Search Results - "Frömmel, Michael"

Are simple technical trading rules profitable in bitcoin markets? by Deprez, Niek, Frömmel, Michael

“…This paper examines the profitability of simple technical trading rules in bitcoin markets comprehensively, by taking into account realistic investor behaviour…”
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Socially responsible investments: doing good while doing well in developed versus emerging markets? by Lestari, Jenjang Sri, Frömmel, Michael

“…We investigate the performance of Socially Responsible Investments (SRI) in both developed and emerging countries. We do so by examining the performance of…”
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Exchange rate exposure for exporting and domestic firms in central and Eastern Europe by Asif, Raheel, Frömmel, Michael

“…We analyze the exchange rate exposure of firms in Russia and European Union (EU) accession countries from Central and Eastern Europe: Poland, Hungary, and the…”
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Quantifying the asymmetric information flow between Bitcoin prices and electricity consumption by Maiti, Moinak, Vukovic, Darko B., Frömmel, Michael

“…•There is a statistically significant information flow from price to electricity.•However, the outcome of information flow for electricity to price is…”
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Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange by Frömmel, Michael, Kadioglu, Eyup

“…Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the…”
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Intraday momentum in FX markets: Disentangling informed trading from liquidity provision by Elaut, Gert, Frömmel, Michael, Lampaert, Kevin

“…We examine the likely drivers of intraday momentum, defined as a significantly positive relation between the first half-hour and the last half-hour return, in…”
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Donald Trump's tweets, political value judgment, and the Renminbi exchange rate by Zhang, Qisi, Frömmel, Michael, Baidoo, Edwin

“…This study examines the correlation between former U.S. President Donald Trump's China-related tweets and the daily return and conditional volatility of…”
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The role of gender for the risk-shifting behavior of hedge fund and CTA managers by Ahmadpour, Kobra, Frömmel, Michael

“…•We study the impact of gender and other variables on risk-shifting behavior for hedge funds and CTAs.•Only in 4.36%/5.23% of hedge funds/CTAs at least one…”
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Inflation and portfolio selection by Vukovic, Darko B., Maiti, Moinak, Frömmel, Michael

“…•We analyze portfolio choices under new Keynesian economic postulates.•The model introduces inflation as a significant factor in portfolio allocation.•The…”
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Manipulation in the bond market and the role of investment funds: Evidence from an emerging market by Kadıoğlu, Eyüp, Frömmel, Michael

“…The aim of our research is to test for manipulation in the bond market, and to establish whether the practice of benchmarking investment funds encourages such…”
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The crisis alpha of managed futures: Myth or reality? by Asif, Raheel, Frömmel, Michael, Mende, Alexander

“…We examine whether commodity trading advisors (CTAs), or managed futures, provide investors with diversification benefits in times of crises, along with…”
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Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function by Frömmel, Michael, Midiliç, Murat

“…Understanding the intervention policy of central banks on currency markets is important for both practitioners and researchers. Existing models for central…”
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A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium by Afat, Dinçer, Frömmel, Michael

“…There exist several exchange rate models that associate macroeconomic variables with the exchanges rates. In this article, we focus on uncovered interest…”
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Modeling the daily electricity price volatility with realized measures by Frömmel, Michael, Han, Xing, Kratochvil, Stepan

“…We propose using Realized GARCH-type models to estimate the daily price volatility in the EPEX power markets. The model specifications extract the…”
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Corruption, business environment, and firm growth in Vietnam by Ha, Phuoc Vu, Frömmel, Michael

“…Corruption is fought by governments in both developing and developed countries because it can harm economic development. However, it has raised the question of…”
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Do bitcoin shocks truly Cointegrate with financial and commodity markets? by Özer, Mustafa, Frömmel, Michael, Kamişli, Melik, Vuković, Darko B.

“…This study examines the long-run relationships between Bitcoin and various financial and commodity markets. Utilizing a novel methodology termed the Implicit…”
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Low liquidity beta anomaly in China by Frömmel, Michael, Han, Xing, Li, Youwei, Vigne, Samuel A.

“…The conventional risk-based theory does not reconcile with the liquidity-beta anomaly in China: Low liquidity-beta stocks outperform high liquidity-beta stocks…”
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The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market by Frömmel, Michael, D'Hoore, Dick, Lampaert, Kevin

“…•First analysis of performance of trade classification rules for the interbank currency market.•Broad set of classification rules and large sample.•MEMO rule…”
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An Alternative Version of Purchasing Power Parity by Afat, Dinçer, Frömmel, Michael

“…A vast literature on Purchasing Power Parity (PPP) has evolved and PPP has become the most popular concept in international finance. PPP is applied with…”
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Does frequency matter for intraday technical trading? by Frömmel, Michael, Lampaert, Kevin

“…•We analyze the impact of trading frequency on profitability of intradaily technical analysis.•An extraordinary data set: 10 years tick-by-tick data for the…”
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