Over/Under-Reaction of Stock Markets
... • The relative strength strategy realizes positive returns in 67% of the months, and 71% of the months when January is excluded • The relative strength strategy loses about 7% on average in each January but achieves positive abnormal returns in each of the other months • The average return in non-Ja ...
... • The relative strength strategy realizes positive returns in 67% of the months, and 71% of the months when January is excluded • The relative strength strategy loses about 7% on average in each January but achieves positive abnormal returns in each of the other months • The average return in non-Ja ...
Liquidity Provision, Information, and Inventory - cfr
... incremental execution costs on earnings announcements days, when information uncertainty and the value of private information are high. Bloomfield et al. (2005) show that, in an experimental set-up, informed traders use market orders when the value of information is high. Results here show that info ...
... incremental execution costs on earnings announcements days, when information uncertainty and the value of private information are high. Bloomfield et al. (2005) show that, in an experimental set-up, informed traders use market orders when the value of information is high. Results here show that info ...
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... balance. Here we use the weighted average of the foreign exchange value of the CNY, which is based on the value of CNY compared to the currencies of major China trading partners of soybeans, which are U.S. (Dollar), Brazil(Brazil) and Argentian (Peso). Here we include percentage changes in "Industri ...
... balance. Here we use the weighted average of the foreign exchange value of the CNY, which is based on the value of CNY compared to the currencies of major China trading partners of soybeans, which are U.S. (Dollar), Brazil(Brazil) and Argentian (Peso). Here we include percentage changes in "Industri ...
High frequency trading: assessing the impact on market
... market making firms to quantitative hedge funds and their practices include a range of activities such as pseudo market-making and statistical arbitrage (“stat-arb”) trading. Though many of these trading approaches derive from strategies that have always existed in markets, the speed with which they ...
... market making firms to quantitative hedge funds and their practices include a range of activities such as pseudo market-making and statistical arbitrage (“stat-arb”) trading. Though many of these trading approaches derive from strategies that have always existed in markets, the speed with which they ...
Shareholder Wealth and Volatility Effects of Stock Splits Some
... The ex-date effect of stock splits has been explained by market microstructure anomalies, e.g. by the bid-ask spread and price discreteness. Blume & Stambaugh (1983) show that the bid-ask spread causes an upward bias in rates of return. Gottlieb & Kalay (1985) show that rounding continuous prices to ...
... The ex-date effect of stock splits has been explained by market microstructure anomalies, e.g. by the bid-ask spread and price discreteness. Blume & Stambaugh (1983) show that the bid-ask spread causes an upward bias in rates of return. Gottlieb & Kalay (1985) show that rounding continuous prices to ...
Correlated Trading and Returns
... be on the same side of the market in a given stock during a given day, week, month, and quarter. Neither aggregate liquidity effects nor short sale constraints fully explain this behavior. The systematic execution of limit orders, coordinated through price movements or the correlated trading of othe ...
... be on the same side of the market in a given stock during a given day, week, month, and quarter. Neither aggregate liquidity effects nor short sale constraints fully explain this behavior. The systematic execution of limit orders, coordinated through price movements or the correlated trading of othe ...
Effect of Investor Sentiment on Market Response to Stock Splits
... Barber and Odean (2008) provide the hypothesis that individual investors are net buyers of attention grabbing stocks such as stocks in the news, stocks experiencing high abnormal trading volume and stocks with extreme one day returns. Attention-driven buying results from the difficulty that investor ...
... Barber and Odean (2008) provide the hypothesis that individual investors are net buyers of attention grabbing stocks such as stocks in the news, stocks experiencing high abnormal trading volume and stocks with extreme one day returns. Attention-driven buying results from the difficulty that investor ...
does anonymity matter in electronic limit order markets?1
... is to shed light on these issues, both theoretically and empirically. Our analysis builds upon the idea that the limit order book contains information on the magnitude or the likelihood of future price changes (i.e. future price volatility). This claim follows from the fact that limit orders have op ...
