stock market overreaction and trading volume
... manifests itself as a reversal in stock prices. Investors adopting a contrarian strategy are able to profit from this overreaction. The contrarian strategy involves selling winning stocks and buying losing stocks in the anticipation that the prices will reverse. As noted by Lobe and Rieks (2011), th ...
... manifests itself as a reversal in stock prices. Investors adopting a contrarian strategy are able to profit from this overreaction. The contrarian strategy involves selling winning stocks and buying losing stocks in the anticipation that the prices will reverse. As noted by Lobe and Rieks (2011), th ...
Electronic Bulls and Bears: U.S. Securities Markets and Information
... This report, Electronic Bulls and Bears: U.S. Securities Markets and Information Technology, responds to requests by the House Committee on Energy and Commerce and the House Committee on Government Operations to assess the role that communication and information technologies play in the securities m ...
... This report, Electronic Bulls and Bears: U.S. Securities Markets and Information Technology, responds to requests by the House Committee on Energy and Commerce and the House Committee on Government Operations to assess the role that communication and information technologies play in the securities m ...
SEASONALITY IN STOCK MARKET LIQUIDITY AND ITS
... component of the modern financial system, which has received ample amount of attention by researchers. However, it has been noticed and documented that the level of liquidity in the market is not constant over time; rather it follows some seasonal pattern, which raises various questions. What causes ...
... component of the modern financial system, which has received ample amount of attention by researchers. However, it has been noticed and documented that the level of liquidity in the market is not constant over time; rather it follows some seasonal pattern, which raises various questions. What causes ...
Profitable Entry into an Unprofitable Market
... I would like to thank Georg Götz, Silke Januszewski Forbes, my colleagues in Giessen, and the participants of the 39 th Annual Conference of European Association for Research in Industrial Economics (EARIE) for their valuable comments on this paper. ...
... I would like to thank Georg Götz, Silke Januszewski Forbes, my colleagues in Giessen, and the participants of the 39 th Annual Conference of European Association for Research in Industrial Economics (EARIE) for their valuable comments on this paper. ...
Stale or Sticky Stock Prices?
... As mentioned above, Chalmers, Edelen and Kadlec (2001) (hereafter CEK) and Zitzewitz (2003) identify significant predictability in domestic equity mutual fund returns. In this section we ask whether such predictability is due to stale prices. Because domestic equity mutual funds might hold foreign s ...
... As mentioned above, Chalmers, Edelen and Kadlec (2001) (hereafter CEK) and Zitzewitz (2003) identify significant predictability in domestic equity mutual fund returns. In this section we ask whether such predictability is due to stale prices. Because domestic equity mutual funds might hold foreign s ...
Index Futures and Options - Contract Information
... Table of Contents Overview of Index Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 S&P/TSX 60 Index Standard Futures (SXF) . . . . . . . . . . . . . . . . . . . . . . 3 S&P/TSX 60 Index Mini Futures (SXM) . . . . . . . . . . . . . . . . . . . . . . . . . 3 S&P/TSX Co ...
... Table of Contents Overview of Index Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 S&P/TSX 60 Index Standard Futures (SXF) . . . . . . . . . . . . . . . . . . . . . . 3 S&P/TSX 60 Index Mini Futures (SXM) . . . . . . . . . . . . . . . . . . . . . . . . . 3 S&P/TSX Co ...
Speculative Retail Trading and Asset Prices
... regions in which people exhibit a greater propensity to gamble. Collectively, these results indicate that retail speculation is an important driver of trading in high-RTP stocks. In additional tests, we find that high levels of retail trading are at least partially related to the activities of inves ...
... regions in which people exhibit a greater propensity to gamble. Collectively, these results indicate that retail speculation is an important driver of trading in high-RTP stocks. In additional tests, we find that high levels of retail trading are at least partially related to the activities of inves ...
Dark pools in European equity markets
... The effect of dark pools on the integrity and stability of financial markets is still being debated. When dark pools first emerged, regulators and financial authorities expressed concern about two mechanisms through which dark trading could have negative effects on market stability. First, trading ...
... The effect of dark pools on the integrity and stability of financial markets is still being debated. When dark pools first emerged, regulators and financial authorities expressed concern about two mechanisms through which dark trading could have negative effects on market stability. First, trading ...
