Search results

Items from 1 to 20 out of 930 results

article

Fear Anatomy – an Attempt to Assess the Impact of Selected Macroeconomic Variables on the Variability of the VIX S&P 500 Index

Łukasz Markowski, Jakub Keller

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia > 2020 > 54 > 2

This article deals with the subject of volatility of financial markets in relation to the US stock market and its volatility index, i.e. the VIX index. The authors analyzed previous studies on the VIX index and based on them, defined a research gap that relates to the problem of market response to emerging macroeconomic information about the US economy. The vast majority of research on the VIX index...

article

Metrics of internal audit effectiveness in banking sector

Bartłomiej Iwanowicz, Tomasz Borowy

Kwartalnik Nauk o Przedsiębiorstwie > 2019 > 51 > 2 > 63-70

This article attempts to analyze the metrics of internal audit function effectiveness. The authors review and discuss the metrics perceived as most relevant and appropriate to the banking sector. The literature review is supported by an attempt to introduce an additional metric of the internal audit function effectiveness. The methodology adopted in this paper bases strongly on the qualitative approach...

article

Technology transactions, announcement effect, and reversal: Dissecting an anomaly

Abdelaziz Chazi, Ashraf Khallaf, Yi Liu, Zaher Zantout, more

Quarterly Review of Economics and Finance > 2014 > 54 > 3 > 371-381

We examine the short term stock price performance of firms that acquire or sell technology rights. We find significant positive announcement-period abnormal returns to the acquirers and sellers. However, the price increases reverse during the subsequent twenty trading days. These quick fortune reversals cannot be attributed to methodology; they prevail in the late 1970s through the 2000s, in bear...

article

Structured multifractal scaling of the principal cryptocurrencies: Examination using a self‐explainable machine learning

Foued Saâdaoui, Hana Rabbouch

Journal of Forecasting > 43 > 7 > 2917 - 2934

This paper introduces a novel statistical testing technique known as segmented detrended multifractal fluctuation analysis (SMF‐DFA) to analyze the structured scaling properties of financial returns and predict the long‐term memory of financial markets. The proposed methodology is applied to assess the efficiency of major cryptocurrencies, expanding upon conventional approaches by incorporating different...

article

Efficient Market Hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency

Efstathios Polyzos, Ghulame Rubbaniy, Mieszko Mazur

Financial Review > 59 > 3 > 807 - 829

This paper proposes the use of social media as a proxy for financial information. Using an extended sample of 53,580,759 tweets and employing text analysis tools (Latent Dirichlet Allocation and Term Frequency–Inverse Document Frequency), we determine the information being exchanged on any given day. We train machine‐learning classifiers and forecast crypto price movements for more than 8000 cryptocurrencies...

article

Do rights matter? An intraday analysis of rights issues in Australia

Jozef Drienko, Stephen J. Sault, Wai Han Wong

Accounting & Finance > 64 > 2 > 1311 - 1333

We examine intraday abnormal returns associated with rights issue announcements in the Australian equity market over the period January 2000 to December 2022. Consistent with prior studies, we find significant abnormal returns ranging from −2.9% to −2.7% on the event day. We provide the first evidence on intraday price reactions pertaining to rights issues in Australia. Within 15 min of an announcement,...

article

Analyzing horizontal integration and market efficiency in platform enterprises: A case study of exchanges

Min Liu, Sajid Anwar

Economics & Politics > 36 > 2 > 1076 - 1089

As a platform for the trading of bulk commodities, securities, and futures, exchanges, characterized by platform‐like attributes, provide inexhaustible power for the further development of commodity economy through horizontal integration. This paper examines the international integration landscape of the modern exchanges through the lens of platform economy theory, specifically examining the ramifications...

article

Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market

Bo Yan, Mengru Liang, Yinxin Zhao

Journal of Futures Markets > 44 > 5 > 744 - 766

This study addresses key issues of market efficiency in weak global futures markets, focusing on the intricate relationship between market sentiment and options pricing. Employing rolling variance ratio tests and information‐sharing models for market dynamics analysis, and supplemented with Granger causality tests and impulse response findings, it reveals a significant, unidirectional impact of market...

