کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7352214 1476980 2018 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Exploring the Persistent Behavior of Financial Markets
ترجمه فارسی عنوان
بررسی رفتار مداوم بازارهای مالی
کلمات کلیدی
رفتار مداوم، شاخص آینده استراتژی بازرگانی،
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper presents the persistent behavior hypothesis for financial markets, which is tested statistically on five stock indices from 2001 to 2014. We find significant results in all five stock markets for the full sample period as well as subperiods. A persistent behavior strategy (PBS) on index futures is also presented, the net annual returns of which are significantly higher than 15% in all futures markets including transaction costs. The best performance, about 27%, occurs in the E-mini NASDAQ 100 and TAIEX futures. We also present studies on the impact of investor behavior over market price of TAIEX futures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 24, March 2018, Pages 199-220
نویسندگان
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