Option traders use (very) sophisticated heuristics, never the Blackâ
... Option traders call the formula they use the “Black–Scholes–Merton” formula without being aware that by some irony, of all the possible options formulas that have been produced in the past century, what is called the Black–Scholes–Merton “formula” (after Black and Scholes, 1973; Merton, 1973) is the ...
... Option traders call the formula they use the “Black–Scholes–Merton” formula without being aware that by some irony, of all the possible options formulas that have been produced in the past century, what is called the Black–Scholes–Merton “formula” (after Black and Scholes, 1973; Merton, 1973) is the ...
VaR Exceedances at Large Financial Institutions
... and post-crisis. The firms are indicated by their tickers1. Not all firms reported for the entire period. The number of years for which we were able to obtain data is reported in the second row of each table. Also, the firms typically report the number of exceedances for their fiscal year, which ma ...
... and post-crisis. The firms are indicated by their tickers1. Not all firms reported for the entire period. The number of years for which we were able to obtain data is reported in the second row of each table. Also, the firms typically report the number of exceedances for their fiscal year, which ma ...
when hedge funds betray a creditor committee`s fiduciary role
... See Examining Enforcement of Criminal Insider Trading and Hedge Fund Activity: Hearing Before the S. Comm. on Judiciary, 109th Cong. (2006) [hereinafter Insider Trading Hearing] (statement of Linda Chatman Thomsen, Director of Enforcement, U.S. Securities and Exchange Commission). “The investigation ...
... See Examining Enforcement of Criminal Insider Trading and Hedge Fund Activity: Hearing Before the S. Comm. on Judiciary, 109th Cong. (2006) [hereinafter Insider Trading Hearing] (statement of Linda Chatman Thomsen, Director of Enforcement, U.S. Securities and Exchange Commission). “The investigation ...
A Guide to Understanding Opportunities and Risks in Futures Trading
... Speculative participation in futures trading has become increasingly attractive with the availability of alternative methods of participation. Whereas many futures traders continue to prefer to make their own trading decisions— what to buy and sell and when to buy and sell—others use the services of ...
... Speculative participation in futures trading has become increasingly attractive with the availability of alternative methods of participation. Whereas many futures traders continue to prefer to make their own trading decisions— what to buy and sell and when to buy and sell—others use the services of ...
Surprise Effect of European Macroeconomic Announcements on
... frontier economies have become of interest to the international investment community as a source for possible higher returns that may escape the well-known negative spillovers from one developed market to another one. CIVETS countries have, however, in the recent years opened their markets to foreig ...
... frontier economies have become of interest to the international investment community as a source for possible higher returns that may escape the well-known negative spillovers from one developed market to another one. CIVETS countries have, however, in the recent years opened their markets to foreig ...
Limit Order Markets: A Survey 1
... trades and orders. The high dimensionality of limit order markets is a challenge for theoretical modelling and empirical estimation as well as, more practically, for trading. Dynamic trading strategies also involve decisions about how frequently to monitor changing market conditions and when and how ...
... trades and orders. The high dimensionality of limit order markets is a challenge for theoretical modelling and empirical estimation as well as, more practically, for trading. Dynamic trading strategies also involve decisions about how frequently to monitor changing market conditions and when and how ...
to Official Notice - The Stock Exchange of Mauritius
... (ii) the listing of up to 425,342,317 ordinary shares of BLL on the Official Market of the Stock Exchange of Mauritius Ltd following the above amalgamation, which will involve the migration of BLL from the DEM to the Official Market and consequently, the withdrawal of BLL from the DEM. 2. Suspension ...
... (ii) the listing of up to 425,342,317 ordinary shares of BLL on the Official Market of the Stock Exchange of Mauritius Ltd following the above amalgamation, which will involve the migration of BLL from the DEM to the Official Market and consequently, the withdrawal of BLL from the DEM. 2. Suspension ...
Morning Briefing Global Economic Trading Calendar
... Trademarks and Service Marks Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW ® and Xetra® are registered trademarks of DBAG. Phelix Base® and ...
