information content of insider trading volumes in colombo stock
... and confirms this relationship both in equity and futures markets (Karpoff, 1987; 1986). Easley and O’Hara (1992) and Bajo (2010) state that traders with unreported information would prefer to trade in large volumes. Hence, this trade imbalance arising in the market due to insiders’ purchases or sal ...
... and confirms this relationship both in equity and futures markets (Karpoff, 1987; 1986). Easley and O’Hara (1992) and Bajo (2010) state that traders with unreported information would prefer to trade in large volumes. Hence, this trade imbalance arising in the market due to insiders’ purchases or sal ...
Durability, Re-trading and Market Performance
... run rational expectations; and a component of net purchases that are in proportion to the rate of change of the current price—myopic rational expectations. 7 An implication of this model is that price bubbles are greater the larger is the asset economy’s endowment of cash. Figure 3 provides an examp ...
... run rational expectations; and a component of net purchases that are in proportion to the rate of change of the current price—myopic rational expectations. 7 An implication of this model is that price bubbles are greater the larger is the asset economy’s endowment of cash. Figure 3 provides an examp ...
Stock Market Speculation and Managerial Myopia
... its ability to provide managerial incentives. The purpose of this paper is to study one natural way this can happen, namely through speculative trading by individual investors with access to private information about corporate decisions. The importance of information for stock market incentives has ...
... its ability to provide managerial incentives. The purpose of this paper is to study one natural way this can happen, namely through speculative trading by individual investors with access to private information about corporate decisions. The importance of information for stock market incentives has ...
Strategic Challenges Facing HKEx
... Trading in HKEx and broker-broker settlement within CCASS already fully electronic Papers still in use outside CCASS Elimination of physical certificates can… ...
... Trading in HKEx and broker-broker settlement within CCASS already fully electronic Papers still in use outside CCASS Elimination of physical certificates can… ...
Price Discovery and Trading After Hours
... discovery than during the preopen, the majority of trades are with market makers. In contrast, the majority of trades and virtually all price discovery during the preopen occur on electronic communications networks (ECNs). This is consistent with Barclay, Hendershott, and McCormick's (2003) findings ...
... discovery than during the preopen, the majority of trades are with market makers. In contrast, the majority of trades and virtually all price discovery during the preopen occur on electronic communications networks (ECNs). This is consistent with Barclay, Hendershott, and McCormick's (2003) findings ...
Price Volatility, Trading Activity and Market Depth
... trading volume and price volatility for equities and futures. Considerable evidence exists a positive contemporaneous correlation between price volatility and trading volume. Karpoff (1987) extensively reviews previous theoretical and empirical research on the price-volume relation, and finds 18 stu ...
... trading volume and price volatility for equities and futures. Considerable evidence exists a positive contemporaneous correlation between price volatility and trading volume. Karpoff (1987) extensively reviews previous theoretical and empirical research on the price-volume relation, and finds 18 stu ...
Estimating a Structural Model of Herd Behavior in Financial Markets
... private information is one of the parameters that we estimate. This opens the possibility that informed traders may receive noisy signals, and that they may …nd it optimal to ignore them and engage in herd behavior. In this circumstance, the sequence by which trades arrive in the market does matter: ...
... private information is one of the parameters that we estimate. This opens the possibility that informed traders may receive noisy signals, and that they may …nd it optimal to ignore them and engage in herd behavior. In this circumstance, the sequence by which trades arrive in the market does matter: ...
Bid-Ask Spreads for Trading Chinese Stocks Listed on Domestic
... China is one of the largest emerging markets in the world that adopts the limit order trading mechanism. In addition to the complicated ownership structure – a consequence a transitional economy – Chinese firms also actively seek to list and raise funds from a variety of overseas markets. This resea ...
... China is one of the largest emerging markets in the world that adopts the limit order trading mechanism. In addition to the complicated ownership structure – a consequence a transitional economy – Chinese firms also actively seek to list and raise funds from a variety of overseas markets. This resea ...
