This paper examines the performance of technical trading rules in Socially Responsible Investment (SRI) indices. Unlike previous studies, we separate technical trading rules into those that aim to trend-follow and those that employ mean-reversion. Using three popular FTSE4Good indices, we show...

Non-linearity is characterized by an asymmetric mean-reverting property, which has been found to be inherent in the short-term return dynamics of stocks. In this paper, we explore as to whether cryptocurrency returns, as represented by Bitcoin, exhibit similar asymmetric reverting patterns for...

This paper studies causal relationships and the potential of improving conditional quantile forecasting between Bitcoin and seven altcoin markets as well as between Bitcoin and three mainstream assets, namely gold, oil, and the S&P500, by applying the Granger-causality in distribution and in...