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  1. Momentum effects in the cryptocurrency market after one-day abnormal returns
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the... mehr

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    This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis-à-vis the US dollar over the period 01.01.2017-01.09.2019, specifically whether or not: H1) the intraday behaviour of hourly returns is different on overreaction days compared to normal days; H2) there is a momentum effect on overreaction days, and H3) after one-day abnormal returns. The methods used for the analysis include a number of statistical methods as well as a trading simulation approach. The results suggest that hourly returns during the day of positive/negative overreactions are significantly higher/lower than those during the average positive/negative day. Overreactions can usually be detected before the day ends by estimating specific timing parameters. Prices tend to move in the direction of the overreaction till the end of the day when it occurs, which implies the existence of a momentum effect on that day giving rise to exploitable profit opportunities. This effect (together with profit opportunities) is also observed on the following day. In two cases (BTCUSD positive overreactions and ETHUSD negative overreactions) a contrarian effect is detected instead.

     
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    hdl: 10419/207308
    Schriftenreihe: Array ; no. 7917 (October 2019)
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  2. CO2 emissions and GDP
    evidence from China
    Autor*in: Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; Gil-Alaña, Luis A.
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines the relationship between the logarithms of CO2 emissions and real GDP in China by applying fractional integration and cointegration methods. The univariate results indicate that the two series are highly persistent, their orders... mehr

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    This paper examines the relationship between the logarithms of CO2 emissions and real GDP in China by applying fractional integration and cointegration methods. The univariate results indicate that the two series are highly persistent, their orders of integration being around 2, whilst the cointegration tests (using both standard and fractional techniques) imply that there exists a long-run equilibrium relationship between the two variables in first differences, i.e. their growth rates are linked together in the long run. This suggests the need for environmental policies aimed at reducing emissions during periods of economic growth.

     
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    hdl: 10419/207272
    Schriftenreihe: Array ; no. 7881 (October 2019)
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. Cycles and long-range behaviour in the European stock markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is... mehr

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    This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional integration with stochastic patterns at the zero and cyclical frequencies and includes both long- and short- memory components. The cyclical patterns are modelled using Gegenbauer processes. This model is estimated using monthly data for five European stock market indices (DAX30, FTSE100, CAC40, FTSE MIB40, IBEX35) from January 2009 to January 2019. The results indicate that the series are highly persistent at the long-run frequency, but they are not supportive of the existence of cyclical stochastic structures in the European financial markets. The only clear evidence of a stochastic cycle is obtained in the case of France under the assumption of white noise disturbances; in all other cases, there is no evidence of cycles.

     
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    hdl: 10419/214945
    Schriftenreihe: Array ; no. 7943 (November 2019)
    Umfang: 1 Online-Ressource (circa 17 Seiten), Illustrationen
  4. Investors' trading behaviour and stock market volatility during crisis periods
    a dual long-memory model for the Korean stock exchange
    Autor*in: Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, Stavroula; Kartsaklas, Aris
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign... mehr

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    This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our results suggest that the buy and sell trades have an asymmetric effect 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-crisis buy trades affect volatility positively regardless of who trades (institutional or individual investors) and on what information (member, non-member). Most importantly, decomposing total buy and sell trades into trader-type categories reveals that some institutional investors are more informed traders that stabilize the market compared to individuals that always increase volatility. Foreign investors reduce volatility with their purchases and total trading activity in the whole Asian crisis sample, but only in the pre-crisis period before the recent global financial turmoil.

     
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    hdl: 10419/214986
    Schriftenreihe: Array ; no. 7984 (December 2019)
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  5. Estimation of conditional asset pricing models with integrated variables in the beta specification
    Autor*in: Antypas, Antonios; Caporale, Guglielmo Maria; Kourogenis, Nikolaos; Pittis, Nikitas
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form... mehr

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    We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a nonstationary right hand side. Our approach uses the cointegrating relationships between the integrated variables in order to maintain the stationarity of the right hand side of the estimated model, thus, avoiding the issues that arise in the case of an unbalanced regression. We present an example where our methodology is applied to the returns of funds-of-funds which are based on the Morningstar mutual fund ranking system. The results provide evidence that the residuals of possible cointegrating relationships between integrated variables in the specification of the conditional betas may reveal significant information concerning the dynamics of the betas.

