Search Results - subject:"Momentum effect"

Is there more to asset price linkages in China than meets the eye : cross-asset momentum and the role of hybrid funds

Wang, Xiaowei; Wang, Rui; Yichun, Zhang - In: International review of financial analysis 95 (2024) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10015145263

Price effects after one-day abnormal returns and crises in the stock markets

Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Ji, Qiang - In: Research in international business and finance 70 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10015053315

A four-factor model based on factor momentum

Cui, Mengqi; Li, Daye - In: Pacific-Basin finance journal 87 (2024), pp. 1-35

Persistent link: https://www.econbiz.de/10015098465

Illiquidity, duration and momentum profits: evidence from the Korean stock market

Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies : … 29 (2021) 1, pp. 49-72

stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this … competing asset pricing models in explaining the momentum effect. Finally, when controlling for the duration factor, the … finding indicates that the duration factor is the most important ingredient in understanding the momentum effect in the Korean …

Persistent link: https://www.econbiz.de/10012592791

Risks and returns of cryptocurrency

Liu, Yukun; Tsyvinski, Aleh - In: The review of financial studies 34 (2021) 6, pp. 2689-2727

Persistent link: https://www.econbiz.de/10012546311

Gold and oil prices : abnormal returns, momentum and contrarian effects

Caporale, Guglielmo Maria; Plastun, Alex - In: Financial markets and portfolio management 35 (2021) 3, pp. 353-368

Persistent link: https://www.econbiz.de/10012616165

Gold and Oil Prices: Abnormal Returns, Momentum and Contrarian Effects

Caporale, Guglielmo Maria; Plastun, Alex - 2020

returns can usually be detected before the end of the day by estimating specific timing parameters, and a momentum effect can … be detected. On the following day two different price patterns are detected: a momentum effect for Oil prices and a …

Persistent link: https://www.econbiz.de/10012269515

Abnormal Returns and Stock Price Movements: Some Evidence from Developed and Emerging Markets

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...

Persistent link: https://www.econbiz.de/10012425689

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies 8 (2020) 1, 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/10013199649

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

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