article

New evidence on crude oil market efficiency

Liang Hu, Yoon‐Jin Lee

Economic Inquiry > 62 > 2 > 892 - 916

This paper examines the Efficient Market Hypothesis (EMH) in crude oil amid the “financialization of commodity markets” and the “fracking revolution”. It applies the generalized spectral derivative test (Hong and Lee 2005) on both West Texas Intermediate and Brent spot and futures markets, alongside a stochastic dominance test (Linton et al., 2005) to investigate arbitrage opportunities across markets...

article

Effects of electronic markets on prices, spikes in prices, and price dispersion: A case study of the tea market in India

Pallavi Rajkhowa, Lukas Kornher

Agribusiness > 39 > 4 > 1117 - 1138

Buyers and sellers in developing countries are often restricted from accessing distant markets by asymmetric price information and costly searches. Electronic marketplaces can reduce transaction costs and improve market performance. This study uses monthly panel data from 2000 to 2017 and applies a fixed effects approach using Driscoll and Kraay standard errors to address spatial and temporal correlations...

article

What drives the distress risk–return puzzle? A perspective on limits of arbitrage

Yezhou Sha, Ziwen Bu, Zilong Wang

International Journal of Finance & Economics > 28 > 4 > 3574 - 3592

Empirical research has documented a negative relationship between distress risk and stock returns. This negative risk–return trade‐off, known as the distress puzzle, poses a challenge to asset pricing models. In this study, we provide a new explanation of the distress puzzle by considering the effect of arbitrage asymmetry. We find that the negative distress risk–return relation is stronger in stocks...

article

Ride the trend: Is there spread momentum profit in the US commodity markets?

Quanbiao Shang, Teresa Serra, Philip Garcia

Journal of Agricultural Economics > 74 > 1 > 24 - 47

Some previous researchers have argued that trading strategies based on calendar spread time series momentum (STSM) can deliver significant returns (Szymanowska et al. 2014; Boons and Prado 2019), which, if true, is at odds with the efficient market hypothesis. These arguments however, do not exclude the unrealisable futures contract roll yield and are also affected by other empirical and statistical...

article

Is Bitcoin an emerging market? A market efficiency perspective

Mateusz Skwarek

Central European Economic Journal > 2023 > 10 > 57 > 219-236

Despite recent studies focused on comparing the dynamics of market efficiency between Bitcoin and other traditional assets, there is a lack of knowledge about whether Bitcoin and emerging markets efficiency behave similarly. This paper aims to compare the market efficiency dynamics between Bitcoin and the emerging stock markets. In particular, this study indicates whether the dynamics of Bitcoin market...

article

Pricing efficiency in livestock auction markets: A two‐tier frontier approach

Leslie J. Verteramo Chiu, Loren W. Tauer, Yrjo T. Gröhn

Agricultural Economics > 53 > S1 > 139 - 151

We estimate the pricing efficiency of a livestock auction market using a two‐tier stochastic frontier model. This model captures pricing inefficiency of a hedonic pricing model for livestock via exponential error terms above and below the hedonic model specification. The direction of pricing inefficiencies, whether above or below the hedonic pricing model, represent surplus transfer from buyers to...

article

ICTs to address information inefficiencies in food supply chains

Bjorn Van Campenhout

Agricultural Economics > 53 > 6 > 968 - 975

In developing countries, incomplete and/or asymmetric information contributes to inefficiencies in food supply chains. Various products and services have emerged that rely on Information and Communication Technologies (ICTs) to facilitate information flows between agro‐input providers, farmers, traders, and consumers. However, not all initiatives are equally effective and many struggle to reach scale...

article

Changes in the options contract size and arbitrage opportunities

Joonhyuk Song, Doojin Ryu, Jinyoung Yu

Journal of Futures Markets > 43 > 1 > 122 - 137

We examine the impacts of changes to the options multiplier on market efficiency by analyzing their effects on arbitrage proxies based on the performance of options spread strategies. Despite the intentions of the reforms, both decisions to raise and reduce the multiplier significantly increase the frequency and probability of arbitrage opportunities. Whereas the increment in the multiplier also deteriorates...

