IDEAS home Printed from https://ideas.repec.org/f/c/pme465.html
   My authors  Follow this author

Roland Mestel

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alexander Brauneis & Michael Loretz & Roland Mestel & Stefan Palan, 2011. "Inducing Low-Carbon Investment in the Electric Power Industry through a Price Floor for Emissions Trading," Working Papers 2011.74, Fondazione Eni Enrico Mattei.

    Cited by:

    1. Jian-Lei Mo & Joachim Schleich & Lei Zhu & Ying Fan, 2015. "Delaying the introduction of emissions trading systems—Implications for power plant investment and operation from a multi-stage decision model," Post-Print hal-01265934, HAL.
    2. Alexander Brauneis & Michael Loretz & Roland Mestel & Stefan Palan, 2011. "Inducing Low-Carbon Investment in the Electric Power Industry through a Price Floor for Emissions Trading," Working Papers 2011.74, Fondazione Eni Enrico Mattei.
    3. Jin Fan & Jun Li & Yanrui Wu & Shanyong Wang & Dingtao Zhao, 2016. "The Effects of Allowance Price on Energy Demand under a Personal Carbon Trading Scheme," Economics Discussion / Working Papers 16-07, The University of Western Australia, Department of Economics.
    4. Barragán-Beaud, Camila & Pizarro-Alonso, Amalia & Xylia, Maria & Syri, Sanna & Silveira, Semida, 2018. "Carbon tax or emissions trading? An analysis of economic and political feasibility of policy mechanisms for greenhouse gas emissions reduction in the Mexican power sector," Energy Policy, Elsevier, vol. 122(C), pages 287-299.
    5. Newbery, D. & Reiner, D. & Ritz, R., 2018. "When is a carbon price floor desirable?," Cambridge Working Papers in Economics 1833, Faculty of Economics, University of Cambridge.
    6. Romano, Teresa & Fumagalli, Elena, 2018. "Greening the power generation sector: Understanding the role of uncertainty," Renewable and Sustainable Energy Reviews, Elsevier, vol. 91(C), pages 272-286.
    7. Dahlen, Niklas & Fehrenkötter, Rieke & Schreiter, Maximilian, 2024. "The new bond on the block — Designing a carbon-linked bond for sustainable investment projects," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 316-325.
    8. Hua, Weiqi & Jiang, Jing & Sun, Hongjian & Wu, Jianzhong, 2020. "A blockchain based peer-to-peer trading framework integrating energy and carbon markets," Applied Energy, Elsevier, vol. 279(C).
    9. Barradale, Merrill Jones, 2014. "Investment under uncertain climate policy: A practitioners׳ perspective on carbon risk," Energy Policy, Elsevier, vol. 69(C), pages 520-535.
    10. Mo, Jian-Lei & Agnolucci, Paolo & Jiang, Mao-Rong & Fan, Ying, 2016. "The impact of Chinese carbon emission trading scheme (ETS) on low carbon energy (LCE) investment," Energy Policy, Elsevier, vol. 89(C), pages 271-283.
    11. Detemple, Jerome & Kitapbayev, Yerkin, 2022. "Optimal technology adoption for power generation," Energy Economics, Elsevier, vol. 111(C).
    12. Zhang, Xinhua & Gan, Dongmei & Wang, Yali & Liu, Yu & Ge, Jiali & Xie, Rui, 2020. "The impact of price and revenue floors on carbon emission reduction investment by coal-fired power plants," Technological Forecasting and Social Change, Elsevier, vol. 154(C).
    13. Compernolle, Tine & Kort, Peter M. & Thijssen, Jacco J.J., 2022. "The effectiveness of carbon pricing: The role of diversification in a firm’s investment decision," Energy Economics, Elsevier, vol. 112(C).
    14. Timothy N. Cason & John K. Stranlund & Frans P. de Vries, 2022. "Investment Incentives in Tradable Emissions Markets with Price Floors Approach," Purdue University Economics Working Papers 1331, Purdue University, Department of Economics.
    15. Ohlendorf, Nils & Flachsland, Christian & Nemet, Gregory F. & Steckel, Jan Christoph, 2022. "Carbon price floors and low-carbon investment: A survey of German firms," Energy Policy, Elsevier, vol. 169(C).
    16. Chang, Kai & Ge, Fangping & Zhang, Chao & Wang, Weihong, 2018. "The dynamic linkage effect between energy and emissions allowances price for regional emissions trading scheme pilots in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 98(C), pages 415-425.
    17. Yinjie Zhang & Chunxiang Guo & Liangcheng Wang, 2020. "Supply Chain Strategy Analysis of Low Carbon Subsidy Policies Based on Carbon Trading," Sustainability, MDPI, vol. 12(9), pages 1-20, April.
    18. Alexander Zeitlberger & Alexander Brauneis, 2016. "Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(1), pages 149-176, March.
    19. Yuan Liu & Qinliang Tan & Jian Han & Mingxin Guo, 2021. "Energy-Water-Carbon Nexus Optimization for the Path of Achieving Carbon Emission Peak in China Considering Multiple Uncertainties: A Case Study in Inner Mongolia," Energies, MDPI, vol. 14(4), pages 1-21, February.
    20. Mandaroux, Rahel & Schindelhauer, Kai & Basse Mama, Houdou, 2023. "How to reinforce the effectiveness of the EU emissions trading system in stimulating low-carbon technological change? Taking stock and future directions," Energy Policy, Elsevier, vol. 181(C).
    21. Zhang, Ruixiaoxiao & Shimada, Koji & Ni, Meng & Shen, Geoffrey Q.P. & Wong, Johnny K.W., 2020. "Low or No subsidy? Proposing a regional power grid based wind power feed-in tariff benchmark price mechanism in China," Energy Policy, Elsevier, vol. 146(C).
    22. Guang Zhu & Gaozhi Pan & Weiwei Zhang, 2018. "Evolutionary Game Theoretic Analysis of Low Carbon Investment in Supply Chains under Governmental Subsidies," IJERPH, MDPI, vol. 15(11), pages 1-27, November.
    23. Richstein, Jörn C. & Chappin, Emile J.L. & de Vries, Laurens J., 2014. "Cross-border electricity market effects due to price caps in an emission trading system: An agent-based approach," Energy Policy, Elsevier, vol. 71(C), pages 139-158.
    24. Liu, Li-Jing & Liu, Lan-Cui & Liang, Qiao-Mei, 2023. "Restructuring investment to promote a win–win situation for both the economy and the environment in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 182(C).
    25. Zhang, Xinhua & Hueng, C. James & Lemke, Robert J., 2023. "Using a price floor on carbon allowances to achieve emission reductions under uncertainty," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 1096-1110.
    26. Zhao, Xiaoli & Yao, Jin & Sun, Chuyu & Pan, Wengeng, 2019. "Impacts of carbon tax and tradable permits on wind power investment in China," Renewable Energy, Elsevier, vol. 135(C), pages 1386-1399.
    27. Xie, Li & Zhou, Zhichao & Hui, Shimin, 2022. "Does environmental regulation improve the structure of power generation technology? Evidence from China's pilot policy on the carbon emissions trading market(CETM)," Technological Forecasting and Social Change, Elsevier, vol. 176(C).
    28. Wang, Tan & Gong, Yu & Jiang, Chuanwen, 2014. "A review on promoting share of renewable energy by green-trading mechanisms in power system," Renewable and Sustainable Energy Reviews, Elsevier, vol. 40(C), pages 923-929.
    29. Tan, Xueping & Wang, Xinyu & Zaidi, Syed Haider Ali, 2019. "What drives public willingness to participate in the voluntary personal carbon-trading scheme? A case study of Guangzhou Pilot, China," Ecological Economics, Elsevier, vol. 165(C), pages 1-1.
    30. Compernolle, Tine & Kort, Peter M. & Thijssen, Jacco J. J., 2022. "The effectiveness of carbon pricing : The role of diversification in a firm's investment decision?," Other publications TiSEM abf6597c-1ba5-4816-a46e-8, Tilburg University, School of Economics and Management.
    31. Detemple, Jérôme & Kitapbayev, Yerkin & Reppen, A. Max, 2024. "Renewable energy investment under stochastic interest rate with regime-switching volatility," Energy Economics, Elsevier, vol. 136(C).
    32. Shaofu Du & Jun Qian & Tianzhuo Liu & Li Hu, 2020. "Emission allowance allocation mechanism design: a low-carbon operations perspective," Annals of Operations Research, Springer, vol. 291(1), pages 247-280, August.
    33. Zeng, Shihong & Nan, Xin & Liu, Chao & Chen, Jiuying, 2017. "The response of the Beijing carbon emissions allowance price (BJC) to macroeconomic and energy price indices," Energy Policy, Elsevier, vol. 106(C), pages 111-121.
    34. Antoci, Angelo & Borghesi, Simone & Sodini, Mauro, 2012. "ETS and Technological Innovation: A Random Matching Model," Climate Change and Sustainable Development 139508, Fondazione Eni Enrico Mattei (FEEM).
    35. Jian-Lei Mo & Lei Zhu, 2014. "Using Floor Price Mechanisms to Promote Carbon Capture and Storage (Ccs) Investment and Co2 Abatement," Energy & Environment, , vol. 25(3-4), pages 687-707, April.
    36. Alexander Brauneis & Roland Mestel & Stefan Palan, 2012. "Does a cap on the carbon price have to be a cap on green investments?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 39(2), pages 217-231, May.

