[PDF][PDF] Characterization of financial time series
M Sewell - Rn, 2011 - cs.ucl.ac.uk
This paper provides an exhaustive review of the literature on the characterization of financial
time series. A stylized fact is a term in economics used to refer to empirical findings that are …
time series. A stylized fact is a term in economics used to refer to empirical findings that are …
Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns
RS Hudson, A Gregoriou - International Review of Financial Analysis, 2015 - Elsevier
We analyse the relationships between return calculation methods, risk and observation
periods. We show that the mean of a return set calculated using logarithmic returns is less …
periods. We show that the mean of a return set calculated using logarithmic returns is less …
The “holiday effect” in consumer satisfaction: Evidence from review ratings
This study explores whether and how a holiday effect exists in consumers' review rating
behavior, which is well explained by expectancy-disconfirmation theory (EDT). After utilizing …
behavior, which is well explained by expectancy-disconfirmation theory (EDT). After utilizing …
A global biophysical typology of mangroves and its relevance for ecosystem structure and deforestation
Mangrove forests provide many ecosystem services but are among the world's most
threatened ecosystems. Mangroves vary substantially according to their geomorphic and …
threatened ecosystems. Mangroves vary substantially according to their geomorphic and …
An empirical note on the holiday effect in the Australian stock market, 1996–2006
GJ Marrett, AC Worthington - Applied Economics Letters, 2009 - Taylor & Francis
This note examines the holiday effect in Australian daily stock returns at the market and
industry level and for small capitalization stocks from Monday 9 September 1996 to Friday …
industry level and for small capitalization stocks from Monday 9 September 1996 to Friday …
Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey
J Białkowski, MT Bohl, P Kaufmann… - Emerging Markets …, 2013 - Elsevier
Recent literature shows that the holy month of Ramadan exerts a positive influence on
investor sentiment in predominantly Muslim countries. This anomaly has been found to be …
investor sentiment in predominantly Muslim countries. This anomaly has been found to be …
Chinese lunar New Year effect in Asian stock markets, 1999–2012
T Yuan, R Gupta - The Quarterly Review of Economics and Finance, 2014 - Elsevier
This study investigates the Chinese Lunar New Year (CLNY) holiday effect in major Asian
stock markets. These are China, Hong Kong, Japan, Malaysia, South Korea and Taiwan. For …
stock markets. These are China, Hong Kong, Japan, Malaysia, South Korea and Taiwan. For …
[PDF][PDF] Istanbul Menkul Kiymetler Borsasinda Mevsimsel Anomaliler/seasonal anomalies in Istanbul stock exchange
Z Abdioglu, N Degirmenci - Business and Economics Research …, 2013 - researchgate.net
Etkin piyasa hipotezine göre, yatırımcılar piyasadaki tüm mevcut bilgiyi aynı şekilde
algılamaktadır ve hiçbir yatırımcının diğerlerinden daha fazla kar elde etmesi mümkün …
algılamaktadır ve hiçbir yatırımcının diğerlerinden daha fazla kar elde etmesi mümkün …
[PDF][PDF] Behavior of Calendar Anomalies, Market Conditions and Adaptive Market Hypothesis: Evidence from Pakistan Stock Exchange.
The current study investigates Adaptive Market Hypothesis (AMH) via five different calendar
effects in Pakistan stock market. For the purpose we examine daily returns of KSE-100 …
effects in Pakistan stock market. For the purpose we examine daily returns of KSE-100 …
Informed options trading around holidays
We use a high‐quality microstructure data set of KOSPI 200 index options to examine the
patterns of informed options trading around holidays, depending on options market …
patterns of informed options trading around holidays, depending on options market …