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Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets: Evidence from developed and emerging countries

Sahabuddin, Mohammad; Tabash, Mosab I.; Alam, Md. Kausar; … - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-19

and Islamic stock markets in developed and emerging countries in order to develop better portfolio and asset allocation …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … and Islamic stock indexes showed higher volatility, whereas Malaysian conventional and Islamic stock indexes showed …

Persistent link: https://www.econbiz.de/10014332858

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014305816

Algorithm for Construction of Portfolio of Stocks using Treynor's Ratio

SINHA, Pankaj; GOYAL, Lavleen - In: Journal of Applied Research in Finance Bi-Annually IV (2012) 1, pp. 56-62

's ratio, on the basis of historical data of Indian stock market when the short selling is not allowed. The effectiveness of …

Persistent link: https://www.econbiz.de/10010851964

Common Macro Factors and Currency Premia

Filippou, Ilias; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014

We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong...

Persistent link: https://www.econbiz.de/10011084700

Using Weekly Empirical Probabilities in Currency Analysis and Forecasting

Andrew C Pollock, Alex Macaulay, Mary E Thomson, Dilek … - In: Frontiers in Finance and Economics 5 (2008) 2, pp. 26-55

Persistent link: https://www.econbiz.de/10004998287

Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration

Balvers, Ronald J.; Wu, Yangru - Hong Kong Institute for Monetary Research (HKIMR), … - 2005

If transitory profitable trading opportunities exist, filter rules are used to mitigate transaction costs. We use a dynamic programming framework to design an optimal filter which maximizes after-cost expected returns. The filter size depends crucially on the degree of persistence of trading...

Persistent link: https://www.econbiz.de/10005558149

Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets

Serban, Alina - Department of Economics, College of Business and Economics - 2009

The literature on equity markets documents the existence of mean reversion and momentum phenomena. Researchers in foreign exchange markets find that foreign exchange rates also display behaviors akin to momentum and mean reversion. This paper implements a trading strategy combining mean...

Persistent link: https://www.econbiz.de/10008509473

International Dynamic Asset Allocation and the Effect of the Exchange Rate

Smedts, Kristien - Centrum voor Economische Studiën, Faculteit Economie … - 2004

This paper analyzes a stylized theoretical framework to examine optimal portfolio selection in an international context with an explicit focus on the effect of the exchange rate. More specifically, we study how the elimination of the exchange rate induces shifts in the optimal international...

Persistent link: https://www.econbiz.de/10005200747

The memory of beta factors

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012213531

Forecasting and trading cryptocurrencies with machine learning under changing market conditions

Sebastião, Helder; Godinho, Pedro - In: Financial Innovation 7 (2021) 1, pp. 1-30

This study examines the predictability of three major cryptocurrencies-bitcoin, ethereum, and litecoin-and the profitability of trading strategies devised upon machine learning techniques (e.g., linear models, random forests, and support vector machines). The models are validated in a period...

Persistent link: https://www.econbiz.de/10012602886