• Does herding affect volatility? Implications for the Spanish stock market 

      Blasco de las Heras, Natividad; Corredor Casado, María Pilar Upna; Ferreruela Garcés, Sandra (Taylor & Francis, 2012)   Artículo / Artikulua  OpenAccess
      According to rational expectation models, uninformed or liquidity trading make market price volatility rise. This paper sets out to analyze the impact of herding, which may be interpreted as one of the components of ...
    • The effect of US holidays on European markets: when the cat's away... 

      Casado, Jorge Upna; Muga Caperos, Luis Fernando Upna; Santamaría Aquilué, Rafael Upna (Wiley, 2013)   Artículo / Artikulua  OpenAccess
      This paper presents evidence of the existence of a return effect on European stock markets coinciding with NYSE holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect ...
    • The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets 

      Corredor Casado, María Pilar Upna; Ferrer Zubiate, Elena Upna; Santamaría Aquilué, Rafael Upna (Taylor & Francis, 2015)   Artículo / Artikulua  OpenAccess
      This paper studies the effect of investor sentiment on stock returns in three Central European markets: the Czech Republic, Hungary and Poland. The results show that sentiment is a key variable in the prices of stocks ...
    • Market sentiment: a key factor of investors' imitative behaviour 

      Blasco de las Heras, Natividad; Corredor Casado, María Pilar Upna; Ferreruela Garcés, Sandra (Wiley, 2012)   Artículo / Artikulua  OpenAccess
      The aim of this paper is to explore herding behavior among investors in order to determine its rational and emotional component factors and identify relationships among them. We apply causality tests to evaluate the impact ...
    • Momentum and default risk. Some results using the jump component 

      González Urteaga, Ana Upna; Muga Caperos, Luis Fernando Upna; Santamaría Aquilué, Rafael Upna (Elsevier, 2015)   Artículo / Artikulua  OpenAccess
      In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...