We investigate lead‐lag relationships among monthly country stock returns and identify a
leading role for the United States: lagged US returns significantly predict returns in …

Numerous studies have separately identified mean reversion and momentum. This paper
considers these effects jointly. Our empirical model assumes that only global equity price …

An extensive Monte Carlo experiment is conducted to evaluate small sample properties of
the automatic variance ratio test under conditional heteroskedasticity. It is found that the test …

Purpose–This paper aims to examine the presence of momentum profit in the Indian stock
market and seeks to explore the sources of momentum profit employing both risk based and …

The conventional momentum strategy performs poorly overall in China, because stock
prices behave very differently when markets are open for trading versus when they are …

The vast majority of the literature reports momentum profitability to be overwhelming in the
US market and widespread in other countries. However, this paper finds that the pure …

Using high frequency data, this paper first time comprehensively examines the intraday
efficiency of four major energy (crude oil, heating oil, gasoline, natural gas) futures markets …

This paper presents empirical evidence of short and long-run predictability in stock returns
for European transition economies. We employ variance ratios with a bootstrap methodology …

This paper examines daily return predictability for eighteen international stock index ETFs.
The out-of-sample tests are conducted, based on linear and various popular nonlinear …

Based on ultrahigh-frequency returns, this paper comprehensively revisits the weak-form
efficiency of the euro to Swiss franc (EUR/CHF) exchange rate market from 2002 to 2017 …