BRICs, from March 2004 until March 2013, using the …

Persistent link: https://www.econbiz.de/10010739437

Predictable Returns and Non-Synchronous Trading

Fatnassi, Latifa; Abaoub, Ezzeddine - In: Journal of Asian Business Strategy 2 (2012) 11, pp. 238-249

The aim of this paper is to investigate non-synchronous trading effect in terms of predictability. This analysis is applied to daily and one-minute interval data on the KOREA stock market. The results indicate evidence of predictability between indices with different degrees of non-synchronous...

Persistent link: https://www.econbiz.de/10010948930