Outputs (5)

Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk (2021)
Journal Article
Amini, S., Hudson, R., Urquhart, A., & Wang, J. (in press). Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk. The European journal of finance, https://doi.org/10.1080/1351847X.2021.1900888

We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to con... Read More about Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk.

Commodity futures returns: more memory than you might think! (2015)
Journal Article
Coakley, J., Kellard, N., & Wang, J. (2016). Commodity futures returns: more memory than you might think!. The European journal of finance, 22(14), 1457-1483. https://doi.org/10.1080/1351847X.2015.1025989

© 2015 Taylor & Francis. This paper investigates long-range dependence in 14 commodity and 3 other financial futures returns series from 1993 to 2009 and shows that long memory is a pervasive phenomenon in contrast to the extant evidence. Utilizing... Read More about Commodity futures returns: more memory than you might think!.

Commodity futures price behaviour following large one-day price changes (2014)
Journal Article
Mazouz, K., & Wang, J. (2014). Commodity futures price behaviour following large one-day price changes. Applied financial economics, 24(14), 939-948. https://doi.org/10.1080/09603107.2014.914140

This study examines individual commodity futures price reactions to large one-day price changes, or “shocks”. The mean-adjusted abnormal return model suggests that investors in 6 of the 18 commodity futures examined in this study either underreact or... Read More about Commodity futures price behaviour following large one-day price changes.

Long memory and structural breaks in commodity futures markets (2010)
Journal Article
Coakley, J., Dollery, J., & Kellard, N. (2011). Long memory and structural breaks in commodity futures markets. Journal of Futures Markets, 31(11), 1076-1113. https://doi.org/10.1002/fut.20502

This study employs daily data for 14 commodities and three financial assets 1990-2009 to explore the impact of the time series properties of the futures-spot basis and the cost of carry on forward market unbiasedness. The main result is that the basi... Read More about Long memory and structural breaks in commodity futures markets.

The role of long memory in hedging effectiveness (2007)
Journal Article
Coakley, J., Dollery, J., & Kellard, N. (2007). The role of long memory in hedging effectiveness. Computational Statistics and Data Analysis, 52(6), 3075 - 3082. https://doi.org/10.1016/j.csda.2007.10.019

A joint fractionally integrated, error-correction and multivariate GARCH (FIEC-BEKK) approach is applied to investigate hedging effectiveness using daily data 1995–2005. The findings reveal the proxied error-correction term has a long memory componen... Read More about The role of long memory in hedging effectiveness.