  2. Gurgul, Henryk & Lach, Lukasz & Mestel, Roland, 2011. "The relationship between budgetary expenditure and economic growth in Poland," MPRA Paper 35784, University Library of Munich, Germany.

    Cited by:

    1. Souad HAMMAMI* & Mounir SMIDA, 2022. "What Is The Role Of The Banking Sector In Economic Growth? Case of Tunisian Banks," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 7(1), pages 24-31, March.
    2. Phiri, Andrew, 2016. "Nonlinearities in Wagner's law: Further evidence from South Africa," MPRA Paper 71702, University Library of Munich, Germany.
    3. Suzana Balaban & Dejan Živkov, 2021. "Validity of Wagner’s Law in Transition Economies: A Multivariate Approach," Hacienda Pública Española / Review of Public Economics, IEF, vol. 236(1), pages 105-131, March.
    4. Souad Hammami & Mounir Smida, 2022. "What Is The Role Of The Banking Sector In Economic Growth? Case of Tunisian Banks," Post-Print hal-04745604, HAL.
    5. Bilal KARGI, 2016. "Is Wagner’s law applicable for fast growing economies? BRICS and MATIK countries," Timisoara Journal of Economics and Business, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 9(1), pages 1-15, June.
    6. Mursit Recepoglu, 2022. "Public Expenditures, Economic Growth and Income Inequality: Empirical Evidence from the Commonwealth of Independent States," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 9(2), pages 293-314, July.
    7. René Cabral & André Varella Mollick & Eduardo Saucedo, 2016. "Violence in Mexico and its effects on labor productivity," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(2), pages 317-339, March.
    8. Selim Demez, 2021. "Validity of Wagner’s Law in EU Member Transition Economies: Panel Causality Analysis," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 8(2), pages 199-210, July.
    9. Goodness C. Aye & Mehmet Balcilar & John P. Dunne & Rangan Gupta & Renee van Eyden, 2013. "Military Expenditure, Economic Growth and Structural Instability: A Case Study of South Africa," Working Papers 201344, University of Pretoria, Department of Economics.
    10. Khalid Zaman & Bashir Khilji, 2014. "A note on pro-poor social expenditures," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(4), pages 2121-2154, July.
    11. Omoshoro-Jones, Oyeyinka Sunday, 2016. "A Cointegration and Causality Test on Government Expenditure –Economic Growth Nexus: Empirical Evidence from a South African Province," MPRA Paper 102085, University Library of Munich, Germany, revised 17 Oct 2017.

Articles

  1. Brauneis, Alexander & Mestel, Roland & Theissen, Erik, 2021. "What drives the liquidity of cryptocurrencies? A long-term analysis," Finance Research Letters, Elsevier, vol. 39(C).

    Cited by:

    1. Abrar, Afsheen & Naeem, Muhammad Abubakr & Karim, Sitara & Lucey, Brian M. & Vigne, Samuel A., 2024. "Shining in or fading out: Do precious metals sparkle for cryptocurrencies?," Resources Policy, Elsevier, vol. 90(C).
    2. Böyükaslan, Adem & Ecer, Fatih, 2021. "Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework," Technology in Society, Elsevier, vol. 67(C).
    3. Thomas Dimpfl & Stefania Odelli, 2020. "Bitcoin Price Risk—A Durations Perspective," JRFM, MDPI, vol. 13(7), pages 1-18, July.
    4. Konstantin Hausler, 2022. "ETF construction on CRIX," Papers 2211.15260, arXiv.org, revised Mar 2023.
    5. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    6. Manahov, Viktor & Li, Mingnan, 2024. "The implications of virtual money on travel and tourism," Annals of Tourism Research, Elsevier, vol. 105(C).
    7. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    8. Kumar Kulbhaskar, Anamika & Subramaniam, Sowmya, 2023. "Breaking news headlines: Impact on trading activity in the cryptocurrency market," Economic Modelling, Elsevier, vol. 126(C).

  2. Brauneis, Alexander & Mestel, Roland & Riordan, Ryan & Theissen, Erik, 2021. "How to measure the liquidity of cryptocurrency markets?," Journal of Banking & Finance, Elsevier, vol. 124(C).

