Please use this identifier to cite or link to this item: https://ruomo.lib.uom.gr/handle/7000/682
Title: Feedback Trading Strategies: The Case of Greece and Cyprus
Authors: Angelidis, Dimitrios
Koulakiotis, Athanasios
Kiohos, Apostolos
Type: Article
Subjects: FRASCATI::Social sciences
FRASCATI::Social sciences::Economics and Business
Keywords: Feedback trading
FIGARCH (1,d,1) model
Hellenic and Cypriot capital markets
Issue Date: 2018
Source: South East European Journal of Economics and Business
Volume: 13
Issue: 1
First Page: 93
Last Page: 99
Abstract: This paper examines whether or not feedback trading strategies are present in the Athens (ASE) and Cyprus Stock Exchanges (CSE). The analysis employs two econometric models: the feedback trading strategy model, introduced by Sentana and Wadhwani (1992), and the exponential autoregressive model, proposed by LeBaron (1992). These two theoretical frameworks, separately, were joined with the FIGARCH (1, d, 1) approach. Both models assume two different groups of traders – the “rational” investors that build their portfolio by following the firms’ fundamentals and the “noise” speculators that ignore stock fundamentals and focus on a positive (negative) feedback trading strategy. The empirical results revealed that negative feedback trading strategies exist in the two underlying stock markets.
URI: https://doi.org/10.2478/jeb-2018-0006
https://ruomo.lib.uom.gr/handle/7000/682
ISSN: 2233-1999
Other Identifiers: 10.2478/jeb-2018-0006
Appears in Collections:Department of Balkan, Slavic & Oriental Studies



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