文章基本信息

标题：CRACKING THE MOMENTUM TRADE CONUNDRUM: A LEVERAGED BOOTSTRAP TEST OF VOLATILITY IN THE FINANCIALS INDUSTRY
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作者：Kuo-Hao Lee ; Wei-Jen Hsieh ; Ahmed Elkassabgi 等
期刊名称：Economics and Finance Review
电子版ISSN：2047-0401
出版年度：2014
卷号：3
期号：9
页码：43-48
出版社：Global Research Society
摘要：The goal of this study is to investigate the causal relationship between the Financials industry and other nine industries. Previous literatures show that volatility of stock prices is informative; therefore, we applied Granger causality by use of a leveraged bootstrap test developed by Hacker and Hatemi-J (2006) to examine the behavior of the volatility. Results show a causal relationship of the volatility of the Financials industry on the volatility of two other industries, Health Care and Utilities. Also, the Financials industry market is driven by the Consumer Staples, Telecommunication Service, and Utilities industries markets
关键词：Financials industry; Granger causality; leveraged bootstrap test; industry sector; volatility; S&P 500