    Cited by:

    1. Mueller, Lukas, 2024. "Revisiting seasonality in cryptocurrencies," Finance Research Letters, Elsevier, vol. 64(C).
    2. Zhong, Meirui & Zhang, Rui & Ren, Xiaohang, 2023. "The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach," Energy Economics, Elsevier, vol. 123(C).
    3. Wilkoff, Sean & Yildiz, Serhat, 2023. "The behavior and determinants of illiquidity in the non-fungible tokens (NFTs) market," Global Finance Journal, Elsevier, vol. 55(C).
    4. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    5. Foley, Sean & Krekel, William & Mollica, Vito & Svec, Jiri, 2023. "Not so fast: Identifying and remediating slow and imprecise cryptocurrency exchange data," Finance Research Letters, Elsevier, vol. 51(C).
    6. Li, Leon & Miu, Peter, 2023. "Are cryptocurrencies a safe haven for stock investors? A regime-switching approach," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 367-385.
    7. Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    8. Diana Barro & Antonella Basso & Stefania Funari & Guglielmo Alessandro Visentin, 2024. "The Effects of the Introduction of Volume-Based Liquidity Constraints in Portfolio Optimization with Alternative Investments," Mathematics, MDPI, vol. 12(15), pages 1-26, August.
    9. Moreno, David & Antoli, Marcos & Quintana, David, 2022. "Benefits of investing in cryptocurrencies when liquidity is a factor," Research in International Business and Finance, Elsevier, vol. 63(C).
    10. Ozkan Haykir & Ibrahim Yagli, 2022. "Speculative bubbles and herding in cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-33, December.
    11. Shimeng Shi & Jia Zhai & Yingying Wu, 2024. "Informational inefficiency on bitcoin futures," The European Journal of Finance, Taylor & Francis Journals, vol. 30(6), pages 642-667, April.
    12. Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan, 2021. "Net Buying Pressure and the Information in Bitcoin Option Trades," Papers 2109.02776, arXiv.org, revised Mar 2022.
    13. Zhang, Pengcheng & Kong, Deli & Xu, Kunpeng & Qi, Jiayin, 2024. "Global economic policy uncertainty and the stability of cryptocurrency returns: The role of liquidity volatility," Research in International Business and Finance, Elsevier, vol. 67(PB).
    14. Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    15. Abakah, Emmanuel Joel Aikins & Wali Ullah, GM & Adekoya, Oluwasegun B. & Osei Bonsu, Christiana & Abdullah, Mohammad, 2023. "Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 218-243.
    16. Andrea Barbon & Angelo Ranaldo, 2022. "On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges," Swiss Finance Institute Research Paper Series 22-38, Swiss Finance Institute.
    17. Brauneis, Alexander & Mestel, Roland & Riordan, Ryan & Theissen, Erik, 2022. "Bitcoin unchained: Determinants of cryptocurrency exchange liquidity," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 106-122.
    18. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    19. Greppmair, Stefan & Theissen, Erik, 2022. "Small is beautiful? How the introduction of mini futures contracts affects the regular contracts," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 19-38.
    20. Ao Shu & Feiyang Cheng & Jianlei Han & Zini Liang & Zheyao Pan, 2023. "Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5183-5210, December.
    21. Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
    22. Leirvik, Thomas, 2022. "Cryptocurrency returns and the volatility of liquidity," Finance Research Letters, Elsevier, vol. 44(C).
    23. Fernandez-Mejia, Julian, 2024. "Extremely stablecoins," Finance Research Letters, Elsevier, vol. 63(C).
    24. Tomé Lima & Helder Sebastião, 2023. "Native Market Factors for Pricing Cryptocurrencies," Notas Económicas, Faculty of Economics, University of Coimbra, issue 57, pages 71-85, December.
    25. Dong, Bingbing & Jiang, Lei & Liu, Jinyu & Zhu, Yifeng, 2022. "Liquidity in the cryptocurrency market and commonalities across anomalies," International Review of Financial Analysis, Elsevier, vol. 81(C).
    26. Tang, Tao & Wang, Yanchen, 2022. "Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond," Journal of Multinational Financial Management, Elsevier, vol. 64(C).
    27. Kumar Kulbhaskar, Anamika & Subramaniam, Sowmya, 2023. "Breaking news headlines: Impact on trading activity in the cryptocurrency market," Economic Modelling, Elsevier, vol. 126(C).
    28. Galati, Luca, 2024. "Exchange market share, market makers, and murky behavior: The impact of no-fee trading on cryptocurrency market quality," Journal of Banking & Finance, Elsevier, vol. 165(C).
    29. Nikolaos A. Kyriazis, 2021. "The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation," Sustainability, MDPI, vol. 13(10), pages 1-25, May.

  3. Brauneis, Alexander & Mestel, Roland, 2019. "Cryptocurrency-portfolios in a mean-variance framework," Finance Research Letters, Elsevier, vol. 28(C), pages 259-264.

    Cited by:

