Browsing International Finance by Author "2"
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Development and calibration of a currency trading strategy using global optimization
Çağlayan, Mustafa Onur; Pinter, Janos D. (Springer Science+Business Media, 2013-06)We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to ... -
Turn-of-the-month effect: New evidence from an emerging stock market
Kayaçetin, Volkan; Lekpek, Senad (Elsevier, 2016-08)This paper analyzes the turn-of-the-month (ToM) effect in Turkish equity returns. We show that the ToM effect is strongly significant in BIST100 index over 1988–2014, and distinct from other calendar anomalies. In particular, ...
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