Halal Stock Designation And Impact On Price and Trading Volume
... The impact on a stock, of an addition to or deletion from a Stock Index has been of long interest to financial economists. The focus has been on two variables, changes in the stock’s returns and trading volume. While there appears to be evidence of an impact on both these variables, much of the deba ...
... The impact on a stock, of an addition to or deletion from a Stock Index has been of long interest to financial economists. The focus has been on two variables, changes in the stock’s returns and trading volume. While there appears to be evidence of an impact on both these variables, much of the deba ...
Questions from Ofgem`s Liquidity in the GB wholesale energy markets
... of the main causes for the fall in liquidity has been the reduced activity by nonphysical energy traders, following the exit of a number of high profile participants in 2002-4. Also, it is clearly evident that, unlike banks, energy traders and vertically integrated participants, who are active tradi ...
... of the main causes for the fall in liquidity has been the reduced activity by nonphysical energy traders, following the exit of a number of high profile participants in 2002-4. Also, it is clearly evident that, unlike banks, energy traders and vertically integrated participants, who are active tradi ...
Foreign Market Servicing Strategies In The NAFTA Area
... basis with 'single markets' either existing or emerging (especially in the cases of the EU and NAFTA). Such markets are increasingly uniform in regulation, standards, codes of practice (for example, anti-trust) and in business behaviour. They offer the possibility of economies of scale across the m ...
... basis with 'single markets' either existing or emerging (especially in the cases of the EU and NAFTA). Such markets are increasingly uniform in regulation, standards, codes of practice (for example, anti-trust) and in business behaviour. They offer the possibility of economies of scale across the m ...
Chapter 10
... This would require perfect markets in which all information is cost-free and available to everyone at the same time (which is clearly not the case) Implication: Not even “insiders” would be able to “beat the market” on a consistent basis ...
... This would require perfect markets in which all information is cost-free and available to everyone at the same time (which is clearly not the case) Implication: Not even “insiders” would be able to “beat the market” on a consistent basis ...
Weather, Stock Returns, and the Impact of Localized Trading Behavior
... positive returns for 25 of the 26 cities. These findings are consistent with the casual intuition that overcast weather is associated with downbeat moods and that moods affect stock prices. Coefficients from the Hirshleifer and Shumway (2003) pooled regressions suggest that the difference in returns ...
... positive returns for 25 of the 26 cities. These findings are consistent with the casual intuition that overcast weather is associated with downbeat moods and that moods affect stock prices. Coefficients from the Hirshleifer and Shumway (2003) pooled regressions suggest that the difference in returns ...
Technical Analysis Around the World: Does it Ever Add Value?
... The evidence of profitability over and above transactions costs appears to be the most compelling in emerging markets. Parisi and Vasquez (2000) document large profits to the BLL (1992) trading rules in the Chilean stock market. They do not consider transactions costs, however, several other authors ...
... The evidence of profitability over and above transactions costs appears to be the most compelling in emerging markets. Parisi and Vasquez (2000) document large profits to the BLL (1992) trading rules in the Chilean stock market. They do not consider transactions costs, however, several other authors ...
Financialization and a New Paradigm for Financial Markets
... investment back in the pipeline whenever they wish to, in exchange for cash or replacement investments. The investments are said to be liquid. Liquidity is thought of as a major advantage for investors, one that can make capital less expensive for productive users of funds raised in the primary mark ...
... investment back in the pipeline whenever they wish to, in exchange for cash or replacement investments. The investments are said to be liquid. Liquidity is thought of as a major advantage for investors, one that can make capital less expensive for productive users of funds raised in the primary mark ...
Optimal Order Exposure in a Limit Order Market
... liquidity: an analysis of order exposure strategies in electronic stock markets. Journal of Financial Economics 94 (3), 361–383. Boulatov, A. and T. J. George (2013). Hidden and displayed liquidity in securities markets with informed liquidity providers. Review of ...
... liquidity: an analysis of order exposure strategies in electronic stock markets. Journal of Financial Economics 94 (3), 361–383. Boulatov, A. and T. J. George (2013). Hidden and displayed liquidity in securities markets with informed liquidity providers. Review of ...
