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  • 1.
    Graham, Michael
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Hasselgren, Anton
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Using CO2 Emission Allowances in Equity Portfolios2016In: Handbook of Environmental and Sustainable Finance / [ed] Vikash Ramiah, Greg N. Gregoriou, Amsterdam: Academic Press, 2016, p. 359-370Chapter in book (Refereed)
    Abstract [en]

    In this chapter, we show that while the carbon emission allowance futures market, which is still emerging, has gained relative little popularity among investors it can present attractive diversification opportunities for investors. Our findings show that the exposure of these futures returns to equity returns as well as the value factor is low but increases with stock market stress. As our further analysis suggests that investors can also profit from negative convenience yield in carbon emission futures by taking short positions in them, the strategy can be an attractive addition to equity portfolios. We note that potential reasons for the lack of popularity are poor liquidity, lack of investors' attention to the investments, investment ambiguity, and investment constraints. Nevertheless, carbon emission allowances and environmental investments of its kind can be important portfolio diversifiers in future.

  • 2.
    Hasselgren, Anton
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Essays on Investor Behavior and Trading Strategies in International Financial Markets2019Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    This dissertation contains four articles that in different ways inform on investor behavior in international financial markets, their impact on the underlying market, and the trading strategies that they pursue.

    Article I studies how hedge funds herd in currency future contracts and how it is affecting the underlying market. The results indicate that hedge funds herd, and that they herd in a pattern that is consistent with them following the carry trade strategy. Hedge fund herding has an impact on the underlying market, in the direction of the herd, and the results give no indication that their herding in destabilizing.

    Article II examines if limits to arbitrage can help explain the returns to technical analysis strategies in the foreign exchange market. The findings show that returns to technical analysis strategies are higher when limits to arbitrage are more severe, supporting the argument that profit opportunities can persist as arbitrage activity is costly and risky. However, investor sentiment seem to be unrelated to technical analysis returns. The main takeaway is that limits to arbitrage are an important determinant of technical analysis profitability.

    Article III investigates whether the trading activity of speculators is beneficial for the speed of information diffusion in the foreign exchange market. The findings show that predictive ability of the equity market on foreign exchange strategies dissipates when speculator activity is high. However, the same results are not found for the commodity markets ability to predict foreign exchange strategies. Overall, the results indicate that speculators play a vital role for informational efficiency in the foreign exchange market.

    Article IV examines the impact of investor attention on stock and foreign exchange market volatility in emerging economies using a newly constructed innovative attention proxies that capture the full spectrum of the dynamics of the information processing stages. The results show that investor attention significantly effects emerging stock market volatility, but not FX market volatility.

  • 3.
    Hasselgren, Anton
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Hedge Fund Herding in the Currency MarketManuscript (preprint) (Other academic)
    Abstract [en]

    In this paper, I study the patterns of hedge fund herding in currency future contracts and find evidence that hedge funds herd. High-interest (low-interest) currencies have higher buy-side (sell-side) herding consistent with carry trade positions. I then propose a strategy herding measure that I use to track hedge fund herding in the carry trade strategy. I find that hedge fund carry trade strategy herding positively predicts future returns, a result that is robust to a host of other measures of activity. I find no that hedge fund herding is destabilizing, and investors can improve performance by following hedge fund herding behavior in the carry trade.

  • 4.
    Hasselgren, Anton
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Limits to Arbitrage and Technical Analysis Returns in the Foreign Exchange MarketManuscript (preprint) (Other academic)
    Abstract [en]

    The profitability of technical analysis strategies seriously challenges weak-form market efficiency. An important, unanswered question is why these profit opportunities are not arbitraged away by rational investors. This study tests whether arbitrage risk in the form of limits to arbitrage (LTA) and investor sentiment explain the returns to technical analysis strategies. I find that seven proxies for LTA are positively related to returns to[AH1]  technical analysis portfolios, based on a large set of technical trading rules for six major currencies. However, higher levels of investor sentiment are unrelated to higher returns to technical analysis, contrasting the literature on stock market anomalies and practitioner belief. The main takeaway is that LTA are an important determinant of technical analysis profitability.

  • 5.
    Hasselgren, Anton
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Graham, Michael
    Speculator Activity and Cross-Asset Predictability of FX Returns2018Conference paper (Refereed)
    Abstract [en]

    The gradual information diffusion hypothesis (GIDH) suggests that information flows slowly across investors and asset markets and thus generates return predictability. We examine cross-asset return predictability of FX market strategies. Apply the GIDH to empirically investigate the role of speculator activity in cross-asset return predictability of FX market strategies. We hypothesize that when speculators in the FX market are active, the speed of information diffusion into the market increases which, invariably, weaken predictability between the equity and commodity market and FX strategies. Our reported results, which provide strong support for this view, show that when speculators are active in the FX market, predictability from the equity market dissipates and predictability from the commodity market diminishes. Our findings suggest that speculators play a vital role in enhancing informational efficiency in the FX market.

  • 6.
    Hasselgren, Anton
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Graham, Michael
    Speculator activity and the cross-asset predictability of FX returnsManuscript (preprint) (Other academic)
    Abstract [en]

    This paper applies the gradual information diffusion hypothesis, which suggests that information spreads gradually across asset markets, leading to cross-asset return predictability, to explain the role of speculator activity in the cross-asset return predictability of foreign exchange (FX) market strategies. We argue that the activity of speculators should increase the rate of information diffusion across asset markets. Hence, we expect the predictability from of the equity and commodity markets to predict the FX market would to be weaker when speculators are active in the FX market. Our results show that, when speculator activity is high, predictability from the equity market’s ability  to predict the FX market dissipates, but not to the same extent as for the commodity market. Our findings suggest that speculators play a vital role in enhancing informational efficiency in the FX market.

  • 7.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Graham, Michael
    Hasselgren, Anton
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Investor attention to market categories and market volatility: The case of emerging markets2018In: Research In International Business and Finance, ISSN 0275-5319, E-ISSN 1878-3384, Vol. 44, p. 532-546Article in journal (Refereed)
    Abstract [en]

    This paper examines the impact of investor attention on stock market and FX market volatility in emerging economies using newly constructed innovative attention proxies that capture the full spectrum of the dynamics of the information processing stages. Our results show that the new practical proxies are better at capturing the complex nature of investor attention to market categories. We find that investor attention explains stock market volatility and shocks to attention but not FX market volatility in emerging markets. Thus, the emerging stock market, an important segment of the global equity market, is particularly sensitive to changes to investor attention.

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