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Article
Publication date: 25 February 2014

Eddie Hui, Philip Yam, John Wright and Kevin Chan

The purpose of this study is to verify whether the trading strategy can beat the “buy-and-hold” strategy for the securitized real estate indices of six Asian economies: Hong Kong…

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Abstract

Purpose

The purpose of this study is to verify whether the trading strategy can beat the “buy-and-hold” strategy for the securitized real estate indices of six Asian economies: Hong Kong, China, Japan, Taiwan, Thailand and Malaysia.

Design/methodology/approach

This paper constructs a trading strategy from the Shiryaev-Zhou index and tests the strategy on the securitized real estate indices of six emerging Asian economies: Hong Kong, China, Japan, Taiwan, Thailand and Malaysia. The authors compare the resulting profits from using the trading strategy with the resulting profits from using the “buy-and-hold” strategy. The authors consider three cases: no transaction costs, 0.1 percent transaction costs, and 0.2 percent transaction costs.

Findings

The results show that the trading strategy the authors constructed generally outperforms the “buy-and-hold” strategy even in the presence of transaction costs. In particular, the authors have a new finding as follows: Thailand and Malaysia's securitized real estate indices fell drastically during the period of observation. However, applying the trading strategy to these two securitized real estate indices can still earn a profit.

Practical implications

The trading strategy is particularly useful in protecting investors from huge loss in adverse market conditions. The results can be applied to the field of finance/investment that investors can construct a trading strategy similar to the authors to earn more profits.

Originality/value

This study will consider cases where both buying and selling costs exist, so the scenario is more like stock transactions in real-life equity markets. Furthermore, in this paper, for each securitized real estate index, the authors plot a graph to show the holding and non-holding periods under the trading strategy. This would help the authors explain the resulting profit under the trading strategy. This kind of graphical analysis was neglected by Hui and Yam.

Details

Journal of Property Investment & Finance, vol. 32 no. 2
Type: Research Article
ISSN: 1463-578X

Keywords

Article
Publication date: 23 May 2019

Carmen Bachmann, Lars Tegtmeier, Johannes Gebhardt and Marcel Steinborn

The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017.

Abstract

Purpose

The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017.

Design/methodology/approach

Ordinary least squares regressions, generalized autoregressive conditional heteroscedasticity regressions and robust regressions are used to investigate the existence of the “Sell in May” effect in globally listed private equity markets. Additionally, the authors conduct robustness checks by dividing the sample period into two subperiods: pre-financial and post-financial crisis periods.

Findings

The authors find limited statistically significant evidence for the “Sell in May” effect. In particular, the authors observed a statistically significant “Sell in May” effect when taking time-varying volatility into account. These findings indicate that the “Sell in May” effect is driven by time-varying volatility. By contrast, economic significance as measured by visual return inspection and the magnitude of the estimated “Sell in May” coefficients in combination with their positive signs was found to be considerable.

Practical implications

The findings are important for all kinds of investors and asset managers who are considering investing in listed private equity.

Originality/value

The authors present a novel study that examines the “Sell in May” effect for globally listed private equity markets by using LPX indices, offering valuable insight into this growing asset class.

Details

Managerial Finance, vol. 45 no. 6
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 19 February 2021

Sashikanta Khuntia and J.K. Pattanayak

This study broadly attempts to explore adaptive or dynamics patterns of calendar effects existed in the cryptocurrency market as per the adaptive market hypothesis (AMH…

Abstract

Purpose

This study broadly attempts to explore adaptive or dynamics patterns of calendar effects existed in the cryptocurrency market as per the adaptive market hypothesis (AMH) framework. Another agendum of this study is to investigate the quantum of extra returns which may result from the presence of calendar effects.

Design/methodology/approach

The present study considers both parametric and non-parametric approaches to verify calendar effects empirically. Specifically, this study has implemented Generalised Autoregressive Conditional Heteroscedasticity (1, 1) and Kruskal–Wallis tests in the rolling window approach to reveal adaptive patterns of calendar effects. Additionally, the present study has used the implied trading strategy to evaluate the volume of excess returns resulted from calendar effects than buy-and-hold (BH) strategy.

Findings

The overall results of the current study exhibit that calendar effect in the cryptocurrency market is dynamic rather than static which indicates the calendar effect is a time-varying phenomenon. Moreover, this study also confirmed that ITS is not suitable to obtain extra returns despite the existence of calendar effects.

Research limitations/implications

The present study has covered some broad aspects of calendar anomalies in the cryptocurrency market, keeping aside certain other limitations which need to be addressed in the following dimensions. Future studies may aim at addressing issues like, Turn-of-the-Year effect, Halloween effect, weather effect, and Month-of-the-Year effects, and try to explore the reasons of presence of dynamic patterns of calendar effects.

Practical implications

The significant implication of this study is that it alerts investors about market return predictability due to calendar patterns or effects in different periods. It also suggests the period in which the ITS can perform better than the BH strategy.

Originality/value

It is the first study in the cryptocurrency literature which has adopted the AMH framework to verify adaptive calendar effects or anomalies. Furthermore, this study, instead of a mere examination of the presence of calendar effects, has evaluated the potential of calendar effects to produce extra returns through trading strategies.

Details

International Journal of Emerging Markets, vol. 17 no. 9
Type: Research Article
ISSN: 1746-8809

Keywords

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