Day-Ahead Electricity Market Equilibrium Computing Using
... The aim of this paper is to compute the market equilibrium point of a day-ahead electricity market, where market participants can trade in two markets. In forward bilateral market transactions are negotiated directly between suppliers and consumers several months prior the delivery, and in a central ...
... The aim of this paper is to compute the market equilibrium point of a day-ahead electricity market, where market participants can trade in two markets. In forward bilateral market transactions are negotiated directly between suppliers and consumers several months prior the delivery, and in a central ...
partition-dependent framing effects in lab and field prediction markets
... claims on actual events. A claim pays off if and only if its associated event occurs. The price of the contingent claim is thought to reflect the market’s collective probability judgment about the event’s likelihood (Manski 2006; Wolfers and Zitzewitz 2005b). Most economists are instinctively skepti ...
... claims on actual events. A claim pays off if and only if its associated event occurs. The price of the contingent claim is thought to reflect the market’s collective probability judgment about the event’s likelihood (Manski 2006; Wolfers and Zitzewitz 2005b). Most economists are instinctively skepti ...
Stock prices volatility and trading volume
... These break dates allow them to partition each country-specific sample into periods of distinctive statistical features of index returns, i.e., to identify different market regimes. These were then used to test the notion of whether the volume–return causality, both linear and in quantiles, is occur ...
... These break dates allow them to partition each country-specific sample into periods of distinctive statistical features of index returns, i.e., to identify different market regimes. These were then used to test the notion of whether the volume–return causality, both linear and in quantiles, is occur ...
information circular: northern lights fund trust iv
... below an acceptable level, the security is removed from the Index and replaced with a higher scoring security. Under normal market conditions, the Fund invests at least 80% of its assets (defined as net assets plus borrowing for investment purposes) in foreign and domestic large capitalization equit ...
... below an acceptable level, the security is removed from the Index and replaced with a higher scoring security. Under normal market conditions, the Fund invests at least 80% of its assets (defined as net assets plus borrowing for investment purposes) in foreign and domestic large capitalization equit ...
Eurasia Drilling Co. 4Q12 preview – results and outlook known – but
... This report has been prepared by the analysts of Gazprombank (Open Joint Stock Company) (hereinafter – Gazprombank) and is based on information obtained from public sources believed to be reliable, but is not guaranteed as necessarily being accurate. With the exception of information directly pertai ...
... This report has been prepared by the analysts of Gazprombank (Open Joint Stock Company) (hereinafter – Gazprombank) and is based on information obtained from public sources believed to be reliable, but is not guaranteed as necessarily being accurate. With the exception of information directly pertai ...
Regime-Based Asset Allocation
... These benchmarks are broad-based indices which are used for comparative purposes only and have been selected as they are well known and are easily recognizable by investors. Comparisons to benchmarks have limitations because benchmarks have volatility and other material characteristics that may diff ...
... These benchmarks are broad-based indices which are used for comparative purposes only and have been selected as they are well known and are easily recognizable by investors. Comparisons to benchmarks have limitations because benchmarks have volatility and other material characteristics that may diff ...
EUROPEAN COMMISSION Brussels, 14.7.2016 C(2016) 4390 final
... informed as to the true level of actual and potential transactions in shares, depositary receipts, exchange-traded funds (ETFs), certificates and other similar financial instruments irrespective of whether those transactions take place on regulated markets, multilateral trading facilities (MTFs), an ...
... informed as to the true level of actual and potential transactions in shares, depositary receipts, exchange-traded funds (ETFs), certificates and other similar financial instruments irrespective of whether those transactions take place on regulated markets, multilateral trading facilities (MTFs), an ...
A common factor analysis for the US and the German stock markets
... frequency. On the other hand, increasing the frequency to an arbitrary level is also counterfactual. Indices especially face infrequent trading problems since they contain also less liquid stocks. Hence, we regard minute by minute data as the best way to cope with the trade-off between the issues of ...
... frequency. On the other hand, increasing the frequency to an arbitrary level is also counterfactual. Indices especially face infrequent trading problems since they contain also less liquid stocks. Hence, we regard minute by minute data as the best way to cope with the trade-off between the issues of ...