Caporale, G.M. (Guglielmo M.)
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- Long-term price overreactions: are markets inefficient?(Springer Science and Business Media LLC, 2019) Plastun, A. (Alex); Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX). First, a number of statistical tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to test the profitability of two alternative strategies, one based on the classical overreaction anomaly, the other on a so-called "inertia anomaly". Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly data. In the majority of cases strategies based on overreaction anomalies are not profitable, and therefore the latter cannot be seen as inconsistent with the EMH.
- Prospects for a monetary union in the East Africa community: Some empirical evidence(Wiley, 2020) Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This paper examines generalised purchasing power parity (G-PPP) and business cycle synchronisation in the East Africa Community with the aim of assessing the prospects for a monetary union. The univariate fractional integration analysis shows that the individual series exhibit unit roots and are highly persistent. The fractional bivariate cointegration tests suggest that there exist bivariate fractional cointegrating relationships between the exchange rate of the Tanzanian shilling and those of the other EAC countries, and also between the exchange rates of the Rwandan franc, the Burundian franc and the Ugandan shilling. The Fractionally Cointegrated Vector AutoRegressive (FCVAR) results imply the existence of a single cointegrating relationship between the exchange rates of the EAC countries. On the whole, there is evidence in favour of G-PPP. In addition, there appears to be a high degree of business cycle synchronisation between these economies. On both grounds, one can argue that a monetary union should be feasible.
- Long Memory and Volatility Dynamics in the US Dollar Exchange Rate(2011) Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)
- Persistence in the cryptocurrency market(Elsevier BV, 2018) Plastun, A. (Alex); Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013–2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.
- Long Memory at the Long Run and at the Cyclical Frequencies:Modelling Real Wages in England: 1260-1994.(Springer, 2005) Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)
- Time trends and persistence in US sea level data: an investigation using fractional integration methods(Springer, 2022) Sauci, L. (L.); Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This paper analyses US sea level data using long memory and fractional integration methods. Specifcally, monthly data for 41 US stations covering the period from January 1950 to December 2018 are examined. Fractional integration methods suggest that all series exhibit orders of integration in the interval (0, 1), which implies long-range dependence with positive values of the diferencing parameter; further, signifcant positive time trends are found in the case of 29 stations located on the East Coast and the Gulf of Mexico, and negative ones in the case of four stations on the North West Coast, but none for the remaining 8 on the West Coast. The highest degree of persistence is found for the West Coast stations and the lowest for the East Coast ones. Thus, in the event of shocks, more decisive action is required in the case of West Coast stations for the series to revert to their original trend
- Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates(2011) Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)
- Modelling Long Run Trends and Cycles in Financial Time Series Data(2012) Cuñado, J. (Juncal); Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This paper proposes a general time series framework to capture the long-run behaviour of financial series. The suggested approach includes linear and segmented time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the spectrum is allowed to contain more than a single pole or singularity, occurring at both zero but non-zero (cyclical) frequencies. This framework is used to analyse five annual time series with a long span, namely dividends, earnings, interest rates, stock prices and long-term government bond yields. The results based on several likelihood criteria indicate that the five series exhibit fractional integration with one or two poles in the spectrum, and are quite stable over the sample period examined.
- Testing of nonstationarities in the unit circle, long memory processes and the day of the week effects in financial data.(World Scientific, 2006) Nazarski, M. (Mike); Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)
- UK overseas visitors: Seasonality and persistence(SAGE Publications, 2019) Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This article analyses seasonality and persistence in the number of UK overseas visitors applying a fractional integration framework to (monthly and quarterly) data from 1986 to 2017. The results indicate that long memory is present in the series and the degree of persistence is higher for seasonally adjusted data, with shocks having transitory but long-lasting effects.