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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Plastun, A | - |
dc.contributor.author | Oliinyk, V | - |
dc.date.accessioned | 2021-07-19T10:41:57Z | - |
dc.date.available | 2021-07-19T10:41:57Z | - |
dc.date.issued | 2021-09-02 | - |
dc.identifier | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier.citation | Caporale, G.M., Plastun, A. and Oliinyk, V. (2021) 'The frequency of one-day abnormal returns and price fluctuations in the FOREX', Journal of Applied Economics, 24 (1), pp. 401 - 415 . doi: 10.1080/15140326.2021.1953914. | en_US |
dc.identifier.issn | 1514-0326 | - |
dc.identifier.issn | 1667-6726 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/22960 | - |
dc.description | Supplemental material is available online at: https://doi.org/10.1080/15140326.2021.1953914 . | - |
dc.description.abstract | Copyright © 2021 The Author(s). This 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. | en_US |
dc.description.sponsorship | Ministry of Education and Science of Ukraine (0117U003936). | en_US |
dc.format.extent | 401 - 415 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en | en_US |
dc.publisher | Routledge (Taylor & Francis Group) | en_US |
dc.rights | Copyright © 2021 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/ licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. | - |
dc.rights.uri | https://creativecommons.org/ licenses/by/4.0/ | - |
dc.subject | FOREX | en_US |
dc.subject | anomalies | en_US |
dc.subject | price dynamics | en_US |
dc.subject | frequency of abnormal returns | en_US |
dc.title | The frequency of one-day abnormal returns and price fluctuations in the FOREX | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1080/15140326.2021.1953914 | - |
dc.relation.isPartOf | Journal of Applied Economics | - |
pubs.issue | 1 | - |
pubs.publication-status | Published | - |
pubs.volume | 24 | - |
dc.rights.holder | The Author(s) | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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FullText.pdf | Copyright © 2021 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/ licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. | 1.04 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License