Using a state-of-the-art Markov switching framework augmented by popular proxies of arbitrage activity and investor sentiment, we reexamine the dynamics of stock momentum returns and provide a first structured time-series analysis of commodity…
Previous Studies Examining The Oil-Gold Nexus Do Not Account For The Oil And Gold Markets Conditions Jointly. This Study Examines The Oil-Gold Price Relationship By Considering The Switching-Regime In Oil Price Shocks And The Gold Market Conditions.…