Shocks Implication on the Fundamental Drivers of Pan-European Equity Reits: Volatility Connectedness

2019 ◽  
Author(s):  
Naoufal Nassili ◽  
Arnaud Simon ◽  
Richard Malle
Keyword(s):  
Equity Reits ◽  
European Equity

Modeling Common Volatility and Dynamic Risk Premia in European Equity Markets

2002 ◽  
Author(s):  
Gregory Koutmos ◽  
Johan Anders Knif ◽  
George C. Philippatos
Keyword(s):  
Equity Markets ◽  
Risk Premia ◽  
Dynamic Risk ◽  
European Equity

The Dynamics of Central European Equity Market Integration

2005 ◽  
Author(s):  
Claire G. Gilmore ◽  
Brian M. Lucey ◽  
Ginette M. McManus
Keyword(s):  
Market Integration ◽  
Equity Market ◽  
Central European ◽  
European Equity

The Evolution of Equity REITs Betas: Analysis from 1997 to 2014

2019 ◽  
Vol 25 (2) ◽  
pp. 172-193
Author(s):  
Cuono Massimo Coletta ◽  
Francesco Busato
Keyword(s):  
Equity Reits

Investment Styles in the European Equity Market

2000 ◽  
pp. 61-88
Author(s):  
Monica Billio ◽  
Roberto Casarin ◽  
Claire Méhu ◽  
Domenico Sartore
Keyword(s):  
Equity Market ◽  
Investment Styles ◽  
European Equity

scholarly journals European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return

2013 ◽  
Vol 1 (2) ◽  
pp. 329 ◽  
Author(s):  
Michael Lucey ◽  
Don Walshe
Keyword(s):  
Minimum Distance ◽  
Mean Reversion ◽  
Trading Strategy ◽  
Share Price ◽  
Trading Rule ◽  
Pairs Trading ◽  
Risk And Return ◽  
Rule Based ◽  
Data Frequency ◽  
European Equity

<p><em>This article examines an equity pairs trading strategy using daily, weekly and monthly European share price data over the period 1998 – 2007. The authors show that when stocks are matched into pairs with minimum distance between normalised historical prices, a simple trading rule based on volatility between these prices yields annualised raw returns of up to 15% for the weekly data frequency. Bootstrap results suggest returns from the strategy are attributable to skill rather than luck, while insignificant beta coefficients provide evidence that this is a market neutral strategy. Resistance of the strategy’s returns to reversal factors suggest pairs trading is fundamentally different to previously documented reversal strategies based on concepts such as mean reversion.</em><em></em></p>

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