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 Department of International and European Studies |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
[22331999 - South East European Journal of Economics and Business] Feedback Trading Strategies_ The Case of Greece and Cyprus.pdf | 377,92 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.