    1. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Daniel Modenesi de Andrade & Fernando Barros Jr & Fabio Yoshio Motoki & Matheus Oliveira da Silva, 2021. "Price dynamics of cryptocurrencies in parallel markets: evidence from Bitcoin exchanges in Brazil," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(5), pages 1040-1053, August.
    3. Nie, Chun-Xiao, 2022. "Analysis of critical events in the correlation dynamics of cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
    4. Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018. "How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?," MPRA Paper 91253, University Library of Munich, Germany.
    5. Paweł Sakowski & Daria Turovtseva, 2020. "Does Bitcoin Improve Investment Portfolio Efficiency?," Working Papers 2020-42, Faculty of Economic Sciences, University of Warsaw.
    6. Senarathne Chamil W. & Šoja Tijana, 2019. "Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. Garch Effects," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(3), pages 35-45, September.
    7. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    8. Ali, Fahad & Khurram, Muhammad Usman & Sensoy, Ahmet & Vo, Xuan Vinh, 2024. "Green cryptocurrencies and portfolio diversification in the era of greener paths," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
    9. Mateus Portelinha & Carlos Heitor Campani & Raphael Roquete, 2021. "The impacts of cryptocurrencies in the performance of Brazilian stocks' portfolios," Economics Bulletin, AccessEcon, vol. 41(3), pages 1919-1931.
    10. Galvani, Valentina & Faychuk, Vita, 2022. "The Mean-Variance Core of Cryptocurrencies: When More is Not Better," Working Papers 2022-4, University of Alberta, Department of Economics.
    11. Kurosaki, Tetsuo & Kim, Young Shin, 2022. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Finance Research Letters, Elsevier, vol. 45(C).
    12. Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    13. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    14. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
    15. Ko, Hyungjin & Son, Bumho & Lee, Yunyoung & Jang, Huisu & Lee, Jaewook, 2022. "The economic value of NFT: Evidence from a portfolio analysis using mean–variance framework," Finance Research Letters, Elsevier, vol. 47(PA).
    16. Angerer, Martin & Hoffmann, Christian Hugo & Neitzert, Florian & Kraus, Sascha, 2021. "Objective and subjective risks of investing into cryptocurrencies," Finance Research Letters, Elsevier, vol. 40(C).
    17. Sonia Arsi & Soumaya Ben Khelifa & Yosra Ghabri & Hela Mzoughi, 2021. "Cryptocurrencies: Key Risks and Challenges," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi & Samir Saadi (ed.), Cryptofinance A New Currency for a New Economy, chapter 7, pages 121-145, World Scientific Publishing Co. Pte. Ltd..
    18. Akanksha Jalan & Roman Matkovskyy & Andrew Urquhart & Larisa Yarovaya, 2023. "The role of interpersonal trust in cryptocurrency adoption," Post-Print hal-03946536, HAL.
    19. Tan, Xilong & Tao, Yubo, 2023. "Trend-based forecast of cryptocurrency returns," Economic Modelling, Elsevier, vol. 124(C).
    20. Zdravka Aljinović & Branka Marasović & Tea Šestanović, 2021. "Cryptocurrency Portfolio Selection—A Multicriteria Approach," Mathematics, MDPI, vol. 9(14), pages 1-21, July.
    21. Jing, Ruixue & Rocha, Luis E.C., 2023. "A network-based strategy of price correlations for optimal cryptocurrency portfolios," Finance Research Letters, Elsevier, vol. 58(PC).
    22. Lehlohonolo Letho & Grieve Chelwa & Abdul Latif Alhassan, 2022. "Cryptocurrencies and portfolio diversification in an emerging market," China Finance Review International, Emerald Group Publishing Limited, vol. 12(1), pages 20-50, January.
    23. Paweł Sakowski & Anna Turovtseva, 2020. "Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework," Working Papers 2020-41, Faculty of Economic Sciences, University of Warsaw.
    24. Grobys, Klaus & Huynh, Toan Luu Duc, 2022. "When Tether says “JUMP!” Bitcoin asks “How low?”," Finance Research Letters, Elsevier, vol. 47(PA).
    25. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    26. Jaroslav Mazanec, 2021. "Portfolio Optimalization on Digital Currency Market," JRFM, MDPI, vol. 14(4), pages 1-15, April.
    27. Jyotirmayee Behera & Pankaj Kumar, 2024. "Implementation of machine learning in $$\ell _{\infty }$$ ℓ ∞ -based sparse Sharpe ratio portfolio optimization: a case study on Indian stock market," Operational Research, Springer, vol. 24(4), pages 1-26, December.
    28. Esparcia, Carlos & Diaz, Antonio & Alonso, Daniel, 2023. "How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study," Energy Economics, Elsevier, vol. 128(C).
    29. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    30. Li, Jing-Ping & Naqvi, Bushra & Rizvi, Syed Kumail Abbas & Chang, Hsu-Ling, 2021. "Bitcoin: The biggest financial innovation of fourth industrial revolution and a portfolio's efficiency booster," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
    31. Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
    32. Esparcia, Carlos & Fakhfakh, Tarek & Jareño, Francisco, 2024. "The green, the dirty and the stable: Diversifying equity portfolios by adding tokens of different nature," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
    33. Ghabri, Yosra & Guesmi, Khaled & Zantour, Ahlem, 2021. "Bitcoin and liquidity risk diversification," Finance Research Letters, Elsevier, vol. 40(C).
    34. Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
    35. Tim Schmitz & Ingo Hoffmann, 2020. "Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors," Papers 2006.06237, arXiv.org, revised Aug 2020.
    36. Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
    37. Kaya, Orçun & Mostowfi, Mehdi, 2022. "Low-volatility strategies for highly liquid cryptocurrencies," Finance Research Letters, Elsevier, vol. 46(PB).
    38. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    39. Leirvik, Thomas, 2022. "Cryptocurrency returns and the volatility of liquidity," Finance Research Letters, Elsevier, vol. 44(C).
    40. Tetsuo Kurosaki & Young Shin Kim, 2020. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Papers 2010.08900, arXiv.org.
    41. Luis Lorenzo & Javier Arroyo, 2022. "Analysis of the cryptocurrency market using different prototype-based clustering techniques," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-46, December.
    42. Gambarelli, Luca & Marchi, Gianluca & Muzzioli, Silvia, 2023. "Hedging effectiveness of cryptocurrencies in the European stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    43. A. Can Inci & Rachel Lagasse, 2019. "Cryptocurrencies: applications and investment opportunities," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 3(2), pages 98-112, October.
    44. Colombo, Jefferson A. & Cruz, Fernando I. L. & Paese, Luis H. Z. & Cortes, Renan X., 2021. "The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence," Textos para discussão 542, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    45. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).
    46. Ma, Yechi & Ahmad, Ferhana & Liu, Miao & Wang, Zilong, 2020. "Portfolio optimization in the era of digital financialization using cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
    47. Burggraf, Tobias, 2021. "Beyond risk parity – A machine learning-based hierarchical risk parity approach on cryptocurrencies," Finance Research Letters, Elsevier, vol. 38(C).
    48. Demiralay, Sercan & Golitsis, Petros, 2021. "On the dynamic equicorrelations in cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 524-533.
    49. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    50. Ahmed M. Khedr & Ifra Arif & Pravija Raj P V & Magdi El‐Bannany & Saadat M. Alhashmi & Meenu Sreedharan, 2021. "Cryptocurrency price prediction using traditional statistical and machine‐learning techniques: A survey," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 28(1), pages 3-34, January.
    51. Caner Ozdurak & Alican Umut & Tugba Ozay, 2022. "The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 480-490, March.

  4. Mestel, Roland & Murg, Michael & Theissen, Erik, 2018. "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, vol. 26(C), pages 198-203.

    Cited by:

    1. Ao, Han & Li, Munan, 2024. "Exploiting the potential of a directional changes-based trading algorithm in the stock market," Finance Research Letters, Elsevier, vol. 60(C).
    2. Jaros{l}aw Duda & Robert Syrek & Henryk Gurgul, 2019. "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Papers 1911.02361, arXiv.org.
    3. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
    4. Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    5. Alex Frino & Dionigi Gerace & Masud Behnia, 2021. "The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1301-1314, August.

  5. Brauneis, Alexander & Mestel, Roland, 2018. "Price discovery of cryptocurrencies: Bitcoin and beyond," Economics Letters, Elsevier, vol. 165(C), pages 58-61.

    Cited by:

