Search Results - "Raimundo Júnior, Gerson De Souza"

Market Stress and Herding: A New Approach to the Cryptocurrency Market by Raimundo Júnior, Gerson de Souza, Palazzi, Rafael Baptista, Tavares, Ricardo de Souza, Klotzle, Marcelo Cabus

“…Herding is a feature of investor behavior in financial markets, particularly in market stress. We apply an approach based on the cross-sectional dispersion of…”
Get full text

It's all in the timing again: simple active portfolio strategies that outperform naïve diversification in the cryptocurrency market by Tavares, Ricardo de Souza, Caldeira, João Frois, Raimundo Júnior, Gerson de Souza

“…This article analyzes whether cryptocurrencies' inclusion improves stock portfolios' performance and whether the application of portfolio selection…”
Get full text

Cryptocurrencies: formation of returns from the CRIX index by Tavares, Ricardo de Souza, Caldeira, João Frois, Raimundo Júnior, Gerson de Souza

“…This paper examines the formation prices in the cryptocurrency market using the CAPM model based on OLS and Regime-Switching approaches. Following Baek &…”
Get full text

Political risk, fear, and herding on the Brazilian stock exchange by Raimundo Júnior, Gerson De Souza, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, Luis Leite, André

“…This study analyses beta herding in the Brazilian stock market using a state-space model, controlled by two company groupings: those listed on the market index…”
Get full text

The dynamic relationship between bitcoin and the foreign exchange market: A nonlinear approach to test causality between bitcoin and currencies by Palazzi, Rafael Baptista, Júnior, Gerson de Souza Raimundo, Klotzle, Marcelo Cabus

“…•We investigate the dynamic relationship between six foreign exchange rates and bitcoin's return.•We utilize a nonparametric causality test and apply a…”
Get full text

Analyzing herding behavior in commodities markets – an empirical approach by Júnior, Gerson de Souza Raimundo, Palazzi, Rafael Baptista, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo

“…•We test herding in the commodities market.•We analyze the behavior of fifteen commodities between 2000 and 2018.•We analyze food commodities in a separate…”
Get full text

Covid-19 and herding in global equity markets by Rubesam, Alexandre, Raimundo, Gerson de Souza

“…We investigate herding in ten equity markets during the COVID-19 pandemic using a methodology that considers movements in assets due to changes in…”
Get full text