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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Plastun, A | - |
dc.date.accessioned | 2020-03-23T11:22:56Z | - |
dc.date.available | 2020-09-25 | - |
dc.date.available | 2020-03-23T11:22:56Z | - |
dc.date.issued | 2020-09-09 | - |
dc.identifier.citation | Caporale, G.M. and Plastun, A. (2020), 'Daily abnormal price changes and trading strategies in the FOREX', Journal of Economic Studies, 48 (1), pp. 211-222. doi: 10.1108/JES-11-2019-0503. | en_US |
dc.identifier.issn | 0144-3585 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/20567 | - |
dc.description.abstract | Copyright © 2020, Guglielmo Maria Caporale and Alex Plastun. Purpose This paper explores abnormal price changes in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the period 01.01.2008–31.12.2018. Design/methodology/approach It applies a dynamic trigger approach to detect abnormal price changes and then various statistical methods, including cumulative abnormal returns analysis, to test the following hypotheses: the intraday behaviour of hourly returns on overreaction days is different from that on normal days (H1), there are detectable patterns in intraday price dynamics on days with abnormal price changes (H2) and on the following days (H3). Findings The results suggest that there are statistically significant differences between intraday dynamics on days with abnormal price changes and normal days respectively; also, prices tend to change in the direction of the abnormal change during that day, but move in the opposite direction on the following day. Finally, there exist trading strategies that generate abnormal profits by exploiting the detected anomalies, which can be seen as evidence of market inefficiency. Originality/value New evidence on abnormal price changes and related trading strategies in the FOREX. | - |
dc.description.sponsorship | Ministry of Education and Science of Ukraine | en_US |
dc.format.extent | 211 - 222 (12) | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Emerald | en_US |
dc.rights | Copyright © 2020, Guglielmo Maria Caporale and Alex Plastun. Published by Emerald Publishing Limited. This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at https://creativecommons.org/licences/by/4.0/legalcode | - |
dc.rights.uri | https://creativecommons.org/licences/by/4.0/legalcode | - |
dc.subject | FOREX | en_US |
dc.subject | anomalies | en_US |
dc.subject | overreactions | en_US |
dc.subject | abnormal returns | en_US |
dc.subject | patterns | en_US |
dc.title | Daily abnormal price changes and trading strategies in the FOREX | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1108/JES-11-2019-0503 | - |
dc.relation.isPartOf | Journal of Economic Studies | - |
pubs.issue | 1 | - |
pubs.publication-status | Published | - |
pubs.volume | 48 | - |
dc.identifier.eissn | 1758-7387 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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