检索结果-南通市图书馆

Industry-and liquidity-based momentum in Australian equities

Financial Innovation 2019年第1期5卷 740-757页

作者： Yeng May Tan Fan Fah Cheng School of Economics and Management Xiamen University MalaysiaJalan SunsuriaBandar Sunsuria43900 SepangSelangorMalaysia Department of Accounting and Finance Faculty of Economics and ManagementUniversiti Putra MalaysiaJalan Upm43400 SerdangSelangorMalaysia

This study examined momentum profitability in Australia,providing further evidence for intermediate-term momentum *** data spanning different market states,we found that momentum was stronger after the global financial *** also examined industry-level momentum strategies and found strong evidence for industry ***,industries that perform well relative to other industries continue to outperform others while those that underperform continue to perform *** finding suggests the exploitability of return continuation and profit-making opportunities for traders at the industry *** liquidity,we found that it has no clear predictive power for momentum ***,our results do not appear to support the conjecture that liquidity can be a determining factor for momentum profitability in Australia.

关键词： Momentum strategy Stock momentum Industry momentum Liquidity market states Australia

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

The 2007-2009 Financial Crisis on Emerging markets： Quantitative Identification of Crisis in Continent-based Regions

引用

Chinese Business Review 2014年第7期13卷 411-426页

作者： Joanna Olbrys Elzbieta Majewska Bialystok University of Technology Bialystok Poland University of Bialystok Bialystok Poland

This paper focuses on a direct quantitative identification of crisis periods in selected emerging stock markets from four continent-based regions of Europe, Latin America, East Asia, and Middle East and North Africa （MENA）, in the context of an influence of the 2007 U.S. subprime financial crisis. The 17 emerging stock markets and, for comparison, the U.S. stock market are investigated. A statistical method of dividing market states into bullish and bearish markets, based on monthly logarithmic returns of major stock market indexes, is employed. The analyzed sample period begins in January 2003 and ends in December 2013. As there is no unanimity in the literature about the crisis periods in the continent-based regions, a formal statistical identification of crises is worthwhile to conduct. Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confn＇m that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused with globalization, the globalization tests in the group of international investigated markets are employed. The results generally do not confirm a global world market integration effect, i.e. there is no reason to reject the research hypothesis of no globalization during the 2007-2009 financial crisis.

关键词： emerging markets market states cross-market correlations contagion globalization

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

欢迎您,

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

请选择保存的检索档案：

请选择收藏分类：

通借通还

欢迎您,

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：