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Arab Spring in Tunisia, Egypt, Bahrain, Jordan, Kuwait and Saudi Arabia affect the national economy of each country. The article investigates the impact of Arab Spring on the stock markets performance during Arab spring. The article uses daily closing price data of the six stock markets; trade...
In this note, we analyse whether measures of pure return persistence can forecast hedge fund performance, that is, whether they have the ability to identify hedge funds with superior performance in the remote future. Using a variety of Hurst exponent estimators (originating from rescaled range,...
This article proposes a flexible methodology for portfolio selection using a skewness/semivariance biobjective optimisation framework. The solutions of this biobjective optimisation problem allow the investor to analyse the efficient trade-off between skewness and semivariance. This methodology...
This article explores the market reaction to news announcements extracted from the Eurointelligence newsflash. The data used in this work are yield spreads associated with 5-year sovereign credit default swap (hereafter, CDS) of a sample of euro area countries from May 15, 2012 until May 23,...
The purpose of dynamic asset allocation (DAA) is to overcome the challenge that changing market conditions present to traditional strategic asset allocation by adjusting portfolio weights to take advantage of favorable conditions and reduce potential drawdowns. This article proposes a new...
The present research focuses on the management of derivative options contracts and associated options strategies that can be adequately utilized to generate profit out of an uncertain and high-volatile environment. The situation is the days preceding the declaration of the results of...
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