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Understanding cryptocurrency volatility : the role of oil market shocks

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Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market

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Do terrorist attacks matter for currency excess returns?

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Oil price returns and firm's fixed investment : a production pattern

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An evaluation of the index of leading indicators as predictor of cyclical turning points using Markov switching model as filter

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The predictability of Asian exchange rates : evidence from Kalman filter and ARCH estimations

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Order flow and the bid-ask spread : an empirical probability model of screen-based trading

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Liquidity, default, taxes and yields on municipal bonds

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Return Predictability of Prospect Theory : Evidence from the Thailand Stock Market

Chen, Xi; Wang, Junbo; Zhong, Xiaoling - 2023

Using Thailand stock market data, we find that prospect theory has strong predictive power for returns in the Thailand stock market. This predictive power is strengthened during crises and bear and bull markets. The loss aversion component is the main contributor to the increased predictive...

Persistent link: https://www.econbiz.de/10014355690