     
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    hdl: 10419/214971
    Schriftenreihe: Array ; no. 7969 (November 2019)
    Umfang: 1 Online-Ressource (circa 27 Seiten)
  6. On the preferences of CoCo bond buyers and sellers
    a logistic regression analysis
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper estimates the preference scores of CoCo bond buyers and sellers by running logistic regressions taking into account both bond and issuing bank's characteristics, and also considers the role of country−specific CoCo bond market... mehr

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    This paper estimates the preference scores of CoCo bond buyers and sellers by running logistic regressions taking into account both bond and issuing bank's characteristics, and also considers the role of country−specific CoCo bond market competitiveness. Buyers are found to be characterised by stronger preference responses to CoCo bond coupons and credit ratings, while sellers are more sensitive to CoCo bond issue size and financial characteristics including return on common equity, price−to−book ratio and total regulatory capital to risk−weighted asset ratio. Further, sizeable responses to CoCo bond and issuing bank’s characteristics are found in most European countries, Brazil, Mexico and China, the strongest responses being estimated in the case of the UK and China.

     
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    hdl: 10419/198911
    Schriftenreihe: Array ; no. 7551 (March 2019)
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  7. Persistence, non-linearities and structural breaks in European stock market indices
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration... mehr

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    This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no evidence of non-linearities in either prices or returns; the former are found to exhibit unit roots and the latter to be I(0) in most cases. Further, between 2 and 4 structural breaks are found for each of the return series, and mean reversion in some subsamples.

     
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    hdl: 10419/201893
    Schriftenreihe: Array ; no. 7667 (May 2019)
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  8. Financial integration in the GCC region
    market size versus national effects
    Autor*in: Arin, Kerim Peren; Caporale, Guglielmo Maria; Kyriacou, Kyriacos; Spagnolo, Nicola
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since... mehr

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    This paper examines financial spillovers between the four largest equity markets (by market capitalization) in the GCC region using a VAR-GARCH (1,1) framework that sheds light on interdependence as well as the effects of the 2014 oil crisis. Since the UAE is a federation including two stock exchanges (Abu Dhabi and Dubai), it is possible to test whether being part of a federal union matters more than market size in terms of financial integration. Our results suggest that the latter is more important, since we could not find evidence of stronger linkages between the Abu Dhabi and Dubai markets compared to those between other markets in the region. By contrast, there are significant spillover effects, both in the mean and in the volatility, from the largest market of Saudi Arabia to Qatar and the two markets in the UAE, which confirms that market capitalization is a more important determinant of financial integration than belonging to a federal union. Further, spillovers from the larger markets have become stronger as a result of the 2014 oil crisis. Finally, there is also evidence of spillovers from the smaller to the larger markets.

     
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    hdl: 10419/201912
    Schriftenreihe: Array ; no. 7686 (June 2019)
    Umfang: 1 Online-Ressource (circa 12 Seiten), Illustrationen
  9. Non-linearities, cyber attacks and cryptocurrencies
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio; Spagnolo, Nicola
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper uses a Markov-switching non-linear specification to analyse the effects of cyber attacks on returns in the case of four cryptocurrencies (Bitcoin, Ethernam, Litecoin and Stellar) over the period 8/8/2015 - 28/2/2019. The analysis considers... mehr

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    This paper uses a Markov-switching non-linear specification to analyse the effects of cyber attacks on returns in the case of four cryptocurrencies (Bitcoin, Ethernam, Litecoin and Stellar) over the period 8/8/2015 - 28/2/2019. The analysis considers both cyber attacks in general and those targeting cryptocurrencies in particular, and also uses cumulative measures capturing persistence. On the whole, the results suggest the existence of significant negative effects of cyber attacks on the probability for cryptocurrencies to stay in the low volatility regime. This is an interesting finding, that confirms the importance of gaining a deeper understanding of this form of crime and of the tools used by cybercriminals in order to prevent possibly severe disruptions to markets.

     
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    hdl: 10419/201918
    Schriftenreihe: Array ; no. 7692 (June 2019)
    Umfang: 1 Online-Ressource (circa 12 Seiten), Illustrationen
  10. Volatility forecasts for the RTS stock index
    optionimplied volatility versus alternative methods
    Autor*in: Caporale, Guglielmo Maria; Teterkina, Daria
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model... mehr

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    This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model forecasts, and forecasts combining those two using a mixing strategy based either on a simple average or a weighted average with the weights being determined according to two different criteria (either minimizing the errors or maximizing the information content). Various forecasting performance tests are carried out which suggest that both implied volatility and combination methods using a simple average outperform ARCH/GARCH-type models in terms of forecasting accuracy.