article

Have existing theories explained the accrual anomaly? An evaluation based on the decomposition method

Zhi‐an Hu, Zhuo Huang, Dawei Lin, Zhimin Qiu

Accounting & Finance > 62 > 3 > 3645 - 3675

Using the decomposition method proposed by Hou and Loh (2016), we evaluate whether the existing theories have explained the negative correlation between accruals and the cross‐section returns (the accrual anomaly). The results show that cash‐based operating profitability best explains the anomaly, with an explanatory power of about 94 percent. Among the three explanation groups, explanations about...

article

Hedging commodities in times of distress: The case of COVID‐19

Luiz Augusto Magalhães, Thiago Christiano Silva, Benjamin Miranda Tabak

Journal of Futures Markets > 42 > 10 > 1941 - 1959

This study examines the relation between the COVID‐19 pandemic and hedge efficiency in commodities futures markets. In particular, we first evaluate the informational content of commodity futures by investigating whether futures prices are accurate and unbiased predictors of future–spot prices, and then we identify key financial and real economy transmission channels associated with the pandemic....

article

Estimating dynamic market efficiency frontiers

Yali Mu, Stephan Cramon‐Taubadel

Journal of Agricultural Economics > 73 > 3 > 633 - 653

Past studies have used standard regression techniques to explain variation in estimated measures of the strength and speed of price transmission. We propose an alternative method for benchmarking the magnitude and the speed of restoring market efficiency that combines cointegration analysis with frontier estimation methods. The use of frontier methods highlights that market efficiency is a relative...

article

A note on the correspondence between horizontal and vertical price transmission

Henry W. Kinnucan

Journal of Agricultural Economics > 73 > 3 > 654 - 665

Horizontal (vertical) elasticities of price transmission in a competitive market can be positive or negative in sign depending on whether observed changes in market prices are triggered by shifts in the supply or demand for the commodity or by changes in trade (marketing) costs. These facts suggest estimates of horizontal (vertical) elasticities of price transmission obtained from empirical models...

Publication date

Last 3 months (1)
Last year (8)
Last 3 years (28)

Close

Date range setting

Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.

From:

To:
Set your own date range

Content availability

Available (889)
None (41)

Publication type

article (869)
book (61)

Publication language

English (909)
Polish (21)
German (3)
Lithuanian (1)
Spanish (1)

