State-Dependent Momentum in International Stock Markets
نویسندگان
چکیده
منابع مشابه
The 52-week high momentum strategy in international stock markets
We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang [George, T., Hwang, C.Y., 2004. The 52-week high and momentum investing. Journal of Finance 59, 2145–2176.]. This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits exist independently from the Jegadeesh ...
متن کاملAsymmetric Conditional Volatility in International Stock Markets
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock...
متن کاملExtreme Dependence of International Stock Markets
Using copulas, in this paper we investigate the static and dynamic extreme dependence of international stock markets. We examine both the structure and the degree of the dependence. The data set are daily returns on the stock indices from countries in North America, Europe and East Asia. The results show signi cant asymmetric tail dependence in most of the return pairs, with the overall lower t...
متن کاملStock Markets Volatility and International Diversification
During the last decades, the financial markets volatility concept attracted the attention of the theorists and the experts in the field of finance, especially for the internationally diversified wallets. In this article, we used an asymmetric dynamic conditional correlation (DCC-GARCH (1.1)) model following the approach of Engle (2002), to test if the volatility of individual market or their re...
متن کاملImpact of Terrorism on International Stock Markets
This article investigates the impact of terrorist attacks on global capital markets. We find economic consequences of terrorist attacks spillover through trading partners. When a bigger economy (measured by GDP) is targeted, the spillover is specifically prominent for economically smaller trading partners. Such partners see a -2.5% reduction in national stock indices. Odds for smaller trading p...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2103315