Institutional investor'proportions and inactive trading

J Wang, S Liu, H Yang - International Review of Financial Analysis, 2022 - Elsevier
We focus on a typical market anomaly-inactive trading: trading volume shrinks while stock
price abnormally jumps. We calibrate a theoretical model with variance ambiguity …

Time series momentum: Evidence from the European equity market

DB Vukovic, S Ingenito, M Maiti - Heliyon, 2023 - cell.com
This study empirically analyzes time series momentum (TSM) in the European equity market
between 2000 & 2020. The study produces additional evidence on TSM where a significant …

The price continuity, return and volatility spillover effects of regular and after-hours trading

CL Chiu, TH Chang, IF Hsiao, DS Chiou - Plos one, 2024 - journals.plos.org
This study employs a bivariate EGARCH model to examine the Taiwan Futures Exchange's
regular and after-hours trading, focusing on the critical aspects of spillover and expiration …

Extending the Omega model with momentum and reversal strategies to intraday trading

JR Yu, CH Wei, CJ Lai, WY Lee - Plos one, 2023 - journals.plos.org
This study develops the Omega model integrated with momentum and reversal strategies
using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ …

The momentum ambiguity and investor trading behavior

L Wang, S Yang, S Zhao - Economics Letters, 2024 - Elsevier
This paper investigates the impact of momentum ambiguity on investor trading behavior.
Specifically, our findings suggest that in the presence of momentum (reversal) effects in …

Performance of Time-series Momentum Strategy: US Evidence

S Duan - Advances in Economics, Management and Political …, 2023 - ewadirect.com
This paper examines the effectiveness of the time series momentum strategy in generating
positive returns in the US stock market, with a focus on exploring its dynamics and …

Time-Series Momentum in a Small European Stock Market: Evidence from a New Historical Financial Dataset

J Lobão, A Rosário - 2023 - ceeol.com
In this paper, we examine the Portuguese stock market for indication of time-series
momentum effects using a new historical financial dataset that covers about 120 years of …