... is to shed light on these issues, both theoretically and empirically. Our analysis builds upon the idea that the limit order book contains information on the magnitude or the likelihood of future price changes (i.e. future price volatility). This claim follows from the fact that limit orders have op ...
Weather, Stock Returns, and the Impact of Localized Trading Behavior
... returns on value and equal-weighted market indices over 1962-1989. As a proxy for weather conditions, Saunders uses the “percentage of cloud cover from sunrise to sunset” according to the New York weather station closest to Wall Street. Saunders acknowledges that orders arrive on Wall Street from al ...
... returns on value and equal-weighted market indices over 1962-1989. As a proxy for weather conditions, Saunders uses the “percentage of cloud cover from sunrise to sunset” according to the New York weather station closest to Wall Street. Saunders acknowledges that orders arrive on Wall Street from al ...
Effects of level of investors confidence and herding behavior on
... Herd behavior in decision making is defined as a situation where observation of decisions made by others, influences the decision made by an individual. It has been argued that herding has several negative impacts on the market: it is believed that this phenomenon distorts the public knowledge aggre ...
... Herd behavior in decision making is defined as a situation where observation of decisions made by others, influences the decision made by an individual. It has been argued that herding has several negative impacts on the market: it is believed that this phenomenon distorts the public knowledge aggre ...
Understanding Volatility
... Volatility Skew: The tendency of options at different exercise prices to trade at different implied volatilities ...
... Volatility Skew: The tendency of options at different exercise prices to trade at different implied volatilities ...
Price Discovery and Trading After Hours
... outside of U.S. exchange trading hours) focused on the trading of U.S. stocks on foreign exchanges.2 Electronic communications networks such as Instinet, Island, Archipelago, and others, are changing the way stock markets operate. ECNs are electronic trading systems based on open limit order books w ...
... outside of U.S. exchange trading hours) focused on the trading of U.S. stocks on foreign exchanges.2 Electronic communications networks such as Instinet, Island, Archipelago, and others, are changing the way stock markets operate. ECNs are electronic trading systems based on open limit order books w ...
Day Trading Skill 110523
... uninformed traders who demand immediacy. Using the orders underlying executed trades, we document that day traders place aggressive orders that demand immediacy at a higher rate than the general population of investors. Even the select group of profitable day traders place more aggressive orders tha ...
... uninformed traders who demand immediacy. Using the orders underlying executed trades, we document that day traders place aggressive orders that demand immediacy at a higher rate than the general population of investors. Even the select group of profitable day traders place more aggressive orders tha ...
A Model of Intertemporal Asset Prices Under Asymmetric
... holdings not only depend on the value of underlying state variables but also depend on the reaction of uninformed investors. Informed investors take advantage of the errors made by less-informed investors to make profits. The uninformed investors trade based on information extracted from prices and ...
... holdings not only depend on the value of underlying state variables but also depend on the reaction of uninformed investors. Informed investors take advantage of the errors made by less-informed investors to make profits. The uninformed investors trade based on information extracted from prices and ...
Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls
... Our analysis reveals that, when the market is reasonably resilient, the profit maximizing strategy for the predator is to sell before (and, for some parameters after) the period where the liquidator trades, while purchasing during the period that the liquidator trades. In other words, the predator ...
... Our analysis reveals that, when the market is reasonably resilient, the profit maximizing strategy for the predator is to sell before (and, for some parameters after) the period where the liquidator trades, while purchasing during the period that the liquidator trades. In other words, the predator ...
Stock Return and the Volatility Persistence in the Nigerian Capital
... GARCH-M model, Li (2002) finds that a positive but statistically insignificant relationship exists. In contrast, using a flexible semi-parametric GARCH-M model, the study document that a negative relationship prevails instead. While the volatility for the stock market as a whole has been remarkably ...
... GARCH-M model, Li (2002) finds that a positive but statistically insignificant relationship exists. In contrast, using a flexible semi-parametric GARCH-M model, the study document that a negative relationship prevails instead. While the volatility for the stock market as a whole has been remarkably ...
