Видання зареєстровані авторами шляхом самоархівування
Permanent URI for this communityhttps://devessuir.sumdu.edu.ua/handle/123456789/1
Browse
4 results
Search Results
Item Persistence in ESG and conventional stock market indices(Springer Nature, 2022) Caporale, G.M.; Gil-Alana, L.; Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Макаренко, Інна Олександрівна; Макаренко, Инна Александровна; Makarenko, Inna OleksandrivnaThis paper uses R/S (Rescaled Range) analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG (Environmental, Social and Governance) and conventional stock price indices from the MSCI (Morgan Stanley Capital International) database over the period 2007–2020 for a large number of both developed and emerging markets. Both sets of results imply that there are no signifcant diferences between the two types of indices in terms of the degree of persistence and its dynamic behaviour. However, higher persistence is found for the emerging markets examined (especially the BRICS, i.e. Brazil, Russia, India, China and South Africa), which suggests that they are less efcient and thus ofer more opportunities for proftable trading strategies. Possible explanations for these fndings include diferent type of companies’ ‘camoufage’ and ‘washing’ (green, blue, pink, social, and Sustainable Development Goals—SDG) in the presence of rather lax regulations for ESG reporting.Item Bitcoin Returns and the Frequency of Daily Abnormal Returns(Pitt Open Library Publishing, 2021) Caporale, G.M.; Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Олійник, Віктор Михайлович; Олейник, Виктор Михайлович; Oliinyk, Viktor MykhailovychThis paper investigates the relationship between Bitcoin returns and the frequency of daily abnormal returns over the period from June 2013 to February 2020 using a number of regression techniques and model specifications including standard OLS, weighted least squares (WLS), ARMA and ARMAX models, quantile regressions, Logit and Probit regressions, piecewise linear regressions, and non-linear regressions. Both the in-sample and out-of-sample performance of the various models are compared by means of appropriate selection criteria and statistical tests. These suggest that, on the whole, the piecewise linear models are the best, but in terms of forecasting accuracy they are outperformed by a model that combines the top five to produce “consensus” forecasts. The finding that there exist price patterns that can be exploited to predict future price movements and design profitable trading strategies is of interest both to academics (since it represents evidence against the EMH) and to practitioners (who can use this information for their investment decisions).Item The frequency of one-day abnormal returns and price fluctuations in the forex(Routledge on behalf of the Universidad del CEMA, 2021) Caporale, G.M.; Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii Leonidovych; Олійник, Віктор Михайлович; Олейник, Виктор Михайлович; Oliinyk, Viktor MykhailovychThis 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.Item Momentum effects in the cryptocurrency market after one-day abnormal returns(Springer, 2020) Caporale, G.M.; Пластун, Олексій Леонідович; Пластун, Алексей Леонидович; Plastun, Oleksii LeonidovychThis paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose, a number of hypotheses of interest are tested for the Bitcoin, Ethereum and Litecoin exchange rates vis-à-vis the US dollar over the period 01.01.2015–01.09.2019, specifically whether or not: (H1) the intraday behavior of hourly returns is different on abnormal days compared to normal days; (H2) there is a momentum effect on days with abnormal returns, and (H3) after one-day abnormal returns. The methods used for the analysis include various statistical methods as well as a trading simulation approach. The results suggest that hourly returns during the day of positive/negative abnormal returns are significantly higher/lower than those during the average positive/negative day. The presence of abnormal returns can usually be detected before the day ends by estimating specific timing parameters. Prices tend to move in the direction of the abnormal returns till the end of the day when it occurs, which implies the existence of a momentum effect on that day giving rise to exploitable profit opportunities. This effect (together with profit opportunities) is also observed on the following day. In two cases (BTCUSD positive abnormal returns and ETHUSD negative abnormal returns), a contrarian effect is detected instead.