General Volatility Strategy (GVS)

The general volatility strategy (GVS) is based on the assumption that equities with high volatility exhibit temporary market inefficiencies (see Banerjee et al. (2007), Bariviera (2017)). Following Stübinger and Endres (2018), we calculated the standard deviation of the overnight returns of the last 40 days and transferred the top 10 stocks with the highest volatility to the trading period. Again, undervalued (overvalued) stocks were bought (sold), and trades were reversed after 120 min.
