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Feedback trading: Strategies during day and night with global interconnectedness

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  • Kusen, Alex
  • Rudolf, Markus

Abstract

Feedback trading strategies have gained much popularity among researchers in the last decades and are used to illustrate how new information based on returns is reflected in the markets. This paper extends previous studies by decomposing the overall return premium and introducing the global feedback trading model. The global feedback trading model assumes an interconnectedness between multiple countries and captures spillovers. Empirical results illustrate two important findings. First, feedback trading strategies differ across markets when distinguishing between day and night returns. Second, evidence for changing feedback trading is provided by examining the interaction of specific markets.

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  • Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
    • Handle: RePEc:eee:riibaf:v:48:y:2019:i:c:p:438-463
    DOI: 10.1016/j.ribaf.2019.01.013
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    More about this item

    Keywords

    Heterogeneous investors; Feedback trading; Conditional volatility; Global interconnectedness; GARCH;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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