The day-of-the-week effect is a well-known phenomenon in financial markets, detected in
the price of equities, bonds, currencies and commodities. In this study, we extend the …

The existence of memory in financial time series has been extensively studied for several
stock markets around the world by means of different approaches. However, fixed income …

Perpetual futures, first proposed by Shiller (1993), have only seen wide use in
cryptocurrency markets. We examine the contract design and market microstructure …

We use data from Nasdaq's FIPS system for reporting transactions in selected high-yield
corporate bonds to investigate the relationship between the returns on a firm's stock and the …

Purpose This study broadly attempts to explore adaptive or dynamics patterns of calendar
effects existed in the cryptocurrency market as per the adaptive market hypothesis (AMH) …

This paper investigates the effect of the 2008 financial crisis on informational efficiency by
carrying out a long-memory analysis of European corporate bond markets. We compute the …

This study investigates the weak-form efficient market hypothesis for Bitcoin Cash compared
with Bitcoin by applying the concept of quantum harmonic oscillator. Our findings indicate …

This study aims to investigate the day‐of‐the‐week effect of cross‐market leveraged
exchange‐traded funds (LETFs) in the Taiwanese stock market. We find that Wednesday's …

This paper focuses on the turn-of-the-month (TOM) and intramonth anomalies in government
bond returns. In particular, we examine whether the TOM and intramonth effects exist in …

This paper adopts a versatile multivariate conditional correlation model to estimate daily
seasonality in the returns, the volatility, and the correlations between stocks, bonds, gold …