    1. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Bouri, Elie & Vo, Xuan Vinh & Saeed, Tareq, 2021. "Return equicorrelation in the cryptocurrency market: Analysis and determinants," Finance Research Letters, Elsevier, vol. 38(C).
    3. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
    4. Abeer ElBahrawy & Laura Alessandretti & Andrea Baronchelli, 2019. "Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performance," Papers 1902.04517, arXiv.org, revised Mar 2019.
    5. Hyeonoh Kim & Eojin Yi & Jooyoung Jeon & Taeyoung Park & Kwangwon Ahn, 2024. "After the Split: Market Efficiency of Bitcoin Cash," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 411-427, July.
    6. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    7. Gilles Hilary & Laura Xiaolei Liu, 2021. "Blockchain and Other Distributed Ledger Technologies in Finance," Springer Books, in: Raghavendra Rau & Robert Wardrop & Luigi Zingales (ed.), The Palgrave Handbook of Technological Finance, pages 243-268, Springer.
    8. Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
    9. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    10. Guo, Li & Sang, Bo & Tu, Jun & Wang, Yu, 2024. "Cross-cryptocurrency return predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
    11. Tzouvanas, Panagiotis & Kizys, Renatas & Tsend-Ayush, Bayasgalan, 2020. "Momentum trading in cryptocurrencies: Short-term returns and diversification benefits," Economics Letters, Elsevier, vol. 191(C).
    12. Sifat, Imtiaz Mohammad & Mohamad, Azhar & Mohamed Shariff, Mohammad Syazwan Bin, 2019. "Lead-Lag relationship between Bitcoin and Ethereum: Evidence from hourly and daily data," Research in International Business and Finance, Elsevier, vol. 50(C), pages 306-321.
    13. Brauneis, Alexander & Mestel, Roland & Theissen, Erik, 2021. "What drives the liquidity of cryptocurrencies? A long-term analysis," Finance Research Letters, Elsevier, vol. 39(C).
    14. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
    15. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David, 2019. "Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 37-51.
    16. Köchling, Gerrit & Müller, Janis & Posch, Peter N., 2019. "Price delay and market frictions in cryptocurrency markets," Economics Letters, Elsevier, vol. 174(C), pages 39-41.
    17. Almaqableh, Laith & Reddy, Krishna & Pereira, Vijay & Ramiah, Vikash & Wallace, Damien & Francisco Veron, Jose, 2022. "An investigative study of links between terrorist attacks and cryptocurrency markets," Journal of Business Research, Elsevier, vol. 147(C), pages 177-188.
    18. Liu, Weiyi, 2019. "Portfolio diversification across cryptocurrencies," Finance Research Letters, Elsevier, vol. 29(C), pages 200-205.
    19. Charfeddine, Lanouar & Benlagha, Noureddine & Maouchi, Youcef, 2020. "Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors," Economic Modelling, Elsevier, vol. 85(C), pages 198-217.
    20. Pal, Debdatta & Mitra, Subrata K., 2019. "Hedging bitcoin with other financial assets," Finance Research Letters, Elsevier, vol. 30(C), pages 30-36.
    21. Takahiro Hattori & Ryo Ishida, 2021. "The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 105-114, January.
    22. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
    23. Baig, Ahmed & Blau, Benjamin M. & Sabah, Nasim, 2019. "Price clustering and sentiment in bitcoin," Finance Research Letters, Elsevier, vol. 29(C), pages 111-116.
    24. Rehman, Mobeen Ur, 2020. "Do bitcoin and precious metals do any good together? An extreme dependence and risk spillover analysis," Resources Policy, Elsevier, vol. 68(C).
    25. Christoph J. Borner & Ingo Hoffmann & Jonas Krettek & Lars M. Kurzinger & Tim Schmitz, 2021. "Bitcoin: Like a Satellite or Always Hardcore? A Core-Satellite Identification in the Cryptocurrency Market," Papers 2105.12336, arXiv.org.
    26. Kajtazi, Anton & Moro, Andrea, 2019. "The role of bitcoin in well diversified portfolios: A comparative global study," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 143-157.
    27. Sonia Arsi & Soumaya Ben Khelifa & Yosra Ghabri & Hela Mzoughi, 2021. "Cryptocurrencies: Key Risks and Challenges," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi & Samir Saadi (ed.), Cryptofinance A New Currency for a New Economy, chapter 7, pages 121-145, World Scientific Publishing Co. Pte. Ltd..
    28. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.
    29. Domingo, Ribeiro-Soriano & Piñeiro-Chousa, Juan & Ángeles López-Cabarcos, M., 2020. "What factors drive returns on initial coin offerings?," Technological Forecasting and Social Change, Elsevier, vol. 153(C).
    30. Dimitrios Koutmos & Timothy King & Constantin Zopounidis, 2021. "Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 815-837, December.
    31. Akyildirim, Erdinc & Corbet, Shaen & Lucey, Brian & Sensoy, Ahmet & Yarovaya, Larisa, 2020. "The relationship between implied volatility and cryptocurrency returns," Finance Research Letters, Elsevier, vol. 33(C).
    32. Chu, Jeffrey & Zhang, Yuanyuan & Chan, Stephen, 2019. "The adaptive market hypothesis in the high frequency cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 221-231.
    33. Tandon, Anushree & Kaur, Puneet & Mäntymäki, Matti & Dhir, Amandeep, 2021. "Blockchain applications in management: A bibliometric analysis and literature review," Technological Forecasting and Social Change, Elsevier, vol. 166(C).
    34. Sinda Hadhri, 2021. "Fear of the Coronavirus and Cryptocurrencies' returns," Economics Bulletin, AccessEcon, vol. 41(3), pages 2041-2054.
    35. Corbet, Shaen & Eraslan, Veysel & Lucey, Brian & Sensoy, Ahmet, 2019. "The effectiveness of technical trading rules in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 31(C), pages 32-37.
    36. Ruan, Qingsong & Meng, Lu & Lv, Dayong, 2021. "Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    37. Sangram Keshari Jena & Aviral Kumar Tiwari & Buhari Doğan & Shawkat Hammoudeh, 2022. "Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3730-3740, July.
    38. Sai Srikar Nimmagadda & Pawan Sasanka Ammanamanchi, 2019. "BitMEX Funding Correlation with Bitcoin Exchange Rate," Papers 1912.03270, arXiv.org.
    39. Lee, Jangyoun & Oh, Taehee, 2022. "The Kimchi premium and bitcoin-cashing outlets," Finance Research Letters, Elsevier, vol. 50(C).
    40. Andrei Shynkevich, 2021. "Impact of bitcoin futures on the informational efficiency of bitcoin spot market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 115-134, January.
    41. Tran, Vu Le & Leirvik, Thomas, 2020. "Efficiency in the markets of crypto-currencies," Finance Research Letters, Elsevier, vol. 35(C).
    42. Christian Masiak & Joern H. Block & Tobias Masiak & Matthias Neuenkirch & Katja N. Pielen, 2018. "The Market Cycles of ICOs, Bitcoin, and Ether," Research Papers in Economics 2018-04, University of Trier, Department of Economics.
    43. Böyükaslan, Adem & Ecer, Fatih, 2021. "Determination of drivers for investing in cryptocurrencies through a fuzzy full consistency method-Bonferroni (FUCOM-F’B) framework," Technology in Society, Elsevier, vol. 67(C).
    44. Sensoy, Ahmet, 2019. "The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies," Finance Research Letters, Elsevier, vol. 28(C), pages 68-73.
    45. Ke Xu & Yu‐Lun Chen & Bo Liu & Jian Chen, 2024. "Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 605-618, April.
    46. Charfeddine, Lanouar & Maouchi, Youcef, 2019. "Are shocks on the returns and volatility of cryptocurrencies really persistent?," Finance Research Letters, Elsevier, vol. 28(C), pages 423-430.
    47. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
    48. Tomas Pečiulis & Nisar Ahmad & Angeliki N. Menegaki & Aqsa Bibi, 2024. "Forecasting of cryptocurrencies: Mapping trends, influential sources, and research themes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1880-1901, September.
