MARGIN-TRADING ACTIVITIES AND FUTURE STOCK RETURNS: NEW EVIDENCE FROM NONLINEAR ANALYSIS

DOI10.1142/S0218348X20501261zbMath1452.91299OpenAlexW3043107999MaRDI QIDQ5129932

Qingsong Ruan, Dayong Lv, Jiarui Zhang, Yaping Zhou

Publication date: 3 November 2020

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x20501261

zbMATH Keywords

return predictabilitynonlinear Granger causality testMF-DCCAmargin tradingmargin covering

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Testing for nonlinearity in time series: the method of surrogate data
• Margin borrowing, stock returns, and market volatility: evidence from margin credit balance
• A Suggested Statistical Model of some Time Series which occur in Nature
• Fractal measures and their singularities: The characterization of strange sets
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Fractional Brownian Motions, Fractional Noises and Applications

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