Personalized Temporal Trading Functionalities Engaged in Calendar Market Anomalies: Empirical Evidences from the 2007 and 2009 Financial Crises

Basdekidou, Vasiliki A.

doi:10.4172/2167-0234.1000225

Cited by 8 publications

(12 citation statements)

References 30 publications

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“…According to the comparative and correlation return analysis presented in the previous Section, investing and trading CSR/CSE ethics firms, through the ETF financial instruments, depends both on market volatility and the hosted CSR category (Vayanos & Woolley, 2013;Basdekidou, 2015;Basdekidou, 2016a;Domenico D'Errico, 2017;Basdekidou, 2016b;Basdekidou, 2017c;Tsoutsoura, 2004;Orlitzky, 2013). For the purpose of this paper we examine and analyze both (i) the trading return performance of four CSR categories (green building, green products, green services, and green transportation); and (ii) the correlation between the firm's trading performance of these four CSR/CSE categories and the underlined involved historical market volatility.…”

Section: Conclusion and Future Researchmentioning

confidence: 99%

Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis

Basdekidou¹

2017

IJEF

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In investment and trading, different CSR/CSE (Corporate Social Responsibility/Corporate Social Entrepreneurship) moral ethical firms, categorized in a number of groups, may be suitable for different financial instruments (i.e. USA sector ETFs) and different market volatility situations. For the purpose of this article we first (i) analyze the trading return performance of four CSR/CSE categories (in particular: green building, green products, green services, and green transportation); and then (ii) examine and comment the correlation between the market performance of a number of firms belonging in these four CSR/CSE categories and historical ETF market volatility. Finally, we (iii) suggest CSR firms as trading tools according to dominant market volatility. Other CSR/CSE categories (like: sustainability, executive sustainability, renewable energy, green IT, green ICT, etc.) would be examined in future research by following the introduced by this paper approach. Paper concludes that, in relatively less volatile markets the Green Transportation CSR/CSE ethical firms display better results. On the other hand, in strong market volatile situations it is better to trade Green Products CSR/CSE and Green Services CSR/CSE ethical firms. Finally, the Green Building CSR/CSE ethical firms are uncorrelated with the market volatility, as well as their performance is poor in all market cases.

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Section: Conclusion and Future Researchmentioning

confidence: 99%

Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis

Basdekidou¹

2017

IJEF

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“…insiders functionality), rather on the (trading) psychological timing TTF functionality; the current research article targets on the dominant relationship between trading and timing and the underlined trading functionalities (Basdekidou, 2016b;Livermore 1940Livermore /2001). …”

Section: Motivation and Previous Literaturementioning

confidence: 99%

“…The main goal of this paper is to introduce a new market anomaly, challenging the efficient market hypotheses and relating to "time" during the overnight post-market session (Ang et al, 2006;Bali & Cakici, 2008;Basdekidou, 2015;Basdekidou, 2016b). This innovative anomaly characterized and documented as a temporal market anomaly (Basdekidou, 2017;Basdekidou & Styliadou, 2017).…”

Section: Introductionmentioning

confidence: 99%

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The Overnight Return Temporal Market Anomaly

Basdekidou

2017

IJEF

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The main goal of this paper is to introduce an innovative market anomaly relating to "time" during the overnight post-market session and therefore characterized as a temporal market anomaly. Anomalies in the markets appear from time to time and test the efficient market hypothesis. Many investors and traders believe that the markets follow the efficient market hypothesis. According to this theory the current price of a security (trading instrument) reflects all public and private information about that security (instrument). Changes in price are due to insider information, current news, or sudden events, which are impossible to predict. Hence, security's price action follows the path of a random walk, the hypothesis and argument of which states that current price is not dependent on past price and is normally or abnormally distributed over time. In financial and economical literature, many studies have presented approaches about what the academics call "market anomalies" and according to literature the anomalies are classified in three categories: Fundamental, Technical, and Calendar-based anomalies. In this article another class of market anomalies is introduced, that simply could be referred to as "temporal" because of the timing functionality involved. Finally, I will discuss one of these "temporal" anomalies, called the overnight return temporal market anomaly. The presented research shows that momentum profit accumulates entirely overnight, while profit on all other strategies occurs entirely intraday. These findings strongly reject classical theories of intraday versus overnight returns.

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“…and characterized by embedded time-based behavioral biases rich in psychological time, emotional control, and risk management functions. The TTFs have had a dominant position in securities, futures, Forex, and option markets (Leung et al, 2015;Blackrock, 2010;Basdekidou, 2016a;Basdekidou, 2016b;Basdekidou & Styliadou, 2017;Basdekidou, 2017a;Basdekidou, 2017b;Basdekidou, 2017c Behavioral models of leveraged and inverse ETFs were examined in detail by Blackrock analysts Cheng and Madhavan (2009);Guedj, Guohua, and Craig (2010);and Guedj and Huang (2010). On the other hand, no behavioral models related to temporal leveraged ETF trading strategy approach are presented in corporate finance literature.…”

Section: Problem Introductionmentioning

confidence: 99%

The Leveraged ETF Inefficiency in Trending & Range-Bound Markets: An Application Case Study for a 3x Leveraged Gold Miners ETF

Basdekidou¹

2017

IJEF

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The main goal of this paper is to introduce the leveraged ETF die-down price action technical market anomaly (leveraged ETF anomaly), and then to discuss the temporal dimension and the subsequent (time-series) functionalities of this anomaly (temporal leveraged ETF anomaly). Our approach not only challenging the efficient-market hypothesis with regards to constantly declining leveraged ETF price action course, but also has a temporal dimension because it uses the Jesse Livermore's "psychological time" as parameter in both functions: (i) "emotional control" for opening position at the beginning of an intraday or short-term move and thereafter for holding this position; and (ii) in "money risk management -exit policy" for closing position. Traditional fundamental analysis theories and technical analysis rules and approaches are not able to interpret the die-down (i.e. a constantly declining in a mid-and long-term basis) leveraged ETF price action course. Instead, a rational dynamic and temporal representative agent could explain and document better this anomaly and this is the case of this article (i.e. trading exploitation functionality). The presented research shows that the proposed temporal leveraged ETF anomaly accumulates profit entirely overnight in sideways and in choppy markets, while in a trending market the profit occurs intraday. These findings for the leveraged ETF instruments reject classical theories of trending and sideways markets returns. Hence, (i) in a sideways or in a choppy market, a well designed overnight-position return strategy based on temporal leveraged ETF anomaly; and (ii) in a trending market, a well designed daytime-position return strategy based on temporal leveraged ETF anomaly as well, could gain benefit at the expense of hedgers and long-term investors respectively. After back-testing our research in available 5-year data for the JNUG 3x leveraged ETF (gold miners juniors), we found that overnight-position speculators, in sideways or choppy markets, profit from the proposed temporal leveraged ETF trading strategy approach at the expense of hedgers; and daytime swing traders, in trending markets, profit from the proposed temporal leveraged ETF trading strategy approach at the expense of long-term investors.

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Personalized Temporal Trading Functionalities Engaged in Calendar Market Anomalies: Empirical Evidences from the 2007 and 2009 Financial Crises

Cited by 8 publications

References 30 publications

Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis

Green Entrepreneurship & Corporate Social Responsibility: Comparative and Correlative Performance Analysis

The Overnight Return Temporal Market Anomaly

The Leveraged ETF Inefficiency in Trending & Range-Bound Markets: An Application Case Study for a 3x Leveraged Gold Miners ETF

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