    49. Ji, Qiang & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2019. "Information interdependence among energy, cryptocurrency and major commodity markets," Energy Economics, Elsevier, vol. 81(C), pages 1042-1055.
    50. Bouri, Elie & Lucey, Brian & Roubaud, David, 2020. "The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages," Finance Research Letters, Elsevier, vol. 33(C).
    51. Mike Kraehenbuehl & Joerg Osterrieder, 2022. "The Efficient Market Hypothesis for Bitcoin in the context of neural networks," Papers 2208.07254, arXiv.org.
    52. Chinnadurai Kathiravan & Murugesan Selvam & Balasundram Maniam & Sankaran Venkateswar & J. Gayathri & Amrutha Pavithran, 2019. "Effect of Weather on Cryptocurrency Index: Evidences From Coinbase Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(4), pages 108-118, July.
    53. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    54. Akihiko Noda, 2021. "On the evolution of cryptocurrency market efficiency," Applied Economics Letters, Taylor & Francis Journals, vol. 28(6), pages 433-439, March.
    55. İbrahim Korkmaz KAHRAMAN, Habib KÜÇÜKŞAHİN, Emin ÇAĞLAK, 2019. "The Volatility Structure of Cryptocurrencies: The Comparison of GARCH Models," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 2.
    56. Marina Resta & Paolo Pagnottoni & Maria Elena De Giuli, 2020. "Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?," Risks, MDPI, vol. 8(2), pages 1-15, May.
    57. Nikolaos A. Kyriazis, 2019. "A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets," JRFM, MDPI, vol. 12(2), pages 1-17, April.
    58. Silahli, Baykar & Dingec, Kemal Dincer & Cifter, Atilla & Aydin, Nezir, 2021. "Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
    59. Wajdi Moussa & Nidhal Mgadmi & Rym Regaïeg & Abdelhafidh Othmani, 2020. "Non-linear adjustment of the Bitcoin–US dollar exchange rate," Digital Finance, Springer, vol. 2(1), pages 143-158, September.
    60. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    61. Coskun, Esra Alp & Lau, Chi Keung Marco & Kahyaoglu, Hakan, 2020. "Uncertainty and herding behavior: evidence from cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 54(C).
    62. Aslam, Faheem & Memon, Bilal Ahmed & Hunjra, Ahmed Imran & Bouri, Elie, 2023. "The dynamics of market efficiency of major cryptocurrencies," Global Finance Journal, Elsevier, vol. 58(C).
    63. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2019. "A Peek into the Unobservable: Hidden States and Bayesian Inference for the Bitcoin and Ether Price Series," Papers 1909.10957, arXiv.org, revised Jul 2021.
    64. Corbet, Shaen & Katsiampa, Paraskevi, 2020. "Asymmetric mean reversion of Bitcoin price returns," International Review of Financial Analysis, Elsevier, vol. 71(C).
    65. Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
    66. Wang, Chen & Shen, Dehua & Li, Youwei, 2022. "Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective," Finance Research Letters, Elsevier, vol. 49(C).
    67. Christoph J. Börner & Ingo Hoffmann & Jonas Krettek & Tim Schmitz, 2022. "Bitcoin: like a satellite or always hardcore? A core–satellite identification in the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 310-321, July.
    68. Koutmos, Dimitrios, 2018. "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, vol. 173(C), pages 122-127.
    69. Assaf, Ata & Bhandari, Avishek & Charif, Husni & Demir, Ender, 2022. "Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19," International Review of Financial Analysis, Elsevier, vol. 82(C).
    70. Andrea Barbon & Angelo Ranaldo, 2022. "On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges," Swiss Finance Institute Research Paper Series 22-38, Swiss Finance Institute.
    71. Ante, Lennart, 2023. "How Elon Musk's Twitter activity moves cryptocurrency markets," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
    72. Garcia-Jorcano, Laura & Benito, Sonia, 2020. "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, vol. 54(C).
    73. Fasanya, Ismail O. & Oyewole, Oluwatomisin J. & Oliyide, Johnson A., 2022. "Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 347-364.
    74. Aloosh, Arash & Ouzan, Samuel, 2020. "The psychology of cryptocurrency prices," Finance Research Letters, Elsevier, vol. 33(C).
    75. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
    76. Ozdamar, Melisa & Sensoy, Ahmet & Akdeniz, Levent, 2022. "Retail vs institutional investor attention in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    77. Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
    78. Rasim Özcan & Asad ul Islam KHAN & Sundas Iftikhar, 2024. "Whether The Cr Whether The Crypto Market Is Efficient? E et Is Efficient? Evidence F vidence From Testing The Validity Of The Efficient Market Hypothesis," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(1), pages 113-132, March.
    79. Walid Bakry & Audil Rashid & Somar Al-Mohamad & Nasser El-Kanj, 2021. "Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach," JRFM, MDPI, vol. 14(7), pages 1-24, June.
    80. Leone, Vitor & Kwabi, Frank, 2019. "High frequency trading, price discovery and market efficiency in the FTSE100," Economics Letters, Elsevier, vol. 181(C), pages 174-177.
    81. Katsiampa, Paraskevi, 2019. "An empirical investigation of volatility dynamics in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 50(C), pages 322-335.
    82. Brauneis, Alexander & Mestel, Roland & Riordan, Ryan & Theissen, Erik, 2022. "Bitcoin unchained: Determinants of cryptocurrency exchange liquidity," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 106-122.
    83. Christian Masiak & Joern H. Block & Tobias Masiak & Matthias Neuenkirch & Katja N. Pielen, 2020. "Initial coin offerings (ICOs): market cycles and relationship with bitcoin and ether," Small Business Economics, Springer, vol. 55(4), pages 1113-1130, December.
    84. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    85. Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
    86. Scharnowski, Stefan, 2021. "Understanding Bitcoin liquidity," Finance Research Letters, Elsevier, vol. 38(C).
    87. Zhao, Xin & Ghaemi Asl, Mahdi & Rashidi, Muhammad Mahdi & Vasa, László & Shahzad, Umer, 2023. "Interoperability of the revolutionary blockchain architectures and Islamic and conventional technology markets: Case of Metaverse, HPB, and Bloknet," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 112-131.
    88. Christoph J. Borner & Ingo Hoffmann & Jonas Krettek & Lars M. Kurzinger & Tim Schmitz, 2021. "On the Return Distributions of a Basket of Cryptocurrencies and Subsequent Implications," Papers 2105.12334, arXiv.org.
    89. Köchling, Gerrit & Müller, Janis & Posch, Peter N., 2019. "Does the introduction of futures improve the efficiency of Bitcoin?," Finance Research Letters, Elsevier, vol. 30(C), pages 367-370.
    90. Fassas, Athanasios P. & Papadamou, Stephanos & Koulis, Alexandros, 2020. "Price discovery in bitcoin futures," Research in International Business and Finance, Elsevier, vol. 52(C).
    91. Meegan, Andrew & Corbet, Shaen & Larkin, Charles & Lucey, Brian, 2021. "Does cryptocurrency pricing response to regulatory intervention depend on underlying blockchain architecture?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    92. Ángeles Cebrián-Hernández & Enrique Jiménez-Rodríguez, 2021. "Modeling of the Bitcoin Volatility through Key Financial Environment Variables: An Application of Conditional Correlation MGARCH Models," Mathematics, MDPI, vol. 9(3), pages 1-16, January.
    93. Vladimir Puzyrev, 2019. "Deep convolutional autoencoder for cryptocurrency market analysis," Papers 1910.12281, arXiv.org.
    94. Li, Xiao & Wu, Ruoxi & Wang, Chen, 2024. "Impacts of bitcoin on monetary system: Is China's bitcoin ban necessary?," Research in International Business and Finance, Elsevier, vol. 69(C).
    95. Dimpfl, Thomas & Peter, Franziska J., 2019. "Group transfer entropy with an application to cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 543-551.