Keywords

MARKET EFFICIENCY (930)
[JEL CLASSIFICATION CODES] G14 (70)
G14 (26)
LIQUIDITY (26)
BEHAVIORAL FINANCE (25)
[JEL CLASSIFICATION CODES] G12 (24)
CAPITAL MARKETS (22)
RETURN PREDICTABILITY (20)
EMERGING MARKETS (18)
TECHNICAL ANALYSIS (18)
ASSET PRICING (17)
COINTEGRATION (17)
EVENT STUDY (16)
POWER MARKETS (16)
RANDOM WALK (16)
VOLATILITY (16)
ANOMALIES (15)
ARBITRAGE (14)
EFEKTYWNOŚĆ RYNKU (14)
PREDICTABILITY (14)
PRICE DISCOVERY (14)
STOCK RETURNS (14)
MARKET ANOMALIES (13)
MOMENTUM (13)
OVERREACTION (13)
[JEL CLASSIFICATION CODES] F31 (13)
G12 (12)
INSIDER TRADING (12)
MARKET MICROSTRUCTURE (12)
ACCRUALS (11)
ECONOMICS (11)
VALUATION (11)
[JEL CLASSIFICATION CODES] G15 (11)
[JEL CLASSIFICATION CODES] M41 (11)
ANALYST FORECASTS (10)
BIOLOGICAL SYSTEM MODELING (10)
EARNINGS MANAGEMENT (10)
INFORMATION (10)
INVESTOR SENTIMENT (10)
PRICING (10)
ADAPTIVE MARKET HYPOTHESIS (9)
CALENDAR ANOMALIES (9)
FINANCE (9)
FOREIGN EXCHANGE (9)
INDEXES (9)
INFORMATION ASYMMETRY (9)
MISPRICING (9)
SHORT SELLING (9)
STOCK MARKET (9)
STOCK MARKETS (9)
CALENDAR EFFECTS (8)
EARNINGS ANNOUNCEMENTS (8)
FORECASTING (8)
G11 (8)
GENERATORS (8)
HURST EXPONENT (8)
TRADING VOLUME (8)
UNDERREACTION (8)
VARIANCE RATIO TEST (8)
ANOMALY (7)
DATA MINING (7)
ECONOMIC DISPATCH (7)
EXCHANGE RATES (7)
FUNDAMENTAL ANALYSIS (7)
MARKET INTEGRATION (7)
OPTIONS (7)
ORDER IMBALANCE (7)
SEASONALITY (7)
STOCHASTIC DOMINANCE (7)
TRADING STRATEGIES (7)
[JEL CLASSIFICATION CODES] G11 (7)
[JEL CLASSIFICATION CODES] G13 (7)
ACCRUAL ANOMALY (6)
ALGORITHMIC TRADING (6)
ASYMMETRIC INFORMATION (6)
AUTOCORRELATION (6)
DISCLOSURE (6)
EARNINGS (6)
ELECTRICITY MARKETS (6)
FUTURES MARKETS (6)
G10 (6)
JANUARY EFFECT (6)
LEARNING (6)
MARKET REGULATION (6)
MARKETING (6)
PRODUCTION (6)
RISK MANAGEMENT (6)
SECURITY (6)
[UNCONTROLLED KEYWORD (DEFAULT)] G14 (6)
ANALYST RECOMMENDATIONS (5)
ANALYSTS (5)
BANKS (5)
BOOTSTRAP (5)
CHINA (5)
CHINESE STOCK MARKET (5)
COMPANIES (5)
CORRELATION (5)
DATA SNOOPING (5)
EFFICIENT MARKET HYPOTHESIS (5)
ELECTRICITY MARKET (5)
more

Data set

Elsevier (555)
Springer (163)
Wiley (106)
ieee (55)
CEJSH (39)
Agro (6)
BazTech (5)
DML (1)

INFONA - science communication portal

Search results

Fear Anatomy – an Attempt to Assess the Impact of Selected Macroeconomic Variables on the Variability of the VIX S&P 500 Index

Metrics of internal audit effectiveness in banking sector

Technology transactions, announcement effect, and reversal: Dissecting an anomaly

Structured multifractal scaling of the principal cryptocurrencies: Examination using a self‐explainable machine learning

Efficient Market Hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency

Do rights matter? An intraday analysis of rights issues in Australia

Analyzing horizontal integration and market efficiency in platform enterprises: A case study of exchanges

Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market

New evidence on crude oil market efficiency

Effects of electronic markets on prices, spikes in prices, and price dispersion: A case study of the tea market in India

What drives the distress risk–return puzzle? A perspective on limits of arbitrage

Ride the trend: Is there spread momentum profit in the US commodity markets?

Is Bitcoin an emerging market? A market efficiency perspective

Pricing efficiency in livestock auction markets: A two‐tier frontier approach

ICTs to address information inefficiencies in food supply chains

Changes in the options contract size and arbitrage opportunities

Have existing theories explained the accrual anomaly? An evaluation based on the decomposition method

Hedging commodities in times of distress: The case of COVID‐19

Estimating dynamic market efficiency frontiers

A note on the correspondence between horizontal and vertical price transmission

Filter options

Publication date

Content availability

Publication type

Publication language

Keywords

Data set

INFONA - science communication portal

Search results

Add recipient

Sending message cancelled

Are you sure you want to cancel sending this message?

Send message

Filter options

Publication date

Date range setting

Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.

Content availability

Publication type

Publication language

Keywords

Data set

Reporting an error / abuse

Sending the report failed

Accessibility options