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  1. Persistence in the cryptocurrency market
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: December 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 24
    Umfang: 1 Online-Ressource (circa 18 Seiten), Illustrationen
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    Richtige Namen der Verfasser: Guglielmo Maria Caporale, Luis A. Gil-Alana
  2. Is market fear persistent?
    a long-memory analysis
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: June 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 15
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  3. The spillovers between the Russian and other Asian and European stock markets a multivariate GARCH-in-mean analysis
    Autor*in: Caporale, Guglielmo Maria; Abilov, Nurdaulet
    Erschienen: July 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 16
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  4. The day of the week effect in the crypto currency market
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: October 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 19
    Umfang: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  5. Trends and cycles in macro series
    the case of US real GDP
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: October 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 20
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  6. The asymmetric behaviour of Spanish unemployment persistence
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: November 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 21
    Umfang: 1 Online-Ressource (circa 8 Seiten), Illustrationen
  7. Trends and cycles in macro series
    the case of US real GDP
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: November 2017
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series,... mehr

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    In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series, namely annual and quarterly real GDP and GDP per capita. The results indicate that the behaviour of US GDP can be captured accurately by a model incorporating both stochastic trends and stochastic cycles that allows for some degree of persistence in the data. Both appear to be mean-reverting, although the stochastic trend is nonstationary whilst the cyclical component is stationary, with cycles repeating themselves every 6-10 years.

     
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    Weitere Identifier:
    hdl: 10419/173004
    Schriftenreihe: Array ; no. 6728
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  8. The day of the week effect in the crypto currency market
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: October 2017
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a... mehr

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    This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities that can be interpreted as evidence against efficiency of the crypto currency market.

     
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    Weitere Identifier:
    hdl: 10419/172992
    Schriftenreihe: Array ; no. 6716
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  9. The day of the week effect in the crypto currency market
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: 2017
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal- Wallis test, and regression analysis with dummy variables) as well as a... mehr

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    This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal- Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found not to exhibit this anomaly. The only exception is BitCoin, for which returns on Mondays are significantly higher than those on the other days of the week. In this case the trading simulation analysis shows that there exist exploitable profit opportunities that can be interpreted as evidence against efficiency of the crypto currency market.

     
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    Weitere Identifier:
    hdl: 10419/171314
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1694
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  10. Trends and cycles in macro series
    the case of US real GDP
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: 2017
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series,... mehr

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    In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series, namely annual and quarterly real GDP and GDP per capita. The results indicate that the behaviour of US GDP can be captured accurately by a model incorporating both stochastic trends and stochastic cycles that allows for somedegree of persistence in the data. Both appear to be mean-reverting, although the stochastic trend is nonstationary whilst the cyclical component is stationary, with cycles repeating themselves every 6-10 years.

     
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    Weitere Identifier:
    hdl: 10419/171315
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1695
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  11. Persistence in the cryptocurrency market
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: December 2017
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the... mehr

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    This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.

     
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    Weitere Identifier:
    hdl: 10419/174934
    Schriftenreihe: Array ; no. 6811
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  12. Persistence in the cryptocurrency market
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: 2017
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper examines persistence in the cryptocurrency market. Two different longmemory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the... mehr

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    This paper examines persistence in the cryptocurrency market. Two different longmemory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.

     
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    Weitere Identifier:
    hdl: 10419/172825
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1703
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  13. Long memory and data frequency in financial markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: 2017
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to... mehr

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    This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true of the stock markets (both developed and emerging) and partially of the FOREX and commodity markets examined. Such evidence against the random walk behavior implies predictability and is inconsistent with the Efficient Market Hypothesis (EMH), since abnormal profits can be made using specific option trading strategies (butterfly, straddle, strangle, iron condor, etc.).

     
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    Weitere Identifier:
    hdl: 10419/156139
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1647
    Umfang: 1 Online-Ressource (circa 24 Seiten)
  14. Central bank policy rates
    are they cointegrated?
    Autor*in: Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, Luis A.
    Erschienen: 2017
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The... mehr

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    This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is estimated to be above 1, ranging from 1.26 (US) to 1.48 (UK), with the single exception of Japan, for which the unit root null cannot be rejected. Concerning the bivariate results, Australian interest rates are found to be cointegrated with the Eurozone and UK ones, Canadian rates with the UK and US ones, and Japanese rates with the UK ones. The increasing degree of integration of international financial markets and the coordinated monetary policy responses following the global financial crisis might both account for such linkages.

