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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?

Auer, Benjamin R. - 2018

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...

Persistent link: https://www.econbiz.de/10012908691

Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach

Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, … - 2021

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...

Persistent link: https://www.econbiz.de/10013211113

Bitcoin Fluctuations and the Frequency of Price Overreactions

Caporale, Guglielmo Maria - 2019

This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...

Persistent link: https://www.econbiz.de/10012892294

Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods : A Dual Long-Memory Model for the Korean Stock Exchange

Caporale, Guglielmo Maria - 2020

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

Persistent link: https://www.econbiz.de/10012845690

High and Low Prices and the Range in the European Stock Markets : A Long-Memory Approach

Caporale, Guglielmo Maria - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012866394

The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex

Caporale, Guglielmo Maria - 2020

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...

Persistent link: https://www.econbiz.de/10012837673

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

Aggregate Insider Trading and Stock Market Volatility in the UK

Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023

This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly …-run increase in stock market volatility; this can be attributed to a combination of insiders manipulating the timing and content of …-regulated market, it is plausible that the main driver of the increase in stock market volatility should be the information effect …

Persistent link: https://www.econbiz.de/10014347820

Uncertainty and the Cost of Bank vs. Bond Finance

Grimme, Christian - 2019

How does uncertainty affect the costs of raising finance in the bond market and via bank loans? Empirically, this paper finds that heightened uncertainty is accompanied by an increase in corporate bond yields and a decrease in bank lending rates. This finding can be explained with a model that...

Persistent link: https://www.econbiz.de/10012892132

US Municipal Green Bonds and Financial Integration

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …

Persistent link: https://www.econbiz.de/10014358701