Please use this identifier to cite or link to this item:
https://essuir.sumdu.edu.ua/handle/123456789/85418
Or use following links to share this resource in social networks:
Tweet
Recommend this item
Title | The frequency of one-day abnormal returns and price fluctuations in the forex |
Authors |
Caporale, G.M.
Plastun, Oleksii Leonidovych ![]() Oliinyk, Viktor Mykhailovych ![]() |
ORCID |
http://orcid.org/0000-0001-8208-7135 http://orcid.org/0000-0001-6251-3846 |
Keywords |
FOREX anomalies price dynamics frequency of abnormal returns |
Type | Article |
Date of Issue | 2021 |
URI | https://essuir.sumdu.edu.ua/handle/123456789/85418 |
Publisher | Routledge on behalf of the Universidad del CEMA |
License | Creative Commons Attribution 4.0 International License |
Citation | Guglielmo Maria Caporale, Alex Plastun & Viktor Oliinyk (2021) The frequency of one-day abnormal returns and price fluctuations in the forex, Journal of Applied Economics, 24:1, 401-415, DOI: 10.1080/15140326.2021.1953914 |
Abstract |
This paper analyses the explanatory power of the frequency of
abnormal returns in the FOREX over the period 1994–2019. The
following hypotheses are tested: frequency of abnormal returns is
asignificant driver of price movements (H1); it does not exhibit
seasonal patterns (H2); it is stable over time (H3). For our purposes
avariety of statistical methods are applied including ADF, PP and
KPSS tests, Granger causality tests, correlation analysis, regression
analysis, Probit and Logit regression models. No evidence is found
of either seasonal patterns or instability. However, there appears to
be astrong positive (negative) relationship between returns in the
FOREX and the frequency of positive (negative) abnormal returns.
On the whole, the results suggest that the latter is an important
driver of price dynamics in the FOREX, is informative about crises
and can be the basis of profitable trading strategies, which is
inconsistent with market efficiency. |
Appears in Collections: |
Наукові видання (ННІ БіЕМ) |
Views

1

609

1

59897

1

303

383865

106723

7717451

8655452

2736
Downloads

1

4903445

3965444

6779446

106720

5470

43023

1

1

106726

605

1151443

1

6779450

1
Files
File | Size | Format | Downloads |
---|---|---|---|
Caporale_et.al_The_frequency_of_one_day_abnormal_returns_2021.pdf | 1.05 MB | Adobe PDF | 23841777 |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.