     
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    hdl: 10419/156140
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1648
    Umfang: 1 Online-Ressource (circa 20 Seiten)
  15. Central bank policy rates
    are they cointegrated?
    Autor*in: Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, Luis A.
    Erschienen: March 2017
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The... mehr

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    This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is estimated to be above 1, ranging from 1.26 (US) to 1.48 (UK), with the single exception of Japan, for which the unit root null cannot be rejected. Concerning the bivariate results, Australian interest rates are found to be cointegrated with the Eurozone and UK ones, Canadian rates with the UK and US ones, and Japanese rates with the UK ones. The increasingdegree of integration of international financial markets and the coordinated monetary policy responses following the global financial crisis might both account for such linkages.

     
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    Weitere Identifier:
    hdl: 10419/161828
    Schriftenreihe: Array ; no. 6389
    Umfang: 1 Online-Ressource (circa 18 Seiten)
  16. Long memory and data frequency in financial markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: March 2017
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to... mehr

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    This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true of the stock markets (both developed and emerging) and partially of the FOREX and commodity markets examined. Such evidence against the random walk behavior implies predictability and is inconsistent with the Efficient Market Hypothesis (EMH), since abnormal profits can be made using specific option trading strategies (butterfly, straddle, strangle, iron condor, etc.).

     
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    Weitere Identifier:
    hdl: 10419/161835
    Schriftenreihe: Array ; no. 6396
    Umfang: 1 Online-Ressource (circa 22 Seiten)
  17. Central bank policy rates
    are they cointegrated?
    Autor*in: Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, Luis A.
    Erschienen: January 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 01
    Umfang: 1 Online-Ressource (circa 18 Seiten)
  18. Unemployment in Africa
    a fractional integration approach
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: January 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 02
    Umfang: 1 Online-Ressource (circa 10 Seiten)
  19. Is there a Friday effect in financial markets?
    Autor*in: Caporale, Guglielmo Maria; Plastun, Alex
    Erschienen: January 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 04
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  20. Stock market integration in Asia
    global or regional? : evidence from industry level panel convergence tests
    Autor*in: Caporale, Guglielmo Maria; You, Kefei
    Erschienen: May 2017
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich

    This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows.... mehr

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    This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no integration/convergence of any kind is found. By contrast, in the post-crisis period, the Asian stock markets appear to be integrated both globally and regionally at the aggregate level; at the industry level, there is evidence of both global and regional integration in 6 out of 10 cases, the exceptions being Financials and Telecommunication, both in a turn-around phase, and Gas & Oil and Technology, for which there is no panel convergence. Club convergence tests reveal the existence of convergence clubs and divergent economies within the full panel, which explains why panel convergence is not found for the pre-crisis period and for the Gas & Oil and Technology sectors in the post-crisis period.

     
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    hdl: 10419/167480
    Schriftenreihe: Array ; no. 6494
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  21. Long memory and data frequency in financial markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Plastun, Alex
    Erschienen: April 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 06
    Umfang: 1 Online-Ressource (circa 22 Seiten)
  22. Global and regional financial integration in emerging Asia
    evidence from stock markets
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei
    Erschienen: May 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 08
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  23. Testing the Fisher hypothesis in the G7 countries using i(d) techniques
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: May 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 10
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  24. Stock market integration in Asia
    global or regional? : evidence from industry level panel convergence tests
    Autor*in: Caporale, Guglielmo Maria; You, Kefei
    Erschienen: May 2017
    Verlag:  Brunel University London, Department of Economics and Finance, [Uxbridge]

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    Schriftenreihe: Economics and finance working paper series ; no. 17, 11
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  25. Testing the Fisher hypothesis in the G-7 countries using I(d) techniques
    Autor*in: Caporale, Guglielmo Maria; Gil-Alaña, Luis A.
    Erschienen: 2017
    Verlag:  DIW Berlin, German Institute for Economic Research, Berlin

    This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative... mehr

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    This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973) autocorrelated errors respectively. The univariate analysis suggests than the differencing parameter is higher than 1 for most series in the former case, whilst the unit root null cannot be rejected for the majority of them in the latter case. The multivariate results imply that there exists a positive relationship, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter required by the Fisher hypothesis.

     
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    Weitere Identifier:
    hdl: 10419/161660
    Schriftenreihe: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1667
    Umfang: 1 Online-Ressource (circa 22 Seiten)