    96. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2021. "Bitcoin versus high-performance technology stocks in diversifying against global stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    97. Martins, António Miguel, 2024. "Short-term market impact of crypto firms’ bankruptcies on cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 70(PB).
    98. Gemayel, Roland & Franus, Tatiana & Bowden, James, 2023. "Price discovery between Bitcoin spot markets and exchange traded products," Economics Letters, Elsevier, vol. 228(C).
    99. Vidal-Tomás, David, 2022. "Which cryptocurrency data sources should scholars use?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    100. Canh, Nguyen Phuc & Wongchoti, Udomsak & Thanh, Su Dinh & Thong, Nguyen Trung, 2019. "Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model," Finance Research Letters, Elsevier, vol. 29(C), pages 90-100.
    101. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Ko, Hee-Un & Yoon, Seong-Min & Kang, Sang Hoon, 2020. "Why cryptocurrency markets are inefficient: The impact of liquidity and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    102. Kirill D. Shilov & Andrei V. Zubarev, 2023. "Factors of Ethereum Profitability as a Platform for Creating Decentrilized Applications," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 95-115, February.
    103. Łęt Blanka & Sobański Konrad & Świder Wojciech & Włosik Katarzyna, 2022. "Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(4), pages 351-370, December.
    104. Liu, Weiyi & Liang, Xuan & Cui, Guowei, 2020. "Common risk factors in the returns on cryptocurrencies," Economic Modelling, Elsevier, vol. 86(C), pages 299-305.
    105. Bruzgė, Rasa & Šapkauskienė, Alfreda, 2022. "Network analysis on Bitcoin arbitrage opportunities," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    106. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    107. Thomas E. Koker & Dimitrios Koutmos, 2020. "Cryptocurrency Trading Using Machine Learning," JRFM, MDPI, vol. 13(8), pages 1-7, August.
    108. Beneki, Christina & Koulis, Alexandros & Kyriazis, Nikolaos A. & Papadamou, Stephanos, 2019. "Investigating volatility transmission and hedging properties between Bitcoin and Ethereum," Research in International Business and Finance, Elsevier, vol. 48(C), pages 219-227.
    109. Perez Riaza, Baptiste & Gnabo, Jean-Yves, 2023. "Decentralized Autonomous Organizations (DAOs): Catalysts for enhanced market efficiency," Finance Research Letters, Elsevier, vol. 58(PB).
    110. Erdinc Akyildirim & Ahmet Goncu & Ahmet Sensoy, 2021. "Prediction of cryptocurrency returns using machine learning," Annals of Operations Research, Springer, vol. 297(1), pages 3-36, February.
    111. Scharnowski, Matthias & Scharnowski, Stefan & Zimmermann, Lukas, 2023. "Fan tokens: Sports and speculation on the blockchain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    112. ORĂȘTEAN Ramona & MĂRGINEAN Silvia Cristina & SAVA Raluca, 2019. "Bitcoin In The Scientific Literature – A Bibliometric Study," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 14(3), pages 160-174, December.
    113. Tomé Lima & Helder Sebastião, 2023. "Native Market Factors for Pricing Cryptocurrencies," Notas Económicas, Faculty of Economics, University of Coimbra, issue 57, pages 71-85, December.
    114. Christophe Schinckus & Canh Phuc Nguyen & Felicia Chong Hui Ling, 2020. "Crypto-currencies Trading and Energy Consumption," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 355-364.
    115. Grobys, Klaus & Sapkota, Niranjan, 2019. "Cryptocurrencies and momentum," Economics Letters, Elsevier, vol. 180(C), pages 6-10.
    116. Kapar, Burcu & Olmo, Jose, 2019. "An analysis of price discovery between Bitcoin futures and spot markets," Economics Letters, Elsevier, vol. 174(C), pages 62-64.
    117. Zouheir Mighri & Majid Ibrahim Alsaggaf, 2019. "Volatility Spillovers among the Cryptocurrency Time Series," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 81-90.
    118. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
    119. BEN ABDALLAH Mohamed & TALBI Omar, 2024. "A Wavelet Analysis of Bitcoin Price Volatility Dynamic," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(1), pages 951-964, January.
    120. V Dimitrova & M Fernández-Martínez & M A Sánchez-Granero & J E Trinidad Segovia, 2019. "Some comments on Bitcoin market (in)efficiency," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-14, July.
    121. Robert Hudson & Andrew Urquhart, 2021. "Technical trading and cryptocurrencies," Annals of Operations Research, Springer, vol. 297(1), pages 191-220, February.
    122. Lepomäki, Laura & Kanniainen, Juho & Hansen, Henri, 2021. "Retaliation in Bitcoin networks," Economics Letters, Elsevier, vol. 203(C).
    123. Derick Quintino & Jessica Campoli & Heloisa Burnquist & Paulo Ferreira, 2020. "Efficiency of the Brazilian Bitcoin: A DFA Approach," IJFS, MDPI, vol. 8(2), pages 1-9, April.
    124. Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    125. Toan Luu Duc Huynh, 2019. "Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas," JRFM, MDPI, vol. 12(2), pages 1-19, April.
    126. Wei Sun & Alisher Tohirovich Dedahanov & Ho Young Shin & Ki Su Kim, 2020. "Switching intention to crypto-currency market: Factors predisposing some individuals to risky investment," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-16, June.
    127. Ante, Lennart & Fiedler, Ingo, 2021. "Market reaction to large transfers on the Bitcoin blockchain - Do size and motive matter?," Finance Research Letters, Elsevier, vol. 39(C).
    128. Lennart Ante, 2020. "A place next to Satoshi: foundations of blockchain and cryptocurrency research in business and economics," Scientometrics, Springer;Akadémiai Kiadó, vol. 124(2), pages 1305-1333, August.
    129. Brauneis, Alexander & Mestel, Roland, 2019. "Cryptocurrency-portfolios in a mean-variance framework," Finance Research Letters, Elsevier, vol. 28(C), pages 259-264.
    130. Efe Caglar Cagli & Pinar Evrim Mandaci, 2021. "Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 394-402.
    131. Nils Bundi & Marc Wildi, 2019. "Bitcoin and market-(in)efficiency: a systematic time series approach," Digital Finance, Springer, vol. 1(1), pages 47-65, November.
    132. Yue, Wei & Zhang, Sijia & Zhang, Qiang, 2021. "Asymmetric News Effects on Cryptocurrency Liquidity: an Event Study Perspective," Finance Research Letters, Elsevier, vol. 41(C).
    133. Sun, Wei & Dedahanov, Alisher Tohirovich & Shin, Ho Young & Li, Wei Ping, 2021. "Factors affecting institutional investors to add crypto-currency to asset portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    134. Khuntia, Sashikanta & Pattanayak, J.K., 2018. "Adaptive market hypothesis and evolving predictability of bitcoin," Economics Letters, Elsevier, vol. 167(C), pages 26-28.
    135. Jinghong Wu & Ke Xu & Xinwei Zheng & Jian Chen, 2021. "Fractional cointegration in bitcoin spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1478-1494, September.
    136. Huynh, Nhan & Phan, Hoa, 2023. "Emotions in the crypto market: Do photos really speak?," Finance Research Letters, Elsevier, vol. 55(PB).
    137. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    138. Dastgir, Shabbir & Demir, Ender & Downing, Gareth & Gozgor, Giray & Lau, Chi Keung Marco, 2019. "The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test," Finance Research Letters, Elsevier, vol. 28(C), pages 160-164.
    139. Narayan, Paresh Kumar & Narayan, Seema & Eki Rahman, R. & Setiawan, Iwan, 2019. "Bitcoin price growth and Indonesia's monetary system," Emerging Markets Review, Elsevier, vol. 38(C), pages 364-376.
    140. Paolo Giudici & Paolo Pagnottoni, 2019. "High Frequency Price Change Spillovers in Bitcoin Markets," Risks, MDPI, vol. 7(4), pages 1-18, November.
    141. Lee Alan Smales, 2020. "One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns," Economic Papers, The Economic Society of Australia, vol. 39(2), pages 118-132, June.

