Cargando…
Intraday return predictability: Evidence from commodity ETFs and their related volatility indices
Using high-frequency data of crude oil, gold, and silver exchange-traded funds (ETFs) and their related volatility indices, we analyse patterns of intraday return predictability, also called intraday momentum, in each market. We find that intraday return predictability exists in all the markets, but...
| Autores principales: | , , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Ltd.
2020
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7480318/ https://www.ncbi.nlm.nih.gov/pubmed/34173420 http://dx.doi.org/10.1016/j.resourpol.2020.101830 |