     
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    hdl: 10419/198972
    Schriftenreihe: Array ; no. 7612 (April 2019)
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  11. Force majeure events and stock market reactions in Ukraine
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex; Makarenko, Inna
    Erschienen: February 2019
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 19, 05
    Umfang: 1 Online-Ressource (circa 24 Seiten)
  12. Stock market linkages between the ASEAN countries, China and the US
    a fractional cointegration approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei
    Erschienen: February 2019
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 19, 06
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  13. Style consistency and mutual fund returns
    the case of Russia
    Autor*in: Bayarmaa, Adiya; Caporale, Guglielmo Maria
    Erschienen: March 2019
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 19, 07
    Umfang: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  14. On the preferences of CoCo bond buyers and sellers
    a logistic regression analysis
    Autor*in: Caporale, Guglielmo Maria; Kang, Woo-Young
    Erschienen: March 2019
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 19, 08
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  15. Price overreactions in the FOREX and trading strategies
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: March 2019
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 19, 09
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  16. Volatility forecasts for the RTS stock index
    option-implied volatility versus alternative methods
    Autor*in: Caporale, Guglielmo Maria; Teterkina, Daria
    Erschienen: April 2019
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 19, 10
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  17. Persistence, non-linearities and structural breaks in European stock market indices
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos
    Erschienen: April 2019
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 19, 11
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  18. Style consistency and mutual fund returns
    the case of Russia
    Autor*in: Bayarmaa, Adiya; Caporale, Guglielmo Maria
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers' Association over the period January 2008-December 2017; specifically, it applies the RSBA method developed by Sharpe (1992) for evaluating... mehr

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    This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers' Association over the period January 2008-December 2017; specifically, it applies the RSBA method developed by Sharpe (1992) for evaluating the impact of style on returns, and uses the Style Drift Score (SDS) introduced by Idzorek (2004) as a measure of a fund's style drifting activity. The main findings can be summarised as follows. In the Russian case there is a significant positive relationship between style consistency and profitability of funds. Further, Russian funds are characterised by a high level of style drift, namely deviations from the investment strategy declared at the time of registration as required by Russian law.

     
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    hdl: 10419/198965
    Schriftenreihe: Array ; no. 7605 (April 2019)
    Umfang: 1 Online-Ressource (circa 17 Seiten), Illustrationen
  19. High and low prices and the range in the European stock markets
    a long-memory approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    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... mehr

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    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, monthly, weekly and daily data on the following five European stock market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all cases, the order of integration of the range is lower than that of the original series, which implies the existence of a long-run equilibrium relationship between high and low prices. Further, the estimated fractional differencing parameter is positive in all cases, which represents evidence of long memory.

     
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    Weitere Identifier:
    hdl: 10419/201878
    Schriftenreihe: Array ; no. 7652 (May 2019)
    Umfang: 1 Online-Ressource (circa 24 Seiten)
  20. Macro-financial linkages in the high-frequency domain
    the effects of uncertainty on realized volatility
    Autor*in: Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, Stavroula
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats... mehr

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    This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it extends the HEAVY framework with powers, leverage, and macro effects that improve its forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main drivers of US and UK financial volatility alongside global credit and commodity factors.

     
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    Weitere Identifier:
    hdl: 10419/215002
    Schriftenreihe: Array ; no. 8000 (December 2019)
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  21. Can market reforms succeed in Bulgaria
    Autor*in: Caporale, Guglielmo Maria; Zalewska-Mitura, Anna
    Erschienen: 1997
    Verlag:  Univ. of East London, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Department of Economics working papers / University of East London ; 17
    Schlagworte: Wirtschaftsreform; Systemtransformation; Bulgarien
    Umfang: 12, [5] S
  22. Stock market linkages between the ASEAN countries, China and the US
    a fractional cointegration approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly)... mehr

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    This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration analysis is carried out for the weekly series to study the impact of the 2007-8 global financial crisis and the 2015 China stock market crash on the pattern of stock market co-movement. The main findings are the following. All stock indices exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China, except between Indonesia and China in the case of the financial sector. The 2007-8 global financial crisis and the 2015 Chinese stock market plunge weakened the linkages between the ASEAN five and both China and the US. The implications of these results for market participants and policy makers are discussed.

     
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    Weitere Identifier:
    hdl: 10419/198897
    Schriftenreihe: Array ; no. 7537 (February 2019)
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  23. Revisiting forward looking consumption and financial liberalisation in the United Kingdom
    Autor*in: Caporale, Guglielmo Maria; Williams, Geoffrey
    Erschienen: 1997

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Array ; 97,22
    Schlagworte: Privater Konsum; Finanzmarktregulierung; Schätzung; Theorie; Großbritannien
    Umfang: 34 S. : graph. Darst
  24. Unit roots, exogeneity, and persistence
    a critical overview
    Autor*in: Caporale, Guglielmo Maria; Pittis, Nikitas
    Erschienen: 1997

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Array ; 97,4
    Schlagworte: Zeitreihenanalyse; Schätzung; Theorie
    Umfang: 33 S
  25. Weak exogeneity and measures of persistence
    Autor*in: Caporale, Guglielmo Maria; Pittis, Nikitas
    Erschienen: 1997

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    Schriftenreihe: Array ; 97,3
    Schlagworte: Zeitreihenanalyse; Schätzung; Theorie
    Umfang: 11 S