  6. Philipp Hornung & Ulrike Leopold-Wildburger & Roland Mestel & Stefan Palan, 2015. "Insider behavior under different market structures: experimental evidence on trading patterns, manipulation, and profitability," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 23(2), pages 357-373, June.

    Cited by:

    1. Merl, Robert & Palan, Stefan & Schmidt, Dominik & Stöckl, Thomas, 2023. "Insider trading regulation and trader migration," Journal of Financial Markets, Elsevier, vol. 66(C).
    2. Caferra, Rocco & Morone, Andrea & Nuzzo, Simone, 2019. "The Impact of a Pre-Opening Session on Subsequent Trading: an Experimental Analysis," MPRA Paper 92853, University Library of Munich, Germany.
    3. Jürgen Fleiß & Stefan Palan, 2015. "Collaborative decision systems in economics and in complex societal and environmental applications," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 23(2), pages 279-282, June.
    4. Stöckl, Thomas & Palan, Stefan, 2018. "Catch me if you can. Can human observers identify insiders in asset markets?," Journal of Economic Psychology, Elsevier, vol. 67(C), pages 1-17.
    5. Jarosław Duda & Henryk Gurgul & Robert Syrek, 2022. "Multi-feature evaluation of financial contagion," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(4), pages 1167-1194, December.
    6. Aleksandra Rutkowska & Agata Kliber, 2021. "Say anything you want about me if you spell my name right: the effect of Internet searches on financial market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 29(2), pages 633-664, June.
    7. Merl, Robert, 2022. "Literature review of experimental asset markets with insiders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).

  7. Brauneis, Alexander & Mestel, Roland & Palan, Stefan, 2013. "Inducing low-carbon investment in the electric power industry through a price floor for emissions trading," Energy Policy, Elsevier, vol. 53(C), pages 190-204.
    See citations under working paper version above.
  8. Henryk Gurgul & Łukasz Lach & Roland Mestel, 2012. "The relationship between budgetary expenditure and economic growth in Poland," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(1), pages 161-182, March.
    See citations under working paper version above.
  9. Alexander Brauneis & Roland Mestel & Stefan Palan, 2012. "Does a cap on the carbon price have to be a cap on green investments?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 39(2), pages 217-231, May.

    Cited by:

    1. Alexander Brauneis & Michael Loretz & Roland Mestel & Stefan Palan, 2011. "Inducing Low-Carbon Investment in the Electric Power Industry through a Price Floor for Emissions Trading," Working Papers 2011.74, Fondazione Eni Enrico Mattei.
    2. Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Price discovery in carbon exchange traded fund markets," International Review of Financial Analysis, Elsevier, vol. 89(C).

  10. Henryk Gurgul & Paweł Majdosz & Roland Mestel, 2007. "Price–volume relations of DAX companies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(3), pages 353-379, September.

    Cited by:

    1. Bajzik, Josef, 2021. "Trading volume and stock returns: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 78(C).
    2. Shmilovici Armin & Ben-Gal Irad, 2012. "Predicting Stock Returns Using a Variable Order Markov Tree Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(5), pages 1-33, December.

  11. Henryk Gurgul & Pawe³ Majdosz & Roland Mestel, 2006. "Implications of Dividend Announcements for the Stock Prices and Trading Volumes of DAX Companies (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(1-2), pages 58-68, January.

    Cited by:

    1. Dr. Jeetendra Dangol, 2016. "Nepalese Stock Market Efficiency in Respect of Cash and Stock Dividend Announcement," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 7(3), pages 60-71, September.
    2. Paul Abbondante, 2010. "Trading Volume and Stock Indices: A Test of Technical Analysis," American Journal of Economics and Business Administration, Science Publications, vol. 2(3), pages 287-292, September.

  12. Henryk Gurgul & Pawel Majdosz & Roland Mestel, 2005. "Joint Dynamics of Prices and Trading Volume on the Polish Stock Market," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 3(2), pages 139-156.

    Cited by:

    1. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile.
    2. Go, You-How & Lau, Wee-Yeap, 2020. "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, vol. 17(C).
    3. Ling-Yun He & Sheng Yang & Wen-Si Xie & Zhi-Hong Han, 2014. "Contemporaneous and Asymmetric Properties in the Price-Volume Relationships in China's Agricultural Futures Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1S), pages 148-166, January.
    4. Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang, 2023. "Order book price impact in the Chinese soybean futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 606-625, January.
    5. Sarika Mahajan & Balwinder Singh, 2013. "Return, Volume and Volatility Relationship in Indian Stock Market: Pre and Post Rolling Settlement Analysis," Global Business Review, International Management Institute, vol. 14(3), pages 413-428, September.
    6. Gurleen Sahota & Balwinder Singh, 2016. "The Empirical Investigation of Causal Relationship between Intraday Return and Volume in Indian Stock Market," Vision, , vol. 20(3), pages 199-210, September.
    7. Katarzyna Bien-Barkowska, 2012. ""Does it take volume to move fx rates?" Evidence from quantile regressions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 35-52.
    8. Sarika Mahajan & Balwinder Singh, 2008. "An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market," Vision, , vol. 12(3), pages 1-13, July.
    9. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.

Chapters

  1. Roland Mestel & Henryk Gurgul & Paweł Majdosz, 2005. "On the Empirical Linkages between Stock Prices and Trading Activity on the German Stock Market," Operations Research Proceedings, in: Hein Fleuren & Dick Hertog & Peter Kort (ed.), Operations Research Proceedings 2004, pages 288-296, Springer.

    Cited by:

    1. Henryk Gurgul & Roland Mestel & Robert Syrek, 2008. "Polish Stock Market and some foreign markets - dependence analysis by copulas," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 18(2), pages 17-35.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.