... Trademarks and Service Marks Buxl®, DAX®, DivDAX®, eb.rexx®, Eurex®, Eurex Bonds®, Eurex Repo®, Eurex Strategy WizardSM, Euro GC Pooling®, FDAX®, FWB®, GC Pooling®,,GCPI®, MDAX®, ODAX®, SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW ® and Xetra® are registered trademarks of DBAG. Phelix Base® and ...
documento de trabajo 99-05
... Although technical trading rules have been used in financial markets for over a century (see, e. g., Plummer, 1989), it is only during the last decade, with growing evidence that financial markets may be less efficient than was originally believed, that the academic literature is showing a growing i ...
... Although technical trading rules have been used in financial markets for over a century (see, e. g., Plummer, 1989), it is only during the last decade, with growing evidence that financial markets may be less efficient than was originally believed, that the academic literature is showing a growing i ...
Trends in Institutional Investor Use of Fixed Income ETFs
... capitalization and sectors that I would not be able to efficiently achieve trading individual names. The key word is diversification.” – Asset manager ...
... capitalization and sectors that I would not be able to efficiently achieve trading individual names. The key word is diversification.” – Asset manager ...
Did Stop Signs Stop Investor Trading?
... A growing body of research suggests that the potential for naiveté may also apply to institutional investors because investor inattention has been reflected in stock returns of publicly traded firms on U.S. major stock exchanges. For example, earnings surprises receive weaker market responses and ar ...
... A growing body of research suggests that the potential for naiveté may also apply to institutional investors because investor inattention has been reflected in stock returns of publicly traded firms on U.S. major stock exchanges. For example, earnings surprises receive weaker market responses and ar ...
Markets and Securities Services
... Securities Regulatory Commission (CSRC) jointly approved the establishment of the Shenzhen-Hong Kong Stock Connect. The target launch date will be approximately four months from the announcement date, tentatively November or December 2016. The program will be established by the Shenzhen Stock Connec ...
... Securities Regulatory Commission (CSRC) jointly approved the establishment of the Shenzhen-Hong Kong Stock Connect. The target launch date will be approximately four months from the announcement date, tentatively November or December 2016. The program will be established by the Shenzhen Stock Connec ...
Short Selling IPOs
... Second, underwriter price support in the aftermarket of IPOs may lead to predictable price declines after these activities cease (Aggarwal (2000) and Ellis, Michaely and O’Hara (2000)). It has been suggested that the ability of underwriters to economically sustain price stabilization in the near ter ...
... Second, underwriter price support in the aftermarket of IPOs may lead to predictable price declines after these activities cease (Aggarwal (2000) and Ellis, Michaely and O’Hara (2000)). It has been suggested that the ability of underwriters to economically sustain price stabilization in the near ter ...
A Model of Competitive Stock Trading Volume Jiang Wang
... heterogeneous investment opportunities and asymmetric information. These two types of heterogeneity give rise to different dynamic relations between volume and returns. Without information asymmetry, investors trade only to rebalance their portfolios when their private investment opportunity changes ...
... heterogeneous investment opportunities and asymmetric information. These two types of heterogeneity give rise to different dynamic relations between volume and returns. Without information asymmetry, investors trade only to rebalance their portfolios when their private investment opportunity changes ...
MACD: A Sweet Anticipation by "Ed Seykota" MACD: Sweet
... * Its claim to anticipate is alluring. * It has been touted as an indicator rather than a signal. * MACD provides a parascientific license to generate plenty of action, excitement, anxiety and commissions. MACD plays an important role in the market ecology, but it just doesn't happen to be a tool th ...
... * Its claim to anticipate is alluring. * It has been touted as an indicator rather than a signal. * MACD provides a parascientific license to generate plenty of action, excitement, anxiety and commissions. MACD plays an important role in the market ecology, but it just doesn't happen to be a tool th ...
Decimalization, trading costs, and information transmission between
... opportunity to test the impact of changes in tick size empirically. ETFs are index funds or trusts that are listed and traded intraday on an exchange. In contrast to the traditional open-end mutual funds, ETFs allow for intraday trading and authorized participants can either create or redeem ETFs by ...
... opportunity to test the impact of changes in tick size empirically. ETFs are index funds or trusts that are listed and traded intraday on an exchange. In contrast to the traditional open-end mutual funds, ETFs allow for intraday trading and authorized participants can either create or redeem ETFs by ...