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Persistent link: https://www.econbiz.de/10015175415
This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann-Whitney, and t-tests) and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, and...
Persistent link: https://www.econbiz.de/10012888243
Differences in the behaviour of asset prices depending on data frequency have not been thoroughly investigated in the literature despite their possible importance. In particular, high-frequency data might contain more information about financial assets because they are updated more rapidly in...
Persistent link: https://www.econbiz.de/10015394356
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX over the period 1994-2019. The following hypotheses are tested: frequency of abnormal returns is asignificant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over...
Persistent link: https://www.econbiz.de/10013174306
This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...
Persistent link: https://www.econbiz.de/10014500683