The Impact of Market Sentiment Index on Stock
... They suggested that the sentiment measures can significantly explain stock returns for lower-priced stocks and also returns of portfolios that belong to small investors. The portfolio was sorted based on size, and the data covers the period from 1991 to 1996. The results showed that investor sentime ...
... They suggested that the sentiment measures can significantly explain stock returns for lower-priced stocks and also returns of portfolios that belong to small investors. The portfolio was sorted based on size, and the data covers the period from 1991 to 1996. The results showed that investor sentime ...
Price Discovery in Iran Gold Coin Market
... alternative options in time of downward stock market due to the low level of market openness and they shift their portfolios to other safe domestic investments.Thus, gold market in Iran may follow same pattern as developed markets and show inverted asymmetric reaction to positive and negative shocks ...
... alternative options in time of downward stock market due to the low level of market openness and they shift their portfolios to other safe domestic investments.Thus, gold market in Iran may follow same pattern as developed markets and show inverted asymmetric reaction to positive and negative shocks ...
Investor Sentiment and Chinese A
... that are small in size, young, unprofitable yet have potential profitability and even those that have higher volatility of returns (Note 1) are thought to be hard to value and predict. Besides, the stocks of these firms are also costly to trade (D‟Avolio, 2002) so that investor sentiment may be more ...
... that are small in size, young, unprofitable yet have potential profitability and even those that have higher volatility of returns (Note 1) are thought to be hard to value and predict. Besides, the stocks of these firms are also costly to trade (D‟Avolio, 2002) so that investor sentiment may be more ...
Estimating a Structural Model of Herd Behavior in Financial Markets
... 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: in contrast to Easley et al. (1997), we cannot estimate our model using o ...
... 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: in contrast to Easley et al. (1997), we cannot estimate our model using o ...
Twitter Volume Spikes: Analysis and Application in Stock Trading
... trading volume on that day. To shed lights on whether Twitter volume spikes are expected or not, we compare the implied volatility of a stock before and after a Twitter volume spike occurs. Specifically, assume that for a stock, a Twitter volume spike happens on day t. Then we calculate the implied ...
... trading volume on that day. To shed lights on whether Twitter volume spikes are expected or not, we compare the implied volatility of a stock before and after a Twitter volume spike occurs. Specifically, assume that for a stock, a Twitter volume spike happens on day t. Then we calculate the implied ...
A Model of Excess Volatility in Large Markets
... Excess volatility –price movements not easily explained by changes in fundamentals –seems prevalent in modern stock markets (West 1988, Shiller 2003, 2014). Moreover, extreme episodes of excess volatility, such as bubbles and crises, are observed even in markets with a very large number of traders. ...
... Excess volatility –price movements not easily explained by changes in fundamentals –seems prevalent in modern stock markets (West 1988, Shiller 2003, 2014). Moreover, extreme episodes of excess volatility, such as bubbles and crises, are observed even in markets with a very large number of traders. ...
What Causes Herding: Information Cascade or Search Cost ?
... empirical results support the latter rather than the much more popular former. The main implication of our results would help, on the one hand, investors in general to locate at any given period the most cost-efficient market to trade, which lowers average trading cost and raise market trading volum ...
... empirical results support the latter rather than the much more popular former. The main implication of our results would help, on the one hand, investors in general to locate at any given period the most cost-efficient market to trade, which lowers average trading cost and raise market trading volum ...
ASX Operating Rules Section 01
... which might interfere with the operational efficiency or proper functioning of the Trading Platform; and ...
... which might interfere with the operational efficiency or proper functioning of the Trading Platform; and ...
Derivatives Trading and Its Impact on the Volatility of NSE, India
... By definition, derivatives are the future contracts whose value depends upon the underlying assets. When derivatives are introduced in the stock market, the underlying asset may be anything as component of stock market like, stock prices or market indices, interest rates, etc. Derivatives products a ...
... By definition, derivatives are the future contracts whose value depends upon the underlying assets. When derivatives are introduced in the stock market, the underlying asset may be anything as component of stock market like, stock prices or market indices, interest rates, etc. Derivatives products a ...