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Social media and the stock markets: an emerging market perspective
Journal of Business Economics and Management, 2021 There are numerous studies that examine the impact of social media on the stock market performance but there is a paucity of such evidences from the emerging economies.
Shweta Agarwal +2 more
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Efficient market hypothesis: is the Croatian stock market as (in)efficient as the U.S. market [PDF]
Financial Theory and Practice, 2011 Traditional statistical tests of serial independence of stock price changes often show that stock markets are inefficient. Our analysis on daily and monthly data confirms this finding for the Croatian and U.S. markets in the 2002- 2010 period. However, this result seems to be mainly due to the impact of the crisis of 2008- 2009.
Velimir Šonje +2 more
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Spectral analysis and the death of value investing
Cogent Economics & Finance, 2021 This study explores the redundancy of the value premium by conducting a Fourier analysis. The results illustrate periodicity in the value premium and merges the Adaptive Market Hypothesis with the Efficient Market hypothesis.
John-Morgan Bezuidenhout +1 more
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Volatility Transmission Between Container and Dry Bulk Freight Markets During the COVID-19 Pandemic
Journal of Eta Maritime Science, 2023 Shipping is a highly volatile, cyclical, and capital-intensive industry defined by extreme highs and lows. This makes information regarding volatility in this market material and relevant for decisions related to portfolio diversification, forecasting ...
Reha Memişoğlu, Seçil Sigalı
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Market-Aware Models for Efficient Cross-Market Recommendation [PDF]
, 2023 We consider the cross-market recommendation (CMR) task, which involves recommendation in a low-resource target market using data from a richer, auxiliary source market. Prior work in CMR utilised meta-learning to improve recommendation performance in target markets; meta-learning however can be complex and resource intensive.
arxiv +1 more source
Market interaction and efficient cooperation [PDF]
European Economic Review, 2019 The authors thank the Spanish Ministerio de Economia y Competitividad (Grant: ECO2014-59302-P), the Generalitat de Catalunya (Grant: 2014 SGR 510), the Antoni Serra Ramoneda Research Chair (UAB-Catalunya Caixa) for financial support.
Jordi Brandts, Arno Riedl
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Quantitative Finance and Economics, 2020 This paper analyses the behaviour of stock returns and calendar anomalies over a ten year period: 2007–2016 on the London Stock Exchange, through two major indices, the FTSE100 and FTSE250.
Lucrezia Rosini, 10.3934/QFE.2020006
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Market efficiency in the European carbon markets [PDF]
Energy Policy, 2012 In this paper, we study the relationship between futures and spot prices in the European carbon markets from the cost-of-carry hypothesis. The aim is to investigate the extent of efficiency market. The three main European markets (BlueNext, EEX and ECX) are analyzed during Phase II, covering the period from March 13, 2009 to January, 17, 2012.
Charles, Amélie +2 more
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INSIDERS AND MARKET EFFICIENCY [PDF]
The Journal of Finance, 1976 THE STRONG-FORM of the efficient market hypothesis assumes all available public and private information is fully relected in a security's market price. The strongform, in terms of market participants, also assumes that no individual can have higher expected trading profits than others because of monopolistic access to information.
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Algorithmic Trading and Efficiency of the Stock Market in Poland
Finanse i Prawo Finansowe, 2021 The aim of the article is to investigate the impact of algorithmic trading on the returns obtained in the context of market efficiency theory. The research hypothesis is that algorithmic trading can contribute to a better rate of return than when using ...
Rafał Jóźwicki +2 more
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