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Profitability of technical trading rules among cryptocurrencies with privacy function
(Elsevier, 2020-03-18)
- article
This paper studies simple moving average trading strategies employing daily price data on the ten most-traded cryptocurrencies that exhibit the ‘privacy function’. Investigating the 2016–2018 period, our results indicate ...
Have the anomalies following share buybacks disappeared?
(Taylor & Francis, 2015-12-10)
- article
Although several empirical studies report significant positive long-run abnormal stock returns following share buybacks, a recent event study paper claims that such anomalies have disappeared in the most recent decade and ...
Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes
(Elsevier, 2020-07-01)
- article
This paper analyzes the cross-quantile dependence and causality between non-ferrous metals and clean energy indices by employing data from November 2003 to May 2019. Specifically, we utilize the time-varying copulas to ...