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Article
Publication date: 14 November 2016

Guglielmo Maria Caporale, Luis Alberiko Gil-Alana and Alex Plastun

The purpose of this paper is to provide some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The…

Abstract

Purpose

The purpose of this paper is to provide some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques.

Design/methodology/approach

The analysis uses various statistical techniques (average analysis, Student’s t-test, dummy variables, and fractional integration) to test for the presence of this anomaly, and then a trading simulation approach to establish whether it can be exploited to make extra profits.

Findings

The statistical evidence points to abnormal positive returns on Fridays, and a trading strategy based on this anomaly is shown to generate annual profits of up to 25 per cent. The implication is that the Ukrainian stock market is inefficient.

Originality/value

This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student’s t-test, dummy variables, and fractional integration) to test for the presence of this anomaly, and then a trading simulation approach to establish whether it can be exploited to make extra profits. The statistical evidence points to abnormal positive returns on Fridays, and a trading strategy based on this anomaly is shown to generate annual profits of up to 25 per cent. The implication is that the Ukrainian stock market is inefficient.

Details

Journal of Economic Studies, vol. 43 no. 6
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 23 February 2024

Guglielmo Maria Caporale, Luis Alberiko Gil-Alana and Eduard Melnicenco

This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal…

Abstract

Purpose

This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and Europe, respectively.

Design/methodology/approach

The methodology is based on the concepts of fractional integration and cointegration.

Findings

Using monthly data from January 1999 to December 2022, the results can be summarised as follows. All series examined are non-stationary: stock prices are found to be I(1) while interest rates display orders of integration substantially above 1, which implies a rejection of the hypothesis of mean reversion in all cases examined.

Originality/value

This paper uses an appropriate econometric framework to obtain new, reliable empirical evidence. All four series are highly persistent, and mean reversion does not occur in any single case. Moreover, the fractional cointegration analysis suggests that stock prices and interest rates are not linked in the long run.

Details

Studies in Economics and Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 21 March 2024

Pablo Agnese, Pedro Garcia del Barrio, Luis Alberiko Gil-Alana and Fernando Perez de Gracia

The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions.

Abstract

Purpose

The purpose of this paper is to examine the degree of persistence in four precious metal prices (i.e. gold, palladium, platinum and silver) during the last four US recessions.

Design/methodology/approach

Using daily price data for gold, palladium, platinum and silver running from July 2, 1990, to March 21, 2022, and dating of business cycles in the USA provided by NBER (2022), the paper uses fractional integration to test the degree of persistence of precious metal prices.

Findings

The empirical analysis shows the unrelenting prominence of gold in relation to other precious metals (palladium, platinum and silver) as a hedge against market uncertainty in the post-pandemic new era.

Originality/value

Two are the main contributions of the paper. Firstly, the authors contribute to the commodity markets and finance literature on precious metal price modelling. Secondly, the authors also contribute to the literature on commodity markets and business cycles with a special focus on recessionary periods.

Details

Studies in Economics and Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1086-7376

Keywords

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